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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
 Washington, D.C. 20549
 Form 10-K/AAmendment No. 1
 þ
    
    ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
 For the fiscal year ended February 28, 2009
 o
    
    TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
 For the transition period from           to
 Commission File No. 001-33376
 GSC Investment Corp.
 (Exact name of Registrant as specified in its charter)
 Maryland
    
    20-8700615(State or other jurisdiction of 
incorporation or organization)
    
    (I.R.S. Employer
Identification Number)
 888 Seventh Ave
New York, New York 10019  (Address of principal executive offices)
 (212) 884-6200  (Registrants telephone number, including area code)  Securities registered pursuant to Section 12(b) of the Act:
 Title of Each Class
    
    Name of Each Exchange on Which RegisteredCommon Shares, par value $0.0001 per share
    
    The New York Stock Exchange
 Securities registered pursuant to Section 12(g) of the Act:
None
 o þ
 o þ
 þ o
 o
 o o
  Large accelerated filer o
    
    Accelerated filer o
    
    Non-accelerated filer þ
    
    Smaller reporting company o(Do not check if a smaller reporting company)
 o þ
   DOCUMENTS INCORPORATED BY REFERENCE




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EXPLANATORY NOTE




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##### 



TABLE OF CONTENTS
 PagePART IVItem 15. Exhibits and Consolidated Financial Statement Schedules
    
    
    1Signatures
    
    
    5Consolidated Financial Statements
    
    
    F-1EX-31.1EX-31.2EX-32.1




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PART IV
 
 Item 15.Exhibits and Consolidated Financial Statement Schedules
 Consolidated Financial Statements
         1




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Exhibits
 EXHIBIT INDEX
 ExhibitNumber
    
    Description3.1
    
    Articles of Incorporation of GSC Investment Corp.(8)3.2
    
    Amended and Restated Bylaws of GSC Investment Corp.(9)4.1
    
    Specimen certificate of GSC Investment Corp.s common stock, par value $0.0001 per share.(4)4.2
    
    Registration Rights Agreement dated March 27, 2007 between GSC Investment Corp., GSC CDO III L.L.C., GSCP
(NJ) L.P. and the other investors party thereto.(8)4.3
    
    Form of Dividend Reinvestment Plan.(1)10.1
    
    Amended and Restated Limited Partnership Agreement of GSC Partners CDO Investors III, L.P. dated August 27,
2001.(2)10.2
    
    Amended and Restated Limited Partnership Agreement of GSC Partners CDO GP III, L.P. dated October 16, 2001.(2)10.3
    
    Collateral Management Agreement dated November 5, 2001 among GSC Partners CDO Fund III, Limited and GSCP
(NJ), L.P.(2)10.4
    
    Contribution and Exchange Agreement dated October 17, 2006 among GSC Investment LLC, GSC CDO III, L.L.C.,
GSCP (NJ), L.P., and the other investors party thereto.(1)10.5
    
    Amendment to the Contribution and Exchange Agreement dated as of March 20, 2007 among GSC Investment LLC, GSC
CDO III, L.L.C., GSCP (NJ), L.P., and the other investors party
thereto.(11)10.6
    
    Form of Regulations of American Stock Transfer and Trust Company.(3)10.7
    
    Indemnification Agreement dated March 20, 2007 between GSC Investment LLC and Peter K. Barker, as director of
GSC Investment LLC.(8)10.8
    
    Indemnification Agreement dated March 20, 2007 between GSC Investment LLC and Robert F. Cummings, Jr., as
director of GSC Investment LLC.(8)10.9
    
    Indemnification Agreement dated March 20, 2007 between GSC Investment LLC and Richard M. Hayden, as director
of GSC Investment LLC.(8)10.10
    
    Indemnification Agreement dated March 20, 2007 between GSC Investment LLC and Thomas V. Inglesby, as director
of GSC Investment LLC.(8)10.11
    
    Indemnification Agreement dated March 20, 2007 between GSC Investment LLC and Steven M. Looney, as director
of GSC Investment LLC.(8)10.12
    
    Indemnification Agreement dated March 20, 2007 between GSC Investment LLC and Charles S. Whitman III, as
director of GSC Investment LLC.(8)10.13
    
    Indemnification Agreement dated March 20, 2007 between GSC Investment LLC and G. Cabell Williams, as director
of GSC Investment LLC.(8)10.14
    
    Indemnification Agreement dated March 20, 2007 between GSC Investment LLC and Richard T. Allorto, Jr., as
Chief Financial Officer of GSC Investment LLC.(8)10.15
    
    Indemnification Agreement dated March 20, 2007 between GSC Investment LLC and David L. Goret, as Vice
President and Secretary of GSC Investment LLC.(8)10.16
    
    Indemnification Agreement dated March 20, 2007 between GSC Investment LLC and Michael J. Monticciolo, as
Chief Compliance Officer of GSC Investment LLC.(8)10.17
    
    Indemnification Agreement dated March 20, 2007 between GSC Investment LLC and Daniel I. Castro, Jr., as
member of the investment committee of GSCP (NJ), LP.(8)10.18
    
    Indemnification Agreement dated March 20, 2007 between GSC Investment LLC and Robert F. Cummings, Jr., as
member of the investment committee of GSCP (NJ), LP.(8)10.19
    
    Indemnification Agreement dated March 20, 2007 between GSC Investment LLC and Richard M. Hayden, as member of
the investment committee of GSCP (NJ), LP.(8)10.20
    
    Indemnification Agreement dated March 20, 2007 between GSC Investment LLC and Thomas V. Inglesby, as member
of the investment committee of GSCP (NJ), LP.(8)10.21
    
    Indemnification Agreement dated March 20, 2007 between GSC Investment LLC and Thomas J. Libassi, as member of
the investment committee of GSCP (NJ), LP.(8)10.22
    
    Assignment and Assumption Agreement dated March 20, 2007 among GSCP (NJ), L.P. and GSC Investment LLC.(8)10.23
    
    Investment Advisory and Management Agreement dated March 21, 2007 between GSC Investment LLC and GSCP (NJ)
L.P.(8)
 2




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ExhibitNumber
    
    Description10.24
    
    Custodian Agreement dated March 21, 2007 between GSC Investment LLC and U.S. Bank National Association.(8)10.25
    
    Administration Agreement dated March 21, 2007 between GSC Investment Corp. and GSCP (NJ) L.P.(8)10.26
    
    Trademark License Agreement dated March 21, 2007 between GSC Investment Corp. and GSCP (NJ) L.P.(8)10.27
    
    Notification of Fee Reimbursement dated March 21, 2007.(8)10.28
    
    Portfolio Acquisition Agreement dated March 23, 2007 between GSC Investment Corp. and GSC Partners CDO
Fund III, Limited.(8)10.29
    
    Credit Agreement dated as of April 11, 2007 among GSC Investment Funding LLC, GSC Investment Corp., GSC (NJ),
L.P., the financial institutions from time to time party thereto, the commercial paper lenders from time to
time party thereto and Deutsche Bank AG, New York Branch.(5)10.30
    
    Purchase and Sale Agreement between GSC Investment Corp. and GSC Investment Funding LLC dated as of April 11,
2007.(5)10.31
    
    Amendment No. 1 to Credit Agreement, dated as of May 1, 2007 among GSC Investment Funding LLC, Deutsche Bank
AG, New York Branch, GSC Investment Corp., and GSCP (NJ), L.P.(6)10.32
    
    Credit Agreement dated as of May 1, 2007 among GSC Investment Funding II LLC, GSC Investment Corp., GSC (NJ),
L.P., the financial institutions from time to time party thereto, the commercial paper lenders from time to
time party thereto and Deutsche Bank AG, New York Branch.(6)10.33
    
    Purchase Sale Agreement dated as of May 1, 2007 between GSC Investment Funding II LLC and GSC Investment
Corp.(6)10.34
    
    Purchase and Sale Agreement dated as of May 1, 2007 between GSC Investment Corp. and GSC Partners CDO
Fund Limited.(6)10.35
    
    Amendment to Investment Advisory and Management Agreement dated May 23, 2007 between GSC Investment Corp. and
GSCP (NJ), L.P.(7)10.36
    
    Indemnification Agreement dated October 9, 2007 between GSC Investment Corp. and David Goret, as member of
the disclosure committee of GSC Investment Corp.(11)10.37
    
    Indemnification Agreement dated October 9, 2007 between GSC Investment Corp. and David Rice, as member of the
disclosure committee of GSC Investment Corp.(11)10.38
    
    Agreement Terminating Fee Reimbursement dated as of April 15, 2008 between GSCP (NJ), L.P. and GSC Investment
Corp.(10)10.39
    
    Amendment No. 3 to Credit Agreement, dated as of August 8, 2008 among GSC Investment Funding LLC and Deutsche
Bank AG, New York Branch(12)10.40
    
    Indemnification Agreement dated October 15, 2008 between GSC Investment Corp. and Seth M, Katzenstein, as
director of GSC Investment Corp.(13)10.41
    
    Indemnification Agreement dated October 15, 2008 between GSC Investment Corp. and Seth M. Katzenstein as
Chief Executive Officer and President of GSC Investment Corp.(13)14.1
    
    Code of Ethics of the Company adopted under Rule 17j-1.(3)21.1
    
    List of Subsidiaries.(11)31.1
    
    Chief Executive Officer Certification Pursuant to Rule 13a-14 of the Securities Exchange Act of 1934, as
adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.31.2
    
    Chief Financial Officer Certification Pursuant to Rule 13a-14 of the Securities Act of 1934, as adopted
pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.32.1
    
    Chief Executive Officer and Chief Financial Officer Certification pursuant to Section 1350, Chapter 63 of
Title 18, United States Code, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
 
 (1)
    
    Incorporated by reference to Amendment No. 2 to GSC Investment LLCs Registration Statement on Form N-2,
File No. 333-138051, filed on January 12, 2007.(2)
    
    Incorporated by reference to Amendment No. 4 to GSC Investment LLCs Registration Statement on Form N-2,
File No. 333-138051, filed on February 23, 2007.(3)
    
    Incorporated by reference to Amendment No. 6 to GSC Investment Corp.s Registration Statement on
Form N-2, File No. 333-138051, filed on March 22, 2007.(4)
    
