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UNITED STATES SECURITIES AND
    EXCHANGE COMMISSIONWashington, D.C.
    20549
      Form 10-K
      þ

ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
    SECURITIES EXCHANGE ACT OF 1934For the fiscal year ended
    February 29, 2008o

TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
    SECURITIES EXCHANGE ACT OF 1934For the transition period
    from          to   Commission File
    No. 001-33376
     GSC Investment Corp.
 (Exact name of Registrant as
    specified in its charter)
     Maryland(State or other jurisdiction
    of
    incorporation or organization)

20-8700615(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
  Regulation S-K Form 10-K Form 10-K. o
  12b-2
  Large
    accelerated
    filer o
    Accelerated
    filer o
    Non-accelerated
    filer þ
    Smaller
    reporting
    company o   Rule 12b-2 o þ
      DOCUMENTS
    INCORPORATED BY REFERENCE




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NOTE ABOUT REFERENCES
    TO GSC INVESTMENT CORP.
  Form 10-K
  NOTE ABOUT
    TRADEMARKS    NOTE ABOUT
    FORWARD-LOOKING
    STATEMENTS        
    our future operating results;
    our business prospects and the prospects of our portfolio
    companies;
    the impact of investments that we expect to make;
    our contractual arrangements and relationships with third
    parties;
    the dependence of our future success on the general economy and
    its impact on the industries in which we invest;
    the ability of our portfolio companies to achieve their
    objectives;
    our expected financings and investments;
    our regulatory structure and tax treatment, including our
    ability to operate as a business development company and a
    regulated investment company;
    the adequacy of our cash resources and working capital;
    the timing of cash flows, if any, from the operations of our
    portfolio companies; and
    the ability of our investment adviser to locate suitable
    investments for us and to monitor and administer our investments.   i




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##### 



TABLE
    OF CONTENTS
   
 PagePART IItem 1.

Business


1Item 1A.

Risk Factors


18Item 1B.

Unresolved Staff Comments


32Item 2.

Properties


32Item 3.

Legal Proceedings


32Item 4.

Submission of Matters to a Vote of Security
    Holders


32PART IIItem 5.

Market for Registrants Common Equity,
    Related Stockholder Matters and Issuer Purchases of Equity
    Securities


32Item 6.

Selected Financial Data


35Item 7.

Managements Discussion and Analysis of
    Financial Condition and Results of Operations


37Item 7A.

Quantitative and Qualitative Disclosures about
    Market Risk


44Item 8.

Financial Statements and Supplementary Data


46Item 9.

Changes in and Disagreements with Accountants on
    Accounting and Financial Disclosure


46Item 9A(T).

Controls and Procedures


46Item 9B.

Other Information


47PART IIIItem 10.

Directors, Executive Officers and Corporate
    Governance


47Item 11.

Executive Compensation


47Item 12.

Security Ownership of Certain Beneficial Owners
    and Management and Related Stockholder Matters


47Item 13.

Certain Relationships and Related Transactions,
    and Director Independence


47Item 14.

Principal Accountant Fees and Services


47PART IVItem 15.

Exhibits and Financial Statement Schedules


47Signatures


51Consolidated Financial Statements


F-1EX-10.5: AMENDMENT TO THE CONTRIBUTION AND EXCHANGE AGREEMENTEX-10.36: INDEMNIFICATION AGREEMENTEX-10.37: INDEMNIFICATION AGREEMENTEX-21.1: LIST OF SUBSIDIARIESEX-31.1: CERTIFICATIONEX-31.2: CERTIFICATIONEX-32.1: CERTIFICATION   ii




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PART I  Item 1.
    Business  General
        and/or
  and/or
 1




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Investments
    First
    lien loans
    Second
    lien loans
    High
    yield bonds
    pari passu
 2




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Mezzanine
    debt
    paid-in-kind paid-in-kind,
  Equity
    investments
    Opportunistic
    Investments
    Prospective
    portfolio company characteristics
    
    a history of generating stable earnings and strong free cash
    flow;
    well constructed balance sheets, including an established
    tangible liquidation value;
    reasonable debt-to-cash flow multiples;
    industry leadership with competitive advantages and sustainable
    market shares in attractive sectors; and
    capital structures that provide appropriate terms and reasonable
    covenants.  Investment
    selection
    
    bottoms-up,
    company-specific research and analysis;
    capital preservation, low volatility and minimization of
    downside risk; and
    investing with experienced management teams that hold meaningful
    equity ownership in their businesses. 3




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
    Initial screening.  A brief analysis identifies
    the investment opportunity and reviews the merits of the
    transaction. The initial screening memorandum provides a brief
    description of the company, its industry, competitive position,
    capital structure, financials, equity sponsor and deal
    economics. If the deal is determined to be attractive by the
    senior members of the deal team, the opportunity is more fully
    analyzed.
    Full analysis.  A full analysis includes:  
    Business and Industry analysis  a review of
    the companys business position, competitive dynamics
    within its industry, cost and growth drivers and technological
    and geographic factors. Business and industry research often
    includes meetings with industry experts, consultants, GSC Group
    advisory board members, other investors, customers and
    competitors.
    Company analysis  a review of the
    companys historical financial performance, future
    projections, cash flow characteristics, balance sheet strength,
    liquidation value, legal, financial and accounting risks,
    contingent liabilities, market share analysis and growth
    prospects.
    Structural/security analysis  a thorough legal
    document analysis including but not limited to an assessment of
    financial and negative covenants, events of default,
    enforceability of liens and voting rights.  
    Approval of the group head.  After an
    investment has been identified and diligence has been completed,
    a report is prepared. This report is reviewed by the senior
    investment professional in charge of the potential investment.
    If such senior investment professional is in favor of the
    potential investment, it is presented for the approval of the
    group head. Additional due diligence with respect to any
    investment may be conducted by attorneys and independent
    accountants prior to the closing of the investment, as well as
    by other outside advisers, as appropriate.
    Approval of the investment committee.  After
    the approval of the group head, the investment is presented to
    the investment committee for approval. Sale recommendations made
    by the investment staff must also be approved by the investment
    committee. Purchase and sale recommendations over
    $10 million per issuer require unanimous and majority
    approval of the investment committee, respectively. Each of our
    Chief Executive Officer, Thomas V. Inglesby, and Chairman,
    Richard M. Hayden has discretionary authority to make purchases
    or sales below $10 million per issuer, subject to certain
    aggregate limits.    
    1.00-2.00 represents investments that hold senior positions in
    the capital structure and, typically, have low financial
    leverage
    and/or
    strong historical operating performance;
    2.00-3.00 represents investments that hold relatively senior
    positions in the capital structure, either senior secured,
    senior unsecured, or senior subordinate, and have moderate
    financial leverage
    and/or are
    performing at or above expectations;
    3.00-4.00 represents investments that are junior in the capital
    structure, have moderate financial leverage
    and/or are
    performing at or below expectations; and
    4.00-5.00 represents investments that are highly leveraged
    and/or have
    poor operating performance.   4




