----

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| x | Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
|---|---------------------------------------------------------------------------------------------------|

| o | Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
|---|----------------------------------------------------------------------------------------------------|

| Maryland                                                       |   | 45-3058280                           |
|----------------------------------------------------------------|--------|--------------------------------------|
| (State or other jurisdiction of incorporation or organization) |   | (I.R.S. Employer Identification No.) |
|                                                           |   |                                 |
| 3 Park Avenue, 36th FloorNew York, New York                    |   | 10016                                |
| (Address of principal executive offices)                       |   | (Zip Code)                           |

|   | Large Accelerated Filer o                                             |   | Accelerated Filer o         |
|--------|-----------------------------------------------------------------------|--------|-----------------------------|
|   |                                                                  |   |                        |
|   | Non-Accelerated Filer x (Do not check if a smaller reporting company) |   | Smaller Reporting Company o |

----

----

| CĪON Investment Corporation                                                                   |          |
|----------------------------------------------------------------------------------------------------|---------------|
| Consolidated Balance Sheets                                                                        |          |
|                                                                                               | March 31,2013 |   | December 31,2012 |   |
|                                                                                               | (unaudited)   |   |   |   |   |
| Assets                                                                                             |          |
|                                                                                               |          |   |   |   |   |   |
| Investments, at fair value (amortized cost of $12,731,185 and $3,787,873, respectively)            |          | $ | 12,865,400 |   |   | $ | 3,797,806 |   |
| Cash                                                                                               |          |   | 9,550 |   |   |   | - |   |
| Due from counterparty                                                                              |          |   | 3,490,731 |   |   |   | 729,325 |   |
| Reimbursement from IIG, net(1)(4)                                                                  |          |   | 336,307 |   |   |   | 25,807 |   |
| Deferred offering expenses, net                                                                    |          |   | 712,329 |   |   |   | 958,904 |   |
| Prepaid expenses                                                                                   |          |   | 61,370 |   |   |   | 105,802 |   |
| Interest receivable on investments                                                                 |          |   | 40,737 |   |   |   | 187 |   |
| Receivable due on investments sold and repaid                                                      |          |   | 519,375 |   |   |   | - |   |
| Unrealized appreciation on total return swap(2)                                                    |          |   | 343,783 |   |   |   | 12,493 |   |
| Receivable due on total return swap(2)                                                             |          |   | 334,080 |   |   |   | - |   |
| Total assets                                                                                       |          | $ | 18,713,662 |   |   | $ | 5,630,324 |   |
|                                                                                               |          |   |   |   |   |   |   |   |
| Liabilities and Shareholders' Equity                                                               |          |
| Liabilities                                                                                        |          |   |   |   |   |   |   |   |
| Payable for investments purchased                                                                  |          | $ | 2,487,500 |   |   | $ | 990,000 |   |
| Shareholders' distributions payable(3)                                                             |          |   | 91,161 |   |   |   | - |   |
| Accounts payable and accrued expenses                                                              |          |   | 427,096 |   |   |   | 57,427 |   |
| Commissions payable                                                                                |          |   | - |   |   |   | 23,100 |   |
| Financing arrangement                                                                              |          |   | 18,260 |   |   |   | 72,682 |   |
| Total liabilities                                                                                  |          |   | 3,024,017 |   |   |   | 1,143,209 |   |
|                                                                                               |          |   |   |   |   |   |   |   |
| Commitments and contingencies(Note 10)                                                             |          |   |   |   |   |   |   |   |
|                                                                                               |          |   |   |   |   |   |   |   |
| Shareholders' Equity                                                                               |          |   |   |   |   |   |   |   |
| Common stock, $0.001 par value; 500,000,000 shares authorized;                                     |          |   |   |   |   |   |   |   |
| 1,712,123 and 500,338 shares issued and outstanding, respectively(4)                               |          |   | 1,712 |   |   |   | 500 |   |
| Capital in excess of par value                                                                     |          |   | 15,252,393 |   |   |   | 4,461,453 |   |
| Accumulated undistributed net investment (loss) income                                             |          |   | (43,992 | ) |   |   | 2,692 |   |
| Accumulated undistributed net realized gain from investments                                       |          |   | 1,534 |   |   |   | 44 |   |
| Accumulated net unrealized appreciation on investments                                             |          |   | 134,215 |   |   |   | 9,933 |   |
| Accumulated net unrealized appreciation on total return swap(2)                                    |          |   | 343,783 |   |   |   | 12,493 |   |
| Total shareholders' equity                                                                         |          |   | 15,689,645 |   |   |   | 4,487,115 |   |
|                                                                                               |          |   |   |   |   |   |   |   |
| Total liabilities and shareholders' equity                                                         |          | $ | 18,713,662 |   |   | $ | 5,630,324 |   |
|                                                                                               |          |   |   |   |   |   |   |   |
| Net asset value per share of common stock at end of period                                         |          | $ | 9.16 |   |   | $ | 8.97 |   |
| Shares of common stock outstanding                                                                 |          |   | 1,712,123 |   |   |   | 500,338 |   |
|                                                                                               |          |   |   |   |   |   |   |   |
| (1) See Note 3 for a discussion of expense reimbursements from ICON Investment Group, LLC, or IIG. |          |
| (2) See Note 6 for a discussion of the Company’s total return swap agreement.                |          |
| (3) See Note 4 for a discussion of the source of distributions paid by the Company.                |          |
| (4) See Note 12 for subsequent event.                                                         |          |   |   |   |   |   |   |   |
|                                                                                               |          |   |   |   |   |   |   |   |
| See accompanying notes to consolidated financial statements.                                       |          |

----

|                                                           |   | Three Months EndedMarch 31, 2013(1)     |                                                                                                                                                                           |
|----------------------------------------------------------------|--------|-----------------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| Investment income                                              |   |                                    |                                                                                                                                                                           |
| Interest income                                                |   | $                                       | 68,126                                                                                                                                                                         |   |
|                                                           |   |                                    |                                                                                                                                                                           |   |
| Operating expenses                                             |   |                                    |                                                                                                                                                                           |   |
| Management fees                                                |   |                                    | 44,742                                                                                                                                                                         |   |
| Administrative services expense                                |   |                                    | 263,555                                                                                                                                                                        |   |
| Capital gains incentive fee(2)                                 |   |                                    | 117,023                                                                                                                                                                        |   |
| General and administrative(3)                                  |   |                                    | 508,863                                                                                                                                                                        |   |
|                                                           |   | Total expenses                          |                                                                                                                                                                           |   | 934,183 |   |
|                                                           |   | Less: expense reimbursement from IIG(4) |                                                                                                                                                                           |   | (819,373 | ) |
|                                                           |   | Net operating expenses                  |                                                                                                                                                                           |   | 114,810 |   |
|                                                           |   | Net investment loss                     |                                                                                                                                                                           |   | (46,684 | ) |
|                                                           |   |                                    |                                                                                                                                                                           |   |   |   |
| Realized and unrealized gain                                   |   |                                    |                                                                                                                                                                           |   |
| Net realized gain from investments                             |   |                                    | 4,533                                                                                                                                                                          |   |
| Net change in unrealized appreciation on investments           |   |                                    | 124,282                                                                                                                                                                        |   |
| Net realized gain on total return swap(5)                      |   |                                    | 205,723                                                                                                                                                                        |   |
| Net change in unrealized appreciation on total return swap(5)  |   |                                    | 331,290                                                                                                                                                                        |   |
|                                                           |   | Total net realized and unrealized gain  |                                                                                                                                                                           |   | 665,828 |   |
|                                                           |   |                                    |                                                                                                                                                                           |   |   |   |
| Net increase in net assets resulting from operations           |   | $                                       | 619,144                                                                                                                                                                        |   |
|                                                           |   |                                    |                                                                                                                                                                           |   |   |   |
| Per share information—basic and diluted                  |   |                                    |                                                                                                                                                                           |   |
|                                                           |   |                                    |                                                                                                                                                                           |   |   |   |
| Net increase in net assets per share resulting from operations |   | $                                       | 0.53                                                                                                                                                                           |   |
|                                                           |   |                                    |                                                                                                                                                                           |   |   |   |
| Weighted average shares of common stock outstanding            |   |                                    | 1,164,423                                                                                                                                                                      |   |
|                                                           |   |                                    |                                                                                                                                                                           |   |   |   |
|                                                           | (1     | )                                       | The Company commenced operations on December 17, 2012. Accordingly, there is no consolidated statement of operations data available for the three months ended March 31, 2012. |   |
|                                                           | (2     | )                                       | See Note 2 for a discussion of the methodology employed by the Company in calculating the capital gains incentive fee.                                                         |   |
|                                                           | (3     | )                                       | See Note 8 for further details of the Company's general and administrative expenses.                                                                                           |   |
|                                                           | (4     | )                                       | See Note 3 for a discussion of expense reimbursements received by the Company from IIG.                                                                                        |   |
|                                                           | (5     | )                                       | See Note 6 for a discussion of the Company’s total return swap agreement.                                                                                                |   |
|                                                           |   |                                    |                                                                                                                                                                           |   |
| See accompanying notes to consolidated financial statements.   |   |