    Incorporated by reference to GSC Investment Corps Registration Statement on Form 8-A, File
No. 001-333-76, filed on March 21, 2007.(5)
    
    Incorporated by reference to GSC Investment Corp.s Form 8-K, File No. 001-33376 dated April 11, 2007. 3




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(6)
    
    Incorporated by reference to GSC Investment Corp.s Form 8-K, File No. 001-33376 dated May 1, 2007.(7)
    
    Incorporated by reference to GSC Investment Corp.s Form 10-K for the fiscal year ended February 28,
2007, file No. 001-33376.(8)
    
    Incorporated by reference to GSC Investment Corp.s Form 10-Q for the quarterly period ended May 31,
2007, File No. 001-33376.(9)
    
    Incorporated by reference to GSC Investment Corp.s Form 8-K, File No. 001-33376 dated February 19, 2008.(10)
    
    Incorporated by reference to GSC Investment Corp.s Form 8-K, File No. 001-33376 dated April 15, 2008.(11)
    
    Incorporated by reference to GSC Investment Corp.s Form
10-K for the fiscal year ended February 29, 2008, File No. 001-33376.(12)
    
    Incorporated by reference to GSC Investment Corp.s Form 8-K, File No. 001-33376 dated August 8, 2008.(13)
    
    Incorporated by reference to GSC Investment Corp.s Form 8-K, File No. 001-33376 dated October 15, 2008. 4




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SIGNATURES
  GSC Investment Corp.Date:
July 8, 2009
    
    By:
    
    /s/ Seth M. KatzensteinSeth M.
KatzensteinDirector, Chief Executive Officer and PresidentGSC
Investment Corp.
 5




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INDEX TO CONSOLIDATED FINANCIAL STATEMENTS
 Reports of Independent Registered Public Accounting Firm
    
    
    F-2Consolidated Balance Sheets as of February 28, 2009 and February 29, 2008
    
    
    F-3Consolidated Statements of Operations for the years ended February 28, 2009 and February 29, 2008
and for the period from May 12, 2006 (date of inception) to February 28, 2007
    
    
    F-4Consolidated Schedule of Investments as of February 28, 2009 and February 29, 2008
    
    
    F-5Consolidated Statements of Changes in Net Assets for the years ended February 28, 2009 and February 29, 2008
and for the period from May 12, 2006 (date of inception) to February 28, 2007
    
    
    F-13Consolidated Statements of Cash Flows for the years ended February 28, 2009 and February 29, 2008
and for the period from May 12, 2006 (date of inception) to February 28, 2007
    
    
    F-14Notes to Consolidated Financial Statements
    
    
    F-15
 F-1




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F-2




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GSC Investment Corp.
 
 Consolidated Balance Sheets
 As ofFebruary 28, 2009
    
    
    February 29, 2008ASSETSInvestments at fair valueNon-control/non-affiliate investments (amortized cost of $137,020,449 and $162,888,724, respectively)
    
    $
    96,462,919
    
    
    $
    143,745,269Control investments (cost of $29,905,194 and $30,000,000, respectively)
    
    
    22,439,029
    
    
    
    29,075,299Affiliate investments (cost of $0 and $0, respectively)
    
    
    10,527
    
    
    
    16,233Total investments at fair value (amortized cost of $166,925,643 and $192,888,724, respectively)
    
    
    118,912,475
    
    
    
    172,836,801Cash and cash equivalents
    
    
    6,356,225
    
    
    
    1,072,641Cash and cash equivalents, securitization accounts
    
    
    1,178,201
    
    
    
    14,580,973Outstanding interest rate cap at fair value (cost of $131,000 and $131,000, respectively)
    
    
    39,513
    
    
    
    76,734Interest receivable
    
    
    3,087,668
    
    
    
    2,355,122Due from manager
    
    
    
    
    
    
    940,903Deferred credit facility financing costs, net
    
    
    529,767
    
    
    
    723,231Management fee receivable
    
    
    237,370
    
    
    
    215,914Other assets
    
    
    321,260
    
    
    
    39,349Total assets
    
    $
    130,662,479
    
    
    $
    192,841,668LIABILITIESRevolving credit facility
    
    $
    58,994,673
    
    
    $
    78,450,000Payable for unsettled trades
    
    
    
    
    
    
    11,329,150Dividend payable
    
    
    
    
    
    
    3,233,640Management and incentive fees payable
    
    
    2,880,667
    
    
    
    943,061Accounts payable and accrued expenses
    
    
    700,537
    
    
    
    713,422Interest and credit facility fees payable
    
    
    72,825
    
    
    
    292,307Due to manager
    
    
    
    
    
    
    11,048Total liabilities
    
    $
    62,648,702
    
    
    $
    94,972,628STOCKHOLDERS EQUITYCommon stock, par value $.0001 per share, 100,000,000 common shares authorized, 8,291,384 and
8,291,384 common shares issued and outstanding, respectively
    
    
    829
    
    
    
    829Capital in excess of par value
    
    
    116,943,738
    
    
    
    116,218,966Accumulated undistributed net investment income
    
    
    6,122,492
    
    
    
    455,576Accumulated undistributed net realized gain/(loss) from investments and derivatives
    
    
    (6,948,628
    )
    
    
    1,299,858Net unrealized depreciation on investments and derivatives
    
    
    (48,104,654
    )
    
    
    (20,106,189
    )Total stockholders equity
    
    
    68,013,777
    
    
    
    97,869,040Total liabilities and stockholders equity
    
    $
    130,662,479
    
    
    $
    192,841,668NET ASSET VALUE PER SHARE
    
    $
    8.20
    
    
    $
    11.80
  F-3




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GSC Investment Corp.
 
 Consolidated Statement of Operations
 For the period fromMay 12, 2006For the year ended
    
    
    For the year ended
    
    
    (date of inception)February 28, 2009
    
    
    February 29, 2008
    
    
    to February 28, 2007INVESTMENT INCOMEInterest from investmentsNon-Control/Non-Affiliate investments
    
    $
    16,572,973
    
    
    $
    20,115,301
    
    
    $
    Control investments
    
    
    4,393,818
    
    
    
    262,442
    
    
    
    Total interest income
    
    
    20,966,791
    
    
    
    20,377,743
    
    
    
    Interest from cash and cash equivalents
    
    
    175,567
    
    
    
    366,312
    
    
    
    30Management fee income
    
    
    2,049,717
    
    
    
    599,476
    
    
    
    Other income
    
    
    195,135
    
    
    
    42,548
    
    
    
    Total investment income
    
    
    23,387,210
    
    
    
    21,386,079
    
    
    
    30EXPENSESInterest and credit facility financing expenses
    
    
    2,605,367
    
    
    
    5,031,233
    
    
    
    Base management fees
    
    
    2,680,231
    
    
    
    2,938,659
    
    
    
    Professional fees
    
    
    1,166,111
    
    
    
    1,409,806
    
    
    
    35,000Administrator expenses
    
    
    960,701
    
    
    
    892,112
    
    
    
    Incentive management fees
    
    
    1,752,254
    
    
    
    711,363
    
    
    
    Insurance
    
    
    682,154
    
    
    
    586,784
    
    
    
    Directors fees
    
    
    295,017
    
    
    
    313,726
    
    
    
    General & administrative
    
    
    289,477
    
    
    
    261,653
    
    
    
    Cost of acquiring management contract
    
    
    
    
    
    
    144,000
    
    
    
    Organizational expense
    
    
    
    
    
    
    49,542
    
    
    
    95,193Expenses before manager expense waiver and reimbursement
    
    
    10,431,312
    
    
    
    12,338,878
    
    
    
    130,193Expense reimbursement
    
    
    (1,010,416
    )
    
    
    (1,789,028
    )
    
    
    Total expenses net of expense waiver and reimbursement
    
    
    9,420,896
    
    
    
    10,549,850
    
    
    
    130,193NET INVESTMENT INCOME BEFORE INCOME TAXES
    
    
    13,966,314
    
    
    
    10,836,229
    
    
    
    (130,163
    )Income tax expense, including excise tax
    
    
    (140,322
    )
    
    
    (88,951
    )
    
    
    NET INVESTMENT INCOME
    
    
    13,825,992
    
    
    
    10,747,278
    
    
    
    (130,163
    )REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:Net realized gain/(loss) from investmentsNon-Control/Non-Affiliate investments
    
    
    (7,173,118
    )
    
    
    2,707,402
    
    
    
    Control investments
    
    
    
    
    
    
    428,673
    
    
    
    Affiliate investments
    
    
    
    
    
    
    39,147
    
    
    
    Net realized gain from derivatives
    
    
    30,454
    
    
    
    732,526
    
    
    
    Net unrealized depreciation on investments
    
    
    (27,961,244
    )
    
    
    (20,051,923
    )
    
    
    Net unrealized depreciation on derivatives
    
    
    (37,221
    )
    
    
    (54,266
    )
    
    
    Net loss on investments
    
    
    (35,141,129
    )
    
    
    (16,198,441
    )
    
    
    NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS
    
    $
    (21,315,137
    )
    
    $
    (5,451,163
    )
    
    $
    (130,163
    )WEIGHTED AVERAGE  BASIC AND DILUTED EARNINGS PER COMMON SHARE
    
    $
    (2.57
    )
    
    $
    (0.70
    )
    
    
    n/aWEIGHTED AVERAGE COMMON STOCK OUTSTANDING  BASIC AND DILUTED
    
    
    8,291,384
    
    
    
    7,761,965
    
    
    
    67
  F-4




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GSC Investment Corp.
Consolidated Schedule of InvestmentsFebruary 28, 2009
 Investment Interest
    
    
    
    
    
    
    
    
    
    
    
    
    
    % ofStockholdersCompany (a, c)
    
    Industry
    
    Rate/Maturity
    
    Principal
    
    
    Cost
    
    
    Fair Value
    
    

EquityNon-control/Non-affiliated investments  141.8% (b)GFSI Inc (d)
    
    Apparel
    
    Senior Secured Notes10.50%, 6/1/2011
    
    $
    7,082,000
    
    
    $
    7,082,000
    
    
    $
    6,616,004
    
    
    
    9.7
    %Legacy Cabinets, Inc. (d)
    