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Investments at


Percentage ofNumerical Debt Score

Fair Value


Total Portfolio($ in thousands)1.00 - 1.99

$
11,863



6.9
%2.00 - 2.99


87,423



50.63.00 - 3.99


44,459



25.74.00 - 4.99


0



0.05.00


0



0.0N/A(1)


29,092



16.8Total

$
172,837



100.0
%   Investments at


Percentage ofCorporate Letter Rating

Fair Value


Total Portfolio($ in thousands)A

$
0



0.0
%B


112,019



64.8C


31,726



18.4D


0



0.0E


0



0.0F


0



0.0N/A(1)


29,092



16.8Total

$
172,837



100.0
%     (1)
    
    $0.2 million constitutes our investment in the partnership
    interests of CDO Fund III and $28.9 million
    constitutes our investment in the subordinated notes of GSCIC
    CLO. CMR ratings are intended for corporate issuers and are
    inapplicable to subordinated CLO investments, which are subject
    to unique payment risks. (See Part I, Item 1A
    Risk Factors  Risks related to our
    investments  Our investment in GSCIC CLO constitutes
    a leveraged investment in a portfolio of predominantly senior
    secured first lien term loans and is subject to additional risks
    and volatility). GSCIC CLOs portfolio investments
    are individually graded, however, and over 90% have a numerical
    debt score of less than 2.99 and a corporate letter rating of A
    or B.  Investment
    structure
    
    maintenance leverage covenants requiring a decreasing ratio of
    debt to cash flow;
    maintenance cash flow covenants requiring an increasing ratio of
    cash flow to the sum of interest expense and capital
    expenditures; and
    debt incurrence prohibitions, limiting a companys ability
    to re-lever. 5




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
    requiring a total return on our investments (including both
    interest and potential equity appreciation) that compensates us
    for credit risk;
    requiring companies to use a portion of their excess cash flow
    to repay debt;
    selecting investments with covenants that incorporate call
    protection as part of the investment structure; and
    selecting investments with affirmative and negative covenants,
    default penalties, lien protection, change of control provisions
    and board rights, including either observation or participation
    rights.    Valuation
    process
        
    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 an
    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 discusses the valuations and determines
    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.   6




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Ongoing
    relationships with and monitoring of portfolio
    companies
    Leverage
        non-amortized
    and/or
  Dividend
     7




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and/or
      About GSC
    Group
  (1)
  (1) (1) (1)
    (1)
 8




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Our
    investment adviser
      Our
    relationship with our investment adviser and GSC Group
    and/or
    Market
    opportunity
    
    middle market debt securities are attractive compared to broadly
    syndicated debt securities because middle market debt securities
    generally have more conservative capital structures, tighter
    financial covenants, better security packages and higher yields. 9




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
    established relationships create a high barrier to entry in the
    middle market financing business. Specifically, private middle
    market companies and their financial sponsors prefer to access
    capital from and maintain close and longstanding relationships
    with a small group of well-known capital providers.
    the middle market debt segment is a highly fragmented portion of
    the leveraged finance market. We believe that many of the
    largest capital providers in the broader leveraged finance
    market choose not to participate in middle market lending
    because of a preference for larger, more liquid transactions.
    we expect continued strong leveraged buyout activity from
    private equity firms who currently hold large pools of
    uninvested capital earmarked for acquisitions of private middle
    market companies. These private equity firms will continue to
    seek to leverage their investments by combining their equity
    capital with leveraged loans and mezzanine debt from other
    sources.  Competitive
    advantages
    GSC
    Groups investment platform
    Experience
    sourcing and managing middle market loans
    Experienced
    management and investment committee
    Transaction
    sourcing network and relationships with middle market
    lenders
   10




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Flexible
    transaction structuring
    Access
    to GSC Groups infrastructure
    and/or
  Compliance
    policies
    Managerial
    assistance
    Competition
   11




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Staffing
    Regulation
         12




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Qualifying
    assets
                          Managerial
    assistance to portfolio companies
   13




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Temporary
    investments
  agreed-upon agreed-upon
  Indebtedness
    and senior securities
    Code
    of ethics
  Rule 17j-1
  Proxy
    voting policies and procedures
     14




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Privacy
    principles
        Other
        Co-investment
     15




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Resolution
    of potential conflicts of interest; equitable allocation of
    investment opportunities
        
    GSC European Mezzanine Fund II, L.P. has a priority on
    investments in mezzanine securities of issuers located primarily
    in Europe; and
    GSC Acquisition Company, a special acquisition company sponsored
    by GSC Group, has a business opportunity right of first review
    agreement that provides that it will have a right of first
    review prior to any other fund managed by GSC Group with respect
    to business combination opportunities with an enterprise value
    of $175 million or more until the earlier of it
    consummating an initial business combination or its liquidation. 16




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and/or
              and/or
  Compliance
    with the Sarbanes-Oxley Act and the New York Stock Exchange
    corporate governance regulations
     17




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Available
    Information
  1-800-SEC-0330. e-mail 20549-0102. http://www.sec.gov http://www.gscinvestmentcorp.com Form 10-K, Form 10-Q, Form 8-K,
  Item 1A.
    Risk
    Factors    Risks
    related to our business
  We
    have a limited operating history.
    Many
    of our portfolio investments are recorded at fair value as
    determined in good faith by our board of directors; such
    valuations are inherently uncertain and may be materially higher
    or lower than the values that we ultimately realize upon the
    disposal of such investments.
    We
    operate in a highly competitive market for investment
    opportunities.
   18




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We
    employ leverage.
      
    A likelihood of greater volatility in the net asset value and
    market price of our common stock.
    Diminished operating flexibility as a result of asset coverage
    or investment portfolio composition requirements that are more
    stringent than those imposed by the 1940 Act.
    The possibility that investments will have to be liquidated at
    less than full value or at inopportune times to comply with debt
    covenants or to pay interest or dividends on the leverage.
    Increased operating expenses due to the cost of leverage,
    including issuance and servicing costs.
    Subordination to lenders superior claims on our assets as
    a result of which lenders will be able to receive proceeds
    available in the case of our liquidation before any proceeds are
    distributed to our shareholders.   19




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Our
    ability to grow will depend on our ability to raise
    capital.
    Our
    financial condition and results of operation depend on our
    ability to manage future growth effectively.
      There
    are conflicts of interest in our relationship with our
    investment adviser and/or GSC Group that could cause them to
    make decisions that are not in the best interests of our
    stockholders.
    Co-Investment.
  Conflicts in Different Parts of Capital
    Structure.
 20




