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| R | ANNUAL REPORT PURSUANT TO      SECTION 13 OR 15(d) OF THE SECURITIESEXCHANGE ACT OF      1934 |
|---|-----------------------------------------------------------------------------------------------|

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

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| Maryland                             | 20-8700615                  |
|--------------------------------------|-----------------------------|
| (State      or other jurisdiction of | (I.R.S.      Employer       |
| incorporation      or organization)  | Identification      Number) |

| Title      of Each Class                       |   | Name      of Each Exchange on Which Registered |
|------------------------------------------------|--------|------------------------------------------------|
| Common      Stock, par value $0.0001 per share |   | The      New York Stock Exchange               |

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| Large      accelerated filer £ | Accelerated      filer  £                                                           | Non-accelerated      filer   R | Smaller      reporting company  £ |
|-------------------------------------|----------------------------------------------------------------------------------------------------|-----------------------------------------------|--------------------------------------------------|
|                                |         (Do not      check if a smaller reporting company) |                                          |

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|   | • | our      future operating results; |
|--------|---------|------------------------------------|

|   | • | our      business prospects and the prospects of our portfolio      companies; |
|--------|---------|--------------------------------------------------------------------------------|

|   | • | the      impact of investments that we expect tomake; |
|--------|---------|-------------------------------------------------------|

|   | • | 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 weinvest; |
|--------|---------|---------------------------------------------------------------------------------------------------------------------------|

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

|   | • | our      expected financings andinvestments; |
|--------|---------|----------------------------------------------|

|   | • | 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; |
|--------|---------|---------------------------------------------------------------------------------------------|

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

|   | • | continued      access to our RevolvingFacility. |
|--------|---------|-------------------------------------------------|

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|                                                                                                                                                                           | Page   |
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|
|                                                                                                                                                                           |   |
| PART      I                                                                                                                                                                    | 4      |
| Item      1. Business                                                                                                                                                          | 4      |
| Item      1A. Risk Factors                                                                                                                                                     | 19     |
| Item      1B. Unresolved Staff Comments                                                                                                                                        | 35     |
| Item      2. Properties                                                                                                                                                        | 36     |
| Item      3. Legal Proceedings                                                                                                                                                 | 36     |
| PART      II                                                                                                                                                                   | 37     |
| Item      5. Market for Registrant's Common Equity, Related Stockholder Matters and      Issuer Purchases of Equity Securities         | 37     |
| Item      6. Selected Financial Data                                                                                                                                           | 39     |
| Item      7. Management's Discussion and Analysis of Financial Condition and Results      of Operations                                                                        | 40     |
| Item      7A. Quantitative and Qualitative Disclosures about Market    Risk                                                                                                    | 53     |
| Item      8. Financial Statements and Supplementary Data                                                                                                                       | 54     |
| Item      9. Changes in and Disagreements with Accountants on Accounting and      Financial Disclosure                                                                         | 54     |
| Item      9A. Controls and Procedures                                                                                                                                          | 55     |
| Item      9B. Other Information                                                                                                                                                | 55     |
| PART      III                                                                                                                                                                  | 56     |
| Item      10. Directors, Executive Officers and Corporate Governance                                                                                                           | 56     |
| Item      11. Executive Compensation                                                                                                                                           | 56     |
| Item      12. Security Ownership of Certain Beneficial Owners and Management and      Related Stockholder Matters                                                              | 56     |
| Item      13. Certain Relationships and Related Transactions, and Director      Independence                                                                                   | 56     |
| Item      14. Principal Accountant Fees and Services                                                                                                                           | 56     |
| PART      IV                                                                                                                                                                   | 57     |
| Item      15. Exhibits and Consolidated Financial StatementSchedules                                                                                                           | 57     |
| Signatures                                                                                                                                                                     | 62     |
| Consolidated      Financial Statements                                                                                                                                         | F-1    |

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|   | • | a      history of generating stable earnings and strong free cash      flow; |
|--------|---------|------------------------------------------------------------------------------|

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|   | • | 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. |
|--------|---------|---------------------------------------------------------------------------------------|

|   | • | bottoms-up,      company-specific research andanalysis; |
|--------|---------|---------------------------------------------------------|

|   | • | capital      preservation, low volatility and minimization of downside risk;      and |
|--------|---------|---------------------------------------------------------------------------------------|

|   | • | investing      with experienced management teams that hold meaningful equity ownership in      their businesses. |
|--------|---------|------------------------------------------------------------------------------------------------------------------|

|   | • | 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, 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 votingrights. |
|--|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | 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.  Our Chief Executive Officer, Seth M.      Katzenstein, has sole discretionary authority to make purchases or sales      below $10 million per issuer, subject to certain aggregate      limits. |
|--------|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|   | • | 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. |
|--------|---------|-----------------------------------------------------------------------------------------|

|   | • | 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 participationrights. |
|--------|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | 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 independently      values at least one quarter of our investments each quarter so that the      valuation of each investment for which market quotes are not readily      available is independently valued by an independent valuation firm at      least annually. |
|--------|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|   | • | 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. |
|--------|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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| (1) | The      methodology used by GSC Group to calculate its assets under management      varies with the nature of the account and represents (i) the sum of cash,      uncalled capital commitments, as applicable, and the market value of each      investment or (ii) the principal balance of the underlying assets adjusted      for defaulted securities plus the market value of equity securities, all      as measured under the relevant account documents. In all cases, the fair      value (as determined in accordance with U.S. GAAP) of the underlying      assets may differ significantly from the assets under management as forth      above. Assets under management does not include pooled investment vehicles      comprised of asset-backed securities that are co-managed by GSC Group with      a sub-advisor. |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|  | (1) | Securities      purchased in transactions not involving any public offering from the      issuer of such securities, which issuer (subject to certain limited      exceptions) is an eligible portfolio company, or from any person who is,      or has been during the preceding 13 months, an affiliated person of an      eligible portfolio company, or from any other person, subject to such      rules as may be prescribed by the SEC. An eligible portfolio company is      defined in the 1940 Act as any issuerwhich: |
|--|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | (a) | is      organized under the laws of, and has its principal place of business in,      the United States; |
|--------|-----|----------------------------------------------------------------------------------------------------------|

|   | (b) | is      not an investment company (other than a small business investment company      wholly owned by the BDC) or a company that would be an investment company      but for certain exclusions under the 1940 Act;  and |
|--------|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | (c) | satisfies      either of the following: |
|--------|-----|-----------------------------------------|

|   | (i) | does      not have any class of securities listed on a national securities      exchange; |
|--------|-----|-------------------------------------------------------------------------------------------|

|   | (ii) | has      a class of securities listed on a national securities exchange but has an      aggregate market value of outstanding voting and non-voting common equity      of less than $250 million; |
|--------|------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | (iii) | is      controlled by a business development company or a group of companies      including a business development company and the business development      company has an affiliated person who is a director of the eligible      portfolio company; |
|--------|-------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | (iv) | is      a small and solvent company having total assets of not more than $4      million and capital and surplus of not less than $2 million;      or |
|--------|------|-------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | (v) | meets      such other criteria as may established by the  SEC. |
|--------|-----|----------------------------------------------------------------|

|  | (2) | Securities      of any eligible portfolio company which we  control. |
|--|-----|----------------------------------------------------------------------|

|  | (3) | Securities      purchased in a private transaction from a U.S. issuer that is not an      investment company or from an affiliated person of the issuer, or in      transactions incident thereto, if the issuer is in bankruptcy and subject      to reorganization or if the issuer, immediately prior to the purchase of      its securities was unable to meet its obligations as they came due without      material assistance other than conventional lending or financing      arrangements. |
|--|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|  | (4) | Securities      of an eligible portfolio company purchased from any person in a private      transaction if there is no ready market for such securities and we already      own at least 60% of the outstanding equity of the eligible portfolio      company. |
|--|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | (5) | Securities      received in exchange for or distributed on or with respect to securities      described in (1) through (4) above, or pursuant to the exercise of      options, warrants or rights relating to such  securities. |
|--|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | (6) | Cash,      cash equivalents, U.S. Government securities or high-quality debt      securities maturing in one year or less from the time of      investment. |
|--|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|   | (1) | the      investment guidelines and/or restrictions set forth in the applicable      organizational documents; |
|--------|-----|---------------------------------------------------------------------------------------------------------------|

|   | (2) | the      risk and return profile of the cliententity; |
|--------|-----|-------------------------------------------------------|

|   | (3) | the      suitability/priority of a particular investment for the client      entity; |
|--------|-----|--------------------------------------------------------------------------------------|

|   | (4) | if      applicable, the target position size of the investment for the client      entity; |
|--------|-----|--------------------------------------------------------------------------------------------|

|   | (5) | the      level of available cash for investment with respect to the particular      client entity; |
|--------|-----|----------------------------------------------------------------------------------------------------|

|   | (6) | the      total amount of funds committed to the client;  and |
|--------|-----|--------------------------------------------------------------|

|   | (7) | the      age of the fund and the remaining term of a fund’s investment period, if      any. |
|--------|-----|---------------------------------------------------------------------------------------------------|

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|   | • | 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 theleverage. |
|--------|---------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | 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. |
|--------|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|   | • | The      capital gains portion of the incentive fee will be reset with respect to      gains and losses from May 31, 2010, and therefore losses and gains      incurred prior to such time will not be taken into account when      calculating the capital gains fee, and Saratoga will be entitled to 20% of      gains that arise after May 31, 2010.  In addition, the cost      basis for computing realized losses on investment held by the Company as      of May 31, 2010 will equal the fair value of such investment as of such      date.  Under the investment advisory and management agreement      with our current investment adviser, the capital gains fee is calculated      from March 21, 2007, and the gains are substantially outweighed by      losses. |
|--------|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | Under      the “catch up” provision, 100% of the Company’s pre-incentive fee net      investment income with respect to that portion of such pre-incentive fee      net investment income that exceeds 1.875% (7.5% annualized) but is less      than or equal to 2.344% in any fiscal quarter is payable to      Saratoga.  This will enable Saratoga to receive 20% of all net      investment income as such amount approaches 2.344% in any quarter, and      Saratoga will receive 20% of any additional net investment      income.  Under the investment advisory and management agreement      with our current investment adviser, GSCP only receives 20% of the excess      net investment income over 1.875%. |
|--------|---------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | The      Company will no longer have deferral rights regarding incentive fees in      the event that the distributions to stockholders and change in net assets      is less than 7.5% for the preceding four fiscal  quarters. |
|--------|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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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 ourinvestment; |
|--------|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | 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. |
|--------|---------|------------------------------------------------------------------------------|

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|   | • | 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; |
|--------|---------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | 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 limitedexceptions. |
|--------|---------|-----------------------------------------------------------------------------------------------------------------------------------------|

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|   | • | 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 thesecompanies; |
|--------|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | 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 ofinvestments; |
|--------|---------|-----------------------------------------------------------|

|   | • | any      shortfall in revenue or net income or any increase in losses from levels      expected by investors or securitiesanalysts; |
|--------|---------|-------------------------------------------------------------------------------------------------------------------------------------|

|   | • | departure      of our investment adviser’s keypersonnel; |
|--------|---------|----------------------------------------------------------------|

|   | • | operating      performance of companies comparable tous; |
|--------|---------|----------------------------------------------------------|

|   | • | general      economic trends and other external factors;and |
|--------|---------|-------------------------------------------------------------|

|   | • | loss      of a major funding source. |
|--------|---------|--------------------------------------|

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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. |
|--------|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|                |   |   |   |   | Price      Range |   |
|---------------------|--------|--------|--------|--------|------------------|--------|
| Fiscal 2009         |   | NAV(1) |   |   | High             |   |   | Low |   |
| First      Quarter  |   | $      | 11.75  |   |             | $      | 10.67 |   |   | $ | 9.30 |   |
| Second      Quarter |   | $      | 11.05  |   |             | $      | 11.05 |   |   | $ | 9.16 |   |
| Third      Quarter  |   | $      | 10.14  |   |             | $      | 10.86 |   |   | $ | 1.10 |   |
| Fourth      Quarter |   | $      | 8.20   |   |             | $      | 3.15 |   |   | $ | 1.55 |   |

| Fiscal 2010    |   | NAV(1) |   |   | High   |   |   | Low    |   |
|---------------------|--------|--------|--------|--------|--------|--------|--------|--------|--------|
| First      Quarter  |   | $      | 8.85   |   |   | $      | 3.95   |   |   | $ | 1.50 |   |
| Second      Quarter |   | $      | 6.91   |   |   | $      | 3.49   |   |   | $ | 2.09 |   |
| Third      Quarter  |   | $      | 3.80   |   |   | $      | 3.71   |   |   | $ | 1.70 |   |
| Fourth      Quarter |   | $      | 3.27   |   |   | $      | 2.09   |   |   | $ | 1.42 |   |

----

| (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. |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| Date Declared                            |   | Record Date       |   | Payment Date       |   | Amountper Share |   |
|-----------------------------------------------|--------|------------------------|--------|-------------------------|--------|----------------------|--------|
| May      22, 2008                             |   | May      30, 2008      |   | June      13, 2008      |   | $                    | 0.39   |   |
| August      19, 2008                          |   | August      29, 2008   |   | September      15, 2008 |   | $                    | 0.39   |   |
| December      8, 2008                         |   | December      18, 2008 |   | December      29, 2008  |   | $                    | 0.25   |   |
| Total      Dividends Declared for Fiscal 2009 |   |                   |   |                    |   | $                    | 1.03   |   |
| November      13, 2009                        |   | November      25, 2009 |   | December      31, 2009  |   | $                    | 1.825  |   |
| Total      Dividends Declared for Fiscal 2010 |   |                   |   |                    |   | $                    | 1.825  |   |