    Building Products
    
    First Lien Term Loan
5.75%, 8/18/2012
    
    
    1,437,555
    
    
    
    1,420,872
    
    
    
    975,956
    
    
    
    1.4
    %Legacy Cabinets, Inc. (d)
    
    Building Products
    
    Second Lien Term Loan9.75%, 8/18/2013
    
    
    1,862,420
    
    
    
    1,828,197
    
    
    
    450,519
    
    
    
    0.7
    %Total Building Products
    
    
    3,299,975
    
    
    
    3,249,069
    
    
    
    1,426,475
    
    
    
    2.1
    %Lyondell Chemical Company (d)
    
    Chemicals
    
    First Lien Term Loan
5.75%, 12/20/2013
    
    
    32,381
    
    
    
    27,281
    
    
    
    6,152
    
    
    
    0.0
    %Lyondell Chemical Company (d)
    
    Chemicals
    
    First Lien Term Loan 
5.47%, 12/20/2013
    
    
    77,141
    
    
    
    64,991
    
    
    
    14,657
    
    
    
    0.0
    %Lyondell Chemical Company (d)
    
    Chemicals
    
    First Lien Term Loan 
5.16%, 12/20/2014
    
    
    92,962
    
    
    
    78,320
    
    
    
    17,663
    
    
    
    0.0
    %Lyondell Chemical Company (d)
    
    Chemicals
    
    First Lien Term Loan
5.16%, 12/20/2014
    
    
    92,962
    
    
    
    78,320
    
    
    
    17,663
    
    
    
    0.0
    %Lyondell Chemical Company (d)
    
    Chemicals
    
    First Lien Term Loan
5.16%, 12/20/2014
    
    
    92,962
    
    
    
    78,320
    
    
    
    17,663
    
    
    
    0.0
    %Lyondell Chemical Company (d)
    
    Chemicals
    
    First Lien Term Loan
5.75%, 12/20/2013
    
    
    121,428
    
    
    
    102,303
    
    
    
    23,071
    
    
    
    0.0
    %Lyondell Chemical Company (d)
    
    Chemicals
    
    First Lien Term Loan
5.75%, 12/20/2013
    
    
    231,354
    
    
    
    194,916
    
    
    
    43,957
    
    
    
    0.1
    %Lyondell Chemical Company (d)
    
    Chemicals
    
    First Lien Term Loan
7.00%, 12/20/2014
    
    
    403,388
    
    
    
    339,854
    
    
    
    76,644
    
    
    
    0.1
    %Lyondell Chemical Company (d)
    
    Chemicals
    
    First Lien Term Loan
7.00%, 12/20/2014
    
    
    403,388
    
    
    
    339,854
    
    
    
    76,644
    
    
    
    0.1
    %Lyondell Chemical Company (d)
    
    Chemicals
    
    First Lien Term Loan
7.00%, 12/20/2014
    
    
    403,388
    
    
    
    339,854
    
    
    
    76,644
    
    
    
    0.1
    %Total Chemicals
    
    
    1,951,354
    
    
    
    1,644,013
    
    
    
    370,758
    
    
    
    0.4
    %Hopkins Manufacturing Corporation (d)
    
    Consumer Products
    
    Second Lien Term Loan
7.70%, 1/26/2012
    
    
    3,250,000
    
    
    
    3,246,870
    
    
    
    2,627,950
    
    
    
    3.9
    %Targus Group International, Inc. (d)
    
    Consumer Products
    
    First Lien Term Loan
4.67%, 11/22/2012
    
    
    3,122,943
    
    
    
    2,895,723
    
    
    
    2,089,561
    
    
    
    3.1
    %Targus Group International, Inc. (d)
    
    Consumer Products
    
    Second Lien Term Loan
9.75%, 5/22/2013
    
    
    5,000,000
    
    
    
    4,777,205
    
    
    
    3,126,000
    
    
    
    4.6
    %Total Consumer Products
    
    
    11,372,943
    
    
    
    10,919,798
    
    
    
    7,843,511
    
    
    
    11.6
    %CFF Acquisition LLC (d)
    
    Consumer Services
    
    First Lien Term Loan
8.57%, 7/31/2013
    
    
    308,912
    
    
    
    308,912
    
    
    
    243,793
    
    
    
    0.4
    %M/C Communications, LLC (d)
    
    Education
    
    First Lien Term Loan
13.12%, 12/31/2010
    
    
    1,697,164
    
    
    
    1,590,350
    
    
    
    674,283
    
    
    
    1.0
    %Advanced Lighting Technologies, Inc. (d)
    
    Electronics
    
    Second Lien Term Loan
8.53%, 6/1/2014
    
    
    2,000,000
    
    
    
    1,771,457
    
    
    
    1,503,200
    
    
    
    2.2
    %




---



##### Table of Contents



GSC Investment Corp.
Consolidated Schedule of InvestmentsFebruary 28, 2009
 Investment Interest
    
    
    
    
    
    
    
    
    
    
    
    
    
    % ofStockholdersCompany (a, c)
    
    Industry
    
    Rate/Maturity
    
    Principal
    
    
    Cost
    
    
    Fair Value
    
    
    EquityGroup Dekko (d)
    
    Electronics
    
    Second Lien Term Loan
6.45%, 1/20/2012
    
    $
    6,670,000
    
    
    $
    6,670,000
    
    
    $
    5,321,326
    
    
    
    7.8
    %IPC Systems, Inc. (d)
    
    Electronics
    
    First Lien Term Loan
3.71%, 3/31/2014
    
    
    46,332
    
    
    
    42,367
    
    
    
    24,621
    
    
    
    0.0
    %Total Electronics
    
    
    8,716,332
    
    
    
    8,483,824
    
    
    
    6,849,147
    
    
    
    10.0
    %USS Mergerco, Inc. (d)
    
    Environmental
    
    Second Lien Term Loan
4.73%, 6/29/2013
    
    
    5,960,000
    
    
    
    5,846,833
    
    
    
    3,592,092
    
    
    
    5.3
    %Bankruptcy Management Solutions, Inc.
(d)
    
    Financial Services
    
    Second Lien Term Loan
6.70%, 7/31/2013
    
    
    4,887,500
    
    
    
    4,858,282
    
    
    
    3,053,221
    
    
    
    4.5
    %Big Train, Inc. (d)
    
    Food and Beverage
    
    First Lien Term Loan
4.98%, 3/31/2012
    
    
    2,478,660
    
    
    
    1,671,647
    
    
    
    1,706,557
    
    
    
    2.5
    %IDI Acquisition Corp. (d)
    
    Healthcare Services
    
    Senior Secured Notes 
10.75%, 12/15/2011
    
    
    3,800,000
    
    
    
    3,623,605
    
    
    
    2,428,580
    
    
    
    3.6
    %PRACS Institute, LTD (d)
    
    Healthcare Services
    
    Second Lien Term Loan
11.13%, 4/17/2013
    
    
    4,093,750
    
    
    
    4,047,419
    
    
    
    3,581,213
    
    
    
    5.3
    %Total Healthcare Services
    
    
    7,893,750
    
    
    
    7,671,024
    
    
    
    6,009,793
    
    
    
    8.9
    %McMillin Companies LLC (d)
    
    Homebuilding
    
    Senior Secured Notes
9.53%, 4/30/2012
    
    
    7,700,000
    
    
    
    7,294,643
    
    
    
    3,489,640
    
    
    
    5.1
    %




---



##### Table of Contents



Investment Interest
    
    
    
    
    
    
    
    
    
    
    
    
    
    % ofStockholdersCompany (a, c)
    
    Industry
    
    Rate/Maturity
    
    Principal
    
    
    Cost
    
    
    Fair Value
    
    
    EquityAsurion Corporation (d)
    
    Insurance
    
    First Lien Term Loan
3.76%, 7/3/2014
    
    $
    2,000,000
    
    
    $
    1,704,665
    
    
    $
    1,493,400
    
    
    
    2.2
    %Worldwide Express Operations, LLC (d)
    
    Logistics
    
    First Lien Term Loan
6.95%, 6/30/2013
    
    
    2,820,779
    
    
    
    2,815,612
    
    
    
    2,133,637
    
    
    
    3.1
    %Jason Incorporated (d)
    
    Manufacturing
    
    Unsecured Notes
13.00%, 11/1/2010
    
    
    12,000,000
    
    
    
    12,000,000
    
    
    
    8,652,000
    
    
    
    12.7
    %Jason Incorporated (d)
    
    Manufacturing
    
    Unsecured Notes
13.00%, 11/1/2010
    
    
    1,700,000
    
    
    
    1,700,000
    
    
    
    1,225,700
    
    
    
    1.8
    %Specialized Technology Resources, Inc.
(d)
    
    Manufacturing
    
    Second Lien Term Loan
7.48%, 12/15/2014
    
    
    5,000,000
    
    
    
    4,769,304
    
    
    
    4,602,000
    
    
    
    6.8
    %Total Manufacturing
    
    
    18,700,000
    
    
    
    18,469,304
    
    
    
    14,479,700
    
    
    
    21.3
    %Blaze Recycling & Metals, LLC (d)
    
    Metals
    
    Senior Secured Notes
10.88%, 7/15/2012
    
    
    2,500,000
    
    
    
    2,494,342
    
    
    
    1,850,500
    
    
    
    2.7
    %Elyria Foundry Company, LLC (d)
    
    Metals
    
    Senior Secured Notes
13.00%, 3/1/2013
    
    
    5,000,000
    
    
    
    4,853,894
    
    
    
    3,753,000
    
    
    
    5.5
    %Elyria Foundry Company, LLC
    
    Metals
    
    Warrants
    
    
    
    
    
    
    
    
    
    
    89,610
    
    
    
    0.1
    %Total Metals
    
    
    7,500,000
    
    
    
    7,348,236
    
    
    
    5,693,110
    
    
    
    8.3
    %Abitibi-Consolidated Company of Canada
(d, e)
    
    Natural Resources
    
    First Lien Term Loan
11.50%, 3/30/2009
    
    
    2,948,640
    
    
    
    2,940,073
    
    
    
    2,081,740
    
    
    
    3.1
    %Grant U.S. Holdings LLP (d, e)
    