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Potential Conflicting Positions.
  Shared Legal Counsel.
  Allocation of Opportunities.
  Material Nonpublic Information.
  Cross-Trading. cross-trades.
  Our
    investment advisers base compensation may cause it to
    increase our leverage contrary to our interest.
    We may
    compete with investment vehicles of GSC Group for access to GSC
    Group.
   21




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We are
    dependent upon our investment advisers key personnel for
    our future success and upon their access to GSC Groups
    investment professionals.
    Our
    investment advisers incentive compensation may cause it to
    pursue a high risk investment strategy.
    We are
    exposed to risks associated with changes in interest
    rates.
    We may
    experience fluctuations in our quarterly results.
   22




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Our
    investment advisers liability is limited under the
    investment advisory and management agreement and we will
    indemnify our investment adviser against certain liabilities,
    which may lead our investment adviser to act in a riskier manner
    on our behalf than it would when acting for its own
    account.
    We may
    be obligated to pay our investment adviser incentive
    compensation even if we incur a net loss, regardless of the
    market value of our common stock.
        Changes
    in laws or regulations governing our operations, or changes in
    the interpretation thereof, and any failure by us to comply with
    laws or regulations governing our operations may adversely
    affect our business.
     23




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Risks
    related to our operation as a BDC
  Our
    investment adviser has limited experience in managing a
    BDC.
    A
    failure on our part to maintain our qualification as a BDC would
    significantly reduce our operating flexibility.
    We
    will be subject to corporate-level income tax if we fail to
    qualify as a RIC.
            Regulations
    governing our operation as a BDC will affect our ability to
    raise additional capital.
   24




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Our
    common stock may trade at a discount to our net asset value per
    share.
    As a
    BDC, we may have difficulty paying our required distributions if
    we recognize income before or without receiving cash in respect
    of such income.
  paid-in-kind paid-in-kind
   25




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If our
    primary investments are deemed not to be qualifying assets, we
    could fail to qualify as a BDC or be precluded from investing
    according to our current business plan.
      There
    is a risk that you may not receive distributions or that our
    distributions may not grow over time.
    The
    floating interest rate features of any indebtedness incurred by
    us could adversely affect us if interest rates
    rise.
    Risks
    related to our investments
  Our
    investments may be risky, and you could lose all or part of your
    investment.
  and/or paid-in-kind
 26




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
    limited financial resources and an inability to meet their
    obligations, which may be accompanied by a deterioration in the
    value of any collateral and a reduction in the likelihood of us
    realizing any guarantees we may have obtained in connection with
    our investment;
    shorter operating histories, narrower product lines and smaller
    market shares than larger businesses, which tend to render them
    more vulnerable to competitors actions and market
    conditions, as well as general economic downturns;
    dependence on the management talents and efforts of a small
    group of persons; the death, disability, resignation or
    termination of one or more of which could have a material
    adverse impact on the company and, in turn, on us;
    less predictable operating results and, possibly, substantial
    additional capital requirements to support their operations,
    finance expansion or maintain their competitive
    position.; and
    difficulty accessing the capital markets to meet future capital
    needs.    Economic
    recessions or downturns could impair our portfolio companies and
    harm our operating results.
      The
    debt securities in which we invest are subject to credit risk
    and prepayment risk.
  and/or
   27




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The
    lack of liquidity in our investments may adversely affect our
    business.
    Our
    investment in GSCIC CLO constitutes a leveraged investment in a
    portfolio of predominantly senior secured first lien term loans
    and is subject to additional risks and volatility.
      Available
    information about privately held companies is
    limited.
    When
    we are a debt or minority equity investor in a portfolio
    company, we may not be in a position to control the entity, and
    its management may make decisions that could decrease the value
    of our investment.
    Our
    portfolio companies may incur debt or issue equity securities
    that rank equally with, or senior to, our investments in such
    companies.
   28




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There
    may be circumstances where our debt investments could be
    subordinated to claims of other creditors or we could be subject
    to lender liability claims.
    Investments
    in equity securities involve a substantial degree of
    risk.
    
    any equity investment we make in a portfolio company could be
    subject to further dilution as a result of the issuance of
    additional equity interests and to serious risks as a junior
    security that will be subordinate to all indebtedness or senior
    securities in the event that the issuer is unable to meet its
    obligations or becomes subject to a bankruptcy process;
    to the extent that the portfolio company requires additional
    capital and is unable to obtain it, we may not recover our
    investment in equity securities; and
    in some cases, equity securities in which we invest will not pay
    current dividends, and our ability to realize a return on our
    investment, as well as to recover our investment, will be
    dependent on the success of our portfolio companies. Even if the
    portfolio companies are successful, our ability to realize the
    value of our investment may be dependent on the occurrence of a
    liquidity event, such as a public offering or the sale of the
    portfolio company. It is likely to take a significant amount of
    time before a liquidity event occurs or we can sell our equity
    investments. In addition, the equity securities we receive or
    invest in may be subject to restrictions on resale during
    periods in which it could be advantageous to sell.    
    preferred securities may include provisions that permit the
    issuer, at its discretion, to defer distributions for a stated
    period without any adverse consequences to the issuer. If we own
    a preferred security that is deferring its distributions, we may
    be required to report income for tax purposes even though we
    have not received any cash payments in respect of such income;
    preferred securities are subordinated with respect to corporate
    income and liquidation payments, and are therefore subject to
    greater risk than debt; 29




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
    preferred securities may be substantially less liquid than many
    other securities, such as common securities or
    U.S. government securities; and
    preferred security holders generally have no voting rights with
    respect to the issuing company, subject to limited exceptions.  Our
    investments in foreign debt, including that of emerging market
    issuers, may involve significant risks in addition to the risks
    inherent in U.S. investments.
      We may
    expose ourselves to risks if we engage in hedging
    transactions.
    Our
    board of directors may change our operating policies and
    strategies without prior notice or stockholder approval, the
    effects of which may be adverse.
   30




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Risks
    related to an investment in our shares
  Investing
    in our common stock may involve an above average degree of
    risk.
    The
    market price of our common stock may fluctuate
    significantly.
    
    significant volatility in the market price and trading volume of
    securities of BDCs or other companies in our sector, which are
    not necessarily related to the operating performance of these
    companies;
    changes in regulatory policies or tax rules, particularly with
    respect to RICs or BDCs;
    loss of RIC qualification;
    changes in the value of our portfolio of investments;
    any shortfall in revenue or net income or any increase in losses
    from levels expected by investors or securities analysts;
    departure of our investment advisers key personnel;
    operating performance of companies comparable to us;
    general economic trends and other external factors; and
    loss of a major funding source.  Provisions
    of our governing documents and the Maryland General Corporation
    Law could deter takeover attempts and have an adverse impact on
    the price of our common stock.
         31