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|                                                                    |   | Year EndedFebruary 28, 2010 |    |               | Year EndedFebruary 28, 2009 |   |    | Year EndedFebruary 29, 2008 |   |
|-------------------------------------------------------------------------|--------|--------------------------------------------|---------|--------------------|--------------------------------------------|--------|---------|--------------------------------------------|--------|
|                                                                    |   |                                       |    |               |                                       |   |    |                                       |   |
| Income      Statement Data:                                             |   |                                       |    |               |                                       |   |    |                                       |   |
| Interest      and related portfolio income:                             |   |                                       |    |               |                                       |   |    |                                       |   |
| Interest                                                                |   | $                                          | 13,324  |               |                                       | $      | 21,142  |                                       |   | $ | 20,744 |   |
| Management      fee and other income                                    |   |                                       | 2,293   |               |                                       |   | 2,245   |                                       |   |   | 642 |   |
| Total      interest and related portfolio income                        |   |                                       | 15,617  |               |                                       |   | 23,387  |                                       |   |   | 21,386 |   |
| Expenses:                                                               |   |                                       |    |               |                                       |   |    |                                       |   |   |   |   |
| Interest      and credit facility financing expenses                    |   |                                       | 4,096   |               |                                       |   | 2,605   |                                       |   |   | 5,031 |   |
| Base      management and incentive management fees(1)                   |   |                                       | 2,278   |               |                                       |   | 4,432   |                                       |   |   | 3,650 |   |
| Administrator      expenses                                             |   |                                       | 671     |     |                                       |   | 961     |                             |   |   | 892 |   |
| Administrative      and other                                           |   |                                       | 3,502   |               |                                       |   | 2,433   |                                       |   |   | 2,766 |   |
| Expense      reimbursement                                              |   |                                       | (671    | )                  |                                       |   | (1,010  | )                                          |   |   | (1,789 | ) |
| Total      operating expenses                                           |   |                                       | 9,876   |               |                                       |   | 9,421   |                                       |   |   | 10,550 |   |
| Net      investment income before income taxes                          |   |                                       | 5,741   |               |                                       |   | 13,966  |                                       |   |   | 10,836 |   |
| Income      tax expenses, including excise tax                          |   |                                       | (27     | )                  |                                       |   | (140    | )                                          |   |   | (89 | ) |
| Net      investment income                                              |   |                                       | 5,714   |               |                                       |   | 13,826  |                                       |   |   | 10,747 |   |
| Realized      and unrealized gain (loss) on investments and derivatives |   |                                       |    |               |                                       |   |    |                                       |   |   |   |   |
| Net      realized gain (loss)                                           |   |                                       | (6,654  | )                  |                                       |   | (7,143  | )                                          |   |   | 3,908 |     |
| Net      change in unrealized loss                                      |   |                                       | (9,523  | )                  |                                       |   | (27,998 | )                                          |   |   | (20,106 | ) |
| Total      net loss                                                     |   |                                       | (16,177 | )                  |                                       |   | (35,141 | )                                          |   |   | (16,198 | ) |
| Net      decrease in net assets resulting from operations               |   | $                                          | (10,463 | )                  |                                       | $      | (21,315 | )                                          |   | $ | (5,451 | ) |

|                                                                                                    |   | Year EndedFebruary 28, 2010 |       |   | Year EndedFebruary 28, 2009 |   |      | Year EndedFebruary 29, 2008 |   |
|---------------------------------------------------------------------------------------------------------|--------|--------------------------------------------|------------|--------|--------------------------------------------|--------|-----------|--------------------------------------------|--------|
|                                                                                                    |   |                                       |       |   |                                       |   |      |                                       |   |
| Per      Share:                                                                                         |   |                                       |       |   |                                       |   |      |                                       |   |
| Earnings      (loss) per common share — basic and diluted(2)                                      |   | $                                          | (0.99      | )      |                                       | $      | (2.57     | )                                          |   | $ | (0.70 | ) |
| Net      investment income per share — basic and diluted(2)                                       |   | $                                          | 0.54       |   |                                       | $      | 1.67      |                                       |   | $ | 1.38 |   |
| Net      realized and unrealized gain (loss) per share — basic and      diluted(2)                |   | $                                          | (1.52      | )      |                                       | $      | (4.24     | )                                          |   | $ | (2.08 | ) |
| Dividends      declared per common share(3)                                                             |   | $                                          | 1.83       |   |                                       | $      | 1.03      |                                       |   | $ | 1.55 |   |
| Statement      of assets and liabilities Data:                                                     |   |                                       |       |   |                                       |   |      |                                       |   |   |   |   |
| Investment      assets at fair value                                                                    |   | $                                          | 89,373     |   |                                       | $      | 118,912   |                                       |   | $ | 172,837 |   |
| Total      assets                                                                                       |   |                                       | 96,935     |   |                                       |   | 130,662   |                                       |   |   | 192,842 |   |
| Total      debt outstanding                                                                             |   |                                       | 36,992     |   |                                       |   | 58,995    |                                       |   |   | 78,450 |   |
| Stockholders’      equity                                                                         |   |                                       | 55,478     |   |                                       |   | 68,014    |                                       |   |   | 97,869 |   |
| Net      asset value per common share                                                                   |   | $                                          | 3.27       |   |                                       | $      | 8.20      |                                       |   | $ | 11.80 |   |
| Common      shares outstanding at end of year                                                           |   |                                       | 16,940,109 |   |                                       |   | 8,291,384 |                                       |   |   | 8,291,384 |   |
| Other      Data:                                                                                        |   |                                       |       |   |                                       |   |      |                                       |   |   |   |   |
| Investments      funded                                                                                 |   | $                                          | —    |   |                                       | $      | 28,260    |                                       |   | $ | 314,003 |   |
| Principal      collections related to investment repayments or sales                                    |   | $                                          | 15,185     |   |                                       | $      | 49,195    |                                       |   | $ | 141,772 |   |
| Number      of portfolio investments at year end                                                        |   |                                       | 41         |   |                                       |   | 45        |                                       |   |   | 46 |   |
| Weighted      average yield of income producing debt investments —      Non-control/non-affiliate |   |                                       | 9.6        | %      |                                       |   | 9.7       | %                                          |   |   | 10.7 | % |
| Weighted      average yield on income producing debt investments —    Control                     |   |                                       | 8.3        | %      |                                       |   | 12.2      | %                                          |   |   | 8.2 | % |

----

----

| (1)    | See      note 7 in consolidated financial statements.                                                                                                                                                              |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   |                                                                                                                                                                                                                    |
| (2)    | For      the years ended February 28, 2010 and 2009 and February 29, 2008,      amounts are calculated using weighted average common shares outstanding of      10,613,507, 8,291,384 and 7,761,965, respectively. |
|   |                                                                                                                                                                                                                    |
| (3)    | Based      on 8,291,384 common      shares outstanding.                                                                                                                                                                 |

|                                                                                      |   | 2010                                                                     |    | 2009       |   |
|-------------------------------------------------------------------------------------------|--------|--------------------------------------------------------------------------|---------|------------|--------|
|                                                                                      |   | Qtr 4                                                               |    | Qtr 3 |   | Qtr 2 |   | Qtr 1 |   | Qtr 4 |   | Qtr 3 |   | Qtr 2 |   | Qtr 1 |   |
|                                                                                      |   | ($ in thousands, except per share numbers) |    |
|                                                                                      |   |                                                                     |    |       |   |   |   | (Unaudited) |   |   |   |   |   |   |   |
| Interest      and related portfolio income                                                |   | $                                                                        | 3,637   |       | $      | 3,530 |   | $ | 3,685 |   | $ | 4,764 |   | $ | 5,480 |   | $ | 6,361 |   | $ | 5,835 |   | $ | 5,715 |   |
| Net      investment income                                                                |   |                                                                     | 1,201   |       |   | 869 |   |   | 1,080 |   |   | 2,564 |   |   | 3,288 |   |   | 3,887 |   |   | 3,455 |   |   | 3,195 |   |
| Net      realized and unrealized gain (loss)                                              |   |                                                                     | (10,067 | )          |   | 8,258 |   |   | (17,168 | ) |   | 2,800 |   |   | (17,296 | ) |   | (11,438 | ) |   | (6,023 | ) |   | (384 | ) |
| Net      increase (decrease) in net assets resulting fromoperations                       |   |                                                                     | (8,866  | )          |   | 9,128 |   |   | (16,088 | ) |   | 5,364 |   |   | (14,008 | ) |   | (7,551 | ) |   | (2,567 | ) |   | 2,811 |   |
| Net      investment income per common share at end of each quarter                        |   | $                                                                        | 0.07    |       | $      | 0.10 |   | $ | 0.13 |   | $ | 0.31 |   | $ | 0.40 |   | $ | 0.47 |   | $ | 0.42 |   | $ | 0.39 |   |
| Net      realized and unrealized gain (loss) per common share at end of each      quarter |   | $                                                                        | (0.59   | )          | $      | 0.91 |   | $ | (2.07 | ) | $ | 0.34 |   | $ | (2.09 | ) | $ | (1.38 | ) | $ | (0.73 | ) | $ | (0.05 | ) |
| Dividends      declared per common share                                                  |   | $                                                                        | – |       | $      | 1.825 |   | $ | – |   | $ | – |   | $ | – |   | $ | 0.25 |   | $ | 0.39 |   | $ | 0.39 |   |
| Net      asset value per common share                                                     |   | $                                                                        | 3.27    |       | $      | 3.80 |   | $ | 6.91 |   | $ | 8.85 |   | $ | 8.20 |   | $ | 10.14 |   | $ | 11.05 |   | $ | 11.75 |   |

----

|   | • | 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 othersecurities; |
|--------|---------|---------------------------------------------------------|

|   | • | 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. |
|--------|---------|-----------------------------------------------------------------------------------------------------------------|

|   | • | 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 suchdate. |
|--------|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | The      capital gains portion of the incentive fee will be reset with respect to      gains and losses from May 31, 2010, and therefore losses and gains      incurred prior to such time will not be taken into account when      calculating the capital gains fee, and Saratoga will be entitled to 20% of      gains that arise after May 31, 2010.  In addition, the cost      basis for computing realized losses on investment held by the Company as      of May 31, 2010 will equal the fair value of such investment as of such      date.  Under the investment advisory and management agreement      with our current investment adviser, the capital gains fee is calculated      from March 21, 2007, and the gains are substantially outweighed by      losses. |
|--------|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | Under      the “catch up” provision, 100% of the Company’s pre-incentive fee net      investment income with respect to that portion of such pre-incentive fee      net investment income that exceeds 1.875% (7.5% annualized) but is less      than or equal to 2.344% in any fiscal quarter is payable to      Saratoga.  This will enable Saratoga to receive 20% of all net      investment income as such amount approaches 2.344% in any quarter, and      Saratoga will receive 20% of any additional net investment      income.  Under the investment advisory and management agreement      with our current investment adviser, GSCP only receives 20% of the excess      net investment income over 1.875%. |
|--------|---------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | The      Company will no longer have deferral rights regarding incentive fees in      the event that the distributions to stockholders and change in net assets      is less than 7.5% for the preceding four fiscal  quarters. |
|--------|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

|                                                      |   | At February 28, 2010 |              | At February 28, 2009 |   | At February 29, 2008 |
|-----------------------------------------------------------|--------|----------------------|-------------------|----------------------|--------|----------------------|
|                                                      |   | ($      in millions) |
| Number      of investments                                |   |                 | 38                |                 |   |                 | 42 |   |   |   | 43 |   |
| Number      of portfolio companies                        |   |                 | 27                |                 |   |                 | 35 |   |   |   | 36 |   |
| Average      investment size                              |   | $                    | 1.9               |                 |   | $                    | 2.3 |   |   | $ | 3.3 |   |
| Weighted      average maturity                            |   | 2.5                  |  years  |                 | 3.3    |  years     |   | 3.8 |  years  |
| Number      of industries                                 |   |                 | 19                |                 |   |                 | 22 |   |   |   | 23 |   |
| Average      investment per portfolio company             |   | $                    | 2.7               |                 |   | $                    | 2.8 |   |   | $ | 4.0 |   |
| Non-Performing      or delinquent investments             |   | $                    | 18.5              |                 |   | $                    | 0.4 |   |   | $ | — |   |
| Fixed      rate debt (% of interest bearing portfolio)    |   | $                    | 33.0(46.9         | %)                   |   | $                    | 40.3(41.8 | %) |   | $ | 57.0(39.6 | %) |
| Weighted      average current coupon                      |   |                 | 11.6              | %                    |   |                 | 11.7 | % |   |   | 11.6 | % |
| Floating      rate debt (% of interest bearing portfolio) |   | $                    | 37.4(53.1         | %)                   |   | $                    | 56.2(58.2 | %) |   | $ | 86.8(60.4 | %) |
| Weighted      average current spread over LIBOR           |   |                 | 7.6               | %                    |   |                 | 5.9 | % |   |   | 5.6 | % |