    Natural Resources
    
    Second Lien Term Loan
9.81%, 9/20/2013
    
    
    6,139,928
    
    
    
    6,139,764
    
    
    
    2,388,432
    
    
    
    3.5
    %Total Natural Resources
    
    
    9,088,568
    
    
    
    9,079,837
    
    
    
    4,470,172
    
    
    
    6.6
    %Edgen Murray II, L.P. (d)
    
    Oil and Gas
    
    Second Lien Term Loan
7.24%, 5/11/2015
    
    
    3,000,000
    
    
    
    2,815,938
    
    
    
    2,072,700
    
    
    
    3.0
    %Energy Alloys, LLC (d)
    
    Oil and Gas
    
    Second Lien Term Loan
11.75%, 10/5/2012
    
    
    6,200,000
    
    
    
    6,200,000
    
    
    
    5,286,740
    
    
    
    7.8
    %Total Oil and Gas
    
    
    9,200,000
    
    
    
    9,015,938
    
    
    
    7,359,440
    
    
    
    10.8
    %Stronghaven, Inc. (d)
    
    Packaging
    
    Second Lien Term Loan
13.00%, 10/31/2010
    
    
    2,500,000
    
    
    
    2,500,000
    
    
    
    2,375,500
    
    
    
    3.5
    %Terphane Holdings Corp. (d, e)
    
    Packaging
    
    Senior Secured Notes
12.50%, 6/15/2009
    
    
    4,850,000
    
    
    
    4,846,976
    
    
    
    3,575,420
    
    
    
    5.3
    %Terphane Holdings Corp. (d, e)
    
    Packaging
    
    Senior Secured Notes
12.50%, 6/15/2009
    
    
    5,087,250
    
    
    
    5,084,820
    
    
    
    3,750,321
    
    
    
    5.5
    %Terphane Holdings Corp. (d, e)
    
    Packaging
    
    Senior Secured Notes
12.02%, 6/15/2009
    
    
    500,000
    
    
    
    499,670
    
    
    
    368,600
    
    
    
    0.5
    %Total Packaging
    
    
    12,937,250
    
    
    
    12,931,466
    
    
    
    10,069,841
    
    
    
    14.8
    %Custom Direct, Inc. (d)
    
    Printing
    
    First Lien Term Loan
4.21%, 12/31/2013
    
    
    2,049,694
    
    
    
    1,618,148
    
    
    
    1,638,526
    
    
    
    2.4
    %Advanstar Communications Inc. (d)
    
    Publishing
    
    First Lien Term Loan
3.71%, 5/31/2014
    
    
    1,970,000
    
    
    
    1,553,133
    
    
    
    807,700
    
    
    
    1.2
    %Affinity Group, Inc. (d)
    
    Publishing
    
    First Lien Term Loan
3.01%, 6/24/2009
    
    
    476,261
    
    
    
    468,285
    
    
    
    418,872
    
    
    
    0.6
    %Affinity Group, Inc. (d)
    
    Publishing
    
    First Lien Term Loan
2.98%, 6/24/2009
    
    
    511,811
    
    
    
    503,239
    
    
    
    450,137
    
    
    
    0.7
    %Brown Publishing Company (d)
    
    Publishing
    
    Second Lien Term Loan
8.76%, 9/19/2014
    
    
    1,203,226
    
    
    
    1,198,390
    
    
    
    288,774
    
    
    
    0.4
    %Network Communications, Inc. (d)
    
    Publishing
    
    Unsecured Notes
10.75%, 12/1/2013
    
    
    5,000,000
    
    
    
    5,082,100
    
    
    
    2,503,000
    
    
    
    3.7
    %Penton Media, Inc. (d)
    
    Publishing
    
    First Lien Term Loan
3.35%, 2/1/2013
    
    
    4,897,651
    
    
    
    3,723,761
    
    
    
    2,008,037
    
    
    
    3.0
    %Total Publishing
    
    
    14,058,949
    
    
    
    12,528,908
    
    
    
    6,476,520
    
    
    
    9.6
    %GXS Worldwide, Inc. (d)
    
    Software
    
    Second Lien Term Loan
8.63%, 9/30/2013
    
    
    1,000,000
    
    
    
    887,940
    
    
    
    773,299
    
    
    
    1.2
    %Sub Total Non-control/Non-affiliated investments
    
    
    
    
    
    
    137,020,449
    
    
    
    96,462,919
    
    
    
    141.8
    %
  F-7




---



##### Table of Contents



Investment Interest
    
    
    
    
    
    
    
    
    
    
    
    
    
    % ofStockholdersCompany (a, c)
    
    Industry
    
    Rate/Maturity
    
    Principal
    
    
    Cost
    
    
    Fair Value
    
    
    EquityControl investments  33.0% (b)GSC Partners CDO GP III, LP (h)
    
    Financial Services
    
    100% General
Partnership interest
    
    $
    
    
    
    $
    
    
    
    $
    98,412
    
    
    
    0.1
    %GSC Investment Corp. CLO 2007 LTD.
(f, h)
    
    Structured Finance Securities
    
    Other/Structured
Finance Securities
12.15%, 1/21/2020
    
    
    30,000,000
    
    
    
    29,905,194
    
    
    
    22,340,617
    
    
    
    32.9
    %Sub Total Control investments
    
    
    
    
    
    
    
    
    
    
    29,905,194
    
    
    
    22,439,029
    
    
    
    33.0
    %Affiliate investments  0.0% (b)GSC Partners CDO GP III, LP (g)
    
    Financial Services
    
    6.24% Limited
Partnership interest
    
    
    
    
    
    
    
    
    
    
    10,527
    
    
    
    0.0
    %TOTAL INVESTMENT ASSETS  174.8% (b)
    
    
    
    
    
    
    
    
    
    $
    166,925,643
    
    
    $
    118,912,475
    
    
    
    174.8
    %
 % ofStockholdersOutstanding interest rate cap
    
    Interest rate
    
    
    Maturity
    
    
    Notional
    
    
    Cost
    
    
    Fair value
    
    
    EquityInterest rate cap
    
    
    8.0
    %
    
    
    2/9/2014
    
    
    $
    40,000,000
    
    
    $
    87,000
    
    
    $
    27,682
    
    
    
    0.0
    %Interest rate cap
    
    
    8.0
    %
    
    
    11/30/2013
    
    
    
    26,433,408
    
    
    
    44,000
    
    
    
    11,831
    
    
    
    0.0
    %Sub Total Outstanding interest rate cap
    
    
    
    
    
    
    
    
    
    
    
    
    
    $
    131,000
    
    
    $
    39,513
    
    
    
    0.1
    %
 
 (a)
    
    All of the Funds equity and debt investments are issued by eligible portfolio companies,
as defined in the Investment Company Act of 1940, except Abitibi-Consolidated Company of Canada,
Grant U.S. Holdings LLP, GSC Investment Corp. CLO 2007, Terphane Holdings Corp., and GSC Partners
CDO GP III, LP.(b)
    
    Percentages are based on net assets of $68,013,777 as of February 28, 2009.(c)
    
    Fair valued investment (see Note 2 to the consolidated financial statements).(d)
    
    All or a portion of the securities are pledged as collateral under a revolving
securitized credit facility (see Note 7 to the consolidated financial statements).(e)
    
    Non-U.S. company. The principal place of business for Terphane Holdings Corp is Brazil,
and for Abitibi-Consolidated Company of Canada and Grant U.S. Holdings LLP is Canada.(f)
    
    12.15% represents the modeled effective interest rate that is expected to be earned over
the life of the investment.(g)
    
    As defined in the Investment Company Act, we are an Affiliate of this portfolio company
because we own 5% or more of the portfolio companys outstanding voting securities. Transactions
during the period in which the issuer was an Affiliate are as follows: Interest
    
    Management
    
    Net Realized
    
    Net UnrealizedCompany
    
    Purchases
    
    Redemptions
    
    Sales (cost)
    
    Income
    
    fee income
    
    gains/(losses)
    
    gains/(losses)GSC Partners CDO GP
III, LP
    
    $
    
    
    
    $
    
    
    
    $
    
    
    
    $
    
    
    
    $
    
    
    
    $
    
    
    
    $
    (5,706
    )
 (h)
    
    As defined in the Investment Company Act, we are an Affiliate of this portfolio company
because we own 5% or more of the portfolio companys outstanding voting securities. In addition, as
defined in the Investment Company Act, we Control this portfolio company because we own more than
25% of the portfolio companys outstanding voting securities. Transactions during the period in
which the issuer was both an Affiliate and a portfolio company that we Control are as follows: Interest
    
    Management
    
    Net Realized
    
    Net UnrealizedCompany
    
    Purchases
    
    Redemptions
    
    Sales (cost)
    
    Income
    
    fee income
    
    gains/(losses)
    
    gains/(losses)GSC Investment
Corp. CLO 2007 LTD.
    