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
    The Maryland Business Combination Act, which, subject to certain
    limitations, prohibits certain business combinations between us
    and an interested stockholder (defined generally as
    any person who beneficially owns 10% or more of the voting power
    of the common stock or an affiliate thereof) for five years
    after the most recent date on which the stockholder becomes an
    interested stockholder and, thereafter, imposes special minimum
    price provisions and special stockholder voting requirements on
    these combinations; and
    The Maryland Control Share Acquisition Act, which provides that
    control shares of a Maryland corporation (defined as
    shares of common stock which, when aggregated with other shares
    of common stock controlled by the stockholder, entitles the
    stockholder to exercise one of three increasing ranges of voting
    power in electing directors) acquired in a control share
    acquisition (defined as the direct or indirect acquisition
    of ownership or control of control shares) have no
    voting rights except to the extent approved by stockholders by
    the affirmative vote of at least two-thirds of all the votes
    entitled to be cast on the matter, excluding all interested
    shares of common stock.      Item 1B.
    Unresolved
    Staff Comments    Item 2.
    Properties  (212) 884-6200.
  Item 3.
    Legal
    Proceedings    Item 4.
    Submission
    of Matters to a Vote of Security Holders   PART II  Item 5.
    Market
    for Registrants Common Equity, Related Stockholder Matters
    and Issuer Purchases of Equity Securities  Price
    range of common stock
    32




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Price RangeFiscal 2008

NAV(1)


High


LowFirst Quarter

$
14.21


$
15.00


$
12.57Second Quarter

$
13.76


$
14.06


$
10.74Third Quarter

$
13.51


$
12.75


$
10.92Fourth Quarter

$
11.80


$
11.43


$
9.68     (1)
    
    Net asset value per share is determined as of the last day in
    the relevant quarter and therefore may not reflect the net asset
    value per share on the date of the high and low closing sales
    prices. The net asset values shown are based on outstanding
    shares at the end of each period.  Holders
    Dividend
    Policy
    AmountDate Declared

Record Date

Payment Date

per ShareMay 21, 2007

May 29, 2007

June 6, 2007

$
0.24August 14, 2007

August 24, 2007

August 31, 2007

$
0.36November 15, 2007

November 30, 2007

December 3, 2007

$
0.38December 28, 2007

January 18, 2008

January 28, 2008

$
0.18February 20, 2008

February 29, 2008

March 10, 2008

$
0.39Total Dividends Declared





$
1.55     and/or
   33




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Performance
    Graph
    
  Sales of
    unregistered securities
    Issuer
    purchases of equity securities
    Total Number


Maximum Numberof Shares


(or ApproximatePurchased as


Dollar Value) ofPart of Publicly


Shares that MayTotal Number


Average


Announced


Yet be Purchasedof Shares


Price Paid


Plans or


Under the Plans orPeriod

Purchased


per Share


Program


Programs(In thousands, except per share numbers)December 1, 2007 through December 31, 2007


92
(1)

$
11.1391







January 1, 2008 through January 31, 2008


27
(1)

$
10.8966







Total


118
(2)










     (1)
    
    Pursuant to our dividend reinvestment plan, we directed our plan
    administrator to purchase the indicated quantity of shares in
    the open market in order to satisfy our obligations to deliver
    share of common stock to our stockholders with respect to our
    dividend for the fourth quarter of fiscal year 2008.(2)
    
    Does not total due to rounding. 34




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##### Table of Contents



Item 6.
    Selected
    Financial Data    GSC
    INVESTMENT CORP.
    SELECTED FINANCIAL DATA
    For the Year Ended February 29, 2008
  Year EndedFebruary 29, 2008($ in thousands,except share andper share numbers)Income Statement Data:Interest and related portfolio income:Interest

$
20,744Management fee and other income


642Total interest and related portfolio income


21,386Expenses:Interest and credit facility financing expenses


5,031Base management and incentive management
    fees(1)


3,650Administrator expenses


892Administrative and other


2,766Expense reimbursement


(1,789
)Total operating expenses


10,550Net Investment Income before income taxes


10,836Income tax expenses, including excise tax


(89
)Net Investment Income


10,747Realized and unrealized gain (loss) on investments and
    derivativesNet realized gain


3,908Net change in unrealized loss


(20,106
)Total net loss


(16,198
)Net decrease in net assets resulting from operations

$
(5,451
)Per Share:Earnings per common share  basic and
    diluted(2)

$
(0.70
)Net investment income per share  basic and
    diluted(2)

$
1.38Net realized and unrealized gain (loss) per
    share  basic and
    diluted(2)

$
(2.08
)Dividends declared per common
    share(3)

$
1.55 35




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##### Table of Contents



Year EndedFebruary 29, 2008($ in thousands,except share andper share numbers)Balance Sheet Data:Investment assets at fair value

$
172,837Total assets


192,842Total debt outstanding


78,450Stockholders equity


97,869Net asset value per common share

$
11.80Common shares outstanding at end of year


8,291,384Other Data:Investments funded


314,003Principal collections related to investment repayments or sales


141,772Number of portfolio investments at year end


46Weighted average yield of income producing debt
    investments  Non-control/non-affiliate


10.7
%Weighted average yield on income producing debt
    investments  Control


8.2
%   Quarterly
    Data
  2008Qtr 4


Qtr 3


Qtr 2


Qtr 1($ in thousands, except per share numbers)(Unaudited)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     (1)
    
    See note 6 in consolidated financial statements.(2)
    
    Calculated using weighted average common shares outstanding for
    the year of 7,761,965.(3)
    
    Based on 8,291,384 common shares outstanding 36




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##### Table of Contents



Item 7.
    Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations    Overview
      Revenues
  paid-in-kind. paid-in-kind,
  and/or
   37




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##### Table of Contents



Expenses
    
    organization;
    calculating our net asset value (including the cost and expenses
    of any independent valuation firm);
    expenses incurred by our investment adviser payable to third
    parties, including agents, consultants or other advisers, in
    monitoring our financial and legal affairs and in monitoring our
    investments and performing due diligence on our prospective
    portfolio companies;
    interest payable on debt, if any, incurred to finance our
    investments;
    offerings of our common stock and other securities;
    investment advisory and management fees;
    administration fees; fees payable to third parties, including
    agents, consultants or other advisers, relating to, or
    associated with, evaluating and making investments; transfer
    agent and custodial fees;
    registration fees; listing fees;
    taxes;
    independent directors fees and expenses;
    costs of preparing and filing reports or other documents of the
    SEC;
    the costs of any reports;
    proxy statements or other notices to stockholders, including
    printing costs;
    to the extent we are covered by any joint insurance policies,
    our allocable portion of the insurance premiums for such joint
    policies;
    direct costs and expenses of administration, including auditor
    and legal costs; and
    all other expenses incurred by us or our administrator in
    connection with administering our business.   38