----

|                                                                                  |   | Three Months EndedMarch 31, 2013 |       |   | For the Period from January 31, 2012 (Inception) through March 31, 2012 |   |
|---------------------------------------------------------------------------------------|--------|----------------------------------|------------|--------|-------------------------------------------------------------------------|--------|
|                                                                                  |   |                             |       |   |                                                                    |   |
| Changes in net assets from operations:                                                |   |                             |       |   |                                                                    |   |
| Net investment loss                                                                   |   | $                                | (46,684    | )      |                                                                    | $      | - |   |
| Net realized gain from investments                                                    |   |                             | 4,533      |   |                                                                    |   | - |   |
| Net change in unrealized appreciation on investments                                  |   |                             | 124,282    |   |                                                                    |   | - |   |
| Net realized gain on total return swap(1)                                             |   |                             | 205,723    |   |                                                                    |   | - |   |
| Net change in unrealized appreciation on total return swap(1)                         |   |                             | 331,290    |   |                                                                    |   | - |   |
| Net increase in net assets resulting from operations                                  |   |                             | 619,144    |   |                                                                    |   | - |   |
| Shareholder distributions:                                                            |   |                             |       |   |                                                                    |   |   |   |
| Distributions from net realized gains                                                 |   |                             | (208,766   | )      |                                                                    |   | - |   |
| Net decrease in net assets from shareholder distributions                             |   |                             | (208,766   | )      |                                                                    |   | - |   |
| Changes in net assets from capital share transactions:                                |   |                             |       |   |                                                                    |   |   |   |
| Issuance of common stock, net of issuance costs of $1,127,904 and $0, respectively(2) |   |                             | 11,007,314 |   |                                                                    |   | 1,000 |   |
| Reinvestment of shareholder distributions                                             |   |                             | 31,413     |   |                                                                    |   | - |   |
| Amortization of deferred offering expenses                                            |   |                             | (246,575   | )      |                                                                    |   | - |   |
| Net increase in net assets resulting from capital share transactions                  |   |                             | 10,792,152 |   |                                                                    |   | 1,000 |   |
|                                                                                  |   |                             |       |   |                                                                    |   |   |   |
| Total increase in net assets                                                          |   |                             | 11,202,530 |   |                                                                    |   | 1,000 |   |
| Net assets at beginning of period                                                     |   |                             | 4,487,115  |   |                                                                    |   | - |   |
| Net assets at end of period                                                           |   | $                                | 15,689,645 |   |                                                                    | $      | 1,000 |   |
|                                                                                  |   |                             |       |   |                                                                    |   |   |   |
| Net asset value per share of common stock at end of period                            |   | $                                | 9.16       |   |                                                                    | $      | 9.00 |   |
| Shares of common stock outstanding at end of period                                   |   |                             | 1,712,123  |   |                                                                    |   | 111 |   |
|                                                                                  |   |                             |       |   |                                                                    |   |   |   |
| Undistributed net investment income at end of period                                  |   | $                                | -          |   |                                                                    | $      | - |   |
|                                                                                  |   |                             |       |   |                                                                    |   |   |   |
| (1) See Note 6 for a discussion of the Company’s total return swap agreement.   |   |
| (2) See Note 12 for subsequent event.                                       |   |
| See accompanying notes to consolidated financial statements.                          |   |

----

|                                                               |   | Three Months EndedMarch 31, 2013 |        |   | For the Period from January 31, 2012 (Inception) through March 31, 2012 |   |
|--------------------------------------------------------------------|--------|----------------------------------|-------------|--------|-------------------------------------------------------------------------|--------|
| Operating activities:                                              |   |                             |        |   |                                                                    |   |
| Net increase in net assets resulting from operations               |   | $                                | 619,144     |   |                                                                    | $      | - |   |
| Adjustments to reconcile net increase in net assets resulting from |   |                             |        |   |                                                                    |   |   |   |
| operations to net cash used in operating activities:               |   |                             |        |   |                                                                    |   |   |   |
| Net accretion of discount on investments                           |   |                             | (2,151      | )      |                                                                    |   | - |   |
| Proceeds from principal repayment of investments                   |   |                             | 15,000      |   |                                                                    |   | - |   |
| Purchase of investments                                            |   |                             | (6,653,990  | )      |                                                                    |   | - |   |
| Net change in short term investments                               |   |                             | (2,802,013  | )      |                                                                    |   | - |   |
| Proceeds from sale of investments                                  |   |                             | 504,375     |   |                                                                    |   | - |   |
| Net realized gain from investments                                 |   |                             | (4,533      | )      |                                                                    |   | - |   |
| Net change in unrealized appreciation on investments               |   |                             | (124,282    | )      |                                                                    |   | - |   |
| Net change in unrealized appreciation on total return swap         |   |                             | (331,290    | )      |                                                                    |   | - |   |
| Due from counterparty                                              |   |                             | (2,761,406  | )      |                                                                    |   | - |   |
| Reimbursement from IIG, net                                        |   |                             | (310,500    | )      |                                                                    |   | - |   |
| Prepaid expenses                                                   |   |                             | 44,432      |   |                                                                    |   | - |   |
| Interest receivable on investments                                 |   |                             | (40,550     | )      |                                                                    |   | - |   |
| Receivable due on investments sold and repaid                      |   |                             | (519,375    | )      |                                                                    |   | - |   |
| Receivable due on total return swap                                |   |                             | (334,080    | )      |                                                                    |   | - |   |
| Payable for investments purchased                                  |   |                             | 1,497,500   |   |                                                                    |   | - |   |
| Accounts payable and accrued expenses                              |   |                             | 369,518     |   |                                                                    |   | - |   |
| Net cash used in operating activities                              |   |                             | (10,834,201 | )      |                                                                    |   | - |   |
|                                                               |   |                             |        |   |                                                                    |   |   |   |
| Financing activities:                                              |   |                             |        |   |                                                                    |   |   |   |
| Gross proceeds from issuance of common stock                       |   |                             | 12,135,218  |   |                                                                    |   | 1,000 |   |
| Commissions and dealer manager fees paid                           |   |                             | (1,150,853  | )      |                                                                    |   | - |   |
| Reinvestment of shareholder distributions                          |   |                             | 31,413      |   |                                                                    |   | - |   |
| Shareholder distributions paid                                     |   |                             | (117,605    | )      |                                                                    |   | - |   |
| Repayment of financing arrangement                                 |   |                             | (54,422     | )      |                                                                    |   | - |   |
| Net cash provided by financing activities                          |   |                             | 10,843,751  |   |                                                                    |   | 1,000 |   |
|                                                               |   |                             |        |   |                                                                    |   |   |   |
| Net increase in cash                                               |   |                             | 9,550       |   |                                                                    |   | 1,000 |   |
| Cash, beginning of period                                          |   |                             | -           |   |                                                                    |   | - |   |
| Cash, end of period                                                |   | $                                | 9,550       |   |                                                                    | $      | 1,000 |   |
|                                                               |   |                             |        |   |                                                                    |   |   |   |
| Supplemental non-cash financing activities:                        |   |                             |        |   |                                                                    |   |   |   |
| Deferred offering expenses charged to shareholders' equity         |   | $                                | 246,575     |   |                                                                    | $      | - |   |
| Shareholders' distributions payable                                |   | $                                | 91,161      |   |                                                                    | $      | - |   |
|                                                               |   |                             |        |   |                                                                    |   |   |   |
| See accompanying notes to consolidated financial statements.       |   |