    $
    
    
    
    $
    
    
    
    $
    
    
    
    $
    4,393,818
    
    
    $
    2,049,717
    
    
    $
    
    
    
    $
    (6,479,722
    )GSC Partners CDO GP
III, LP
    
    $
    
    
    
    $
    
    
    
    $
    
    
    
    $
    
    
    
    $
    
    
    
    $
    
    
    
    $
    (61,741
    )
  F-8




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##### Table of Contents



GSC Investment Corp.Consolidated Schedule of InvestmentsFebruary 29, 2008
 Investment Interest
    
    
    
    
    
    
    
    
    
    
    
    
    
    % ofStockholdersCompany (a, c)
    
    Industry
    
    Rate/Maturity
    
    Principal
    
    
    Cost
    
    
    Fair Value
    
    
    EquityNon-control/Non-affiliated investments  146.9% (b)EuroFresh Inc. (d)
    
    Agriculture
    
    Unsecured Notes
11.50%, 1/15/2013
    
    $
    7,000,000
    
    
    $
    6,890,639
    
    
    $
    3,850,000
    
    
    
    3.9
    %GFSI Inc (d)
    
    Apparel
    
    Senior Secured Notes
10.50%, 6/1/2011
    
    
    8,425,000
    
    
    
    8,421,760
    
    
    
    8,003,750
    
    
    
    8.2
    %Key Safety Systems (d)
    
    Automotive
    
    First Lien Term Loan
6.68%, 3/8/2014
    
    
    2,500,000
    
    
    
    1,837,500
    
    
    
    1,875,000
    
    
    
    1.9
    %SILLC Holdings, LLC (d)
    
    Automotive
    
    Second Lien Term Loan
9.86%, 5/24/2011
    
    
    23,049,210
    
    
    
    22,865,049
    
    
    
    20,283,305
    
    
    
    20.7
    %Total Automotive
    
    
    25,549,210
    
    
    
    24,702,549
    
    
    
    22,158,305
    
    
    
    22.6
    %Legacy Cabinets, Inc. (d)
    
    Building Products
    
    First Lien Term Loan
8.56%, 8/18/2012
    
    
    1,871,500
    
    
    
    1,847,290
    
    
    
    1,403,625
    
    
    
    1.4
    %Legacy Cabinets, Inc. (d)
    
    Building Products
    
    Second Lien Term Loan
12.31%, 8/18/2013
    
    
    2,400,000
    
    
    
    2,354,989
    
    
    
    1,560,000
    
    
    
    1.6
    %Total Building Products
    
    
    4,271,500
    
    
    
    4,202,280
    
    
    
    2,963,625
    
    
    
    3.0
    %Hopkins Manufacturing Corporation (d)
    
    Consumer Products
    
    Second Lien Term Loan
11.82%, 1/26/2012
    
    
    3,250,000
    
    
    
    3,245,793
    
    
    
    3,152,500
    
    
    
    3.2
    %Targus Group International, Inc. (d)
    
    Consumer Products
    
    First Lien Term Loan
7.61%, 11/22/2012
    
    
    3,408,271
    
    
    
    3,095,060
    
    
    
    2,851,701
    
    
    
    2.9
    %Targus Group International, Inc. (d)
    
    Consumer Products
    
    Second Lien Term Loan
13.35%, 5/22/2013
    
    
    5,000,000
    
    
    
    4,743,768
    
    
    
    4,016,500
    
    
    
    4.1
    %Total Consumer Products
    
    
    11,658,271
    
    
    
    11,084,621
    
    
    
    10,020,701
    
    
    
    10.2
    %Affinity Group, Inc. (d)
    
    Consumer Services
    
    First Lien Term Loan
5.62%, 6/24/2009
    
    
    481,233
    
    
    
    449,953
    
    
    
    444,371
    
    
    
    0.4
    %Affinity Group, Inc. (d)
    
    Consumer Services
    
    First Lien Term Loan
5.74%, 6/24/2009
    
    
    518,767
    
    
    
    485,047
    
    
    
    479,859
    
    
    
    0.5
    %CFF Acquisition LLC (d)
    
    Consumer Services
    
    First Lien Term Loan
8.77%, 7/31/2013
    
    
    406,228
    
    
    
    406,228
    
    
    
    365,605
    
    
    
    0.4
    %Total Consumer Services
    
    
    1,406,228
    
    
    
    1,341,228
    
    
    
    1,289,835
    
    
    
    1.3
    %M/C Communications, LLC (d)
    
    Education
    
    First Lien Term Loan
5.54%, 12/31/2010
    
    
    1,736,766
    
    
    
    1,571,773
    
    
    
    1,545,721
    
    
    
    1.6
    %Group Dekko (d)
    
    Electronics
    
    Second Lien Term Loan
9.38%, 1/20/2012
    
    
    6,670,000
    
    
    
    6,670,000
    
    
    
    6,336,500
    
    
    
    6.5
    %IPC Systems, Inc. (d)
    
    Electronics
    
    First Lien Term Loan
7.09%, 5/31/2014
    
    
    49,750
    
    
    
    44,647
    
    
    
    40,497
    
    
    
    0.0
    %Total Electronics
    
    
    6,719,750
    
    
    
    6,714,647
    
    
    
    6,376,997
    
    
    
    6.5
    %USS Mergerco, Inc. (d)
    
    Environmental
    
    Second Lien Term Loan
9.08%, 6/29/2013
    
    
    5,960,000
    
    
    
    5,827,121
    
    
    
    5,066,000
    
    
    
    5.2
    %Bankruptcy Management Solutions,
Inc. (d)
    
    Financial Services
    
    Second Lien Term Loan
9.37%, 7/31/2013
    
    
    4,937,500
    
    
    
    4,902,101
    
    
    
    3,555,000
    
    
    
    3.6
    %Realogy Corp. (d)
    
    Financial Services
    
    First Lien Term Loan
6.11%, 10/10/2013
    
    
    21,106
    
    
    
    19,693
    
    
    
    17,746
    
    
    
    0.0
    %Realogy Corp. (d)
    
    Financial Services
    
    First Lien Term Loan
7.51%, 10/10/2013
    
    
    78,394
    
    
    
    73,147
    
    
    
    65,733
    
    
    
    0.1
    %Total Financial Services
    
    
    5,037,000
    
    
    
    4,994,941
    
    
    
    3,638,479
    
    
    
    3.7
    %CCM Merger Inc. (d)
    
    Gaming
    
    First Lien Term Loan
6.35%, 7/13/2012
    
    
    2,000,000
    
    
    
    1,670,000
    
    
    
    1,730,000
    
    
    
    1.8
    %IDI Acquisition Corp. (d)
    
    Healthcare Services
    
    Senior Secured Notes
10.75%, 12/15/2011
    
    
    3,800,000
    
    
    
    3,574,228
    
    
    
    3,040,000
    
    
    
    3.1
    %PRACS Institute, LTD (d)
    
    Healthcare Services
    
    Second Lien Term Loan
11.41%, 4/17/2013
    
    
    3,000,000
    
    
    
    3,000,000
    
    
    
    3,000,000
    
    
    
    3.1
    %Total Healthcare Services
    
    
    6,800,000
    
    
    
    6,574,228
    
    
    
    6,040,000
    
    
    
    6.2
    %
  F-9




---



##### Table of Contents



GSC Investment Corp.Consolidated Schedule of InvestmentsFebruary 29, 2008
 Investment Interest
    
    
    
    
    
    
    
    
    
    
    
    
    
    % ofStockholdersCompany (a, c)
    
    Industry
    
    Rate/Maturity
    
    Principal
    
    
    Cost
    
    
    Fair Value
    
    
    EquityMcMillin Companies LLC (d)
    
    Homebuilding
    
    Senior Secured Notes
9.53%, 4/30/2012
    
    $
    7,700,000
    
    
    $
    7,194,636
    
    
    $
    5,912,060
    
    
    
    6.0
    %Asurion Corporation (d)
    
    Insurance
    
    First Lien Term Loan
6.10%, 7/3/2014
    
    
    2,000,000
    
    
    
    1,665,000
    
    
    
    1,699,600
    
    
    
    1.7
    %Worldwide Express Operations, LLC (d)
    
    Logistics
    
    First Lien Term Loan
7.89%, 6/30/2013
    
    
    2,973,362
    
    
    
    2,966,658
    
    
    
    2,687,919
    
    
    
    2.7
    %Jason Incorporated (d)
    
    Manufacturing
    
    Unsecured Notes
13.00%, 11/1/2008
    
    
    12,000,000
    
    
    
    12,000,000
    
    
    
    11,712,000
    
    
    
    12.0
    %Jason Incorporated (d)
    
    Manufacturing
    
    Unsecured Notes
13.00%, 11/1/2008
    
    
    3,400,000
    
    
    
    3,400,000
    
    
    
    3,318,400
    
    
    
    3.4
    %Total Manufacturing
    
    
    15,400,000
    
    
    
    15,400,000
    
    
    
    15,030,400
    
    
    
    15.4
    %Blaze Recycling & Metals, LLC (d)
    
    Metals
    
    Senior Secured Notes
10.88%, 7/15/2012
    
    
    2,500,000
    
    
    
    2,493,087
    
    
    
    2,218,750
    
    
    
    2.3
    %Elyria Foundry Company, LLC (c, d)
    
    Metals
    
    Senior Secured Notes
13.00%, 3/1/2013
    
    
    3,000,000
    
    
    
    2,893,873
    
    
    
    2,910,000
    
    
    
    3.0
    %Total Metals
    
    
    5,500,000
    
    
    
    5,386,960
    
    
    
    5,128,750
    
    
    
    5.3
    %Grant U.S. Holdings LLP (d, e)
    
    Natural Resources
    
    Second Lien Term Loan
12.75%, 9/20/2013
    
    
    5,365,592
    
    
    
    5,365,393
    
    
    
    4,167,456
    
    
    
    4.3
    %
  F-10




---



##### Table of Contents



Investment Interest
    
    
    
    
    
    
    
    
    
    
    
    
    
    % ofStockholdersCompany (a, c)
    
    Industry
    
    Rate/Maturity
    
    Principal
    
    
    Cost
    
    
    Fair Value
    
    
    EquityEdgen Murray II, L.P. (d)
    
    Oil and Gas
    
    Second Lien Term Loan
9.32%, 5/11/2015
    
    $
    2,000,000
    
    
    $
    1,947,348
    
    
    $
    1,600,000
    
    
    
    1.6
    %Energy Alloys, LLC (d)
    
    Oil and Gas
    
    Second Lien Term Loan
12.15%, 10/5/2012
    
    
    6,200,000
    
    
    
    6,200,000
    
    
    
    6,138,000
    
    
    
    6.3
    %Total Oil and Gas
    
    
    8,200,000
    
    
    
    8,147,348
    
    
    
    7,738,000
    
    
    
    7.9
    %Atlantis Plastics Films, Inc. (d)
    
    Packaging
    
    First Lien Term Loan
8.71%, 9/22/2011
    
    
    6,516,244
    
    
    
    6,491,835
    
    
    
    4,298,114
    
    
    
    4.4
    %Stronghaven, Inc. (d)
    
    Packaging
    
    Second Lien Term Loan
11.00%, 10/31/2010
    
    
    2,500,000
    
    
    
    2,500,000
    
    
    
    2,500,000
    
    
    
    2.6
    %Terphane Holdings Corp. (d, e)
    
    Packaging
    
    Senior Secured Notes
12.50%, 6/15/2009
    
    
    4,850,000
    
    
    