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##### Table of Contents




    A fee, payable quarterly in arrears, equal to 20% of our
    pre-incentive fee net investment income, expressed as a rate of
    return on the value of the net assets at the end of the
    immediately preceding quarter, that exceeds a 1.875% quarterly
    (7.5% annualized) hurdle rate measured as of the end of each
    fiscal quarter. Under this provision, in any fiscal quarter, our
    investment adviser receives no incentive fee unless our
    pre-incentive fee net investment income exceeds the hurdle rate
    of 1.875%. Amounts received as a return of capital are not
    included in calculating this portion of the incentive fee. Since
    the hurdle rate is based on net assets, a return of less than
    the hurdle rate on total assets may still result in an incentive
    fee.
    A fee, payable at the end of each fiscal year, equal to 20% of
    our net realized capital gains, if any, computed net of all
    realized capital losses and unrealized capital depreciation, in
    each case on a cumulative basis, less the aggregate amount of
    capital gains incentive fees paid to the investment adviser
    through such date.    Portfolio
    and investment activity
          
    1.00-2.00 represents investments that hold senior positions in
    the capital structure and, typically, have low financial
    leverage
    and/or
    strong historical operating performance;
    2.00-3.00 represents investments that hold relatively senior
    positions in the capital structure, either senior secured,
    senior unsecured, or senior subordinate, and have moderate
    financial leverage
    and/or are
    performing at or above expectations; 39




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##### Table of Contents




    3.00-4.00 represents investments that are junior in the capital
    structure, have moderate financial leverage
    and/or are
    performing at or below expectations; and
    4.00-5.00 represents investments that are highly leveraged
    and/or have
    poor operating performance.        Portfolio
    CMR Distribution as of February 29, 2008
  Investments at


Percentage ofNumerical Debt Score

Fair Value


Total Portfolio($ in thousands)1.00 - 1.99

$
11,863



6.9
%2.00 - 2.99


87,423



50.63.00 - 3.99


44,459



25.74.00 - 4.99


0



0.05.00


0



0.0N/A(1)


29,092



16.8Total

$
172,837



100.0
%   Investments at


Percentage ofCorporate Letter Rating

Fair Value


Total Portfolio($ in thousands)A

$
0



0.0
%B


112,019



64.8C


31,726



18.4D


0



0.0E


0



0.0F


0



0.0N/A(1)


29,092



16.8Total

$
172,837



100.0
%     (1)
    
    $0.2 million constitutes our investment in the partnership
    interests of CDO Fund III and $28.9 million
    constitutes our investment in the subordinated notes of GSCIC
    CLO. CMR ratings are intended for corporate issuers and are
    inapplicable to subordinated CLO investments, which are subject
    to unique payment risks. (See Part I, Item 1A
    Risk Factors  Risks related to our
    investments  Our investment in GSCIC CLO constitutes
    a leveraged investment in a portfolio of predominantly senior
    secured first lien term loans and is subject to additional risks
    and volatility). GSCIC CLOs portfolio investments
    are individually graded, however, and over 90% have a numerical
    debt score of less than 2.99 and a corporate letter rating of A
    or B.   40




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##### Table of Contents



Portfolio
    composition by industry grouping at fair value as of February
    29, 2008
  Investments at


Percentage ofFair Value


Total Portfolio($ in thousands)Structured Finance
    Securities(1)

$
28,915



16.7
%Automotive


22,158



12.8Packaging


16,370



9.5Manufacturing


15,030



8.7Consumer Products


10,021



5.8Publishing


9,289



5.4Apparel


8,004



4.6Oil and Gas


7,738



4.5Electronics


6,377



3.7Healthcare Services


6,040



3.5Homebuilding


5,912



3.4Metals


5,129



3.0Environmental


5,066



2.9Natural Resources


4,167



2.4Agriculture


3,850



2.2Financial Services


3,815



2.2Building Products


2,964



1.7Logistics


2,688



1.6Retail


2,179



1.3Gaming


1,730



1.0Insurance


1,700



1.0Education


1,546



0.9Consumer Services


1,290



0.7Restaurants


859



0.5Total

$
172,837



100.0
%     (1)
    
    $0.2 million constitutes our investment in the partnership
    interests of CDO Fund III and $28.9 million
    constitutes our investment in the subordinated notes of GSCIC
    CLO. 41




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##### Table of Contents



Portfolio
    composition by geographic location at fair value as of February
    29, 2008
  Investments at


Percentage ofFair Value


Total Portfolio($ in thousands)Midwest

$
40,109



23.2
%Southeast


33,685



19.5Other(1)


29,092



16.8West


24,450



14.2Mid-Atlantic


20,367



11.8International


13,739



7.9Northeast


11,395



6.6Total

$
172,837



100.00
%     (1)
    
    $0.2 million constitutes our investment in the partnership
    interests of CDO Fund III and $28.9 million
    constitutes our investment in the subordinated notes of GSCIC
    CLO.    Results
    of operations
  Investment
    income
    Operating
    expenses
      Net
    realized gains/losses on sales of investments
     42




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##### Table of Contents



Net
    unrealized appreciation/depreciation on
    investments
      Net
    realized gains/losses on derivatives
    Net
    unrealized appreciation/depreciation on
    derivatives
    Changes
    in net asset value from operations
    Financial
    condition, liquidity and capital resources
         43




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##### Table of Contents



non-amortized
      Fair Value


Percent of Total($ in thousands)Cash and cash equivalents

$
1,073



0.6
%Cash and cash equivalents, securitization accounts


14,581



7.7First lien term loans


26,362



14.0Second lien term loans


62,446



33.1Senior secured notes


31,657



16.8Unsecured notes


23,280



12.4Other/structured finance securities


28,915



15.3Equity/limited partnership interests


176



0.1Total

$
188,490



100.0
%   Contractual
    obligations
    Payment Due by PeriodLess Than 1


1 - 3


3 - 5


More Than 5Contractual Obligations

Total


Year


Years


Years


Years($ in thousands)Long-Term Debt Obligations

$
78,450










$
78,450   Off-balance
    sheet arrangements
    Item 7A.
    Quantitative
    and Qualitative Disclosures about Market Risk   44




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##### Table of Contents



Interest
    Rate Risk
            Portfolio
    Valuation
       45




---



##### Table of Contents



Percent of TotalFair Value


Investments($ in thousands)Third party independent valuation firm

$
39,339



22.8
%Market maker, broker quotes


51,505



29.8Discounted cash flows model


28,915



16.7Interest rate yield trend analysis


15,355



8.9Other


176



0.1Total fair valued investments

$
135,290



78.3
%   Item 8.
    Financial
    Statements and Supplementary Data  page F-1.
  Item 9.
    Changes
    in and Disagreements with Accountants on Accounting and
    Financial Disclosure    Item 9A(T).
    Controls
    and Procedures  Evaluation
    of disclosure controls and procedures
  Rule 13a-15(e)
  Managements
    annual report on internal control over financial
    reporting
  Rule 13a-15(f) Internal Control-Integrated Framework Internal Control-Integrated Framework
    Changes
    in internal controls over financial reporting.
  Rule 13a-15(f)
 46