----

| (1) | Excludes      our investment in the subordinated notes of GSCIC CLO and investments in      common stocks and limited partnershipinterests. |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------|

|                               |   | At February 28, 2010              |    |   | At February 28, 2009               |   |
|------------------------------------|--------|-----------------------------------|---------|--------|------------------------------------|--------|
|                               |   | Percentage      ofTotal Portfolio |    |   | Weighted      AverageCurrent Yield |   |   | Percentage      ofTotal Portfolio |   |   | Weighted      AverageCurrent Yield |   |
| First      lien term loans         |   |                              | 18.6    | %      |                               |   | 8.6 | % |   |   | 14.4 | % |   |   | 6.8 | % |
| Second      lien term loans        |   |                              | 22.7    |   |                               |   | 8.1 |   |   |   | 34.5 |   |   |   | 9.0 |   |
| Senior      secured notes          |   |                              | 31.0    |   |                               |   | 11.6 |   |   |   | 21.7 |   |   |   | 11.6 |   |
| Unsecured      notes               |   |                              | 6.4     |   |                               |   | 12.2 |   |   |   | 10.4 |   |   |   | 12.3 |   |
| GSCIC      CLO subordinated notes  |   |                              | 18.7    |   |                               |   | 8.3 |   |   |   | 18.8 |   |   |   | 12.2 |   |
| Equity      interests              |   |                              | 2.6     |   |                               |   | N/A |   |   |   | 0.1 |   |   |   | N/A |   |
| Limited      partnership interests |   |                              | — |   |                               |   | N/A |   |   |   | 0.1 |   |   |   | N/A |   |
| Total                              |   |                              | 100.0   | %      |                               |   | 9.3 | % |   |   | 100.0 | % |   |   | 10.2 | % |

|   | • | 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. |
|--------|---------|--------------------------------------------------------------------------------------------------------------|

|                                                                                                                                                                                                 |   | At February 28, 2010 |   |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|-------------------------------------|--------|
| Color Score                               |   | Investments atFair Value  |   |   | Percentage ofTotal Portfolio |   |
|                                                                                                                                                                                                 |   | ($ in thousands)          |   |
| Green                                                                                                                                                                                                |   | $                                   | 9,479  |   |   |   | 10.6 | % |
| Yellow                                                                                                                                                                                               |   |                                | 27,763 |   |   |   | 31.1 |   |
| Red                                                                                                                                                                                                  |   |                                | 33,222 |   |   |   | 37.2 |   |
| N/A(1)                                                                                                                                                                                               |   |                                | 18,909 |   |   |   | 21.1 |   |
| Total                                                                                                                                                                                                |   | $                                   | 89,373 |   |   |   | 100.0 | % |

| (1) | Predominantly      comprised of our investment in the subordinated notes of GSCIC      CLO. |
|-----|---------------------------------------------------------------------------------------------|

|                           |   | At February 28, 2009 |    |
|--------------------------------|--------|-------------------------------------|---------|
| Numerical Debt Score |   | Investments atFair Value  |    |   | Percentage ofTotal Portfolio |   |
|                           |   | ($ in thousands)          |    |
| 1.00      - 1.99               |   | $                                   | 8,941   |   |   |   | 7.5 | % |
| 2.00      - 2.99               |   |                                | 33,831  |   |   |   | 28.5 |   |
| 3.00      - 3.99               |   |                                | 49,076  |   |   |   | 41.2 |   |
| 4.00      - 4.99               |   |                                | 4,614   |   |   |   | 3.9 |   |
| 5.00                           |   |                                | — |   |   |   | — |   |
| N/A(1)                         |   |                                | 22,450  |   |   |   | 18.9 |   |
| Total                          |   | $                                   | 118,912 |   |   |   | 100.0 | % |

----

|                              |   | At February 28, 2009 |    |
|-----------------------------------|--------|-------------------------------------|---------|
| Corporate Letter Rating |   | Investments atFair Value  |    |   | Percentage ofTotal Portfolio |   |
|                              |   | ($ in thousands)          |    |
| A                                 |   | $                                   | 4,602   |   |   |   | 3.9 | % |
| B                                 |   |                                | 36,818  |   |   |   | 30.9 |   |
| C                                 |   |                                | 42,700  |   |   |   | 35.9 |   |
| D                                 |   |                                | 11,668  |   |   |   | 9.8 |   |
| E                                 |   |                                | 674     |   |   |   | 0.6 |   |
| F                                 |   |                                | — |   |   |   | — |   |
| N/A(1)                            |   |                                | 22,450  |   |   |   | 18.9 |   |
| Total                             |   | $                                   | 118,912 |   |   |   | 100.0 | % |

----

| (1) | Predominantly      comprised of our investment in the subordinated notes of GSCIC      CLO. |
|-----|---------------------------------------------------------------------------------------------|

|                                  |   | At      February 28, 2010     |    |   | At      February 28, 2009         |   |
|---------------------------------------|--------|-------------------------------|---------|--------|-----------------------------------|--------|
|                                  |   | Investments      atFair Value |    |   | Percentage      ofTotal Portfolio |   |   | Investments      atFair Value |   |   | Percentage      ofTotal Portfolio |   |
|                                  |   | ($      in thousands)         |    |
| Structured      Finance Securities(1) |   | $                             | 16,698  |   |                              |   | 18.7 | % |   | $ | 22,341 |   |   |   | 18.8 | % |
| Packaging                             |   |                          | 9,791   |   |                              |   | 11.0 |   |   |   | 10,070 |   |   |   | 8.5 |   |
| Consumer      Products                |   |                          | 7,508   |   |                              |   | 8.4 |   |   |   | 7,843 |   |   |   | 6.6 |   |
| Healthcare      Services              |   |                          | 7,190   |   |                              |   | 8.0 |   |   |   | 6,010 |   |   |   | 5.0 |   |
| Apparel                               |   |                          | 6,910   |   |                              |   | 7.7 |   |   |   | 6,616 |   |   |   | 5.5 |   |
| Publishing                            |   |                          | 6,710   |   |                              |   | 7.5 |   |   |   | 6,477 |   |   |   | 5.4 |   |
| Electronics                           |   |                          | 6,617   |   |                              |   | 7.4 |   |   |   | 6,849 |   |   |   | 5.8 |   |
| Manufacturing                         |   |                          | 6,399   |   |                              |   | 7.2 |   |   |   | 14,480 |   |   |   | 12.2 |   |
| Metals                                |   |                          | 3,794   |   |                              |   | 4.3 |   |   |   | 5,693 |   |   |   | 4.8 |   |
| Homebuilding                          |   |                          | 3,634   |   |                              |   | 4.1 |   |   |   | 3,490 |   |   |   | 2.9 |   |
| Natural      Resources                |   |                          | 2,989   |   |                              |   | 3.3 |   |   |   | 4,470 |   |   |   | 3.8 |   |
| Logistics                             |   |                          | 2,230   |   |                              |   | 2.5 |   |   |   | 2,134 |   |   |   | 1.8 |   |
| Environmental                         |   |                          | 2,060   |   |                              |   | 2.3 |   |   |   | 3,592 |   |   |   | 3.0 |   |
| Food      and Beverage                |   |                          | 1,697   |   |                              |   | 1.9 |   |   |   | 1,707 |   |   |   | 1.4 |   |
| Printing                              |   |                          | 1,614   |   |                              |   | 1.8 |   |   |   | 1,638 |   |   |   | 1.4 |   |
| Oil      and Gas                      |   |                          | 1,129   |   |                              |   | 1.2 |   |   |   | 7,359 |   |   |   | 6.2 |   |
| Financial      Services               |   |                          | 984     |   |                              |   | 1.1 |   |   |   | 3,162 |   |   |   | 2.7 |   |
| Education                             |   |                          | 634     |   |                              |   | 0.7 |   |   |   | 674 |   |   |   | 0.6 |   |
| Building      Products                |   |                          | 530     |   |                              |   | 0.6 |   |   |   | 1,426 |   |   |   | 1.2 |   |
| Consumer      Services                |   |                          | 255     |   |                              |   | 0.3 |   |   |   | 244 |   |   |   | 0.2 |   |
| Insurance                             |   |                          | — |   |                              |   | — |   |   |   | 1,493 |   |   |   | 1.3 |   |
| Software                              |   |                          | — |   |                              |   | — |   |   |   | 773 |   |   |   | 0.6 |   |
| Chemicals                             |   |                          | — |   |                              |   | — |   |   |   | 371 |   |   |   | 0.3 |   |
| Total                                 |   | $                             | 89,373  |   |                              |   | 100.0 | % |   | $ | 118,912 |   |   |   | 100.0 | % |

----

| (1) | Predominantly      comprised of our investment in the subordinated notes of GSCIC      CLO. |
|-----|---------------------------------------------------------------------------------------------|

|          |   | At      February 28, 2010     |    |   | At      February 28, 2009         |   |
|---------------|--------|-------------------------------|---------|--------|-----------------------------------|--------|
|          |   | Investments      atFair Value |    |   | Percentage      ofTotal Portfolio |   |   | Investments      atFair Value |   |   | Percentage      ofTotal Portfolio |   |
|          |   | ($      in thousands)         |    |
| Midwest       |   | $                             | 23,637  |   |                              |   | 26.5 | % |   | $ | 31,716 |   |   |   | 26.7 | % |
| Other(1)      |   |                          | 16,698  |   |                              |   | 18.7 |   |   |   | 22,449 |   |   |   | 18.9 |   |
| West          |   |                          | 14,695  |   |                              |   | 16.4 |   |   |   | 16,137 |   |   |   | 13.6 |   |
| International |   |                          | 12,781  |   |                              |   | 14.3 |   |   |   | 12,165 |   |   |   | 10.2 |   |
| Northeast     |   |                          | 11,631  |   |                              |   | 13.0 |   |   |   | 12,578 |   |   |   | 10.6 |   |
| Southeast     |   |                          | 9,931   |   |                              |   | 11.1 |   |   |   | 23,094 |   |   |   | 19.4 |   |
| Mid-Atlantic  |   |                          | — |   |                              |   | — |   |   |   | 773 |   |   |   | 0.6 |   |
| Total         |   | $                             | 89,373  |   |                              |   | 100.0 | % |   | $ | 118,912 |   |   |   | 100.0 | % |

----

| (1) | Predominantly      comprised of our investment in the subordinated notes of GSCIC      CLO. |
|-----|---------------------------------------------------------------------------------------------|

----

|                                                        |   | For      the Year Ended |    |
|-------------------------------------------------------------|--------|-------------------------|---------|
|                                                        |   | February 28, 2010       |    |   | February 28, 2009 |   |   | February 29, 2008 |   |
|                                                        |   |                    |    |   | ($      in thousands) |   |   |   |   |
| Total      investment income                                |   | $                       | 15,617  |   |   | $ | 23,387 |   |   | $ | 21,386 |   |
| Total      expenses before waiver and reimbursement         |   |                    | 10,547  |   |   |   | 10,431 |   |   |   | 12,339 |   |
| Total      expense waiver and reimbursement                 |   |                    | (671    | )  |   |   | (1,010 | )  |   |   | (1,789 | )  |
| Total      expenses net of expense waiver and reimbursement |   |                    | 9,876   |   |   |   | 9,421 |   |   |   | 10,550 |   |
| Net      investment income before income taxes              |   |                    | 5,741   |   |   |   | 13,966 |   |   |   | 10,836 |   |
| Income      tax expense, including excise tax               |   |                    | (27     | )  |   |   | (140 | )  |   |   | (89 | )  |
| Net      investment income                                  |   |                    | 5,714   |   |   |   | 13,826 |   |   |   | 10,747 |   |
| Net      realized gains (losses)                            |   |                    | (6,654  | ) |   |   | (7,143 | ) |   |   | 3,908 |   |
| Net      unrealized losses                                  |   |                    | (9,523  | ) |   |   | (27,998 | ) |   |   | (20,106 | ) |
| Net      decrease in net assets resulting from operations   |   | $                       | (10,463 | ) |   | $ | (21,315 | ) |   | $ | (5,451 | ) |

|                                                          |   | February 28, 2010 |   |   | February 28, 2009     |   |   | February 29, 2008 |   |
|---------------------------------------------------------------|--------|-------------------|--------|--------|-----------------------|--------|--------|-------------------|--------|
|                                                          |   |              |   |   | ($      in thousands) |   |   |              |   |
| Interest      from investments                                |   | $                 | 13,300 |   |                  | $      | 20,967 |              |   | $ | 20,378 |   |
| Management      of GSCIC CLO                                  |   |              | 2,057  |   |                  |   | 2,050  |              |   |   | 599 |   |
| Interest      from cash and cash equivalents and other income |   |              | 260    |   |                  |   | 370    |              |   |   | 409 |   |
| Total                                                         |   | $                 | 15,617 |   |                  | $      | 23,387 |              |   | $ | 21,386 |   |

----

|                                                                  |   | February 28, 2010 |    |   | February 28, 2009     |   |    | February 29, 2008 |   |
|-----------------------------------------------------------------------|--------|-------------------|---------|--------|-----------------------|--------|---------|-------------------|--------|
|                                                                  |   |              |    |   | ($      in thousands) |   |    |              |   |
| Interest      and credit facility expense                             |   | $                 | 4,096   |   |                  | $      | 2,605   |              |   | $ | 5,031 |   |
| Base      management fees                                             |   |              | 1,951   |   |                  |   | 2,680   |              |   |   | 2,939 |   |
| Professional      fees                                                |   |              | 2,071   |   |                  |   | 1,166   |              |   |   | 1,410 |   |
| Incentive      management fees                                        |   |              | 328     |   |                  |   | 1,752   |              |   |   | 711 |   |
| Administrator      expenses                                           |   |              | 671     |   |                  |   | 961     |              |   |   | 892 |   |
| Insurance      expenses                                               |   |              | 870     |   |                  |   | 682     |              |   |   | 587 |   |
| Directors      fees                                                   |   |              | 295     |   |                  |   | 295     |              |   |   | 314 |   |
| General      and administrative expenses                              |   |              | 265     |   |                  |   | 290     |              |   |   | 262 |   |
| Other                                                                 |   |              | — |   |                  |   | — |              |   |   | 193 |   |
| Total      operating expenses before manager waiver and reimbursement |   | $                 | 10,547  |   |                  | $      | 10,431  |              |   | $ | 12,339 |   |