    4,853,648
    
    
    
    4,447,450
    
    
    
    4.5
    %Terphane Holdings Corp. (d, e)
    
    Packaging
    
    Senior Secured Notes
12.50%, 6/15/2009
    
    
    5,087,250
    
    
    
    5,094,096
    
    
    
    4,665,008
    
    
    
    4.8
    %Terphane Holdings Corp. (d, e)
    
    Packaging
    
    Senior Secured Notes
15.11%, 6/15/2009
    
    
    500,000
    
    
    
    498,536
    
    
    
    459,500
    
    
    
    0.5
    %Total Packaging
    
    
    19,453,494
    
    
    
    19,438,114
    
    
    
    16,370,073
    
    
    
    16.8
    %Advanstar Communications Inc. (d)
    
    Publishing
    
    First Lien Term Loan
7.09%, 5/31/2014
    
    
    1,990,000
    
    
    
    1,516,878
    
    
    
    1,492,500
    
    
    
    1.5
    %Brown Publishing Company (d)
    
    Publishing
    
    Second Lien Term Loan
11.09%, 9/19/2014
    
    
    1,203,226
    
    
    
    1,197,520
    
    
    
    1,070,871
    
    
    
    1.1
    %Network Communications, Inc. (d)
    
    Publishing
    
    Unsecured Notes
10.75%, 12/1/2013
    
    
    5,000,000
    
    
    
    5,095,198
    
    
    
    4,400,000
    
    
    
    4.5
    %Penton Media, Inc. (d)
    
    Publishing
    
    First Lien Term Loan
5.37%, 2/1/2013
    
    
    2,962,500
    
    
    
    2,134,841
    
    
    
    2,325,563
    
    
    
    2.4
    %Total Publishing
    
    
    11,155,726
    
    
    
    9,944,437
    
    
    
    9,288,934
    
    
    
    9.5
    %QCE LLC (d)
    
    Restaurants
    
    First Lien Term Loan
7.03%, 5/5/2013
    
    
    992,443
    
    
    
    804,673
    
    
    
    859,456
    
    
    
    0.9
    %Claires Stores, Inc. (d)
    
    Retail
    
    First Lien Term Loan
6.47%, 5/29/2014
    
    
    2,786,000
    
    
    
    2,579,717
    
    
    
    2,179,209
    
    
    
    2.2
    %Sub Total Non-control/Non-affiliated investments
    
    
    
    
    
    
    162,888,724
    
    
    
    143,745,269
    
    
    
    146.9
    %Control investments  29.7% (b)GSC CDO III, LLC (g)
    
    Financial Services
    
    100% General
Partnership interest
    
    
    
    
    
    
    
    
    
    
    160,153
    
    
    
    0.2
    %GSC Investment Corp. CLO 2007 LTD.
(g)
    
    Structured Finance Securities
    
    Other/Structured Finance Securities
20.36%, 1/21/2020
    
    
    30,000,000
    
    
    
    30,000,000
    
    
    
    28,915,146
    
    
    
    29.5
    %Sub Total Control investments
    
    
    
    
    
    
    
    
    
    
    30,000,000
    
    
    
    29,075,299
    
    
    
    29.7
    %Affiliate investments  0.0% (b)GSC Partners CDO GP III, LP (f)
    
    Financial Services
    
    6.24% Limited
Partnership interest
    
    
    
    
    
    
    
    
    
    
    16,233
    
    
    
    0.0
    %TOTAL INVESTMENT ASSETS  176.6% (b)
    
    
    
    
    
    
    
    
    
    $
    192,888,724
    
    
    $
    172,836,801
    
    
    
    176.6
    %
 % ofOutstanding interest rate cap
    
    Interest rate
    
    
    Maturity
    
    
    Notional
    
    
    Cost
    
    
    Fair value
    
    
    Stockholders EquityInterest rate cap
    
    
    8.0
    %
    
    
    2/9/2014
    
    
    $
    40,000,000
    
    
    $
    87,000
    
    
    $
    50,703
    
    
    
    0.1
    %Interest rate cap
    
    
    8.0
    %
    
    
    11/30/2013
    
    
    
    46,637,408
    
    
    
    44,000
    
    
    
    26,031
    
    
    
    0.0
    %Sub Total Outstanding interest rate cap
    
    
    
    
    
    
    
    
    
    
    
    
    
    $
    131,000
    
    
    $
    76,734
    
    
    
    0.1
    %
  F-11




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##### Table of Contents



(a)
    
    All of the Funds equity and debt investments are issued by eligible portfolio companies,
as defined in the Investment Company Act of 1940, except Atlantis Plastics Films, Inc., Grant U.S.
Holdings LLP, GSC Investment Corp. CLO 2007, Terphane Holdings Corp., and GSC Partners CDO GP III,
LP.(b)
    
    Percentages are based on net assets of $97,869,040 as of February 29, 2008.(c)
    
    Fair valued investment (see Note 2 to the consolidated financial statements).(d)
    
    All or a portion of the investment is pledged as collateral under a revolving securitized
credit facility (see Note 7 to the consolidated financial statements).(e)
    
    Non-U.S. company. The principal place of business for Terphane Holdings Corp is Brazil,
and for Grant U.S. Holdings LLP is Canada.(f)
    
    As defined in the Investment Company Act, we are an Affiliate of this portfolio company
because we own 5% or more of the portfolio companys outstanding voting securities. Transactions
during the period in which the issuer was an Affiliate are as follows: Interest
    
    Management
    
    Net Realized
    
    Net UnrealizedCompany
    
    Purchases
    
    Redemptions
    
    Sales (cost)
    
    Income
    
    fee income
    
    gains/(losses)
    
    gains/(losses)GSC Partners CDO GP
III, LP
    
    $
    2,045,067
    
    
    $
    2,084,214
    
    
    $
    
    
    
    $
    
    
    
    $
    
    
    
    $
    39,147
    
    
    $
    16,233
 (g)
    
    As defined in the Investment Company Act, we are an Affiliate of this portfolio company
because we own 5% or more of the portfolio companys outstanding voting securities. In addition, as
defined in the Investment Company Act, we Control this portfolio company because we own more than
25% of the portfolio companys outstanding voting securities. Transactions during the period in
which the issuer was both an Affiliate and a portfolio company that we Control are as follows: Interest
    
    Management
    
    Net Realized
    
    Net UnrealizedCompany
    
    Purchases
    
    Redemptions
    
    Sales (cost)
    
    Income
    
    fee income
    
    gains/(losses)
    
    gains/(losses)GSC Investment
Corp. CLO 2007 LTD.
    
    $
    30,000,000
    
    
    $
    
    
    
    $
    
    
    
    $
    262,442
    
    
    $
    215,914
    
    
    $
    
    
    
    $
    (1,084,854
    )GSC Partners CDO GP
III, LP
    
    $
    13,574,694
    
    
    $
    14,003,367
    
    
    $
    
    
    
    $
    
    
    
    $
    
    
    
    $
    428,673
    
    
    $
    160,153
  F-12




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##### Table of Contents



GSC Investment Corp.

Consolidated Statements of Changes in Net Assets
 For the period fromMay 12, 2006 (date ofFor the year ended
    
    
    For the year ended
    
    
    inception)February 28, 2009
    
    
    February 29, 2008
    
    
    to February 28, 2007OPERATIONS:Net investment income
    
    $
    13,825,992
    
    
    $
    10,747,278
    
    
    $
    (130,163
    )Net realized gain/(loss) from investments
    
    
    (7,173,118
    )
    
    
    3,175,222
    
    
    
    Net realized gain from derivatives
    
    
    30,454
    
    
    
    732,526
    
    
    
    Net unrealized depreciation on investments
    
    
    (27,961,244
    )
    
    
    (20,051,923
    )
    
    
    Net unrealized depreciation on derivatives
    
    
    (37,221
    )
    
    
    (54,266
    )
    
    
    Net decrease in net assets from operations
    
    
    (21,315,137
    )
    
    
    (5,451,163
    )
    
    
    (130,163
    )SHAREHOLDER DISTRIBUTIONS:Distributions declared
    
    
    (8,540,126
    )
    
    
    (12,851,645
    )
    
    
    Net decrease in net assets from shareholder distributions
    
    
    (8,540,126
    )
    
    
    (12,851,645
    )
    
    
    CAPITAL SHARE TRANSACTIONS:Issuance of common stock, net
    
    
    
    
    
    
    116,301,011
    
    
    
    1,000Net increase in net assets from capital share transactions
    
    
    
    
    
    
    116,301,011
    
    
    
    1,000Total increase/(decrease) in net assets
    
    
    (29,855,263
    )
    
    
    97,998,203
    
    
    
    (129,163
    )Net assets at beginning of year/period
    
    
    97,869,040
    
    
    
    (129,163
    )
    
    
    Net assets at end of year/period
    
    $
    68,013,777
    
    
    $
    97,869,040
    
    
    $
    (129,163
    )Net asset value per common share
    
    $
    8.20
    
    
    $
    11.80
    
    
    
    n/aCommon shares outstanding at end of period
    
    
    8,291,384
    
    
    
    8,291,384
    
    
    
    67
  F-13




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##### Table of Contents



GSC Investment Corp.  
 Consolidated Statements of Cash Flows
 For the period fromMay 12, 2006 (dateFor the year ended
    
    
    For the year ended
    
    
    of inception)February 28, 2009
    
    
    February 29, 2008
    
    
    to February 28, 2007Operating activitiesNET DECREASE IN NET ASSETS FROM OPERATIONS
    
    $
    (21,315,137
    )
    
    $
    (5,451,163
    )
    
    $
    (130,163
    )ADJUSTMENTS TO RECONCILE NET INCREASE IN NET ASSETS FROM OPERATIONS TO NET CASH USED IN OPERATING ACTIVITIES:Paid-in-kind interest income
    
    
    (819,905
    )
    
    
    (365,592
    )
    
    
    Net accretion of discount on investments
    
    
    (1,323,644
    )
    
    
    (765,255
    )
    
    
    Amortization of deferred credit facility financing costs
    
    
    193,464
    
    
    
    502,468
    
    
    
    Net realized (gain) loss from investments
    
    
    7,173,118
    
    
    