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##### Table of Contents



Item 9B.
    Other
    Information   PART III  Item 10.
    Directors,
    Executive Officers and Corporate Governance    Item 11.
    Executive
    Compensation    Item 12.
    Security
    Ownership of Certain Beneficial Owners and Management and
    Related Stockholder Matters    Item 13.
    Certain
    Relationships and Related Transactions, and Director
    Independence    Item 14.
    Principal
    Accountant Fees and Services   PART IV  Item 15.
    Exhibits
    and Consolidated Financial Statement Schedules  Consolidated
    Financial Statements
                  47




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##### Table of Contents



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.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) 48




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##### Table of Contents



ExhibitNumber

Description10
.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)10
.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.10
.37

Indemnification Agreement dated October 9, 2007 between GSC
    Investment Corp. and David Rice, as member of the disclosure
    committee of GSC Investment Corp14
.1

Code of Ethics of the Company adopted under
    Rule 17j-1.(3)21
.1

List of Subsidiaries.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. 49




---



##### Table of Contents



(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.(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 50




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##### Table of Contents



SIGNATURES    GSC Investment Corp.
  By
    /s/  Thomas
    V. Inglesby  Thomas V. Inglesby
 Director and Chief Executive Officer,
 GSC Investment Corp.
    * * * * *
    Signature

Title

Date/s/  Richard
    M. HaydenRICHARD
    M. HAYDEN

Chairman of the Board of Directors

May 20, 2008/s/  Thomas
    V. InglesbyTHOMAS
    V. INGLESBY

Director and Chief Executive Officer

May 20, 2008/s/  Richard
    T. Allorto, Jr.RICHARD
    T. ALLORTO, JR.

Chief Financial Officer and 
    Chief Accounting Officer

May 20, 2008/s/  Robert
    F. Cummings Jr.ROBERT
    F. CUMMINGS, JR.

Member of the Board of Directors

May 20, 2008/s/  Peter
    K. BarkerPETER
    K. BARKER

Member of the Board of Directors

May 20, 2008/s/  Steven
    M. LooneySTEVEN
    M. LOONEY

Member of the Board of Directors

May 20, 2008/s/  Charles
    S. Whitman IIICHARLES
    S. WHITMAN III

Member of the Board of Directors

May 20, 2008/s/  G.
    Cabell WilliamsG.
    CABELL WILLIAMS

Member of the Board of Directors

May 20, 2008  51




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##### Table of Contents



INDEX TO
    CONSOLIDATED FINANCIAL STATEMENTS  Reports of Independent Registered Public Accounting Firm


F-2Consolidated Balance Sheets as of
    February 29, 2008 and February 28, 2007


F-3Consolidated Statements of Operations for the
    year ended 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 29, 2008


F-5Consolidated Statements of Changes in Net Assets
    for the year ended February 29, 2008, and for the period
    from May 12, 2006 (date of inception) to February 28,
    2007


F-8Consolidated Statements of Cash Flows for the
    year ended February 29, 2008, and for the period from
    May 12, 2006 (date of inception) to February 28,
    2007


F-9Notes to Consolidated Financial Statements


F-10  F-1




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##### Table of Contents



F-2




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##### Table of Contents



GSC
    Investment Corp.
  Consolidated
    Balance Sheets
  As ofFebruary 29, 2008


February 28, 2007ASSETSInvestments at fair valueNon-control/non-affiliate investments (amortized cost of
    $162,888,724)

$
143,745,269


$
Control investments (amortized cost of $30,000,000)


29,075,299



Affiliate investments (amortized cost of $0)


16,233



Total investments at fair value (amortized cost of $192,888,724
    and $0, respectively)


172,836,801



Cash and cash equivalents


1,072,641



1,030Cash and cash equivalents, securitization accounts


14,580,973



Outstanding interest rate cap at fair value (cost of $131,000
    and $0, respectively)


76,734



Interest receivable


2,355,122



Due from manager


940,903



Management fee receivable


215,914



Other assets


39,349



Deferred credit facility financing costs, net


723,231



Deferred offering costs






808,617Total assets

$
192,841,668


$
809,647LIABILITIESRevolving credit facility

$
78,450,000


$
Payable for unsettled trades


11,329,150



Dividend payable


3,233,640



Management and incentive fees payable


943,061



Accounts payable and accrued expenses


713,422



105,000Interest and credit facility fees payable


292,307



Due to affiliate


11,048



73,810Accrued offering cost






760,000Total liabilities

$
94,972,628


$
938,810STOCKHOLDERS EQUITY (DEFICIT)Common stock, par value $.0001 per share, 100,000,000 common
    shares authorized, 8,291,384 and 67 common shares issued and
    outstanding, respectively


829



Capital in excess of par value


116,218,966



1,000Accumulated undistributed net investment income


455,576



(130,163
)Accumulated undistributed net realized gain on sale of
    investments and derivatives


1,299,858



Net unrealized depreciation on investments and derivatives


(20,106,189
)


Total stockholders equity (deficit)


97,869,040



(129,163
)Total liabilities and stockholders equity

$
192,841,668


$
809,647NET ASSET VALUE PER SHARE

$
11.80



n/a    F-3




---



##### Table of Contents



GSC
    Investment Corp.
  Consolidated
    Statements of Operations
  For the Period fromMay 12, 2006For the Year Ended


(Date of Inception)February 29, 2008


to February 28, 2007INVESTMENT INCOMEInterest from investmentsNon-Control/Non-Affiliate investments

$
20,115,301


$
Control investments


262,442



Total interest and dividend income


20,377,743



Interest from cash and cash equivalents


366,312



30Management fee income


599,476



Other income


42,548



Total investment income


21,386,079



30EXPENSESInterest and credit facility financing expenses


5,031,233



Base management fees


2,938,659



Professional fees


1,409,806



35,000Administrator expenses


892,112



Incentive management fees


711,363



Insurance


586,784



Directors fees


313,726



General & administrative


261,653



Cost of acquiring management contract


144,000



Organizational expense


49,542



95,193Expenses before manager reimbursement


12,338,878



130,193Expense reimbursement


(1,789,028
)


Total expenses net of expense reimbursement


10,549,850



130,193NET INVESTMENT INCOME (LOSS) BEFORE INCOME TAXES


10,836,229



(130,163
)Income tax expense, including excise tax


(88,951
)


NET INVESTMENT INCOME (LOSS)


10,747,278



(130,163
)REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:Net realized gain from investmentsNon-Control/Non-Affiliate investments


2,707,402



Control investments


428,673



Affiliate investments


39,147Net realized gain from derivatives


732,526



Net unrealized depreciation on investments


(20,051,923
)


Net unrealized depreciation on derivatives


(54,266
)


Net loss on investments


(16,198,441
)


NET DECREASE IN NET ASSETS FROM OPERATIONS

$
(5,451,163
)