----

| Portfolio Company(a)                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | Industry |                                 | Principal/ParAmount |   |       | AmortizedCost |   | Fair Value(b) |                    |
|--------------------------------------------------------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|----------|--------------------------------------|---------------------|--------|------------|---------------|--------|---------------|-------------------------|
| Senior Secured First Lien Term Loans - 36.4%                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |     |                                 |                |   |       |          |   |          |                    |   |   |
|                                                         | Captive Resources Midco, LLC, L+550, 1.25% LIBOR Floor, 10/31/2018                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |     | Insurance                            |                | $      | 995,000    |          |   | $             | 978,509                 |   | $ | 977,588 |   |
|                                                         | CHI Overhead Doors, L+425, 1.25% LIBOR Floor, 3/18/2019(c)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |     | Building Materials                   |                |   | 1,000,000  |          |   |          | 995,000                 |   |   |   | 1,009,375 |   |
|                                                         | Merrill Corp., L+625, 1.00% LIBOR Floor, 3/8/2018                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |     | Printing & Publishing            |                |   |       | 701,000       |   |          |                    | 694,027 |   |   |   | 702,577 |   |
|                                                         | Orbitz Worldwide, L+675, 1.25% LIBOR Floor, 3/25/2019(d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |     | Entertainment & Leisure          |                |   |       | 500,000       |   |          |                    | 495,004 |   |   |   | 505,938 |   |
|                                                         | Plano Molding Co Inc., L+425, 1.00% LIBOR Floor, 12/21/2017                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |     | Chemicals                            |                |   |       | 987,500       |   |          |                    | 978,241 |   |   |   | 992,437 |   |
|                                                         | Total Safety W3, L+450, 1.25% LIBOR Floor, 3/13/2020(c)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |     | Professional & Business Services |                |   |       | 500,000       |   |          |                    | 497,500 |   |   |   | 505,210 |   |
|                                                         | Westway Group, L+400, 1.00% LIBOR Floor, 2/27/2020                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |     | Food & Beverage                  |                |   |       | 1,000,000     |   |          |                    | 995,101 |   |   |   | 1,009,375 |   |
| Total Senior Secured First Lien Term Loans                   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |     |                                 |                |   |       |          |   |          | 5,633,382               |   |   |   | 5,702,500 |   |
| Senior Secured Second Lien Term Loans - 16.2%                |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |     |                                 |                |   |       |          |   |          |                    |   |   |   |   |   |
|                                                         | Centaur Gaming, L+750, 1.25% LIBOR Floor, 2/20/2020(c)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |     | Gaming & Hotels                  |                |   |       | 500,000       |   |          |                    | 495,000 |   |   |   | 510,000 |   |
|                                                         | GCA Services Group, Inc., L+800, 1.25% LIBOR Floor, 11/1/2020                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |     | Professional & Business Services |                |   |       | 1,000,000     |   |          |                    | 995,335 |   |   |   | 1,004,375 |   |
|                                                         | Healogics, Inc, L+800, 1.25% LIBOR Floor, 2/5/2020                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |     | Healthcare                           |                |   |       | 500,000       |   |          |                    | 495,019 |   |   |   | 516,250 |   |
|                                                         | SESAC Holdco II, LLC, L+875, 1.25% LIBOR Floor, 8/8/2019                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |     | Media                                |                |   |       | 500,000       |   |          |                    | 492,674 |   |   |   | 512,500 |   |
| Total Senior Secured Second Lien Term Loans                  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |     |                                 |                |   |       |          |   |          | 2,478,028               |   |   |   | 2,543,125 |   |
| Short Term Investments - 29.4%(e)                            |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |     |                                 |                |   |       |          |   |          |                    |   |   |   |   |   |
|                                                         | First American Treasury Obligations Fund, Class Z Shares(f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |     |                                 |                |   |       | 4,619,775     |   |          |                    | 4,619,775 |   |   |   | 4,619,775 |   |
| Total Short Term Investments                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |     |                                 |                |   |       |          |   |          | 4,619,775               |   |   |   | 4,619,775 |   |
| TOTAL INVESTMENTS - 82.0%                                    |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |     |                                 |                |   |       |          |   | $             | 12,731,185              |   |   | $ | 12,865,400 |   |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 18.0%                |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |     |                                 |                |   |       |          |   |          |                    |   |   | $ | 2,824,245 |   |
| NET ASSETS - 100%                                            |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |     |                                 |                |   |       |          |   |          |                    |   |   | $ | 15,689,645 |   |
|                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |     |                                 |                |   |       |          |   |          |                    |   |   |   |   |   |   |
| TOTAL RETURN SWAP - 2.2%                                     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |     |                                 | Notional Amount     |   |       |          |   |          | Unrealized Appreciation |   |
|                                                         | Citibank TRS Facility (see Note 6)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |     |                                 |                | $      | 13,961,686 |          |   |          |                    |   | $ | 343,783 |   |
|                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |     |                                 |                |   |       |          |   |          |                    |   |   |   |   |   |
| (a)                                                          | All of the Company's debt investments are issued by eligible U.S. portfolio companies, as defined in the Investment Company Act of 1940, except for investments specifically identified as non-qualifying. The Company does not control and is not an affiliate of any of the portfolio companies in its investment portfolio.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |     |
| (b)                                                          | Fair value determined by the Company’s board of directors (see Note 7).                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |     |
| (c)                                                          | Position or portion thereof unsettled as of March 31, 2013.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |     |
| (d)                                                          | The investment is not a qualifying asset under the Investment Company Act of 1940, as amended. A business development company may not acquire any asset other than qualifying assets, unless, at the time the acquisition is made, qualifying assets represent at least 70% of the Company’s total assets as defined under Section 55 of the 1940 Act. As of March 31, 2013, 96.8% of the Company’s total assets represented qualifying assets. In addition, as described in Note 6, the Company calculates its compliance with the qualifying asset test on a “look through” basis by treating each loan underlying the total return swap as either a qualifying asset or non-qualifying asset based on whether the obligor is an eligible portfolio company. On this basis, 86.4% of the Company’s total assets represented qualifying assets as of March 31, 2013. |     |
| (e)                                                          | Short term investments represent highly liquid investments with original maturity dates of three months or less.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |     |
| (f)                                                          | Effective yield as of March 31, 2013 is <0.01%.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |     |
|                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |     |                                 |                |   |       |          |   |          |                    |   |   |   |   |   |   |
| See accompanying notes to consolidated financial statements. |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |

----

| Portfolio Company(a)                                         |                                                                                                                                                                                                                                                         | Industry |      | Principal/ParAmount |   | AmortizedCost |      | Fair Value(b) |   |
|--------------------------------------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|----------|-----------|---------------------|--------|---------------|-----------|---------------|--------|
| Senior Secured First Lien Term Loans - 44.1%                 |                                                                                                                                                                                                                                                         |     |      |                |   |          |      |          |   |   |   |   |
|                                                         | Captive Resources Midco, LLC, L+550, 1.25% LIBOR Floor, 10/31/2018                                                                                                                                                                                           |     | Insurance |                | $      | 997,500       |      |          | $      | 980,111 |   | $ | 980,044 |   |
|                                                         | Plano Molding Co Inc., L+450, 1.25% LIBOR Floor, 12/21/2017(c)                                                                                                                                                                                               |     | Chemicals |                |   |          | 1,000,000 |          |   |   | 990,000 |   |   |   | 1,000,000 |   |
| Total Senior Secured First Lien Term Loans                   |                                                                                                                                                                                                                                                         |     |      |                |   |          |      |          |   | 1,970,111 |   |   |   | 1,980,044 |   |
| Short Term Investments - 40.5%(d)                            |                                                                                                                                                                                                                                                         |     |      |                |   |          |      |          |   |   |   |   |   |   |   |
|                                                         | First American Treasury Obligations Fund, Class Z Shares(e)                                                                                                                                                                                                  |     |      |                |   |          | 1,817,762 |          |   |   | 1,817,762 |   |   |   | 1,817,762 |   |
| Total Short Term Investments                                 |                                                                                                                                                                                                                                                         |     |      |                |   |          |      |          |   | 1,817,762 |   |   |   | 1,817,762 |   |
| TOTAL INVESTMENTS - 84.6%                                    |                                                                                                                                                                                                                                                         |     |      |                |   |          |      |          | $      | 3,787,873 |   |   | $ | 3,797,806 |   |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 15.4%                |                                                                                                                                                                                                                                                         |     |      |                |   |          |      |          |   |   |   |   | $ | 689,309 |   |
| NET ASSETS - 100%                                            |                                                                                                                                                                                                                                                         |     |      |                |   |          |      |          |   |   |   |   | $ | 4,487,115 |   |
|                                                         |                                                                                                                                                                                                                                                         |     |      |                |   |          |      |          |   |   |   |   |   |   |   |   |
| TOTAL RETURN SWAP - 0.3%                                     |                                                                                                                                                                                                                                                         |     |      | Notional Amount     |   |          |      |          |   | Unrealized Appreciation |   |
|                                                         | Citibank TRS Facility (see Note 6)                                                                                                                                                                                                                           |     |      |                | $      | 2,883,100     |      |          |   |   |   | $ | 12,493 |   |
|                                                         |                                                                                                                                                                                                                                                         |     |      |                |   |          |      |          |   |   |   |   |   |   |   |   |
| (a)                                                          | All of the Company's debt investments are issued by eligible U.S. portfolio companies, as defined in the Investment Company Act of 1940. The Company does not control and is not an affiliate of any of the portfolio companies in its investment portfolio. |     |
| (b)                                                          | Fair value determined by the Company’s board of directors (see Note 7).                                                                                                                                                                                |     |
| (c)                                                          | Position or portion thereof unsettled as of December 31, 2012.                                                                                                                                                                                               |
| (d)                                                          | Short term investments represent highly liquid investments with original maturity dates of three months or less.                                                                                                                                             |     |
| (e)                                                          | Effective yield as of December 31, 2012 is <0.01%.                                                                                                                                                                                                        |
|                                                         |                                                                                                                                                                                                                                                         |
| See accompanying notes to consolidated financial statements. |                                                                                                                                                                                                                                                         |

----

----

----

| i.   | Market comparable statistics and public trading multiples discounted for illiquidity, minority ownership and other factors for companies with similar characteristics. |
|----------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| ii.   | Valuations implied by third-party investments in the applicable portfolio companies. |
|-----------------|--------------------------------------------------------------------------------------|

| iii.   | Discounted cash flow analysis, including a terminal value or exit multiple. |
|------------------|-----------------------------------------------------------------------------|

| ·   | the size and scope of a portfolio company and its specific strengths and weaknesses; |
|--------------------|--------------------------------------------------------------------------------------|

| ·   | prevailing interest rates for like securities; |
|--------------------|------------------------------------------------|

| ·   | expected volatility in future interest rates; |
|--------------------|-----------------------------------------------|

| ·   | leverage; |
|--------------------|-----------|

----

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

| ·   | the borrower’s ability to adequately service its debt; |
|--------------------|--------------------------------------------------------------|

| ·   | the fair market value of the portfolio company in relation to the face amount of its outstanding debt; |
|--------------------|--------------------------------------------------------------------------------------------------------|

| ·   | the quality of collateral securing the Company’s debt investments; |
|--------------------|--------------------------------------------------------------------------|

| ·   | multiples of earnings before interest, taxes, depreciation and amortization, or EBITDA, cash flows, net income, revenues or, in some cases, book value or liquidation value; and |
|--------------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| ·   | other factors deemed applicable. |
|--------------------|----------------------------------|

----

----

| Three Months Ended |   | Expense Support Received from IIG |    |   | Expense Support Reimbursed to IIG |   |   | Unreimbursed Expense Support |   | Eligible for Reimbursement through |
|--------------------|--------|-----------------------------------|---------|--------|-----------------------------------|--------|--------|------------------------------|--------|------------------------------------|
| December 31, 2012  |   | $                                 | 116,706 |   |                              | $      | -      |                         |   | $                                  | 116,706 |   | December 31, 2015 |
| March 31, 2013     |   |                              | 819,373 |   |                              |   | -      |                         |   |                               | 819,373 |   | March 31, 2016 |
| Total              |   | $                                 | 936,079 |   |                              | $      | -      |                         |   | $                                  | 936,079 |   |   |

----

| Entity                                                                                                        | Capacity                         | Description                           | Three Months EndedMarch 31, 2013 |   |
|---------------------------------------------------------------------------------------------------------------|----------------------------------|---------------------------------------|----------------------------------|--------|
| ICON Securities                                                                                               | Dealer-manager                   | Dealer-manager fees(1)                |                             | $      | 358,269 |   |
| CIM                                                                                                           | Investment adviser               | Management fees(2)(3)                 |                             |   | 44,742 |   |
| CIM                                                                                                           | Investment adviser               | Incentive fees(2)(3)                  |                             |   | 117,023 |   |
| ICON Capital                                                                                                  | Administrative services provider | Administrative services expense(2)(3) |                             |   | 263,555 |   |
|                                                                                                          |                             |                                  |                             | $      | 783,589 |   |
| (1) Amount charged directly to equity.                                                                        |                             |
| (2) Amount charged directly to operations.                                                                    |                             |
| (3) Amount has been supported in connection with the expense support and conditional reimbursement agreement. |                             |