----

| Issuer                                 |   | Asset Type                 |   | Gross Proceeds        |   |   | Cost   |   |    | Net      RealizedGain/(Loss) |   |
|----------------------------------------|--------|----------------------------|--------|-----------------------|--------|--------|--------|--------|---------|------------------------------|--------|
|                                   |   |                       |   | ($ in      thousands) |   |
| Atlantis      Plastics Films, Inc.     |   | First      Lien Term Loan  |   | $                     | 521    |   |   | $      | — |                         |   | $ | 482 |   |
| Asurion      Corporation               |   | First      Lien Term Loan  |   |                  | 1,930  |   |   |   | (1,725  | )                            |   |   | 205 |   |
| Edgen      Murray II, L.P.             |   | Second      Lien Term Loan |   |                  | 3,000  |   |   |   | (2,832  | )                            |   |   | 168 |   |
| USS      Mergerco, Inc.                |   | Second      Lien Term Loan |   |                  | 3,159  |   |   |   | (5,847  | )                            |   |   | (2,688 | ) |
| Targus      Group International, Inc.  |   | Second      Lien Term Loan |   |                  | 2,121  |   |   |   | (4,793  | )                            |   |   | (2,672 | ) |
| Blaze      Recycling & Metals, LLC |   | Senior      Secured Notes  |   |                  | 1,538  |   |   |   | (2,495  | )                            |   |   | (957 | ) |

| Issuer                             |   | Asset Type                 |   | Gross Proceeds        |   |   | Cost   |   |   | Net      RealizedGain/(Loss) |   |
|------------------------------------|--------|----------------------------|--------|-----------------------|--------|--------|--------|--------|--------|------------------------------|--------|
|                               |   |                       |   | ($ in      thousands) |   |
| Key      Safety Systems            |   | First      Lien Term Loan  |   | $                     | 2,063  |   |   | $      | 1,857  |                         |   | $ | 206 |   |
| SILLC      Holdings, LLC           |   | Second      Lien Term Loan |   |                  | 23,049 |   |   |   | 22,878 |                         |   |   | 171 |   |
| EuroFresh,      Inc.               |   | Unsecured      Notes       |   |                  | 2,880  |   |   |   | 6,900  |                         |   |   | (4,020 | ) |
| Atlantis      Plastics Films, Inc. |   | First      Lien Term Loan  |   |                  | 3,073  |   |   |   | 6,053  |                         |   |   | (2,980 | ) |
| Claire’s      Stores, Inc.   |   | First      Lien Term Loan  |   |                  | 2,103  |   |   |   | 2,584  |                         |   |   | (481 | ) |
| Jason      Incorporated            |   | Unsecured      Notes       |   |                  | 1,581  |   |   |   | 1,700  |                         |   |   | (119 | ) |

| Issuer                       |   | Asset Type                 |   | Gross Proceeds        |   |   | Cost   |   |   | Net      RealizedGain/(Loss) |   |
|------------------------------|--------|----------------------------|--------|-----------------------|--------|--------|--------|--------|--------|------------------------------|--------|
|                         |   |                       |   | ($ in      thousands) |   |
| Sportcraft,      LTD         |   | Second      Lien Term Loan |   | $                     | 9,000  |   |   | $      | 7,302  |                         |   | $ | 1,698 |   |
| SILLC      Holdings, LLC     |   | Senior      Secured Notes  |   |                  | 22,821 |   |   |   | 21,838 |                         |   |   | 983 |   |
| McMillin      Companies, LLC |   | Senior      Secured Notes  |   |                  | 3,300  |   |   |   | 3,066  |                         |   |   | 234 |   |

----

| Issuer                       |   | Asset Type                               |   | Cost                  |   |   | Fair Value |   |   | Total      UnrealizedDepreciation |   |   | YTD      Change inUnrealizedAppreciation/(Depreciation) |   |
|------------------------------|--------|------------------------------------------|--------|-----------------------|--------|--------|------------|--------|--------|-----------------------------------|--------|--------|---------------------------------------------------------|--------|
|                         |   |                                     |   | ($ in      thousands) |   |
| Terphane      Holdings Corp. |   | Senior      Secured Notes                |   | $                     | 10,437 |   |       | $      | 9,791  |                              |   | $      | (646                                                    | )      |   | $ | 2,091 |   |
| Penton      Media, Inc.      |   | First      Lien Term Loan                |   |                  | 3,908  |   |       |   | 3,478  |                              |   |   | (430                                                    | )      |   |   | 1,286 |   |
| IDI      Acquisition Corp.   |   | Senior      Secured Notes                |   |                  | 3,679  |   |       |   | 3,621  |                              |   |   | (58                                                     | )      |   |   | 1,136 |   |
| Jason      Incorporated      |   | Unsecured      Notes                     |   |                  | 13,700 |   |       |   | 1,688  |                              |   |   | (12,012                                                 | )      |   |   | (8,190 | ) |
| GSCIC      CLO               |   | Other/Structured      Finance Securities |   |                  | 29,233 |   |       |   | 16,698 |                              |   |   | (12,535                                                 | )      |   |   | (4,970 | ) |
| Energy      Alloys, LLC      |   | Second      Lien Term Loan               |   |                  | 6,239  |   |       |   | 1,129  |                              |   |   | (5,110                                                  | )      |   |   | (4,197 | ) |

| Fiscal      year ended February 28, 2009 |   |
|------------------------------------------|--------|
|  Issuer                             |   | Asset Type |   |  Cost |   |   |  Fair Value |   |   | Total      UnrealizedDepreciation |   |   | YTD      Change inUnrealizedDepreciation |   |
|                                     |   |   |   | ($ in      thousands) |   |
| GSCIC      CLO                           |   | Other/Structured      Finance Securities |   | $ | 29,905 |   |   | $ | 22,341 |   |   | $ | (7,564 | ) |   | $ | (6,480 | ) |
| Jason      Incorporated                  |   | Unsecured      Notes |   |   | 13,700 |   |   |   | 9,878 |   |   |   | (3,822 | ) |   |   | (3,453 | ) |
| Grant      U.S. Holdings LLP             |   | Second      Lien Term Loan |   |   | 6,140 |   |   |   | 2,388 |   |   |   | (3,752 | ) |   |   | (2,553 | ) |
| McMillin      Companies, LLC             |   | Unsecured      Notes |   |   | 7,295 |   |   |   | 3,490 |   |   |   | (3,805 | ) |   |   | (2,522 | ) |
| Penton      Media, Inc.                  |   | First      Lien Term Loan |   |   | 3,724 |   |   |   | 2,008 |   |   |   | (1,716 | ) |   |   | (1,906 | ) |
| Network      Communications              |   | Unsecured      Notes |   |   | 5,082 |   |   |   | 2,503 |   |   |   | (2,579 | ) |   |   | (1,884 | ) |
| Terphane      Holdings Corp.             |   | Senior      Secured Notes |   |   | 10,431 |   |   |   | 7,694 |   |   |   | (2,737 | ) |   |   | (1,863 | ) |

| Fiscal      year ended February 29, 2008 |   |
|------------------------------------------|--------|
| Issuer                                   |   | Asset Type |   | Cost |   |   | Fair Value |   |   | Total      UnrealizedDepreciation |   |   | YTD      Change inUnrealizedDepreciation |   |
|                                     |   |   |   | ($ in      thousands) |   |
| Eurofresh,      Inc.                     |   | Unsecured      Notes |   | $ | 6,891 |   |   | $ | 3,850 |   |   | $ | (3,041 | ) |   | $ | (3,041 | ) |
| SILLC      Holdings, LLC                 |   | Second      Lien Term Loan |   |   | 22,865 |   |   |   | 20,283 |   |   |   | (2,582 | ) |   |   | (2,582 | ) |
| Atlantis      Plastics Films, Inc.       |   | First      Lien Term Loan |   |   | 6,492 |   |   |   | 4,298 |   |   |   | (2,194 | ) |   |   | (2,194 | ) |
| Bankruptcy      Management               |   | Second      Lien Term Loan |   |   | 4,902 |   |   |   | 3,555 |   |   |   | (1,347 | ) |   |   | (1,347 | ) |
| McMillin      Companies LLC              |   | Unsecured      Notes |   |   | 7,195 |   |   |   | 5,912 |   |   |   | (1,283 | ) |   |   | (1,283 | ) |
| Grant      U.S. Holdings LLP             |   | Second      Lien Term Loan |   |   | 5,365 |   |   |   | 4,167 |   |   |   | (1,198 | ) |   |   | (1,198 | ) |

----

----

|                                                    |   | At      February 28, 2010 |   |   | At      February 28, 2009 |   |   | February      29, 2008 |   |
|---------------------------------------------------------|--------|---------------------------|--------|--------|---------------------------|--------|--------|------------------------|--------|
|                                                    |   | FairValue                 |   |   | Percentof Total           |   |   | FairValue              |   |   | Percentof Total |   |   | FairValue |   |   | Percentof Total |   |
|                                                    |   | ($      in thousands)     |   |
| Cash      and cash equivalents                          |   | $                         | 3,352  |   |                      |   | 3.6    | %                      |   | $ | 6,356 |   |   |   | 5.0 | % |   | $ | 1,073 |   |   |   | 0.6 | % |
| Cash      and cash equivalents, securitization accounts |   |                      | 226    |   |                      |   | 0.2    |                   |   |   | 1,178 |   |   |   | 0.9 |   |   |   | 14,581 |   |   |   | 7.7 |   |
| First      lien term loans                              |   |                      | 16,653 |   |                      |   | 17.9   |                   |   |   | 17,118 |   |   |   | 13.5 |   |   |   | 26,362 |   |   |   | 14.0 |   |
| Second      lien term loans                             |   |                      | 20,267 |   |                      |   | 21.8   |                   |   |   | 41,043 |   |   |   | 32.5 |   |   |   | 62,446 |   |   |   | 33.1 |   |
| Senior      secured notes                               |   |                      | 27,742 |   |                      |   | 29.9   |                   |   |   | 25,832 |   |   |   | 20.4 |   |   |   | 31,657 |   |   |   | 16.8 |   |
| Unsecured      notes                                    |   |                      | 5,690  |   |                      |   | 6.1    |                   |   |   | 12,381 |   |   |   | 9.8 |   |   |   | 23,280 |   |   |   | 12.4 |   |
| Structured      finance securities                      |   |                      | 16,698 |   |                      |   | 18.0   |                   |   |   | 22,341 |   |   |   | 17.7 |   |   |   | 28,915 |   |   |   | 15.3 |   |
| Common      stock                                       |   |                      | 2,323  |   |                      |   | 2.5    |                   |   |   | 89 |   |   |   | 0.1 |   |   |   | - |   |   |   | - |   |
| Other/limited      partnership interests                |   |                      | -      |   |                      |   | -      |                   |   |   | 109 |   |   |   | 0.1 |   |   |   | 176 |   |   |   | 0.1 |   |
| Total                                                   |   | $                         | 92,951 |   |                      |   | 100.0  | %                      |   | $ | 126,447 |   |   |   | 100.0 | % |   | $ | 188,490 |   |   |   | 100.0 | % |

|                            |   |                  |   |   | Payment Due by Period |
|---------------------------------|--------|-----------------------|--------|--------|-----------------------|
|                            |   | Total                 |   |   | Less      Than 1Year  |   | 1-3Years |   | 3-5Years |   | More Than 5Years |
|                            |   | ($      in thousands) |
| Long-Term      Debt Obligations |   | $                     | 36,992 |   |                  | $ | 36,992 |   | $ | — |   | $ |  — |   | $ | — |

----

----

|                                                      |   | Fair Value            |   |   | Percent      of TotalInvestments |   |
|-----------------------------------------------------------|--------|-----------------------|--------|--------|----------------------------------|--------|
|                                                      |   | ($      in thousands) |   |
| Third      party independent valuation firm               |   | $                     | 37,975 |   |                             |   | 42.5 | % |
| Market      yield trend analysis and enterprise valuation |   |                  | 27,485 |   |                             |   | 30.7 |   |
| Discounted      cash flow model                           |   |                  | 16,698 |   |                             |   | 18.7 |   |
| Readily      available market maker, broker quotes        |   |                  | 7,215  |   |                             |   | 8.1 |   |
| Total      fair valued investments                        |   | $                     | 89,373 |   |                             |   | 100.0 | % |

----

----

----

----

| ExhibitNumber |   | Description                                                                                                                                                                                               |
|---------------|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 3.1           |   | 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)                                                                                                                                                                               |
|   |   |                                                                                                                                                                                                                                                                                                       |
| 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.(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)                                     |
|   |   |                                                                                                                                                                                                                          |
| 10.42  |   | Indemnification      Agreement dated as of October 13, 2009 between GSC Investment Corp. and      Eric Rubenfeld, as Vice President and Secretary of GSC Investment      Corp.(14)                                            |
|   |   |                                                                                                                                                                                                                          |
| 10.43  |   | Second      Amendment to the Administration Agreement by and between GSC Investment      Corp. and GSCP (NJ), L.P.(15)                                                                                                        |
|   |   |                                                                                                                                                                                                                          |
| 10.44  |   | Third      Amendment to the Investment Advisory and Management Agreement dated March      31, 2010 between GSC Investment Corp. and GSCP (NJ),    L.P.(15)                                                                    |
|   |   |                                                                                                                                                                                                                          |
| 10.45  |   | Agreement      to Waive Certain Rights Under the Administration Agreement dated March 21,      2010 by and between GSC Investment Corp. and GSCP (NJ),      L.P.(15)                                                          |
|   |   |                                                                                                                                                                                                                          |
| 10.46  |   | Stock      Purchase Agreement dated as of April 14, 2010 among GSC Investment Corp.,      Saratoga Investment Advisors, LLC and CLO Partners  LLC.(16)                                                                        |
|   |   |                                                                                                                                                                                                                          |
| 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. 001-33376, 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. |
|-----|---------------------------------------------------------------------------------------------------------------------------|

| (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. |
|------|--------------------------------------------------------------------------------------------------------------------------|

| (14) | Incorporated      by reference to GSC Investment Corp.’s Form 8-K, File No. 001-33376 dated      November 12, 2009. |
|------|---------------------------------------------------------------------------------------------------------------------------|

| (15) | Incorporated      by reference to GSC Investment Corp.’s Form 8-K, File No. 001-33376 dated      March 31, 2010. |
|------|------------------------------------------------------------------------------------------------------------------------|

| (16) | Incorporated      by reference to GSC Investment Corp.’s Form 8-K, File No. 001-33376 dated      April 14, 2010. |
|------|------------------------------------------------------------------------------------------------------------------------|