$
(130,163
)WEIGHTED AVERAGE  BASIC AND DILUTED EARNINGS PER
    COMMON SHARE

$
(0.70
)


n/aWEIGHTED AVERAGE COMMON STOCK 
    OUTSTANDING  BASIC AND DILUTED


7,761,965



67    F-4




---



##### Table of Contents



GSC
    Investment Corp.
  Consolidated
    Schedule of Investments
 February 29,
    2008
  % ofStockholdersCompany(a)

Industry

Investment

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(c, 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(c, 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(c, 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(c, 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(c, d)

Education

First Lien Term Loan 5.54%, 12/31/2010


1,736,766



1,571,773



1,545,721



1.6
%Group Dekko(c, 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.(c, 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(c, 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
%McMillin Companies LLC(c, d)

Homebuilding

Senior Secured Notes 9.53%, 4/30/2012


7,700,000



7,194,636



5,912,060



6.0
% F-5




---



##### Table of Contents



% ofStockholdersCompany(a)

Industry

Investment

Principal


Cost


Fair Value


EquityAsurion 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(c, d)

Logistics

First Lien Term Loan 7.89%, 6/30/2013


2,973,362



2,966,658



2,687,919



2.7
%Jason Incorporated(c, d)

Manufacturing

Unsecured Notes 13.00%,
    11/1/2008


12,000,000



12,000,000



11,712,000



12.0
%Jason Incorporated(c, 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
%Edgen Murray II, L.P.(c, 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(c, 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.(c, d)

Packaging

First Lien Term Loan 8.71%, 9/22/2011


6,516,244



6,491,835



4,298,114



4.4
%Stronghaven, Inc.(c, 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.(c, 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.(c, 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.(c, 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(c, 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.(c, d)

Publishing

Unsecured Notes 10.75%,
    12/1/2013


5,000,000



5,095,198



4,400,000



4.5
%Penton Media, Inc.(c, 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(c, g)

Financial Services

100% membership interest










160,153



0.2
%GSC Investment Corp. CLO 2007 LTD.(c, 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(c, f)

Financial Services

6.24% Partnership interest










16,233



0.0
%TOTAL INVESTMENT ASSETS  176.6%(b)









$
192,888,724


$
172,836,801



176.6
%  F-6




---



##### Table of Contents



Outstanding
    interest rate cap
  % ofStockholdersInterest Rate


Maturity


Notional


Cost


Fair Value


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
%     (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.(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:  Management



NetInterest

Fee

Net Realized

UnrealizedCompany

Purchases

Redemptions

Sales (Cost)

Income

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 (g) securities. Transactions during the period in
    which the issuer was both an Affiliate and a portfolio company
    that we Control are as follows:  Management



NetInterest

Fee

Net Realized

UnrealizedCompany

Purchases

Redemptions

Sales (Cost)

Income

Income

Gains/(Losses)

Gains/(Losses)GSC Investment Corp. CLO 2007 LTD.

$
30,000,000


$



$



$
262,442


$
215,914


$



$
(1,084,854
)GSC CDO III, LLC

$
13,574,694


$
14,003,367


$



$



$



$
428,673


$
160,153    F-7




---



##### Table of Contents



GSC
    Investment Corp.
  Consolidated
    Statements of Changes in Net Assets
  For the Period fromMay 12, 2006 (DateFor the Year Ended


of Inception)February 29, 2008


to February 28, 2007OPERATIONS:Net investment income (loss)

$
10,747,278


$
(130,163
)Net realized gain from investments


3,175,222



Net realized gain from derivatives


732,526



Net unrealized depreciation on investments


(20,051,923
)


Net unrealized depreciation on derivatives


(54,266
)


Net decrease in net assets from operations


(5,451,163
)


(130,163
)SHAREHOLDER DISTRIBUTIONS:Distributions declared


(12,851,645
)


Net decrease in net assets from shareholder distributions


(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


97,998,203



(129,163
)Net assets at beginning of year/period


(129,163
)


Net assets at end of year/period

$
97,869,040


$
(129,163
)Net asset value per common share

$
11.80



n/aCommon shares outstanding at end of period


8,291,384



67    F-8




---



##### Table of Contents



GSC
    Investment Corp.
  Consolidated
    Statements of Cash Flows
  For the Period fromMay 12, 2006 (DateFor the Year Ended


of Inception)February 29, 2008


to February 28, 2007Operating activitiesNET DECREASE IN NET ASSETS FROM OPERATIONS

$
(5,451,163
)

$
(130,163
)ADJUSTMENTS TO RECONCILE NET DECREASE IN NET ASSETS FROM
    OPERATIONS TO NET CASH USED IN OPERATING ACTIVITIES:Paid-in-kind
    interest income


(365,592
)


Net accretion of discount on investments


(765,255
)


Amortization of deferred credit facility financing costs


502,468



Net realized gain from investments


(3,175,222
)


Net realized gain from derivatives


(732,526
)


Net unrealized depreciation on investments


20,051,923



Unrealized depreciation on derivatives


54,266



Proceeds from sale and redemption of investments


141,772,158



Purchase of investments


(314,002,526
)


(Increase) derease in operating assets and liabilities:Cash and cash equivalents, securitization accounts


(14,580,973
)


Interest receivable


(2,355,122
)


Due from manager


(940,903
)


Management fee receivable


(215,914
)


Other assets


(39,349
)


Deferred offering costs


808,617



(808,617
)Payable for unsettled trades


11,329,150



Management and incentive fees payable


943,061



Accounts payable and accrued expenses


608,422



105,000Interest and credit facility fees payable


292,307



Due to affiliate


(62,762
)


73,810Accrued offering costs


(760,000
)


760,000NET CASH (USED) PROVIDED BY OPERATING ACTIVITIES


(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


167,958,119



Paydowns on debt


(89,508,119
)


Credit facility financing cost


(1,225,699
)


Cost of interest rate cap


(131,000
)


Payments of cash dividends


(9,618,005
)


NET CASH PROVIDED BY FINANCING ACTIVITIES


168,156,546



1,000CHANGE IN CASH AND CASH EQUIVALENTS


1,071,611



1,030CASH AND CASH EQUIVALENTS, BEGINNING OF YEAR/PERIOD


1,030



CASH AND CASH EQUIVALENTS, END OF YEAR/PERIOD

$
1,072,641


$
1,030Supplemental Information:Interest paid during the year/period

$
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

$
365,592



n/aNet accretion of discount on investments

$
765,255



n/aAmortization of deferred credit facility financing costs

$
502,468



n/a    F-9




---



##### Table of Contents



GSC
    INVESTMENT CORP.
  NOTES TO
    CONSOLIDATED FINANCIAL STATEMENTS
  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
   F-10