----

|                                   |   | Distributions |   |
|----------------------------------------|--------|---------------|--------|
| Three Months Ended                     |   | Per Share     |   |   | Amount |   |
|     March 31, 2013 |   | $             | 0.1769 |   |   | $ | 208,766 |   |

| Source of Distribution                             |   | Distribution Amount |                | Percentage |
|----------------------------------------------------|--------|---------------------|---------------------|------------|
| Realized gain on investments and total return swap |   | $                   |  208,766  |       | 100% |
|     Total                      |   | $                   |  208,766  |       | 100% |

|                                                                                                                                                                                                                                                                                                                                                                                                                 |   | March 31, 2013(unaudited) |    |   | December 31, 2012 |   |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|---------------------------|---------|--------|-------------------|--------|
| Undistributed net investment income                                                                                                                                                                                                                                                                                                                                                                                  |   | $                         | -       |   |              | $      | 2,692 |   |
| Undistributed net realized gain from investments                                                                                                                                                                                                                                                                                                                                                                     |   |                      | 1,534   |   |              |   | 44 |   |
| Net unrealized appreciation on investments and total return swap(1)                                                                                                                                                                                                                                                                                                                                                  |   |                      | 477,998 |   |              |   | 22,426 |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                 |   | $                         | 479,532 |   |              | $      | 25,162 |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                 |   |                      |    |   |              |   |   |   |
| (1) As of March 31, 2013 and December 31, 2012, the gross unrealized appreciation on the Company’s investments and the underlying loans of the total return swap was $478,919 and $28,051, respectively. As of March 31, 2013 and December 31, 2012, the gross unrealized depreciation on the Company’s investments and the underlying loans of the total return swap was $921 and $5,625, respectively. |   |

----

|                                                                                                                                                                       | March 31, 2013(unaudited) |   | December 31, 2012 |   |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------|---------------------------|--------|-------------------|--------|
|                                                                                                                                                                       | Amortized Cost(1)         |   | Fair Value        |   |   | Percentage of Investment Portfolio |   | Amortized Cost(1) |   | Fair Value |   |   | Percentage of Investment Portfolio |   |
| Senior Secured Term Loans - First lien(2)                                                                                                                                  |                      | $      | 5,633,382         |   |   | $ | 5,702,500 |   |   |   | 44.3 | % |   | $ | 1,970,111 |   |   | $ | 1,980,044 |   |   |   | 52.1 | % |
| Senior Secured Term Loans - Second lien(2)                                                                                                                                 |                      |   | 2,478,028         |   |   |   | 2,543,125 |   |   |   | 19.8 | % |   |   | - |   |   |   | - |   |   |   | - | % |
| Short term investments(3)                                                                                                                                                  |                      |   | 4,619,775         |   |   |   | 4,619,775 |   |   |   | 35.9 | % |   |   | 1,817,762 |   |   |   | 1,817,762 |   |   |   | 47.9 | % |
|     Total investments                                                                                                                                  |                      | $      | 12,731,185        |   |   | $ | 12,865,400 |   |   |   | 100.0 | % |   | $ | 3,787,873 |   |   | $ | 3,797,806 |   |   |   | 100.0 | % |
|                                                                                                                                                                       |                      |   |              |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| (1)Amortized cost represents the original cost adjusted for the amortization of premiums and/or accretion of discounts, as applicable, on the Company’s investments. |                      |
| (2)The Company does not control and is not an affiliate of any of the portfolio companies in its investment portfolio.                                                     |                      |
| (3)Short term investments represent highly liquid investments with original maturity dates of three months or less.                                                        |                      |

|                                 |                                | March 31, 2013(unaudited) |                                         | December 31, 2012 |
|--------------------------------------|-------------------------------------|---------------------------|----------------------------------------------|-------------------|
|                                 | Investments at Fair Value |                      | Percentage of Investment Portfolio |              | Investments at Fair Value |   | Percentage of Investment Portfolio |
| Professional & Business Services |                                | $                         |  1,509,585                         |              | 11.7% |   | $ |  -  |   |  -% |
| Building Materials                   |                                |                      | 1,009,375                               |              | 7.8% |   |   |  -  |   |  -% |
| Food & Beverage                  |                                |                      | 1,009,375                               |              | 7.8% |   |   |  -  |   |  -% |
| Chemicals                            |                                |                      | 992,437                                 |              | 7.7% |   |   |  1,000,000  |   | 26.3% |
| Insurance                            |                                |                      | 977,588                                 |              | 7.6% |   |   |  980,044  |   | 25.8% |
| Printing & Publishing            |                                |                      | 702,577                                 |              | 5.5% |   |   |  -  |   |  -% |
| Healthcare                           |                                |                      | 516,250                                 |              | 4.0% |   |   |  -  |   |  -% |
| Media                                |                                |                      | 512,500                                 |              | 4.0% |   |   |  -  |   |  -% |
| Gaming & Hotels                  |                                |                      | 510,000                                 |              | 4.0% |   |   |  -  |   |  -% |
| Entertainment & Leisure          |                                |                      | 505,938                                 |              | 4.0% |   |   |  -  |   |  -% |
| U.S. Treasury Securities             |                                |                      | 4,619,775                               |              | 35.9% |   |   | 1,817,762  |   | 47.9% |
|   Total                    |                                | $                         |  12,865,400                        |              | 100.0% |   | $ |  3,797,806  |   | 100.0% |

----

----

----

| Underlying Senior Secured Term Loans(a)                                      | Industry                                           |   | Notional Amount |       |    | MarketValue(b) |   |       | Unrealized Appreciation |   |
|------------------------------------------------------------------------------|----------------------------------------------------|--------|-----------------|------------|---------|----------------|--------|------------|-------------------------|--------|
| ABB Concise Optical Group, LLC, L+425, 1.25% LIBOR Floor, 2/6/2019           | Healthcare                                         |   | $               | 497,500    |    |           | $      | 502,815    |                    |   | $ | 5,315 |   |
| American Petroleum Tankers Parent LLC, L+350, 1.25% LIBOR Floor, 10/2/2019   | Shipping & Ship Building                       |   |            | 497,500    |    |           |   | 500,000    |                    |   |   | 2,500 |   |
| ATI Holdings, Inc, L+450, 1.25% LIBOR Floor, 12/21/2019                      | Healthcare                                         |   |            | 493,763    |    |           |   | 504,361    |                    |   |   | 10,598 |   |
| Avaya Inc, L+675, 1.25% LIBOR Floor, 3/31/2018                               | Telecommunications                                 |   |            | 1,005,000  |    |           |   | 1,005,630  |                    |   |   | 630 |   |
| Berlin Packaging LLC, L+350, 1.25% LIBOR Floor, 4/2/2020                     | Chemicals                                          |   |            | 497,500    |    |           |   | 504,375    |                    |   |   | 6,875 |   |
| Centaur Gaming, L+400, 1.25% LIBOR Floor, 2/20/2019                          | Gaming & Hotels                                |   |            | 497,500    |    |           |   | 506,875    |                    |   |   | 9,375 |   |
| Cole Haan LLC, L+450, 1.25% LIBOR Floor, 2/1/2020                            | Textile & Apparel Mfg.                         |   |            | 497,500    |    |           |   | 505,625    |                    |   |   | 8,125 |   |
| EMG Utica LLC, L+375, 1.00% LIBOR Floor, 3/27/2020                           | Oil & Gas                                      |   |            | 497,500    |    |           |   | 501,875    |                    |   |   | 4,375 |   |
| FairPoint Communications, L+625, 1.25% LIBOR Floor, 2/14/2019                | Telecommunications                                 |   |            | 429,032    |    |           |   | 439,320    |                    |   |   | 10,288 |   |
| Integra Telecom, Inc, L+475, 1.25% LIBOR Floor, 2/22/2019                    | Telecommunications                                 |   |            | 495,000    |    |           |   | 506,330    |                    |   |   | 11,330 |   |
| Milacron, L+325, 1.00% LIBOR Floor, 3/28/2020(c)                             | Machinery                                          |   |            | 497,500    |    |           |   | 503,125    |                    |   |   | 5,625 |   |
| Moneygram International Inc, L+325, 1.00% LIBOR Floor, 3/28/2020(c)          | Professional & Business                        |   |            |       |    |           |   |       |                    |   |   |   |   |
|                                                                         | Services                                           |   |            | 1,000,000  |    |           |   | 1,008,750  |                    |   |   | 8,750 |   |
| Peppermill Casinos, L+600, 1.25% LIBOR Floor, 11/9/2018                      | Gaming & Hotels                                |   |            | 985,038    |    |           |   | 1,017,450  |                    |   |   | 32,412 |   |
| Safe-Guard Products International, LLC, L+600, 1.25% LIBOR Floor, 12/21/2018 | Financial Services                                 |   |            | 898,349    |    |           |   | 945,630    |                    |   |   | 47,281 |   |
| SESAC Holdco II, LLC, L+475, 1.25% LIBOR Floor, 2/8/2019                     | Media                                              |   |            | 493,763    |    |           |   | 502,491    |                    |   |   | 8,728 |   |
| SRA International, L+525, 1.25% LIBOR Floor, 7/20/2018                       | Computers & Electronics                        |   |            | 952,500    |    |           |   | 996,250    |                    |   |   | 43,750 |   |
| Sutherland Global Services, L+600, 1.25% LIBOR Floor, 3/6/2019 (c)           | Professional & Business                   |   |            |       |    |           |   |       |                    |   |   |   |   |
|                                                                         | Services                                           |   |            | 978,503    |    |           |   | 984,537    |                    |   |   | 6,034 |   |
| Tervita, L+500, 1.25% LIBOR Floor, 5/15/2018 (c)                             | Ecological                                         |   |            | 547,470    |    |           |   | 559,570    |                    |   |   | 12,100 |   |
| TransFirst Holdings, Inc., L+500, 1.25% LIBOR Floor, 12/27/2017              | Computers & Electronics                        |   |            | 493,762    |    |           |   | 505,453    |                    |   |   | 11,691 |   |
| Waupaca Foundry, Inc., L+450, 1.25% LIBOR Floor, 6/29/2017                   | Steel                                              |   |            | 493,750    |    |           |   | 499,305    |                    |   |   | 5,555 |   |
| WideOpenWest Finance LLC, L+375, 1.00% LIBOR Floor, 4/1/2019                 | Telecommunications                                 |   |            | 717,000    |    |           |   | 723,123    |                    |   |   | 6,123 |   |
| Washington Inventory Services, L+450, 1.25% LIBOR Floor, 12/20/2018          | Professional & Business                   |   |            |       |    |           |   |       |                    |   |   |   |   |
|                                                                         | Services                                           |   |            | 496,256    |    |           |   | 501,867    |                    |   |   | 5,611 |   |
| Total                                                                        |                                               |   | $               | 13,961,686 |    |           | $      | 14,224,757 |                    |   |   | 263,071 |   |
|                                                                         | Total Interest Income, Net of Expenses on TRS |   |            |       | 80,712  |           |
|                                                                         | Total Fair Value of TRS                            |   |            | $          | 343,783 |           |