----

|                    | GSC      Investment Corp. |
|-------------------------|---------------------------|
|                    |                      |   |
| Date:      May 28, 2010 | By:                       | /s/ Seth M. Katzenstein |
|                    |                      | Seth      M. Katzenstein |
|                    |                      | Chief Executive Officer      andPresident |
|                    |                      | GSC      Investment Corp. |

| Signature                                   |   | Title                                      |   | Date              |
|---------------------------------------------|--------|--------------------------------------------|--------|-------------------|
|                                        |   |                                       |   |              |
| /s/  Richard M.      Hayden       |   | Chairman      of the Board of Directors    |   | May      28, 2010 |
| RICHARD      M. HAYDEN                      |   |                                       |   |              |
|                                        |   |                                       |   |              |
| /s/  Seth M.      Katzenstein     |   | Chief      Executive Officer and President |   | May      28, 2010 |
| SETH      M. KATZENSTEIN                    |   |                                       |   |              |
|                                        |   |                                       |   |              |
| /s/  Richard T. Allorto,      Jr. |   | Chief      Financial Officer               |   | May      28, 2010 |
| RICHARD      T. ALLORTO, JR.                |   |                                       |   |              |
|                                        |   |                                       |   |              |
| /s/ Robert F. Cummings Jr.                  |   | Member      of the Board of Directors      |   | May      28, 2010 |
| ROBERT      F. CUMMINGS, JR.                |   |                                       |   |              |
|                                        |   |                                       |   |              |
| /s/  Steven M.    Looney          |   | Member      of the Board of Directors      |   | May      28, 2010 |
| STEVEN      M. LOONEY                       |   |                                       |   |              |
|                                        |   |                                       |   |              |
| /s/  Charles S. Whitman      III  |   | Member      of the Board of Directors      |   | May      28, 2010 |
| CHARLES      S. WHITMAN III                 |   |                                       |   |              |
|                                        |   |                                       |   |              |
| /s/  G. Cabell      Williams      |   | Member      of the Board of Directors      |   | May      28, 2010 |
| G.      CABELL WILLIAMS                     |   |                                       |   |              |

----

| Reports      of Independent Registered Public Accounting Firm                                                                   | F-2  |
|---------------------------------------------------------------------------------------------------------------------------------|------|
| Consolidated Statement      of Assets and Liabilities as of February 28, 2010 and      2009                           | F-3  |
| Consolidated      Statements of Operations for the years ended February 28, 2010 and 2009      and February 29, 2008            | F-4  |
| Consolidated      Schedule of Investments as of February 28, 2010 and 2009                                                      | F-5  |
| Consolidated      Statements of Changes in Net Assets for the years ended February 28, 2010      and 2009 and February 29, 2008 | F-11 |
| Consolidated      Statements of Cash Flows for the years ended February 28, 2010 and 2009      and February 29, 2008            | F-12 |
| Notes      to Consolidated Financial Statements                                                                                 | F-13 |

----

----

|                                                                                                                                                                       |   | As of                  |        |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|-----------------------------|-------------|
|                                                                                                                                                                       |   | February 28, 2010 |        |   | February 28, 2009 |   |
|                                                                                                                                                                       |   |                        |        |   |   |   |
| ASSETS                                                                                                                                                                     |   |                        |        |   |   |   |
|                                                                                                                                                                       |   |                        |        |   |   |   |
| Investments      at fair value                                                                                                                                             |   |                        |        |   |   |   |
| Non-control/non-affiliate      investments (amortized cost of $117,678,275 and $137,020,449,      respectively)                                                            |   | $                           | 72,674,847  |   |   | $ | 96,462,919 |   |
| Control      investments (cost of $29,233,097 and $29,905,194,      respectively)                                                                                          |   |                        | 16,698,303  |   |   |   | 22,439,029 |   |
| Affiliate      investments (cost of $0 and $0, respectively)                                                                                                               |   |                        | -           |   |   |   | 10,527 |   |
| Total      investments at fair value (amortized cost of $146,911,372 and      $166,925,643, respectively)                                                                  |   |                        | 89,373,150  |   |   |   | 118,912,475 |   |
| Cash      and cash equivalents                                                                                                                                             |   |                        | 3,352,434   |   |   |   | 6,356,225 |   |
| Cash      and cash equivalents, securitization accounts                                                                                                                    |   |                        | 225,424     |   |   |   | 1,178,201 |   |
| Outstanding      interest rate cap at fair value (cost of $131,000 and $131,000,      respectively)                                                                        |   |                        | 42,147      |   |   |   | 39,513 |   |
| Interest      receivable, net of reserve                                                                                                                                   |   |                        | 3,473,961   |   |   |   | 3,087,668 |   |
| Deferred      credit facility financing costs, net                                                                                                                         |   |                        | -           |   |   |   | 529,767 |   |
| Management      fee receivable                                                                                                                                             |   |                        | 327,928     |   |   |   | 237,370 |   |
| Other      assets                                                                                                                                                          |   |                        | 140,272     |   |   |   | 321,260 |   |
| Total      assets                                                                                                                                                          |   | $                           | 96,935,316  |   |   | $ | 130,662,479 |   |
|                                                                                                                                                                       |   |                        |        |   |   |   |   |   |
| LIABILITIES                                                                                                                                                                |   |                        |        |   |   |   |   |   |
| Revolving      credit facility                                                                                                                                             |   | $                           | 36,992,222  |   |   | $ | 58,994,673 |   |
| Management      and incentive fees payable                                                                                                                                 |   |                        | 3,071,093   |   |   |   | 2,880,667 |   |
| Accounts      payable and accrued expenses                                                                                                                                 |   |                        | 1,111,081   |   |   |   | 700,537 |   |
| Interest      and credit facility fees payable                                                                                                                             |   |                        | 267,166     |   |   |   | 72,825 |   |
| Due      to manager                                                                                                                                                        |   |                        | 15,602      |   |   |   | - |   |
| Total      liabilities                                                                                                                                                     |   | $                           | 41,457,164  |   |   | $ | 62,648,702 |   |
|                                                                                                                                                                       |   |                        |        |   |   |   |   |   |
| NET      ASSETS                                                                                                                                                            |   |                        |        |   |   |   |   |   |
| Common      stock, par value $.0001 per share, 100,000,000 common shares authorized,      16,940,109 and 8,291,384 common shares issued and outstanding,      respectively |   | $                           | 1,694       |   |   | $ | 829 |   |
| Capital      in excess of par value                                                                                                                                        |   |                        | 128,339,497 |   |   |   | 116,943,738 |   |
| (Distributions      in excess of accumulated net investment income) / Accumulated      undistributed net investment income                                                 |   |                        | (2,846,135  | ) |   |   | 6,122,492 |   |
| Accumulated      net realized loss from investments and derivatives                                                                                                        |   |                        | (12,389,830 | ) |   |   | (6,948,628 | ) |
| Net      unrealized depreciation on investments and derivatives                                                                                                            |   |                        | (57,627,074 | ) |   |   | (48,104,654 | ) |
| Total      Net Assets                                                                                                                                                      |   |                        | 55,478,152  |   |   |   | 68,013,777 |   |
|                                                                                                                                                                       |   |                        |        |   |   |   |   |   |
| Total      liabilities and Net Assets                                                                                                                                      |   | $                           | 96,935,316  |   |   | $ | 130,662,479 |   |
|                                                                                                                                                                       |   |                        |        |   |   |   |   |   |
| NET      ASSET VALUE PER SHARE                                                                                                                                             |   | $                           | 3.27        |   |   | $ | 8.20 |   |

----

GSC Investment Corp.

|                                                                          |   | For the year ended February 28, 2010 |        |   | For the year ended February 28, 2009 |   |        | For the year ended February 29, 2008 |   |
|-------------------------------------------------------------------------------|--------|--------------------------------------------------------------------|-------------|--------|--------------------------------------------------------------------|--------|-------------|--------------------------------------------------------------------|--------|
|                                                                          |   |                                                                    |        |   |                                                               |   |        |                                                               |   |
| INVESTMENT      INCOME                                                        |   |                                                               |        |   |                                                               |   |        |                                                               |   |
| Interest      from investments                                                |   |                                                               |        |   |                                                               |   |        |                                                               |   |
| Non-control/Non-affiliate      investments                                    |   | $                                                                  | 10,902,482  |   |                                                               | $      | 16,572,973  |                                                               |   | $ | 20,115,301 |   |
| Control      investments                                                      |   |                                                               | 2,397,514   |   |                                                               |   | 4,393,818   |                                                               |   |   | 262,442 |   |
| Total      interest income                                                    |   |                                                               | 13,299,996  |   |                                                               |   | 20,966,791  |                                                               |   |   | 20,377,743 |   |
| Interest      from cash and cash equivalents                                  |   |                                                               | 23,624      |   |                                                               |   | 175,567     |                                                               |   |   | 366,312 |   |
| Management      fee income                                                    |   |                                                               | 2,057,397   |   |                                                               |   | 2,049,717   |                                                               |   |   | 599,476 |   |
| Other      income                                                             |   |                                                               | 236,259     |   |                                                               |   | 195,135     |                                                               |   |   | 42,548 |   |
| Total      investment income                                                  |   |                                                               | 15,617,276  |   |                                                               |   | 23,387,210  |                                                               |   |   | 21,386,079 |   |
|                                                                          |   |                                                               |        |   |                                                               |   |        |                                                               |   |   |   |   |
| EXPENSES                                                                      |   |                                                               |        |   |                                                               |   |        |                                                               |   |   |   |   |
| Interest      and credit facility financing expenses                          |   |                                                               | 4,096,041   |   |                                                               |   | 2,605,367   |                                                               |   |   | 5,031,233 |   |
| Base      management fees                                                     |   |                                                               | 1,950,760   |   |                                                               |   | 2,680,231   |                                                               |   |   | 2,938,659 |   |
| Professional      fees                                                        |   |                                                               | 2,071,027   |   |                                                               |   | 1,166,111   |                                                               |   |   | 1,409,806 |   |
| Administrator      expenses                                                   |   |                                                               | 670,720     |   |                                                               |   | 960,701     |                                                               |   |   | 892,112 |   |
| Incentive      management fees                                                |   |                                                               | 327,684     |   |                                                               |   | 1,752,254   |                                                               |   |   | 711,363 |   |
| Insurance                                                                     |   |                                                               | 869,969     |   |                                                               |   | 682,154     |                                                               |   |   | 586,784 |   |
| Directors      fees and expenses                                              |   |                                                               | 294,932     |   |                                                               |   | 295,017     |                                                               |   |   | 313,726 |   |
| General      & administrative                                             |   |                                                               | 265,575     |   |                                                               |   | 289,477     |                                                               |   |   | 261,653 |   |
| Cost      of acquiring management contract                                    |   |                                                               | -           |   |                                                               |   | -           |                                                               |   |   | 144,000 |   |
| Organizational      expense                                                   |   |                                                               | -           |   |                                                               |   | -           |                                                               |   |   | 49,542 |   |
| Expenses      before expense waiver and reimbursement                         |   |                                                               | 10,546,708  |   |                                                               |   | 10,431,312  |                                                               |   |   | 12,338,878 |   |
| Expense      waiver and reimbursement                                    |   |                                                               | (670,720    | )      |                                                               |   | (1,010,416  | )                                                                  |   |   | (1,789,028 | ) |
| Total      expenses net of expense waiver and reimbursement                   |   |                                                               | 9,875,988   |   |                                                               |   | 9,420,896   |                                                               |   |   | 10,549,850 |   |
|                                                                          |   |                                                               |        |   |                                                               |   |        |                                                               |   |   |   |   |
| NET      INVESTMENT INCOME BEFORE INCOME TAXES                                |   |                                                               | 5,741,288   |   |                                                               |   | 13,966,314  |                                                               |   |   | 10,836,229 |   |
|                                                                          |   |                                                               |        |   |                                                               |   |        |                                                               |   |   |   |   |
| Income      tax expense, including excise tax                                 |   |                                                               | (27,445     | )      |                                                               |   | (140,322    | )                                                                  |   |   | (88,951 | ) |
|                                                                          |   |                                                               |        |   |                                                               |   |        |                                                               |   |   |   |   |
| NET      INVESTMENT INCOME                                                    |   |                                                               | 5,713,843   |   |                                                               |   | 13,825,992  |                                                               |   |   | 10,747,278 |   |
|                                                                          |   |                                                               |        |   |                                                               |   |        |                                                               |   |   |   |   |
| REALIZED      AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:                      |   |                                                               |        |   |                                                               |   |        |                                                               |   |   |   |   |
| Net      realized gain/(loss) from investments                                |   |                                                               |        |   |                                                               |   |        |                                                               |   |   |   |   |
| Non-Control/Non-Affiliate      investments                                    |   |                                                               | (6,653,983  | )      |                                                               |   | (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                               |   |                                                               | (9,525,054  | )      |                                                               |   | (27,961,244 | )                                                                  |   |   | (20,051,923 | ) |
| Net      unrealized appreciation/(depreciation) on derivatives                |   |                                                               | 2,634       |   |                                                               |   | (37,221     | )                                                                  |   |   | (54,266 | ) |
| Net      loss on investments                                                  |   |                                                               | (16,176,403 | )      |                                                               |   | (35,141,129 | )                                                                  |   |   | (16,198,441 | ) |
|                                                                          |   |                                                               |        |   |                                                               |   |        |                                                               |   |   |   |   |
| NET      DECREASE IN NET ASSETS RESULTING FROM OPERATIONS                     |   | $                                                                  | (10,462,560 | )      |                                                               | $      | (21,315,137 | )                                                                  |   | $ | (5,451,163 | ) |
|                                                                          |   |                                                               |        |   |                                                               |   |        |                                                               |   |   |   |   |
| WEIGHTED      AVERAGE - BASIC AND DILUTED EARNINGS (LOSS) PER COMMON    SHARE |   | $                                                                  | (0.99       | )      |                                                               | $      | (2.57       | )                                                                  |   | $ | (0.70 | ) |
|                                                                          |   |                                                               |        |   |                                                               |   |        |                                                               |   |   |   |   |
| WEIGHTED      AVERAGE COMMON STOCK OUTSTANDING - BASIC AND DILUTED            |   |                                                               | 10,613,507  |   |                                                               |   | 8,291,384   |                                                               |   |   | 7,761,965 |   |