    (3,175,222
    )
    
    
    Net realized
(gain) from derivatives
    
    
    
    
    
    
    (732,526
    )
    
    
    Net unrealized (appreciation) depreciation on investments
    
    
    27,961,244
    
    
    
    20,051,923
    
    
    
    Unrealized depreciation on
derivatives
    
    
    37,221
    
    
    
    54,266
    
    
    
    Proceeds from sale and redemption of investments
    
    
    49,193,508
    
    
    
    141,772,158
    
    
    
    Purchase of investments
    
    
    (28,259,995
    )
    
    
    (314,002,526
    )
    
    
    (Increase) decrease in operating assets and liabilities:Cash and cash equivalents, securitization accounts
    
    
    13,402,772
    
    
    
    (14,580,973
    )
    
    
    Interest receivable
    
    
    (732,546
    )
    
    
    (2,355,122
    )
    
    
    Due from manager
    
    
    940,903
    
    
    
    (940,903
    )
    
    
    Management fee receivable
    
    
    (21,456
    )
    
    
    (215,914
    )
    
    
    Other assets
    
    
    (281,911
    )
    
    
    (39,349
    )
    
    
    Deferred offering costs
    
    
    
    
    
    
    808,617
    
    
    
    (808,617
    )Payable for unsettled trades
    
    
    (11,329,150
    )
    
    
    11,329,150
    
    
    
    Management and incentive fees payable
    
    
    1,937,606
    
    
    
    943,061
    
    
    
    Accounts payable and accrued expenses
    
    
    (12,885
    )
    
    
    608,422
    
    
    
    105,000Interest and credit facility fees payable
    
    
    (219,482
    )
    
    
    292,307
    
    
    
    Due to manager
    
    
    (11,048
    )
    
    
    (62,762
    )
    
    
    73,810Accrued offering costs
    
    
    
    
    
    
    (760,000
    )
    
    
    760,000NET CASH PROVIDED (USED) BY OPERATING ACTIVITIES
    
    
    36,512,677
    
    
    
    (167,084,935
    )
    
    
    30Financing activitiesContribution from member
    
    
    
    
    
    
    
    
    
    
    1,000Issuance of shares of common stock
    
    
    
    
    
    
    108,750,000
    
    
    
    Offering costs and sales load
    
    
    
    
    
    
    (8,068,750
    )
    
    
    Borrowings on debt
    
    
    7,800,000
    
    
    
    167,958,119
    
    
    
    Paydowns on debt
    
    
    (27,255,327
    )
    
    
    (89,508,119
    )
    
    
    Credit facility financing cost
    
    
    
    
    
    
    (1,225,699
    )
    
    
    Cost of interest rate cap
    
    
    
    
    
    
    (131,000
    )
    
    
    Payments of cash dividends
    
    
    (11,773,766
    )
    
    
    (9,618,005
    )
    
    
    NET CASH PROVIDED (USED) BY FINANCING ACTIVITIES
    
    
    (31,229,093
    )
    
    
    168,156,546
    
    
    
    1,000CHANGE IN CASH AND CASH EQUIVALENTS
    
    
    5,283,584
    
    
    
    1,071,611
    
    
    
    1,030CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD
    
    
    1,072,641
    
    
    
    1,030
    
    
    
    CASH AND CASH EQUIVALENTS, END OF PERIOD
    
    $
    6,356,225
    
    
    $
    1,072,641
    
    
    $
    1,030Supplemental Information:Interest paid during the period
    
    $
    2,631,385
    
    
    $
    4,236,458
    
    
    
    n/aSupplemental non-cash informationIssuance of common stock for acquisition of investments in GSC CDO III, LLC
and GSC Partners CDO GP III, L.P.
    
    $
    
    
    
    $
    15,619,761
    
    
    
    n/aPaid-in-kind interest income
    
    $
    819,905
    
    
    $
    365,592
    
    
    
    n/aNet accretion of discount on investments
    
    $
    1,323,644
    
    
    $
    765,255
    
    
    
    n/aAmortization of deferred credit facility financing costs
    
    $
    193,464
    
    
    $
    502,468
    
    
    
    n/a
  F-14




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##### Table of Contents



Note 1. Organization and Basis of Presentation
      Note 2. Summary of Significant Accounting Policies
 Use of Estimates in the Preparation of Financial Statements
  Cash and Cash Equivalents
  Cash and cash equivalents, Securitization Accounts
  Risk Management
  F-15




---



##### Table of Contents



Investment Classification
  Investment Valuation
 Disclosure About Fair Value of Financial
Instruments,
   
    
    Each investment is initially valued by the responsible investment professionals and
preliminary valuation conclusions are documented and discussed with our senior management;
and
    
    An independent valuation firm engaged by our board of directors reviews at least one
quarter of these preliminary valuations each quarter so that the valuation of each
investment for which market quotes are not readily available is reviewed by the independent
valuation firm at least annually.
  
    
    The audit committee of our board of directors reviews each preliminary valuation and our
investment adviser and independent valuation firm (if applicable) will supplement the
preliminary valuation to reflect any comments provided by the audit committee; and
    
    Our board of directors discuss the valuations and determine the fair value of each
investment in good faith based on the input of our investment adviser, independent
valuation firm (if applicable) and audit committee.
   F-16




---



##### Table of Contents



Income Recognition
    Paid-in-Kind Interest
  Organizational Expenses
  Deferred Credit Facility Financing Costs
  Indemnifications
  Income Taxes
   F-17




---



##### Table of Contents



Dividends
   New Accounting Pronouncements
  Disclosures
about Derivative Instruments and Hedging Activities
 Determining the Fair Value
of a Financial Asset When the Market for That Asset Is Not Active
 F-18




---



##### Table of Contents



Note 3. Investments
   
    
    Level 1  Valuations based on quoted prices in active markets for identical assets or
liabilities that the Company has the ability to access.
    
    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 into the determination of fair value may require
significant management judgment or estimation. Even if observable-market data is available,
such information may be the result of consensus pricing information or broker quotes which
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
disclaimer would result in classification as Level III information, assuming no additional
corroborating evidence.
  F-19




---



##### Table of Contents



Fair Value Measurements UsingLevel 1
    
    Level 2
    
    Level 3
    
    
    TotalNon-control/non-affiliate
investments
    
    $           
    
    $           
    
    $
    96,463
    
    
    $
    96,463Control investments
    
    
    
    
    
    
    22,439
    
    
    
    22,439Affiliate investments
    
    
    
    
    
    
    10
    
    
    
    10Total investments at fair value
    
    $           
    
    $           
    
    $
    118,912
    
    
    $
    118,912
  Level 3Balance as of February 29, 2008
    
    $
    172,837Net unrealized losses
    
    
    (27,961
    )Purchases and other adjustments to cost
    
    
    23,230Sales and redemptions
    
    
    (49,194
    )Net transfers in and/or out
    
    
    Balance as of February 28, 2009
    
    $
    118,912
     Investments at
    
    
    
    
    
    
    Fair ValueAmortized
    
    
    Investments
    
    
    Percentage ofCost
    
    
    at Fair Value
    
    
    Total PortfolioFirst lien term loans
    
    $
    24,901
    
    
    $
    17,117
    
    
    
    14.4
    %Second lien term loans
    
    
    57,558
    
    
    
    41,043
    
    
    
    34.5Senior secured notes
    
    
    35,780
    
    
    
    25,832
    
    
    
    21.7Unsecured notes
    
    
    18,782
    
    
    
    12,381
    
    
    
    10.4Structured Finance Securities
    
    
    29,905
    
    
    
    22,341
    
    
    
    18.8Equity/limited partnership interest
    
    
    
    
    
    
    198
    
    
    
    0.2Total
    
    $
    166,926
    
    
    $
    118,912
    
    
    
    100.0
    %
  Investments at
    
    
    
    
    
    
    Fair ValueAmortized
    
    
    Investments
    
    
    Percentage ofCost
    
    
    at Fair Value
    
    
    Total PortfolioFirst lien term loans
    
    $
    29,660
    
    
    $
    26,362
    
    
    
    15.3
    %Second lien term loans
    
    
    70,819
    
    
    
    62,446
    
    
    
    36.1Senior secured notes
    
    
    35,024
    
    
    
    31,657
    
    
    
    18.3Unsecured notes
    
    
    27,386
    
    
    
    23,281
    
    
    
    13.5Structured Finance Securities
    
    
    30,000
    
    
    
    28,915
    
    
    
    16.7Equity/limited partnership interest
    
    
    
    
    
    
    176
    
    
    
    0.1Total
    
    $
    192,889
    
    
    $
    172,837
    
    
    
    100.0
    %
 F-20




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##### Table of Contents



Note 4. Investment in GSC Investment Corp. CLO 2007, Ltd.
  Note 5. Income Taxes
    Accumulated net investment income/(loss)
    
    $
    381Accumulated net realized gains (losses) on investments
    
    
    (1,106
    )Additional paid-in-capital
    
    
    725
  Ordinary income (a)
    
    $
    8,540Capital gains
    
    
    Return of capital
    
    
    Total reported on tax Form 1099-DIV
    
    $
    8,540
 
    Accumulated capital gains/(losses)
    
    $
    (3,195
    )Other temporary differences
    
    
    (119
    )Undistributed ordinary income
    
    
    6,312Unrealized depreciation
    
    
    (146,540
    )Components of distributable earnings
    
    $
    (143,542
    )
   F-21




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##### Table of Contents



Note 6. Agreements
           F-22




---



##### Table of Contents



Note 7. Borrowings
        F-23




---



##### Table of Contents



Note 8. Interest Rate Cap Agreements
    InterestInstrument
    
    Type
    
    Notional
    
    Rate
    
    Maturity
    
    Fair ValueInterest Rate Cap
    
    Free Standing Derivative
    
    $
    40,000
    
    
    
    8.0
    %
    
    Feb 2014
    
    $
    28Interest Rate Cap
    
    Free Standing Derivative
    
    
    26,433
    
    
    
    8.0
    
    
    Nov 2013
    
    
    12Net fair value
    
    
    
    
    
    
    
    
    
    
    
    
    