|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |   |   |   |   |   |   |   |   |   |   |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|
| (a)    | All of the Company's debt investments are issued by eligible U.S. portfolio companies, as defined in the 1940 Act, except for investments specifically identified as non-qualifying. The Company does not control and is not an affiliate of any of the  companies that are issuers of the underlying loans subject to the TRS.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |
| (b)    | Fair value determined by the Company’s board of directors (see Note 7).                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
| (c)    | The investment is not a qualifying asset under the Investment Company Act of 1940, as amended. A business development company may not acquire any asset other than qualifying assets, unless, at the time the acquisition is made, qualifying assets represent at least 70% of the Company’s total assets as defined under Section 55 of the 1940 Act. As of March 31, 2013, 96.8% of the Company’s total assets represented qualifying assets. In addition, as described in Note 6, the Company calculates its compliance with the qualifying asset test on a “look through” basis by treating each loan underlying the total return swap as either a qualifying asset or non-qualifying asset based on whether the obligor is an eligible portfolio company. On this basis, 86.4% of the Company’s total assets represented qualifying assets as of March 31, 2013. |

----

| Underlying Senior Secured Term Loans(a)                                    | Industry                                      |   | Notional Amount |      |   | MarketValue(b) |   |      | Unrealized Appreciation / (Depreciation) |   |
|----------------------------------------------------------------------------|-----------------------------------------------|--------|-----------------|-----------|--------|----------------|--------|-----------|------------------------------------------|--------|
| Peppermill Casinos Inc., L+600, 1.25% LIBOR Floor, 11/9/18                 | Gaming and Hotels                             |   | $               | 492,500   |   |           | $      | 486,875   |                                     |   | $ | (5,625 | ) |
| Safe-Guard Products International, LLC, L+600, 1.25% LIBOR Floor, 12/21/18 | Financial Services                            |   |            | 900,600   |   |           |   | 905,340   |                                     |   |   | 4,740 |   |
| Sequa Corporation, L+400, 1.25% LIBOR Floor, 6/19/17                       | Aerospace/Defense                             |   |            | 497,500   |   |           |   | 502,655   |                                     |   |   | 5,155 |   |
| TransFirst Holdings, Inc., L+500, 1.25% LIBOR Floor, 12/27/17              | Computers & Electronics                   |   |            | 495,000   |   |           |   | 500,000   |                                     |   |   | 5,000 |   |
| Washington Inventory Service, L+450, 1.25% LIBOR Floor, 12/20/18           | Professional & Business                   |   |            |      |   |           |   |      |                                     |   |   |   |   |
|                                                                       | Services                                      |   |            | 497,500   |   |           |   | 500,625   |                                     |   |   | 3,125 |   |
| Total                                                                      |                                          |   | $               | 2,883,100 |   |           | $      | 2,895,495 |                                     |   |   | 12,395 |   |
|                                                                       | Total Interest Income, Net of Expenses on TRS |   |            |      | 98     |           |
|                                                                       | Total Fair Value of TRS                       |   |            | $         | 12,493 |           |

|   |                                                                                                                                                                                                                                                                    |   |   |   |   |   |   |   |   |   |   |   |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|
| (a)    | All of the Company's debt investments are issued by eligible U.S. portfolio companies, as defined in the 1940 Act. The Company does not control and is not an affiliate of any of the  companies that are issuers of the underlying loans subject to the TRS. |
| (b)    | Fair value determined by the Company’s board of directors (see Note 7).                                                                                                                                                                                           |

|   | · | Level 1—Valuations based on quoted prices in active markets for identical assets or liabilities that the Company has the ability to access. The Company’s short term investments are included in this category. |
|--------|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | · | Level 2—Valuations based on inputs other than quoted prices in active markets, which are either directly or indirectly observable. |
|--------|--------|------------------------------------------------------------------------------------------------------------------------------------------|

|   | · | Level 3—Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The inputs used in the determination of fair value may require significant management judgment or estimation. Such information may be the result of consensus pricing information or broker quotes that include a disclaimer that the broker would not be held to such a price in an actual transaction. The non-binding nature of consensus pricing and/or quotes accompanied by the disclaimer would result in classification as a Level 3 asset, assuming no additional corroborating evidence. |
|--------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| Valuation Inputs                                  |   | First Lien Senior Secured Term Loans |      |   | Second Lien Senior Secured Term Loans |   |      | Short Term Investments |   |   | Total Return Swap |   |
|---------------------------------------------------|--------|--------------------------------------|-----------|--------|---------------------------------------|--------|-----------|------------------------|--------|--------|------------------------|--------|
| Level 1—Price quotations in active markets  |   | $                                    | -         |   |                                  | $      | -         |                   |   | $      | 4,619,775              |   |   | $ | - |   |
| Level 2—Significant other observable inputs |   |                                 | -         |   |                                  |   | -         |                   |   |   | -                      |   |   |   | - |   |
| Level 3—Significant unobservable inputs     |   |                                 | 5,702,500 |   |                                  |   | 2,543,125 |                   |   |   | -                      |   |   |   | 343,783 |   |
|                                              |   | $                                    | 5,702,500 |   |                                  | $      | 2,543,125 |                   |   | $      | 4,619,775              |   |   | $ | 343,783 |   |

----

| Valuation Inputs                                  |   | First Lien Senior Secured Term Loans |      |   | Second Lien Senior Secured Term Loans |   |   | Short Term Investments |   |   | Total Return Swap |   |
|---------------------------------------------------|--------|--------------------------------------|-----------|--------|---------------------------------------|--------|--------|------------------------|--------|--------|------------------------|--------|
| Level 1—Price quotations in active markets  |   | $                                    | -         |   |                                  | $      | -      |                   |   | $      | 1,817,762              |   |   | $ | - |   |
| Level 2—Significant other observable inputs |   |                                 | -         |   |                                  |   | -      |                   |   |   | -                      |   |   |   | - |   |
| Level 3—Significant unobservable inputs     |   |                                 | 1,980,044 |   |                                  |   | -      |                   |   |   | -                      |   |   |   | 12,493 |   |
|                                              |   | $                                    | 1,980,044 |   |                                  | $      | -      |                   |   | $      | 1,817,762              |   |   | $ | 12,493 |   |

----

|                                     |   | First Lien Senior Secured Term Loans |      |   | Second Lien Senior Secured Term Loans |   |      | Total Return Swap |   |   | Total   |   |
|------------------------------------------|--------|--------------------------------------|-----------|--------|---------------------------------------|--------|-----------|-------------------|--------|--------|---------|--------|
| Balance, as of December 31, 2012    |   | $                                    | 1,980,044 |   |                                  | $      | -         |              |   | $      | 12,493  |   |   | $ | 1,992,537 |   |
| Investments purchased                    |   |                                 | 4,176,490 |   |                                  |   | 2,477,500 |              |   |   | -       |   |   |   | 6,653,990 |   |
| Net realized gain                        |   |                                 | 4,533     |   |                                  |   | -         |              |   |   | -       |   |   |   | 4,533 |   |
| Net change in unrealized appreciation(1) |   |                                 | 59,185    |   |                                  |   | 65,097    |              |   |   | 331,290 |   |   |   | 455,572 |   |
| Accretion of discount                    |   |                                 | 1,623     |   |                                  |   | 528       |              |   |   | -       |   |   |   | 2,151 |   |
| Sales and redemptions                    |   |                                 | (519,375  | )      |                                  |   | -         |              |   |   | -       |   |   |   | (519,375 | ) |
| Balance, as of March 31, 2013            |   | $                                    | 5,702,500 |   |                                  | $      | 2,543,125 |              |   | $      | 343,783 |   |   | $ | 8,589,408 |   |

|   |                                                                                                                                                                                                                     |   |   |   |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|--------|--------|
| (1)    | Represents the amount of total gains/losses for the period included in the change in unrealized appreciation on investments and change in unrealized appreciation on total return swap still held at the reporting date. |

|                                                                           |   | Fair Value(1) |      | Valuation Technique | Unobservable Inputs  |           | Range(Weighted Average) |   |
|--------------------------------------------------------------------------------|--------|---------------|-----------|---------------------|----------------------|----------------|-------------------------|--------|
| Senior Secured First Lien Term Loans                                           |   | $             | 5,702,500 |                | Discounted cash flow | Discount rates |                    |   | 4.75% - 7.75% (5.98%) |   |
| Senior Secured Second Lien Term Loans                                          |   | $             | 2,543,125 |                | Discounted cash flow | Discount rates |                    |   | 8.36% - 9.75% (8.96%) |   |
|                                                                           |   |          |      |                |                 |           |                    |   |   |   |
| (1)The TRS was valued in accordance with the TRS Agreement as discussed above. |   |          |      |                |