----

| Company (a, c)                                 |   | Industry                 |   | Investment InterestRate/Maturity            |   | Principal/Number of Shares |       |   | Cost   |   |       | Fair Value |   |   | % ofStockholders'Equity |   |
|----------------------------------------------------------|--------|--------------------------|--------|--------------------------------------------------|--------|--------------------------------------|------------|--------|--------|--------|------------|-----------------|--------|--------|------------------------------|--------|
| Non-control/Non-affiliated      investments - 131.0% (b) |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |
| GFSI      Inc (d)                                        |   | Apparel                  |   | Senior      Secured Notes10.50%,      6/1/2011   |   | $                                    | 7,082,000  |   |   | $      | 7,082,000  |            |   | $      | 6,909,907                    |   |   |   | 12.5 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Legacy      Cabinets, Inc. (d, i)                        |   | Building      Products   |   | First      Lien Term Loan6.58%,      8/18/2012   |   |                                 | 1,479,842  |   |   |   | 1,463,159  |            |   |   | 444,841                      |   |   |   | 0.8 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Legacy      Cabinets, Inc. (d, i)                        |   | Building      Products   |   | Second      Lien Term Loan12.50%,      8/18/2013 |   |                                 | 1,862,420  |   |   |   | 1,828,197  |            |   |   | 85,113                       |   |   |   | 0.2 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
|                                                     |   |                     |   | Total      Building Products                     |   |                                 | 3,342,262  |   |   |   | 3,291,356  |            |   |   | 529,954                      |   |   |   | 1.0 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Hopkins      Manufacturing Corporation (d)               |   | Consumer      Products   |   | Second      Lien Term Loan7.50%,      1/26/2012  |   |                                 | 3,250,000  |   |   |   | 3,247,947  |            |   |   | 3,003,650                    |   |   |   | 5.4 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Targus      Group International, Inc. (d)                |   | Consumer      Products   |   | First      Lien Term Loan10.25%,      11/22/2012 |   |                                 | 3,109,712  |   |   |   | 2,936,092  |            |   |   | 2,738,101                    |   |   |   | 4.9 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Targus      Holdings, Inc. (d)                           |   | Consumer      Products   |   | Unsecured      Notes10.00%,      12/14/2015      |   |                                 | 1,538,235  |   |   |   | 1,538,235  |            |   |   | 1,529,467                    |   |   |   | 2.8 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Targus      Holdings, Inc. (d, i)                        |   | Consumer      Products   |   | Common                                           |   |                                 | 62,413     |   |   |   | 566,765    |            |   |   | 237,169                      |   |   |   | 0.4 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
|                                                     |   |                     |   | Total      Consumer Products                     |   |                                 | 7,960,360  |   |   |   | 8,289,039  |            |   |   | 7,508,387                    |   |   |   | 13.5 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| CFF      Acquisition LLC (d)                             |   | Consumer      Services   |   | First      Lien Term Loan7.50%,      7/31/2013   |   |                                 | 306,855    |   |   |   | 306,855    |            |   |   | 255,242                      |   |   |   | 0.5 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| M/C      Communications, LLC (d)                         |   | Education                |   | First      Lien Term Loan6.75%,      12/31/2012  |   |                                 | 831,174    |   |   |   | 831,174    |            |   |   | 616,897                      |   |   |   | 1.1 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| M/C      Communications, LLC (d, i)                      |   | Education                |   | Class      A Common Stock                        |   |                                 | 166,327    |   |   |   | 30,241     |            |   |   | 16,633                       |   |   |   | 0.0 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
|                                                     |   |                     |   | Total      Education                             |   |                                 | 997,501    |   |   |   | 861,415    |            |   |   | 633,530                      |   |   |   | 1.1 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Advanced      Lighting Technologies, Inc. (d)            |   | Electronics              |   | Second      Lien Term Loan6.23%,      6/1/2014   |   |                                 | 2,000,000  |   |   |   | 1,814,950  |            |   |   | 1,764,600                    |   |   |   | 3.2 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Group      Dekko (d)                                     |   | Electronics              |   | Second      Lien Term Loan10.50%,      1/20/2012 |   |                                 | 6,913,293  |   |   |   | 6,913,293  |            |   |   | 4,852,440                    |   |   |   | 8.7 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
|                                                     |   |                     |   | Total      Electronics                           |   |                                 | 8,913,293  |   |   |   | 8,728,243  |            |   |   | 6,617,040                    |   |   |   | 11.9 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| USS      Parent Holding Corp. (d, i)                     |   | Environmental            |   | Non      Voting Common Stock                     |   |                                 | 765        |   |   |   | 133,002    |            |   |   | 86,745                       |   |   |   | 0.2 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| USS      Parent Holding Corp. (d, i)                     |   | Environmental            |   | Voting      Common Stock                         |   |                                 | 17,396     |   |   |   | 3,025,798  |            |   |   | 1,973,453                    |   |   |   | 3.5 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
|                                                     |   |                     |   | Total      Environmental                         |   |                                 | 18,161     |   |   |   | 3,158,800  |            |   |   | 2,060,198                    |   |   |   | 3.7 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Bankruptcy      Management Solutions, Inc. (d)           |   | Financial      Services  |   | Second      Lien Term Loan6.48%,      7/31/2013  |   |                                 | 4,837,500  |   |   |   | 4,814,623  |            |   |   | 983,464                      |   |   |   | 1.8 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Big      Train, Inc. (d)                                 |   | Food      and Beverage   |   | First      Lien Term Loan7.75%,      3/31/2012   |   |                                 | 1,931,121  |   |   |   | 1,451,316  |            |   |   | 1,696,876                    |   |   |   | 3.1 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| IDI      Acquisition Corp. (d)                           |   | Healthcare      Services |   | Senior      Secured Notes10.75%,      12/15/2011 |   |                                 | 3,800,000  |   |   |   | 3,679,489  |            |   |   | 3,620,640                    |   |   |   | 6.5 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| PRACS      Institute, LTD (d)                            |   | Healthcare      Services |   | Second      Lien Term Loan8.26%,      4/17/2013  |   |                                 | 4,093,750  |   |   |   | 4,058,633  |            |   |   | 3,568,931                    |   |   |   | 6.5 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
|                                                     |   |                     |   | Total      Healthcare Services                   |   |                                 | 7,893,750  |   |   |   | 7,738,122  |            |   |   | 7,189,571                    |   |   |   | 13.0 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| McMillin      Companies LLC (d)                          |   | Homebuilding             |   | Senior      Secured Notes9.53%,      10/31/2013  |   |                                 | 7,700,000  |   |   |   | 7,334,121  |            |   |   | 3,634,400                    |   |   |   | 6.6 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Worldwide      Express Operations, LLC (d)               |   | Logistics                |   | First      Lien Term Loan10.00%,      6/30/2013  |   |                                 | 2,820,467  |   |   |   | 2,816,547  |            |   |   | 2,230,143                    |   |   |   | 4.1 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Jason      Incorporated (d, i)                           |   | Manufacturing            |   | Unsecured      Notes13.00%,      11/1/2010       |   |                                 | 12,000,000 |   |   |   | 12,000,000 |            |   |   | 1,478,400                    |   |   |   | 2.7 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Jason      Incorporated (d, i)                           |   | Manufacturing            |   | Unsecured      Notes13.00%,      11/1/2010       |   |                                 | 1,700,000  |   |   |   | 1,700,000  |            |   |   | 209,440                      |   |   |   | 0.4 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Specialized      Technology Resources, Inc. (d)          |   | Manufacturing            |   | Second      Lien Term Loan7.23%,      12/15/2014 |   |                                 | 5,000,000  |   |   |   | 4,799,666  |            |   |   | 4,711,000                    |   |   |   | 8.4 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
|                                                     |   |                     |   | Total      Manufacturing                         |   |                                 | 18,700,000 |   |   |   | 18,499,666 |            |   |   | 6,398,840                    |   |   |   | 11.5 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Elyria      Foundry Company, LLC (d)                     |   | Metals                   |   | Senior      Secured Notes13.00%,      3/1/2013   |   |                                 | 5,000,000  |   |   |   | 4,883,382  |            |   |   | 3,785,500                    |   |   |   | 6.8 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Elyria      Foundry Company, LLC (d, i)                  |   | Metals                   |   | Warrants                                         |   |                                 | 3,000      |   |   |   | -          |            |   |   | 8,610                        |   |   |   | 0.0 | % |
|                                                     |   |                     |   |                                             |   |                                 |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
|                                                     |   |                     |   | Total      Metals                                |   |                                 | 5,003,000  |   |   |   | 4,883,382  |            |   |   | 3,794,110                    |   |   |   | 6.8 | % |

----

| Company (a, c)                                |   | Industry                           |   | Investment InterestRate/Maturity                        |   | Principal/Number of Shares |       |   | Cost   |    |        | Fair Value |   |    | % ofStockholders'Equity |   |
|---------------------------------------------------------|--------|------------------------------------|--------|--------------------------------------------------------------|--------|--------------------------------------|------------|--------|--------|---------|-------------|-----------------|--------|---------|------------------------------|--------|
| Abitibi-Consolidated      Company of Canada (d,      e) |   | Natural      Resources             |   | First      Lien Term Loan11.00%,      3/30/2009              |   | $                               | 2,948,639  |   |   | $  | 2,948,639   |            |   | $  | 2,830,694                    |   |   |   | 5.1 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| Grant      U.S. Holdings LLP (d, e, i)                  |   | Natural      Resources             |   | Second      Lien Term Loan10.75%,      9/20/2013             |   |                                 | 6,349,512  |   |   |    | 6,349,348   |            |   |    | 158,738                      |   |   |   | 0.3 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
|                                                    |   |                               |   | Total      Natural Resources                                 |   |                                 | 9,298,151  |   |   |    | 9,297,987   |            |   |    | 2,989,432                    |   |   |   | 5.4 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| Energy      Alloys, LLC (d)                             |   | Oil      and Gas                   |   | Second      Lien Term Loan3.00%,      6/30/2015              |   |                                 | 6,239,318  |   |   |    | 6,239,318   |            |   |    | 1,128,693                    |   |   |   | 2.0 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| Energy      Alloys, LLC (d, i)                          |   | Oil      and Gas                   |   | Warrants                                                     |   |                                 | 3          |   |   |    | -           |            |   |    | -                            |   |   |   | 0.0 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
|                                                    |   |                               |   | Total      Oil and Gas                                       |   |                                 | 6,239,321  |   |   |    | 6,239,318   |            |   |    | 1,128,693                    |   |   |   | 2.0 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| Terphane      Holdings Corp. (d, e)                     |   | Packaging                          |   | Senior      Secured Notes12.50%,      6/15/2010              |   |                                 | 4,850,000  |   |   |    | 4,850,000   |            |   |    | 4,549,785                    |   |   |   | 8.2 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| Terphane      Holdings Corp. (d, e)                     |   | Packaging                          |   | Senior      Secured Notes12.50%,      6/15/2010              |   |                                 | 5,087,250  |   |   |    | 5,087,250   |            |   |    | 4,772,349                    |   |   |   | 8.6 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| Terphane      Holdings Corp. (d, e)                     |   | Packaging                          |   | Senior      Secured Notes10.92%,      6/15/2010              |   |                                 | 500,000    |   |   |    | 500,000     |            |   |    | 469,050                      |   |   |   | 0.8 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
|                                                    |   |                               |   | Total      Packaging                                         |   |                                 | 10,437,250 |   |   |    | 10,437,250  |            |   |    | 9,791,184                    |   |   |   | 17.6 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| Custom      Direct, Inc. (d)                            |   | Printing                           |   | First      Lien Term Loan3.06%,      12/31/2013              |   |                                 | 1,832,053  |   |   |    | 1,527,103   |            |   |    | 1,614,222                    |   |   |   | 2.8 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| Affinity      Group, Inc. (d)                           |   | Publishing                         |   | First      Lien Term Loan12.75%,      3/31/2010              |   |                                 | 361,020    |   |   |    | 360,554     |            |   |    | 361,020                      |   |   |   | 0.7 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| Affinity      Group, Inc. (d)                           |   | Publishing                         |   | First      Lien Term Loan12.75%,      3/31/2010              |   |                                 | 386,625    |   |   |    | 386,129     |            |   |    | 386,626                      |   |   |   | 0.7 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| Brown      Publishing Company (d, i)                    |   | Publishing                         |   | Second      Lien Term Loan8.76%,      9/19/2014              |   |                                 | 1,203,226  |   |   |    | 1,198,390   |            |   |    | 10,709                       |   |   |   | 0.0 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| Network      Communications, Inc. (d)                   |   | Publishing                         |   | Unsecured      Notes10.75%,      12/1/2013                   |   |                                 | 5,000,000  |   |   |    | 5,067,619   |            |   |    | 2,473,000                    |   |   |   | 4.5 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| Penton      Media, Inc. (d)                             |   | Publishing                         |   | First      Lien Term Loan2.50%,      2/1/2013                |   |                                 | 4,847,802  |   |   |    | 3,908,440   |            |   |    | 3,478,299                    |   |   |   | 6.2 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
|                                                    |   |                               |   | Total      Publishing                                        |   |                                 | 11,798,673 |   |   |    | 10,921,132  |            |   |    | 6,709,654                    |   |   |   | 12.1 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| Sub      Total Non-control/Non-affiliated investments   |   |                               |   |                                                         |   |                                 |       |   |   |    | 117,678,275 |            |   |    | 72,674,847                   |   |   |   | 131.0 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| Control      investments - 30.1% (b)                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| GSC      Partners CDO GP III, LP (h, i)                 |   | Financial      Services            |   | 100%      GeneralPartnership      Interest                   |   |                                 | -          |   |   |    | -           |            |   |    | -                            |   |   |   | 0.0 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| GSC      Investment Corp. CLO 2007 LTD. (f,      h)     |   | Structured      Finance Securities |   | Other/StructuredFinance      Securities8.27%,      1/21/2020 |   |                                 | 30,000,000 |   |   |    | 29,233,097  |            |   |    | 16,698,303                   |   |   |   | 30.1 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| Sub      Total Control investments                      |   |                               |   |                                                         |   |                                 |       |   |   |    | 29,233,097  |            |   |    | 16,698,303                   |   |   |   | 30.1 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| Affiliate      investments - 0.0% (b)                   |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| GSC      Partners CDO GP III, LP (g, i)                 |   | Financial      Services            |   | 6.24%      LimitedPartnership      Interest                  |   |                                 | -          |   |   |    | -           |            |   |    | -                            |   |   |   | 0.0 | % |
| Sub      Total Affiliate investments                    |   |                               |   |                                                         |   |                                 |       |   |   |    | -           |            |   |    | -                            |   |   |   | 0.0 | % |
|                                                    |   |                               |   |                                                         |   |                                 |       |   |   |    |        |            |   |    |                         |   |   |   |   |   |
| TOTAL      INVESTMENT ASSETS - 161.1% (b)               |   |                               |   |                                                         |   |                                 |       |   |   | $       | 146,911,372 |            |   | $       | 89,373,150                   |   |   |   | 161.1 | % |