    $
    40
  InterestInstrument
    
    Type
    
    Notional
    
    Rate
    
    Maturity
    
    Fair ValueInterest Rate Cap
    
    Free Standing Derivative
    
    $
    40,000
    
    
    
    8.0
    %
    
    Feb 2014
    
    $
    51Interest Rate Cap
    
    Free Standing Derivative
    
    
    46,637
    
    
    
    8.0
    
    
    Nov 2013
    
    
    26Net fair value
    
    
    
    
    
    
    
    
    
    
    
    
    
    $
    77
 Note 9. Directors Fees
  F-24




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##### Table of Contents



Note 10. Stockholders Equity
    Note 11. Earnings Per Share
  February 28, 2009
    
    February 29, 2008Basic and dilutedNet decrease in net assets from operations
    
    $
    (21,315
    )
    
    $
    (5,451
    )Weighted average common shares outstanding
    
    
    8,291,384
    
    
    
    7,761,965Earnings per common share-basic and diluted
    
    $
    (2.57
    )
    
    $
    (0.70
    )
 Note 12. Dividend
  Date Declared
    
    Record Date
    
    Payment Date
    
    Amount Per 
Share *
    
    Total AmountMay 22, 2008
    
    May 30, 2008
    
    June 13, 2008
    
    $
    0.39
    
    
    $
    3,234August 19, 2008
    
    August 29, 2008
    
    September 15, 2008
    
    
    0.39
    
    
    
    3,234December 8, 2008
    
    December 18, 2008
    
    December 29, 2008
    
    
    0.25
    
    
    
    2,072Total dividends declared
    
    
    
    
    
    
    
    
    
    $
    1.03
    
    
    $
    8,540Amount PerDate Declared
    
    Record Date
    
    Payment Date
    
    Share *
    
    Total AmountMay 21, 2007
    
    May 29, 2007
    
    June 6, 2007
    
    $
    0.24
    
    
    $
    1,990August 14, 2007
    
    August 24, 2007
    
    August 31, 2007
    
    
    0.36
    
    
    
    2,985November 15, 2007
    
    November 30, 2007
    
    December 3, 2007
    
    
    0.38
    
    
    
    3,151December 28, 2007
    
    January 18, 2008
    
    January 28, 2008
    
    
    0.18
    
    
    
    1,492February 20, 2008
    
    February 29, 2008
    
    March 10, 2008
    
    
    0.39
    
    
    
    3,234Total dividends declared
    
    
    
    
    
    
    
    
    
    $
    1.55
    
    
    $
    12,852
 
 *
    
    Amount per share is calculated based on the number of shares outstanding at the date of
declaration. F-25




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##### Table of Contents



Note 13. Financial Highlights
  February 28, 2009
    
    February 29, 2008Per share data:Public offering cost at IPO, March 23, 2007
    
    $
    
    
    
    $
    15.00Sales load
    
    
    
    
    
    
    (0.85
    )Offering cost
    
    
    
    
    
    
    (0.12
    )Net asset value at beginning of period/IPO
    
    
    11.80
    
    
    
    14.03Net investment income (1)
    
    
    1.67
    
    
    
    1.30Net realized gains (losses) on investments and derivatives
    
    
    (0.86
    )
    
    
    0.47Net unrealized depreciation on investments and derivatives
    
    
    (3.38
    )
    
    
    (2.45)
    *Net decrease in stockholders equity
    
    
    (2.57
    )
    
    
    (0.68
    )Distributions declared from net investment income
    
    
    (1.03
    )
    
    
    (1.37
    )Distributions declared from net realized capital gains
    
    
    
    
    
    
    (0.18
    )Total distributions to stockholders
    
    
    (1.03
    )
    
    
    (1.55
    )Net asset value at end of period
    
    $
    8.20
    
    
    $
    11.80Net assets at end of period
    
    $
    68,013,777
    
    
    $
    97,869,040Shares outstanding at end of period
    
    
    8,291,384
    
    
    
    8,291,384Per share market value at end of period
    
    $
    1.99
    
    
    $
    11.04Total return based on market value (2)
    
    
    (72.64
    )%
    
    
    (16.07
    )%Total return based on net asset value (3)
    
    
    (21.78
    )%
    
    
    (11.00
    )%
 
 *
    
    Net unrealized depreciation on investments and derivatives per share amount includes the net
loss incurred prior to the IPO. Ratio/Supplemental data:Ratio of net investment income to average net assets (4)
    
    
    15.19
    %
    
    
    8.11
    %Ratio of operating expenses to average net assets (4)
    
    
    7.12
    %
    
    
    5.91
    %Ratio of incentive management fees to average net assets
    
    
    2.05
    %
    
    
    0.64
    %Ratio of credit facility related expenses to average net assets
    
    
    3.05
    %
    
    
    4.51
    %Ratio of total expenses to average net assets (4)
    
    
    12.23
    %
    
    
    11.05
    %
 
 (1)
    
    Net investment income excluding expense waiver and reimbursement equals $1.55 and $1.08 per
share for the years ended February 28, 2009 and February 29, 2008, respectively.(2)
    
    For the year ended February 28, 2009, the total return based on market value equals the
decrease in market value at February 28, 2009, of $9.05 per share over the price per share at
February 29, 2008, of $11.04, plus the declared dividend of $0.39 per share for stockholders
of record on May 30, 2008, the declared dividend of $0.39 per share for stockholders of record
on August 29, 2008, and the declared dividend of $0.25 per share for stockholders of record on
December 29, 2008, divided by the February 29, 2008 price per share. For the year ended
February 29, 2008, the total return based on market value equals the decrease in market value
at February 29, 2008 of $3.96 per share over the IPO offering price per share at March 23,
2007 of $15.00, plus the declared dividend of $0.24 per share for stockholders of record on
May 29, 2007, the declared dividend of $0.36 per share for stockholders of record on August
24, 2007, the declared dividend of $0.38 per share for stockholders of record on November 30,
2007, the declared dividend of $0.18 per share for stockholders of record on January 28, 2008,
and the declared dividend of $0.39 per share for stockholders of record on March 10, 2008,
divided by the IPO offering price per share. Total return based on market value is not
annualized.(3)
    
    For the year ended February 28, 2009, the total return based on net asset value equals the
change in net asset value during the period plus the declared dividend of $0.39 per share for
stockholders of record on May 30, 2008, the declared dividend of $0.39 per share for
stockholders of record on August 29, 2008, and the declared dividend of $0.25 per share for
stockholders of record on December 29, 2008, divided by the beginning net asset value during
the period. For the year ended February 29, 2008, the total return based on net asset value
equals the change in net asset value during the period plus the declared dividend of $0.24 per
share for stockholders of record on May 29, 2007, the declared dividend of $0.36 per share for
stockholders of record on August 24, 2007, the declared dividend of $0.38 per share for
stockholders of record on November 30, 2007, the declared dividend of $0.18 per share for
stockholders of record on January 28, 2008, and the declared dividend of $0.39 per share for
stockholders of record on March 10, 2008,divided by the beginning net asset value during the
period. Total return based on net asset value is not annualized.(4)
    
    For the year ended February 28, 2009, incorporating the expense waiver and reimbursement
arrangement, the ratio of net investment income, operating expenses, total expenses to average
net assets is 16.21%, 5.94%, and 11.04%, respectively. For the year ended F-26




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##### Table of Contents



February 29, 2008, incorporating the expense waiver and reimbursement arrangement, the ratio of net investment
income, operating expenses, total expenses to average net assets is 9.63%, 4.31%, and 9.45%. Note 14. Related Party Transaction
     Note 15. Selected Quarterly Data (Unaudited)
 2009Qtr 4
    
    Qtr 3
    
    Qtr 2
    
    Qtr 1($ in thousands, except per share numbers)Interest and related portfolio income
    
    $
    5,480
    
    
    $
    6,361
    
    
    $
    5,835
    
    
    $
    5,715Net investment income
    
    
    3,288
    
    
    
    3,887
    
    
    
    3,455
    
    
    
    3,195Net realized and unrealized loss
    
    
    (17,296
    )
    
    
    (11,438
    )
    
    
    (6,023
    )
    
    
    (384
    )Net increase (decrease) in net assets resulting
from operations
    
    
    (14,008
    )
    
    
    (7,551
    )
    
    
    (2,567
    )
    
    
    2,811Net investment income per common share at end
of each quarter
    
    $
    0.40
    
    
    $
    0.47
    
    
    $
    0.42
    
    
    $
    0.39Net realized and unrealized loss per common
share at end of each quarter
    
    $
    (2.09
    )
    
    $
    (1.38
    )
    
    $
    (0.73
    )
    
    $
    (0.05
    )Dividends declared per common share
    
    $
    
    
    
    $
    0.25
    
    
    $
    0.39
    
    
    $
    0.39Net asset value per common share
    
    $
    8.20
    
    
    $
    10.14
    
    
    $
    11.05
    
    
    $
    11.75
 F-27




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##### Table of Contents



2008Qtr 4
    
    Qtr 3
    
    Qtr 2
    
    Qtr 1($ in thousands, except per share numbers)Interest and related portfolio income
    
    $
    5,520
    
    
    $
    5,882
    
    
    $
    5,882
    
    
    $
    4,102Net investment income
    
    
    2,562
    
    
    
    3,070
    
    
    
    3,157
    
    
    
    1,958Net realized and unrealized gain (loss)
    
    
    (11,972
    )
    
    
    (2,009
    )
    
    
    (3,939
    )
    
    
    1,722Net increase (decrease) in net assets resulting
from operations
    
    
    (9,410
    )
    
    
    1,061
    
    
    
    (782
    )
    
    
    3,680Net investment income per common share at end
of each quarter
    
    $
    0.32
    
    
    $
    0.37
    
    
    $
    0.38
    
    
    $
    0.23Net realized and unrealized gain (loss) per
common share at end of each quarter
    
    $
    (1.46
    )
    
    $
    (0.24
    )
    
    $
    (0.47
    )
    
    $
    0.21Dividends declared per common share
    
    $
    0.57
    
    
    $
    0.38
    
    
    $
    0.36
    
    
    $
    0.24Net asset value per common share
    
    $
    11.80
    
    
    $
    13.51
    
    
    $
    13.76
    
    
    $
    14.21
 Note 16. Subsequent Events
  F-28