----

| Professional fees expense          |   | $      | 279,587 |   |
|------------------------------------|--------|--------|---------|--------|
| Marketing expense                  |   |   | 86,640  |   |
| Insurance expense                  |   |   | 52,901  |   |
| Director fees and expenses         |   |   | 7,839   |   |
| Other expenses                     |   |   | 81,896  |   |
| General and administrative expense |   | $      | 508,863 |   |

----

|                                                                            |   | Three Months Ended March 31, 2013 |       |   | For the Period from January 31, 2012 (Inception) through December 31, 2012 |   |
|---------------------------------------------------------------------------------|--------|-----------------------------------|------------|--------|----------------------------------------------------------------------------|--------|
| Per share data:(1)                                                              |   |                              |       |   |                                                                       |   |
| Net asset value at beginning of period                                          |   | $                                 | 8.97       |   |                                                                       | $      | - |   |
| Results of operations:                                                          |   |                              |       |   |                                                                       |   |   |   |
| Net investment (loss) income(2)                                                 |   |                              | (0.04      | )      |                                                                       |   | 0.01 |   |
| Net realized and net change in unrealized appreciation on investments           |   |                              | 0.11       |   |                                                                       |   | 0.02 |   |
| Net realized and net change in unrealized appreciation on total return swap     |   |                              | 0.46       |   |                                                                       |   | 0.02 |   |
| Net increase in net assets resulting from operations                            |   |                              | 0.53       |   |                                                                       |   | 0.05 |   |
| Shareholder distributions:                                                      |   |                              |       |   |                                                                       |   |   |   |
| Distributions from net investment income                                        |   |                              | -          |   |                                                                       |   | - |   |
| Distributions from net realized gains                                           |   |                              | (0.18      | )      |                                                                       |   | - |   |
| Net decrease in net assets from shareholder distributions                       |   |                              | (0.18      | )      |                                                                       |   | - |   |
| Capital share transactions:                                                     |   |                              |       |   |                                                                       |   |   |   |
| Issuance of common stock above net asset value(3)                               |   |                              | 0.05       |   |                                                                       |   | 9.00 |   |
| Amortization of deferred offering expenses                                      |   |                              | (0.21      | )      |                                                                       |   | (0.08 | ) |
| Net (decrease) increase in net assets resulting from capital share transactions |   |                              | (0.16      | )      |                                                                       |   | 8.92 |   |
| Net asset value at end of period                                                |   | $                                 | 9.16       |   |                                                                       | $      | 8.97 |   |
| Shares of common stock outstanding at end of period                             |   |                              | 1,712,123  |   |                                                                       |   | 500,338 |   |
| Total investment return-net asset value(4)                                      |   |                              | 4.04       | %      |                                                                       |   | (0.35 | %) |
|                                                                            |   |                              |       |   |                                                                       |   |   |   |
| Net assets at beginning of period(5)                                            |   | $                                 | 4,487,115  |   |                                                                       | $      | 4,503,049 |   |
| Net assets at end of period                                                     |   | $                                 | 15,689,645 |   |                                                                       | $      | 4,487,115 |   |
| Average net assets                                                              |   | $                                 | 10,088,380 |   |                                                                       | $      | 4,495,082 |   |
|                                                                            |   |                              |       |   |                                                                       |   |   |   |
| Ratio/Supplemental data:(5)                                                     |   |                              |       |   |                                                                       |   |   |   |
| Ratio of net investment (loss) income to average net assets(6)                  |   |                              | (0.46      | %)     |                                                                       |   | 0.06 | % |
| Ratio of operating expenses to average net assets(6)                            |   |                              | 1.14       | %      |                                                                       |   | 0.00 | % |
| Ratio of operating expenses to gross assets(6)                                  |   |                              | 0.61       | %      |                                                                       |   | 0.00 | % |
| Ratio of expenses reimbursed from IIG to average net assets                     |   |                              | 8.12       | %      |                                                                       |   | 2.60 | % |
| Portfolio turnover rate(7)                                                      |   |                              | 10.80      | %      |                                                                       |   | 0.13 | % |
| Asset coverage ratio(8)                                                         |   |                              | 2.50       |   |                                                                       |   | 3.02 |   |

| (1) | The per share data for the period from January 31, 2012 (Inception) through December 31, 2012 was derived by using the weighted average shares of common stock outstanding from the commencement of operations on December 17, 2012, through December 31, 2012.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Net investment (loss) income per share includes the expense reimbursement from IIG of $0.70 and $0.23 per share for the three months ended March 31, 2013 and the period from January 31, 2012 (Inception) through December 31, 2012, respectively.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
| (3) | The continuous issuance of shares of common stock may cause an incremental increase in net asset value per share due to the sale of shares at the then prevailing public offering price and the receipt of net proceeds per share by the Company in excess of net asset value per share on each subscription closing date.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
| (4) | Total investment return-net asset value is a measure of the change in total value for shareholders who held the Company’s common stock at the beginning and end of the period, including distributions paid or payable during the period. Total investment return-net asset value is based on (i) the beginning period net asset value per share on the first day of the period, (ii) the net asset value per share on the last day of the period, of (A) one share plus (B) any fractional shares issued in connection with the reinvestment of monthly distributions, and (iii) the value of distributions payable, if any, on the last day of the period. The total investment return-net asset value calculation assumes that (i) monthly cash distributions are reinvested in accordance with the Company’s distribution reinvestment plan and (ii) the fractional shares issued pursuant to the distribution reinvestment plan are issued at 95% of the then public offering price on each monthly distribution payment date. The total investment return-net asset value for the period from January 31, 2012 (Inception) through December 31, 2012 was calculated by taking the difference between (i) the net asset value per share as of December 31, 2012 and (ii) the net asset value per share on the day the Company commenced operations (December 17, 2012), and dividing it by the net asset value per share on the day the Company commenced operations. The total investment return-net asset value does not consider the effect of the sales load from the sale of the Company’s common stock. The total investment return-net asset value includes the effect of the issuance of shares at a net offering price that is greater than net asset value per share, which causes an increase in net asset value per share. Total returns covering less than a full period are not annualized. |
| (5) | For the period from January 31, 2012 (Inception) through December 31, 2012, the net assets at the beginning of the period were derived from the net assets from the commencement of operations on December 17, 2012.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| (6) | Excluding the expense reimbursement from IIG during the period, the ratios of net investment (loss) income and operating expenses to average net assets would have been (8.58%) and 9.26%, respectively, for the three months ended March 31, 2013, and (2.54%) and 2.60%, respectively, for the period from January 31, 2012 (Inception) through December 31, 2012. Excluding the expense reimbursement from IIG during the period, the ratio of operating expenses to gross assets would have been 4.99% for the three months ended March 31, 2013 and 2.07% for the period from January 31, 2012 (Inception) through December 31, 2012.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
| (7) | Portfolio turnover rate is calculated using the year-to-date sales over the average of the invested assets at fair value and is not annualized.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
| (8) | Asset coverage ratio is equal to (i) the sum of (a) net assets at the end of the period and (b) total senior securities outstanding at the end of the period, divided by (ii) total senior securities outstanding at the end of the period. For purposes of the asset coverage ratio test applicable to the Company as a BDC, the Company treats the outstanding TRS notional amount at the end of the period, less the total amount of cash collateral posted by Flatiron under the TRS, as a senior security for the life of the TRS.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |

----

----

|   | · | our future operating results; |
|--------|--------|-------------------------------|

|   | · | our business prospects and the prospects of the companies in which we may invest; |
|--------|--------|-----------------------------------------------------------------------------------|

|   | · | the impact of the investments that we expect to make; |
|--------|--------|-------------------------------------------------------|

|   | · | the ability of our portfolio companies to achieve their objectives; |
|--------|--------|---------------------------------------------------------------------|

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

|   | · | the adequacy of our cash resources, financing sources and working capital; |
|--------|--------|----------------------------------------------------------------------------|

|   | · | the use of borrowed money to finance a portion of our investments; |
|--------|--------|--------------------------------------------------------------------|

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

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

|   | · | the actual and potential conflicts of interest with CIM and Apollo and their respective affiliates; |
|--------|--------|-----------------------------------------------------------------------------------------------------|

|   | · | the ability of CIM and AIM to locate suitable investments for us and the ability of CIM to monitor and administer our investments; |
|--------|--------|------------------------------------------------------------------------------------------------------------------------------------|

|   | · | the ability of CIM and AIM and their respective affiliates to attract and retain highly talented professionals; |
|--------|--------|-----------------------------------------------------------------------------------------------------------------|

|   | · | the dependence of our future success on the general economy and its impact on the industries in which we invest; |
|--------|--------|------------------------------------------------------------------------------------------------------------------|

|   | · | our ability to source favorable private investments; |
|--------|--------|------------------------------------------------------|

|   | · | our tax status; |
|--------|--------|-----------------|

|   | · | the effect of changes to tax legislation and our tax position; |
|--------|--------|----------------------------------------------------------------|

|   | · | the tax status of the companies in which we may invest; and |
|--------|--------|-------------------------------------------------------------|

|   | · | the timing and amount of distributions and dividends from the companies in which we may invest. |
|--------|--------|-------------------------------------------------------------------------------------------------|

----

|   | · | changes in the economy; |
|--------|--------|-------------------------|

|   | · | risks associated with possible disruption in our operations or the economy generally due to terrorism or natural disasters; and |
|--------|--------|---------------------------------------------------------------------------------------------------------------------------------|

|   | · | future changes in laws or regulations and conditions in our operating areas. |
|--------|--------|------------------------------------------------------------------------------|