----

| Outstanding      interest rate cap           |   | Interest      rate |   | Maturity |       | Notional |   |       | Cost   |   |   | Fair      Value |   |   | %      ofStockholders'      Equity |   |
|----------------------------------------------|--------|--------------------|--------|----------|------------|----------|--------|------------|--------|--------|--------|-----------------|--------|--------|------------------------------------|--------|
| Interest      rate cap                       |   |               | 8.0    | %        | 2/9/2014   |     | $      | 39,183,673 |   |   | $      | 87,000          |   |   | $                                  | 30,097 |   |   |   | 0.1 | % |
| Interest      rate cap                       |   |               | 8.0    | %        | 11/30/2013 |     |   | 26,433,408 |   |   |   | 44,000          |   |   |                               | 12,050 |   |   |   | 0.0 | % |
|                                         |   |               |   |     |       |     |   |       |   |   |   |            |   |   |                               |   |   |   |   |   |   |
| Sub      Total Outstanding interest rate cap |   |               |   |     |       |     |   |       |   |   | $      | 131,000         |   |   | $                                  | 42,147 |   |   |   | 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 Ltd., Terphane Holdings Corp., and GSC Partners      CDO GP III, LP. |
|-----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|      |                                                                                                                                                                                                                                                                                                                                             |

| (b)  | Percentages      are based on net assets of $55,478,152 as of February 28,      2010. |
|-----------|---------------------------------------------------------------------------------------|
|      |                                                                                  |

| (c)  | Fair      valued investment (see Note 4 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 8 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)    | 8.27%      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 asfollows: |
|-----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|                             |   |      |   |   |        |   |   |              |   |   | Interest |   |   | Management      |   |   | Net      Realized |   |   | Net      unrealized |   |
|----------------------------------|--------|-----------|--------|--------|-------------|--------|--------|-------------------|--------|--------|----------|--------|--------|-----------------|--------|--------|-------------------|--------|--------|---------------------|--------|
| Company                          |   | Purchases |   |   | Redemptions |   |   | Sales      (cost) |   |   | Income   |   |   | fee      income |   |   | gains/(losses)    |   |   | gains/(losses)      |   |
| GSC      Partners CDO GP III, LP |   | $         | -      |   |        | $      | -      |              |   | $      | -        |   |   | $               | -      |   |              | $      | -      |                |   | $ | - |   |   | $ | (10,527 | ) |

| (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      unrealized |   |
|-----------------------------------------|--------|-----------|--------|--------|-------------|--------|--------|-------------------|--------|--------|----------|--------|--------|-----------------|-----------|--------|-------------------|--------|-----------|---------------------|--------|
| Company                                 |   | Purchases |   |   | Redemptions |   |   | Sales      (cost) |   |   | Income   |   |   | fee      income |      |   | gains/(losses)    |   |      | gains/(losses)      |   |
| GSC      Investment Corp. CLO 2007 LTD. |   | $         | -      |   |        | $      | -      |              |   | $      | -        |   |   | $               | 2,397,514 |   |              | $      | 2,057,397 |                |   | $ | - |   |   | $ | (4,970,217 | ) |
| GSC      Partners CDO GP III, LP        |   | $         | -      |   |        | $      | -      |              |   | $      | -        |   |   | $               | -         |   |              | $      | -         |                |   | $ | - |   |   | $ | (98,412 | ) |

| (i) | Non-income      producing at February 28, 2010. |
|-----|-------------------------------------------------|

----

| Company (a, c)                                 |   | Industry                 |   | Investment InterestRate/Maturity            |   | Principal |       |   | Cost   |   |       | Fair Value |   |   | % ofStockholders'Equity |   |
|----------------------------------------------------------|--------|--------------------------|--------|--------------------------------------------------|--------|-----------|------------|--------|--------|--------|------------|-----------------|--------|--------|------------------------------|--------|
| Non-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 Loan5.75%,      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 Loan5.75%,      12/20/2013  |   |      | 32,381     |   |   |   | 27,281     |            |   |   | 6,152                        |   |   |   | 0.0 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Lyondell      Chemical Company (d)                       |   | Chemicals                |   | First      Lien Term Loan5.47%,      12/20/2013  |   |      | 77,141     |   |   |   | 64,991     |            |   |   | 14,657                       |   |   |   | 0.0 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Lyondell      Chemical Company (d)                       |   | Chemicals                |   | First      Lien Term Loan5.16%,      12/20/2014  |   |      | 92,962     |   |   |   | 78,320     |            |   |   | 17,663                       |   |   |   | 0.0 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Lyondell      Chemical Company (d)                       |   | Chemicals                |   | First      Lien Term Loan5.16%,      12/20/2014  |   |      | 92,962     |   |   |   | 78,320     |            |   |   | 17,663                       |   |   |   | 0.0 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Lyondell      Chemical Company (d)                       |   | Chemicals                |   | First      Lien Term Loan5.16%,      12/20/2014  |   |      | 92,962     |   |   |   | 78,320     |            |   |   | 17,663                       |   |   |   | 0.0 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Lyondell      Chemical Company (d)                       |   | Chemicals                |   | First      Lien Term Loan5.75%,      12/20/2013  |   |      | 121,428    |   |   |   | 102,303    |            |   |   | 23,071                       |   |   |   | 0.0 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Lyondell      Chemical Company (d)                       |   | Chemicals                |   | First      Lien Term Loan5.75%,      12/20/2013  |   |      | 231,354    |   |   |   | 194,916    |            |   |   | 43,957                       |   |   |   | 0.1 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Lyondell      Chemical Company (d)                       |   | Chemicals                |   | First      Lien Term Loan7.00%,      12/20/2014  |   |      | 403,388    |   |   |   | 339,854    |            |   |   | 76,644                       |   |   |   | 0.1 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Lyondell      Chemical Company (d)                       |   | Chemicals                |   | First      Lien Term Loan7.00%,      12/20/2014  |   |      | 403,388    |   |   |   | 339,854    |            |   |   | 76,644                       |   |   |   | 0.1 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Lyondell      Chemical Company (d)                       |   | Chemicals                |   | First      Lien Term Loan7.00%,      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 Loan7.70%,      1/26/2012  |   |      | 3,250,000  |   |   |   | 3,246,870  |            |   |   | 2,627,950                    |   |   |   | 3.9 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Targus      Group International, Inc. (d)                |   | Consumer      Products   |   | First      Lien Term Loan4.67%,      11/22/2012  |   |      | 3,122,943  |   |   |   | 2,895,723  |            |   |   | 2,089,561                    |   |   |   | 3.1 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Targus      Group International, Inc. (d)                |   | Consumer      Products   |   | Second      Lien Term Loan9.75%,      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 Loan8.57%,      7/31/2013   |   |      | 308,912    |   |   |   | 308,912    |            |   |   | 243,793                      |   |   |   | 0.4 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| M/C      Communications, LLC (d)                         |   | Education                |   | First      Lien Term Loan13.12%,      12/31/2010 |   |      | 1,697,164  |   |   |   | 1,590,350  |            |   |   | 674,283                      |   |   |   | 1.0 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Advanced      Lighting Technologies, Inc. (d)            |   | Electronics              |   | Second      Lien Term Loan8.53%,      6/1/2014   |   |      | 2,000,000  |   |   |   | 1,771,457  |            |   |   | 1,503,200                    |   |   |   | 2.2 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Group      Dekko (d)                                     |   | Electronics              |   | Second      Lien Term Loan6.45%,      1/20/2012  |   |      | 6,670,000  |   |   |   | 6,670,000  |            |   |   | 5,321,326                    |   |   |   | 7.8 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| IPC      Systems, Inc. (d)                               |   | Electronics              |   | First      Lien Term Loan3.71%,      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 Loan4.73%,      6/29/2013  |   |      | 5,960,000  |   |   |   | 5,846,833  |            |   |   | 3,592,092                    |   |   |   | 5.3 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Bankruptcy      Management Solutions, Inc. (d)           |   | Financial      Services  |   | Second      Lien Term Loan6.70%,      7/31/2013  |   |      | 4,887,500  |   |   |   | 4,858,282  |            |   |   | 3,053,221                    |   |   |   | 4.5 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Big      Train, Inc. (d)                                 |   | Food      and Beverage   |   | First      Lien Term Loan4.98%,      3/31/2012   |   |      | 2,478,660  |   |   |   | 1,671,647  |            |   |   | 1,706,557                    |   |   |   | 2.5 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| IDI      Acquisition Corp. (d)                           |   | Healthcare      Services |   | Senior      Secured Notes10.75%,      12/15/2011 |   |      | 3,800,000  |   |   |   | 3,623,605  |            |   |   | 2,428,580                    |   |   |   | 3.6 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| PRACS      Institute, LTD (d)                            |   | Healthcare      Services |   | Second      Lien Term Loan11.13%,      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 Notes9.53%,      4/30/2012   |   |      | 7,700,000  |   |   |   | 7,294,643  |            |   |   | 3,489,640                    |   |   |   | 5.1 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Asurion      Corporation (d)                             |   | Insurance                |   | First      Lien Term Loan3.76%,      7/3/2014    |   |      | 2,000,000  |   |   |   | 1,704,665  |            |   |   | 1,493,400                    |   |   |   | 2.2 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Worldwide      Express Operations, LLC (d)               |   | Logistics                |   | First      Lien Term Loan6.95%,      6/30/2013   |   |      | 2,820,779  |   |   |   | 2,815,612  |            |   |   | 2,133,637                    |   |   |   | 3.1 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Jason      Incorporated (d)                              |   | Manufacturing            |   | Unsecured      Notes13.00%,      11/1/2010       |   |      | 12,000,000 |   |   |   | 12,000,000 |            |   |   | 8,652,000                    |   |   |   | 12.7 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Jason      Incorporated (d)                              |   | Manufacturing            |   | Unsecured      Notes13.00%,      11/1/2010       |   |      | 1,700,000  |   |   |   | 1,700,000  |            |   |   | 1,225,700                    |   |   |   | 1.8 | % |
|                                                     |   |                     |   |                                             |   |      |       |   |   |   |       |            |   |   |                         |   |   |   |   |   |
| Specialized      Technology Resources, Inc. (d)          |   | Manufacturing            |   | Second      Lien Term Loan7.48%,      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 Notes10.88%,      7/15/2012  |   |      | 2,500,000  |   |   |   | 2,494,342  |            |   |   | 1,850,500                    |   |   |   | 2.7 | % |