---



##### Table of Contents



GSC
    INVESTMENT CORP.
  NOTES TO
    CONSOLIDATED FINANCIAL
    STATEMENTS  (Continued)
    Risk
    Management
        Investment
    Classification
    Investment
    Valuation
  Fair
    Value of Financial Instruments
  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; F-11




---



##### Table of Contents



GSC
    INVESTMENT CORP.
  NOTES TO
    CONSOLIDATED FINANCIAL
    STATEMENTS  (Continued)
   
    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.      Derivative
    Financial Instruments
    Income
    Recognition
    EITF 99-20, and/or
 F-12




---



##### Table of Contents



GSC
    INVESTMENT CORP.
  NOTES TO
    CONSOLIDATED FINANCIAL
    STATEMENTS  (Continued)
  Paid-in-Kind
    Interest
  paid-in-kind
  Organizational
    Expenses
      Offering
    Costs
    Deferred
    Credit Facility Financing Costs
    Indemnifications
    Income
    Taxes
       F-13




---



##### Table of Contents



GSC
    INVESTMENT CORP.
  NOTES TO
    CONSOLIDATED FINANCIAL
    STATEMENTS  (Continued)
    Accounting for Uncertainty in Income Taxes  an
    interpretation of FASB Statement No. 109 Accounting for Income Taxes, FIN 48-1, Definition of Settlement in FASB Interpretation No. 48 FIN 48-1), FIN 48-1 FIN 48-1
  Dividends
      New
    Accounting Pronouncements
     F-14




---



##### Table of Contents



GSC
    INVESTMENT CORP.
  NOTES TO
    CONSOLIDATED FINANCIAL
    STATEMENTS  (Continued)
    Note 3.
    Investments    Investments at





Fair ValueAmortized


Investments


Percentage ofCost


at Fair Value


Total PortfolioFirst lien term loans

$
29,660


$
26,362



15.25
%Second lien term loans


70,819



62,446



36.13Senior secured notes


35,024



31,657



18.32Unsecured notes


27,386



23,281



13.47Structured Finance Securities


30,000



28,915



16.73Equity/limited partnership interest


0



176



0.10Total

$
192,889


$
172,837



100.0
%     Note 4.
    Investment
    in GSC Investment Corp. CLO 2007, Ltd.    Note 5.
    Income
    Taxes     F-15




---



##### Table of Contents



GSC
    INVESTMENT CORP.
  NOTES TO
    CONSOLIDATED FINANCIAL
    STATEMENTS  (Continued)
    Accumulated net investment income/(loss)

$
1,197Accumulated net realized gains (losses) on investments


(1,115
)Additional
    paid-in-capital


(82
)     Ordinary income(a)

$
12,483Capital gains


369Return of capital


Total

$
12,852     (a)
    
    Ordinary income is reported on
    Form 1099-DIV
    as non-qualified.      Accumulated capital gains/(losses)

$
Other temporary differences


(3,283
)Undistributed ordinary income


5,091Unrealized depreciation


(35,226
)Components of distributable earnings

$
(33,418
)   Note 6.
    Agreements  and/or
 F-16




---



##### Table of Contents



GSC
    INVESTMENT CORP.
  NOTES TO
    CONSOLIDATED FINANCIAL
    STATEMENTS  (Continued)
                   F-17




---



##### Table of Contents



GSC
    INVESTMENT CORP.
  NOTES TO
    CONSOLIDATED FINANCIAL
    STATEMENTS  (Continued)
    Note 7.
    Borrowings           F-18




---



##### Table of Contents



GSC
    INVESTMENT CORP.
  NOTES TO
    CONSOLIDATED FINANCIAL
    STATEMENTS  (Continued)
  Note 8.
    Interest
    Rate Cap Agreements        Interest





FairInstrument

Type

Notional


Rate


Maturity


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.
    Warehouse
    Agreement  Off Balance Sheet Agreement      Note 10.
    Directors
    Fees   F-19




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##### Table of Contents



GSC
    INVESTMENT CORP.
  NOTES TO
    CONSOLIDATED FINANCIAL
    STATEMENTS  (Continued)
    Note 11.
    Stockholders
    Equity        Note 12.
    Earnings
    Per Share    Basic and dilutedNet decrease in net assets from operations

$
(5,451
)Weighted average common shares outstanding


7,761,965Earnings per common share-basic and diluted

$
(0.70
)   Note 13.
    Dividend    Amount 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-20




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##### Table of Contents



GSC
    INVESTMENT CORP.
  NOTES TO
    CONSOLIDATED FINANCIAL
    STATEMENTS  (Continued)
   Note 14.
    Financial
    Highlights    Per share data:Public offering cost at IPO, March 23, 2008

$
15.00Sales load


(0.85
)Offering cost


(0.12
)Net asset value at IPO


14.03Net investment income(1)


1.30Net realized gains on investments and derivatives


0.47Net unrealized depreciation on investments and derivatives


(2.45
)*Net decrease in stockholders equity


(0.68
)Distributions declared from net investment income


(1.37
)Distributions declared from net realized capital gains


(0.18
)Total distributions to stockholders


(1.55
)Net asset value at end of period

$
11.80Net assets at end of period

$
97,869,040Shares outstanding during of period


8,291,384Per share market value at end of period

$
11.04Total return based on market value(2)


(16.07
)%Total return based on net asset value(3)


(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)


8.11
%Ratio of operating expenses to average net assets(4)


5.91
%Ratio of incentive management fees to average net assets


0.64
%Ratio of credit facility related expenses to average net assets


4.51
%Ratio of total expenses to average net assets(4)


11.05
%    (1)
    
    Net investment income excluding expense reimbursement equals
    $1.08 per share.(2)
    
    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 dividends of $0.24, $0.36, $0.38, $0.18, and $0.39 per
    share for stockholders of record on May 29, 2007,
    August 24, 2007, November 30, 2007, January 18,
    2008, and February 29, 2008, respectively, divided by the
    IPO offering price per share. Total return based on market value
    is not annualized.(3)
    
    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 dividends of $0.24, $0.36,
    $0.38, $0.18, and $0.39 per share for stockholders of record on
    May 29, 2007, August 24, 2007, November 30, 2007,
    January 18, 2008, and February 29, 2008, respectively,
    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 29, 2008, incorporating the
    expense reimbursement arrangement, the ratio of net investment
    income, operating expenses, total expenses to average net assets
    is 9.63%, 4.31%, and 9.45%, respectively. F-21




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##### Table of Contents



GSC
    INVESTMENT CORP.
  NOTES TO
    CONSOLIDATED FINANCIAL
    STATEMENTS  (Continued)
   Note 15.
    Related
    Party Transactions          Note 16.
    Selected
    Quarterly Data (Unaudited)  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 17.
    Subsequent
    Events   F-22




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##### Table of Contents



GSC
    INVESTMENT CORP.
  NOTES TO
    CONSOLIDATED FINANCIAL
    STATEMENTS  (Continued)
   F-23