----

|                                       |   | March 31, 2013(unaudited) |       |   | December 31, 2012 |   |
|--------------------------------------------|--------|---------------------------|------------|--------|-------------------|--------|
|                                       |   | Amortized Cost(1)         |       |   | Fair Value        |   |   | Percentage of Investment Portfolio |   |   | Amortized Cost(1) |   |   | Fair Value |   |   | Percentage of Investment Portfolio |   |
| Senior Secured Term Loans - First lien(2)  |   | $                         | 5,633,382  |   |              | $      | 5,702,500 |   |   |   | 44.3 | % |   | $ | 1,970,111 |   |   | $ | 1,980,044 |   |   |   | 52.1 | % |
| Senior Secured Term Loans - Second lien(2) |   |                      | 2,478,028  |   |              |   | 2,543,125 |   |   |   | 19.8 | % |   |   | - |   |   |   | - |   |   |   | - | % |
| Short term investments(3)                  |   |                      | 4,619,775  |   |              |   | 4,619,775 |   |   |   | 35.9 | % |   |   | 1,817,762 |   |   |   | 1,817,762 |   |   |   | 47.9 | % |
|     Total investments  |   | $                         | 12,731,185 |   |              | $      | 12,865,400 |   |   |   | 100.0 | % |   | $ | 3,787,873 |   |   | $ | 3,797,806 |   |   |   | 100.0 | % |

|   |                                                                                                                                                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|
| (1)    | Amortized cost represents the original cost adjusted for the amortization of premiums and/or accretion of discounts, as applicable, on our investments. |
| (2)    | We do not control and are not an affiliate of any of the portfolio companies in our investment portfolio.                                               |
| (3)    | Short term investments represent highly liquid investments with original maturity dates of three months or less.                                        |

|                               |   | March 31, 2013(unaudited) |                  | December 31, 2012(unaudited)            |
|------------------------------------|--------|---------------------------|-----------------------|-----------------------------------------|
| Interest Rate Allocation           |   | Fair Value                |                  | Percentage of Investment Portfolio |   | Fair Value |   | Percentage of Investment Portfolio |
| Floating Interest Rate Investments |   | $                         |  8,245,625  |                                    | 100% |   | $ |  1,980,044  |   | 100% |
| Fixed Interest Rate Investments    |   |                      |  -          |                                    |  -  |   |   |  -  |   |  -  |
| Total                              |   | $                         |  8,245,625  |                                    | 100% |   | $ |  1,980,044  |   | 100% |

----

|                                 |                                | March 31, 2013(unaudited) |                                         | December 31, 2012 |
|--------------------------------------|-------------------------------------|---------------------------|----------------------------------------------|-------------------|
|                                 | Investments at Fair Value |                      | Percentage of Investment Portfolio |              | Investments at Fair Value |   | Percentage of Investment Portfolio |
| Professional & Business Services |                                | $                         |  1,509,585                         |              | 11.7% |   | $ |  -  |   |  -% |
| Building Materials                   |                                |                      | 1,009,375                               |              | 7.8% |   |   |  -  |   |  -% |
| Food & Beverage                  |                                |                      | 1,009,375                               |              | 7.8% |   |   |  -  |   |  -% |
| Chemicals                            |                                |                      | 992,437                                 |              | 7.7% |   |   |  1,000,000  |   | 26.3% |
| Insurance                            |                                |                      | 977,588                                 |              | 7.6% |   |   |  980,044  |   | 25.8% |
| Printing & Publishing            |                                |                      | 702,577                                 |              | 5.5% |   |   |  -  |   |  -% |
| Healthcare                           |                                |                      | 516,250                                 |              | 4.0% |   |   |  -  |   |  -% |
| Media                                |                                |                      | 512,500                                 |              | 4.0% |   |   |  -  |   |  -% |
| Gaming & Hotels                  |                                |                      | 510,000                                 |              | 4.0% |   |   |  -  |   |  -% |
| Entertainment & Leisure          |                                |                      | 505,938                                 |              | 4.0% |   |   |  -  |   |  -% |
| U.S. Treasury Securities             |                                |                      | 4,619,775                               |              | 35.9% |   |   | 1,817,762  |   | 47.9% |
|   Total                    |                                | $                         |  12,865,400                        |              | 100.0% |   | $ |  3,797,806  |   | 100.0% |

| Investment Grade | Description                                                                                                                                                                                                                                                                                                                                                                                             |
|------------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 1                | Indicates the least amount of risk to our initial cost basis. The trends and risk factors for this investment since origination or acquisition are generally favorable, which may include the performance of the portfolio company or a potential exit.                                                                                                                                                 |
| 2                | Indicates a level of risk to our initial cost basis that is similar to the risk to our initial cost basis at the time of origination or acquisition. This portfolio company is generally performing in accordance with our analysis of its business and the full return of principal and interest or dividend is expected.                                                                              |
| 3                | Indicates that the risk to our ability to recoup the cost of such investment has increased since origination or acquisition, but full return of principal and interest or dividend is expected. A portfolio company with an investment grade of 3 requires closer monitoring.                                                                                                                           |
| 4                | Indicates that the risk to our ability to recoup the cost of such investment has increased significantly since origination or acquisition, including as a result of factors such as declining performance and noncompliance with debt covenants, and we expect some loss of interest, dividend or capital appreciation, but still expect an overall positive internal rate of return on the investment. |
| 5                | Indicates that the risk to our ability to recoup the cost of such investment has increased materially since origination or acquisition and the portfolio company likely has materially declining performance. Loss of interest or dividend and some loss of principal investment is expected, which would result in an overall negative internal rate of return on the investment.                      |

----

|              |   |   | March 31, 2013(unaudited) |   |      | December 31, 2012                  |   |
|-------------------|--------|--------|---------------------------|--------|-----------|------------------------------------|--------|
| Investment Rating |   |   | Investments at Fair Value |   |      | Percentage of Investment Portfolio |   |   | Investments at Fair Value |   |   | Percentage of Investment Portfolio |   |
|              | 1      |   |                      | $      | -         |                               |   |   | - | % |   | $ | - |   |   |   | - | % |
|              | 2      |   |                      |   | 8,245,625 |                               |   |   | 100.0 | % |   |   | 1,980,044 |   |   |   | 100.0 | % |
|              | 3      |   |                      |   | -         |                               |   |   | - | % |   |   | - |   |   |   | - | % |
|              | 4      |   |                      |   | -         |                               |   |   | - | % |   |   | - |   |   |   | - | % |
|              | 5      |   |                      |   | -         |                               |   |   | - | % |   |   | - |   |   |   | - | % |
|              |   |   |                      | $      | 8,245,625 |                               |   |   | 100.0 | % |   | $ | 1,980,044 |   |   |   | 100.0 | % |

| Investment income                                          |   | $      | 68,126  |   |
|------------------------------------------------------------|--------|--------|---------|--------|
| Net operating expenses                                     |   |   | 114,810 |   |
| Net investment loss                                        |   |   | (46,684 | )      |
| Net realized gain from investments                         |   |   | 4,533   |   |
| Net change in unrealized appreciation on investments       |   |   | 124,282 |   |
| Net realized gain on total return swap                     |   |   | 205,723 |   |
| Net change in unrealized appreciation on total return swap |   |   | 331,290 |   |
| Net increase in net assets resulting from operations       |   | $      | 619,144 |   |

----

|   | · | corporate expenses relating to borrowings and cost associated with the offering of our common stock, subject to limitations included in the administration agreement; |
|--------|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | · | the cost of calculating our net asset value, including the cost of any third-party valuation services; |
|--------|--------|--------------------------------------------------------------------------------------------------------|

|   | · | investment advisory fees; |
|--------|--------|---------------------------|

|   | · | fees payable to third parties relating to, or associated with, making, monitoring and disposing of investments and valuing investments and enforcing our contractual rights, including fees and expenses associated with performing due diligence reviews of prospective investments; |
|--------|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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

|   | · | fees and expenses associated with our marketing efforts; |
|--------|--------|----------------------------------------------------------|

|   | · | interest payable on debt, if any, incurred to finance our investments; |
|--------|--------|------------------------------------------------------------------------|

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

|   | · | federal, state and local taxes; |
|--------|--------|---------------------------------|

|   | · | independent directors’ fees and expenses; |
|--------|--------|-------------------------------------------------|

|   | · | costs of proxy statements, shareholders’ reports and notices; |
|--------|--------|---------------------------------------------------------------------|

|   | · | fidelity bond, directors and officers/errors and omissions liability insurance and other insurance premiums; |
|--------|--------|--------------------------------------------------------------------------------------------------------------|

|   | · | direct costs such as printing, mailing, long distance telephone and staff; |
|--------|--------|----------------------------------------------------------------------------|

|   | · | fees and expenses associated with independent audits and outside legal costs, including compliance with the Sarbanes-Oxley Act of 2002, or the Sarbanes-Oxley Act; |
|--------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | · | costs associated with our reporting and compliance obligations under the 1940 Act and applicable federal and state securities laws; |
|--------|--------|-------------------------------------------------------------------------------------------------------------------------------------|

|   | · | brokerage commissions for our investments; and |
|--------|--------|------------------------------------------------|

|   | · | all other expenses incurred by CIM, AIM or us in connection with administering our business, including expenses incurred by CIM or AIM in performing its obligations, and the reimbursement of the compensation of our chief financial officer and chief compliance officer and their respective staffs paid by CIM, to the extent that each of them is not a person with a controlling interest in CIM or any of its affiliates, subject to the limitations included in the investment advisory and administration agreements, as applicable. |
|--------|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

| Management fees                      |   | $      | 44,742   |   |
|--------------------------------------|--------|--------|----------|--------|
| Administrative services expense      |   |   | 263,555  |   |
| Capital gains incentive fee          |   |   | 117,023  |   |
| General and administrative           |   |   | 508,863  |   |
| Total expenses                       |   |   | 934,183  |   |
| Less: expense reimbursement from IIG |   |   | (819,373 | )      |
| Net operating expenses               |   | $      | 114,810  |   |

| Three Months Ended |   | Expense Support Received from IIG |    |   | Expense Support Reimbursed to IIG |   |   | Unreimbursed Expense Support |   | Eligible for Reimbursement through |
|--------------------|--------|-----------------------------------|---------|--------|-----------------------------------|--------|--------|------------------------------|--------|------------------------------------|
| December 31, 2012  |   | $                                 | 116,706 |   |                              | $      | -      |                         |   | $                                  | 116,706 |   | December 31, 2015 |
| March 31, 2013     |   |                              | 819,373 |   |                              |   | -      |                         |   |                               | 819,373 |   | March 31, 2016 |
| Total              |   | $                                 | 936,079 |   |                              | $      | -      |                         |   | $                                  | 936,079 |   |   |

----

----

----

|                                   |   | Distributions |   |
|----------------------------------------|--------|---------------|--------|
| Three Months Ended                     |   | Per Share     |   |   | Amount |   |
|     March 31, 2013 |   | $             | 0.1769 |   |   | $ | 208,766 |   |

----

| Source of Distribution                             |   | Distribution Amount |                | Percentage |
|----------------------------------------------------|--------|---------------------|---------------------|------------|
| Realized gain on investments and total return swap |   | $                   |  208,766  |       | 100% |
|     Total                      |   | $                   |  208,766  |       | 100% |

|                                                                |   | March 31, 2013(unaudited) |    |   | December 31, 2012 |   |
|---------------------------------------------------------------------|--------|---------------------------|---------|--------|-------------------|--------|
| Undistributed net investment income                                 |   | $                         | -       |   |              | $      | 2,692 |   |
| Undistributed net realized gain from investments                    |   |                      | 1,534   |   |              |   | 44 |   |
| Net unrealized appreciation on investments and total return swap(1) |   |                      | 477,998 |   |              |   | 22,426 |   |
|                                                                |   | $                         | 479,532 |   |              | $      | 25,162 |   |

|   |                                                                                                                                                                                                                                                                                                                                                                             |   |   |   |   |   |   |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|--------|--------|--------|--------|--------|
| (1)    | As of March 31, 2013 and December 31, 2012, the gross unrealized appreciation on our investments and the underlying loans of our total return swap was $478,919 and $28,051, respectively. As of March 31, 2013 and December 31, 2012, the gross unrealized depreciation on our investments and the underlying loans of our total return swap was $921 and $5,625, respectively. |

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| Three Months Ended |   | Expense Support Received from IIG |    |   | Expense Support Reimbursed to IIG |   |   | Unreimbursed Expense Support |   | Eligible for Reimbursement through |
|--------------------|--------|-----------------------------------|---------|--------|-----------------------------------|--------|--------|------------------------------|--------|------------------------------------|
| December 31, 2012  |   | $                                 | 116,706 |   |                              | $      | -      |                         |   | $                                  | 116,706 |   | December 31, 2015 |
| March 31, 2013     |   |                              | 819,373 |   |                              |   | -      |                         |   |                               | 819,373 |   | March 31, 2016 |
| Total              |   | $                                 | 936,079 |   |                              | $      | -      |                         |   | $                                  | 936,079 |   |   |

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| ExhibitNumber |   | Description of Document                                                                                                                                                                                                                                                                                                                                          |
|---------------|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 3.1           |   | Articles of Amendment and Restatement of the Articles of Incorporation of CĪON Investment Corporation (Incorporated by reference to Exhibit (A)(2) to Pre-Effective Amendment No. 4 to Registrant’s Registration Statement on Form N-2 filed with the SEC on June 29, 2012 (File No. 333-178646)).                                                              |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 3.2           |   | Second Articles of Amendment and Restatement of the Articles of Incorporation of CĪON Investment Corporation (Incorporated by reference to Exhibit 3.1 to Registrant’s Current Report on Form 8-K filed with the SEC on August 27, 2012 (File No. 814-00941)).                                                                                                  |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 3.3           |   | Bylaws of CĪON Investment Corporation (Incorporated by reference to Exhibit (B) to Pre-Effective Amendment No. 4 to Registrant’s Registration Statement on Form N-2 filed with the SEC on June 29, 2012 (File No. 333-178646)).                                                                                                                                 |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 4.1           |   | Form of Subscription Agreement (Incorporated by reference to Exhibit (D) to Post-Effective Amendment No. 1 to Registrant’s Registration Statement on Form N-2 filed with the SEC on January 31, 2013 (File No. 333-178646)).                                                                                                                                         |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 4.2           |   | Distribution Reinvestment Plan (Incorporated by reference to Exhibit (E) to Pre-Effective Amendment No. 1 to the Registrant’s Registration Statement on Form N-2 filed with the SEC on February 17, 2012 (File No. 333-178646)).                                                                                                                                     |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 10.1          |   | Investment Advisory Agreement Between CĪON Investment Corporation and CĪON Investment Management, LLC (Incorporated by reference to Exhibit (G)(1) to Pre-Effective Amendment No. 4 to Registrant’s Registration Statement on Form N-2 filed with the SEC on June 29, 2012 (File No. 333-178646)).                                                         |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 10.2     |   | Investment Sub-Advisory Agreement by and among CĪON Investment Management, LLC, CĪON Investment Corporation and Apollo Investment Management, L.P. (Incorporated by reference to Exhibit (G)(2) to Pre-Effective Amendment No. 4 to Registrant’s Registration Statement on Form N-2 filed with the SEC on June 29, 2012 (File No. 333-178646)).            |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 10.3          |   | Administration Agreement by and between CĪON Investment Corporation and ICON Capital Corp. (Incorporated by reference to Exhibit (K)(2) to Pre-Effective Amendment No. 4 to Registrant’s Registration Statement on Form N-2 filed with the SEC on June 29, 2012 (File No. 333-178646)).                                                                         |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 10.4          |   | Custody Agreement by and between CĪON Investment Corporation and U.S. Bank National Association. (Incorporated by reference to Exhibit (J) to Pre-Effective Amendment No. 4 to Registrant’s Registration Statement on Form N-2 filed with the SEC on June 29, 2012 (File No. 333-178646)).                                                                      |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 10.5          |   | Escrow Agreement by and among CĪON Investment Corporation, UMB Bank, N.A., and ICON Securities Corp. (Incorporated by reference to Exhibit (K)(1) to Pre-Effective Amendment No. 4 to Registrant’s Registration Statement on Form N-2 filed with the SEC on June 29, 2012 (File No. 333-178646)).                                                               |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 10.6          |   | Dealer Manager Agreement by and among CĪON Investment Corporation, CĪON Investment Management, LLC, and ICON Securities Corp. (Incorporated by reference to Exhibit (H)(1) to Pre-Effective Amendment No. 4 to Registrant’s Registration Statement on Form N-2 filed with the SEC on June 29, 2012 (File No. 333-178646)).                                 |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 10.7          |   | ISDA 2002 Master Agreement, together with the Schedule thereto and Credit Support Annex to such Schedule, each dated as of December 17, 2012, by and between Flatiron Funding, LLC and Citibank, N.A. (Incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on December 19, 2012).                            |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
|  10.8    |   | Confirmation Letter Agreement, dated as of December 17, 2012, by and between Flatiron Funding, LLC and Citibank, N.A. (Incorporated by reference to Exhibit 10.2 to the Registrant’s Current Report on Form 8-K filed with the SEC on December 19, 2012).                                                                                                            |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
|  10.9    |   | Expense Support and Conditional Reimbursement Agreement dated as of January 30, 2013, by and between CĪON Investment Corporation and ICON Investment Group, LLC (Incorporated by reference to Exhibit (K)(5) to Post-Effective Amendment No.1 to Registrant’s Registration Statement on Form N-2 filed with the SEC on January 31, 2013 (File No. 333-178646)). |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 31.1          |   | Rule 13a-14(a)/15d-14(a) Certification of Co-Chief Executive Officer.                                                                                                                                                                                                                                                                                                      |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 31.2          |   | Rule 13a-14(a)/15d-14(a) Certification of Co-Chief Executive Officer.                                                                                                                                                                                                                                                                                                      |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 31.3          |   | Rule 13a-14(a)/15d-14(a) Certification of Chief Financial Officer.                                                                                                                                                                                                                                                                                                         |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 32.1          |   | Certification of Co-Chief Executive Officer pursuant to 18 U.S.C. §1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.                                                                                                                                                                                                                        |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 32.2          |   | Certification of Co-Chief Executive Officer pursuant to 18 U.S.C. §1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.                                                                                                                                                                                                                        |
|          |   |                                                                                                                                                                                                                                                                                                                                                                       |
| 32.3          |   | Certification of Chief Financial Officer pursuant to 18 U.S.C. §1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.                                                                                                                                                                                                                           |

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SIGNATURES

| CĪON Investment Corporation(Registrant)                                                                                                |
|---------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                        |
| By                                                                                                                                          | /s/ Michael A. Reisner |
|                                                                                                                                        | Michael A. Reisner |
|                                                                                                                                        | Co-Chief Executive Officer and Co-President (Principal Executive Officer) |
|                                                                                                                                        |
| By                                                                                                                                          | /s/ Mark Gatto |
|                                                                                                                                        | Mark Gatto |
|                                                                                                                                        | Co-Chief Executive Officer and Co-President (Principal Executive Officer) |
|                                                                                                                                        |   |
| By  /s/ Keith S. Franz                                                                                                            |
|       Keith S. Franz                                                                                          |
|       Chief Financial Officer      (Principal Financial and Accounting Officer) |

| 40 |
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