----

| Company (a, c)                                    |   | Industry                                       |                                                          | Investment InterestRate/Maturity             |   | Principal  |       |   | Cost   |       |              | Fair Value |   |       | % ofStockholders'Equity |   |
|-------------------------------------------------------------|--------|------------------------------------------------|---------------------------------------------------------------|---------------------------------------------------|--------|------------|------------|--------|--------|------------|-------------------|-----------------|--------|------------|------------------------------|--------|
| Elyria      Foundry Company, LLC (d)                        |   | Metals                                         |                                                          | Senior      Secured Notes13.00%,      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 Loan11.50%,      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 Loan9.81%,      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 Loan7.24%,      5/11/2015   |   |       | 3,000,000  |   |   |       | 2,815,938         |            |   |       | 2,072,700                    |   |   |   | 3.0 | % |
|                                                        |   |                                           |                                                          |                                              |   |       |       |   |   |       |              |            |   |       |                         |   |   |   |   |   |
| Energy      Alloys, LLC (d)                                 |   | Oil      and Gas                               |                                                          | Second      Lien Term Loan11.75%,      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 Loan13.00%,      10/31/2010 |   |       | 2,500,000  |   |   |       | 2,500,000         |            |   |       | 2,375,500                    |   |   |   | 3.5 | % |
|                                                        |   |                                           |                                                          |                                              |   |       |       |   |   |       |              |            |   |       |                         |   |   |   |   |   |
| Terphane      Holdings Corp. (d, e)                         |   | Packaging                                      |                                                          | Senior      Secured Notes12.50%,      6/15/2009   |   |       | 4,850,000  |   |   |       | 4,846,976         |            |   |       | 3,575,420                    |   |   |   | 5.3 | % |
|                                                        |   |                                           |                                                          |                                              |   |       |       |   |   |       |              |            |   |       |                         |   |   |   |   |   |
| Terphane      Holdings Corp. (d, e)                         |   | Packaging                                      |                                                          | Senior      Secured Notes12.50%,      6/15/2009   |   |       | 5,087,250  |   |   |       | 5,084,820         |            |   |       | 3,750,321                    |   |   |   | 5.5 | % |
|                                                        |   |                                           |                                                          |                                              |   |       |       |   |   |       |              |            |   |       |                         |   |   |   |   |   |
| Terphane      Holdings Corp. (d, e)                         |   | Packaging                                      |                                                          | Senior      Secured Notes12.02%,      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 Loan4.21%,      12/31/2013   |   |       | 2,049,694  |   |   |       | 1,618,148         |            |   |       | 1,638,526                    |   |   |   | 2.4 | % |
|                                                        |   |                                           |                                                          |                                              |   |       |       |   |   |       |              |            |   |       |                         |   |   |   |   |   |
| Advanstar      Communications Inc. (d)                      |   | Publishing                                     |                                                          | First      Lien Term Loan3.71%,      5/31/2014    |   |       | 1,970,000  |   |   |       | 1,553,133         |            |   |       | 807,700                      |   |   |   | 1.2 | % |
|                                                        |   |                                           |                                                          |                                              |   |       |       |   |   |       |              |            |   |       |                         |   |   |   |   |   |
| Affinity      Group, Inc. (d)                               |   | Publishing                                     |                                                          | First      Lien Term Loan3.01%,      6/24/2009    |   |       | 476,261    |   |   |       | 468,285           |            |   |       | 418,872                      |   |   |   | 0.6 | % |
|                                                        |   |                                           |                                                          |                                              |   |       |       |   |   |       |              |            |   |       |                         |   |   |   |   |   |
| Affinity      Group, Inc. (d)                               |   | Publishing                                     |                                                          | First      Lien Term Loan2.98%,      6/24/2009    |   |       | 511,811    |   |   |       | 503,239           |            |   |       | 450,137                      |   |   |   | 0.7 | % |
|                                                        |   |                                           |                                                          |                                              |   |       |       |   |   |       |              |            |   |       |                         |   |   |   |   |   |
| Brown      Publishing Company (d)                           |   | Publishing                                     |                                                          | Second      Lien Term Loan8.76%,      9/19/2014   |   |       | 1,203,226  |   |   |       | 1,198,390         |            |   |       | 288,774                      |   |   |   | 0.4 | % |
|                                                        |   |                                           |                                                          |                                              |   |       |       |   |   |       |              |            |   |       |                         |   |   |   |   |   |
| Network      Communications, Inc. (d)                       |   | Publishing                                     |                                                          | Unsecured      Notes10.75%,      12/1/2013        |   |       | 5,000,000  |   |   |       | 5,082,100         |            |   |       | 2,503,000                    |   |   |   | 3.7 | % |
|                                                        |   |                                           |                                                          |                                              |   |       |       |   |   |       |              |            |   |       |                         |   |   |   |   |   |
| Penton      Media, Inc. (d)                                 |   | Publishing                                     |                                                          | First      Lien Term Loan3.35%,      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 Loan8.63%,      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  |  % |
|                                                        |   |                                           |                                                          |                                              |   |       |       |   |   |       |              |            |   |       |                         |   |   |   |   |   |
| Control      investments - 33.0% (b)                        |   |                                           |                                                          |                                              |   |       |       |   |   |       |              |            |   |       |                         |   |   |   |   |   |
|                                                        |   |                                           |                                                          |                                              |   |       |       |   |   |       |              |            |   |       |                         |   |   |   |   |   |
| GSC      Partners CDO GP III, LP (h)                        |   | Financial      Services                        |                                                          | 100%      GeneralPartnership      interest        |   |       | -          |   |   |       | -                 |            |   |       | 98,412                       |   |   |   | 0.1 | % |
|                                                        |   |                                           |                                                          |                                              |   |       |       |   |   |       |              |            |   |       |                         |   |   |   |   |   |
| GSC      Investment Corp. CLO 2007 LTD. (f,      h)         |   | Structured      Finance Securities   | Other/StructuredFinance      Securities12.15%,      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%      LimitedPartnership      Interest       |   |       | -          |   |   |       | -                 |            |   |       | 10,527                       |   |   |   | 0.0 | % |
| Sub      Total Affiliate investments                        |   |                                           |                                                          |                                              |   |       |       |   |   |       | -                 |            |   |       | 10,527                       |   |   |   | 0.0 | % |
|                                                        |   |                                           |                                                          |                                              |   |       |       |   |   |       |              |            |   |       |                         |   |   |   |   |   |
| TOTAL      INVESTMENT ASSETS - 174.8% (b)                   |   |                                           |                                                          |                                              |   |       |       |   |   | $          | 166,925,643       |            |   | $          | 118,912,475                  |   |   |   | 174.8 | % |

| Outstanding interest rate cap |   | Interest rate |   | Maturity |     | Notional |   |       | Cost   |   |   | Fair Value |   |   | % ofStockholders'Equity |   |
|----------------------------------------------|--------|--------------------|--------|----------|----------|----------|--------|------------|--------|--------|--------|-----------------|--------|--------|------------------------------|--------|
| Interest      rate cap                       |   |               | 8.0    | %        | 2/9/2014 |     | $      | 40,000,000 |   |   | $      | 87,000          |   |   | $                            | 27,682 |   |   |   | 0.1 | % |

| Company (a, c)                     |   | Industry |   | Investment InterestRate/Maturity |       | Principal |   | Cost       |   | Fair Value |   |    | % ofStockholders'Equity |   |
|----------------------------------------------|--------|----------|--------|---------------------------------------|------------|-----------|--------|------------|--------|-----------------|--------|---------|------------------------------|--------|
| 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 4 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 asfollows: |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|                             |   |      |   |   |        |   |   |              |   |   | Interest |   |   | Management      |   |   | Net Realized |   |   | Net unrealized |   |
|----------------------------------|--------|-----------|--------|--------|-------------|--------|--------|-------------------|--------|--------|----------|--------|--------|-----------------|--------|--------|-------------------|--------|--------|---------------------|--------|
| Company                          |   | 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 unrealized |   |
|-----------------------------------------|--------|-----------|--------|--------|-------------|--------|--------|-------------------|--------|--------|----------|--------|--------|-----------------|-----------|--------|-------------------|--------|-----------|---------------------|--------|
| Company                                 |   | 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 | ) |

----

|                                                                                                                       |   | For the year endedFebruary 28, 2010 |        |   | For the year endedFebruary 28, 2009 |   |        | For the year endedFebruary 29, 2008 |   |
|----------------------------------------------------------------------------------------------------------------------------|--------|--------------------------------------------------------------|-------------|--------|--------------------------------------------------------------|--------|-------------|--------------------------------------------------------------|--------|
|                                                                                                                       |   |                                                         |        |   |                                                         |   |        |                                                         |   |
| INCREASE/(DECREASE)      FROM OPERATIONS:                                                                                  |   |                                                         |        |   |                                                         |   |        |                                                         |   |
| Net      investment income                                                                                                 |   | $                                                            | 5,713,843   |   |                                                         | $      | 13,825,992  |                                                         |   | $ | 10,747,278 |   |
| Net      realized gain/(loss) from investments                                                                             |   |                                                         | (6,653,983  | )      |                                                         |   | (7,173,118  | )                                                            |   |   | 3,175,222 |   |
| Net      realized gain from derivatives                                                                                    |   |                                                         | -           |   |                                                         |   | 30,454      |                                                         |   |   | 732,526 |   |
| Net      unrealized depreciation on investments                                                                            |   |                                                         | (9,525,054  | )      |                                                         |   | (27,961,244 | )                                                            |   |   | (20,051,923 | ) |
| Net      unrealized appreciation/(depreciation) on derivatives                                                             |   |                                                         | 2,634       |   |                                                         |   | (37,221     | )                                                            |   |   | (54,266 | ) |
| Net      decrease in net assets from operations                                                                            |   |                                                         | (10,462,560 | )      |                                                         |   | (21,315,137 | )                                                            |   |   | (5,451,163 | ) |
| DECREASE      FROM SHAREHOLDER DISTRIBUTIONS:                                                                              |   |                                                         |        |   |                                                         |   |        |                                                         |   |   |   |   |
| Distributions      declared                                                                                                |   |                                                         | (15,131,775 | )      |                                                         |   | (8,540,126  | )                                                            |   |   | (12,851,645 | ) |
| Net      decrease in net assets from shareholder distributions                                                             |   |                                                         | (15,131,775 | )      |                                                         |   | (8,540,126  | )                                                            |   |   | (12,851,645 | ) |
| CAPITAL      SHARE TRANSACTIONS:                                                                                           |   |                                                         |        |   |                                                         |   |        |                                                         |   |   |   |   |
| Stock      dividend distribution                                                                                           |   |                                                         | 13,058,710  |   |                                                         |   | -           |                                                         |   |   | - |   |
| Issuance      of common stock, net                                                                                         |   |                                                         | -           |   |                                                         |   | -           |                                                         |   |   | 116,301,011 |   |
| Net      increase in net assets from capital share transactions                                                            |   |                                                         | 13,058,710  |   |                                                         |   | -           |                                                         |   |   | 116,301,011 |   |
|                                                                                                                       |   |                                                         |        |   |                                                         |   |        |                                                         |   |   |   |   |
| Total      increase/(decrease) in net assets                                                                               |   |                                                         | (12,535,625 | )      |                                                         |   | (29,855,263 | )                                                            |   |   | 97,998,203 |   |
| Net      assets at beginning of year                                                                                       |   |                                                         | 68,013,777  |   |                                                         |   | 97,869,040  |                                                         |   |   | (129,163 | ) |
| Net      assets at end of year                                                                                             |   | $                                                            | 55,478,152  |   |                                                         | $      | 68,013,777  |                                                         |   | $ | 97,869,040 |   |
|                                                                                                                       |   |                                                         |        |   |                                                         |   |        |                                                         |   |   |   |   |
| Net      asset value per common share                                                                                      |   | $                                                            | 3.27        |   |                                                         | $      | 8.20        |                                                         |   | $ | 11.80 |   |
| Common      shares outstanding at end of year                                                                              |   |                                                         | 16,940,109  |   |                                                         |   | 8,291,384   |                                                         |   |   | 8,291,384 |   |
|                                                                                                                       |   |                                                         |        |   |                                                         |   |        |                                                         |   |   |   |   |
| (Distributions      in excess of accumulated net investment income) / Accumulated      undistributed net investment income |   | $                                                            | (2,846,135  | )      |                                                         | $      | 6,122,492   |                                                         |   | $ | 455,576 |   |

----

|                                                                                                                                       |   | For the year endedFebruary 28, 2010 |        |   | For the year endedFebruary 28, 2009 |   |        | For the year endedFebruary 29, 2008 |   |
|--------------------------------------------------------------------------------------------------------------------------------------------|--------|--------------------------------------------------------------|-------------|--------|--------------------------------------------------------------|--------|-------------|--------------------------------------------------------------|--------|
|                                                                                                                                       |   |                                                         |        |   |                                                         |   |        |                                                         |   |
| Operating      activities                                                                                                                  |   |                                                         |        |   |                                                         |   |        |                                                         |   |
| NET      DECREASE IN NET ASSETS FROM OPERATIONS                                                                                            |   | $                                                            | (10,462,560 | )      |                                                         | $      | (21,315,137 | )                                                            |   | $ | (5,451,163 | ) |
| ADJUSTMENTS      TO RECONCILE NET DECREASE IN NET ASSETS FROM OPERATIONS TO NET CASH      PROVIDED BY (USED IN) OPERATING ACTIVITIES: |   |                                                         |        |   |                                                         |   |        |                                                         |   |   |   |   |
| Paid-in-kind      interest income                                                                                                          |   |                                                         | (858,730    | )      |                                                         |   | (819,905    | )                                                            |   |   | (365,592 | ) |
| Net      accretion of discount on investments                                                                                              |   |                                                         | (966,191    | )      |                                                         |   | (1,323,644  | )                                                            |   |   | (765,255 | ) |
| Amortization      of deferred credit facility financing costs                                                                              |   |                                                         | 633,349     |   |                                                         |   | 193,464     |                                                         |   |   | 502,468 |   |
| Net      realized loss from investments                                                                                                    |   |                                                         | 6,653,983   |   |                                                         |   | 7,173,118   |                                                         |   |   | (3,175,222 | ) |
| Net      realized (gain) loss from derivatives                                                                                             |   |                                                         | -           |   |                                                         |   | -           |                                                         |   |   | (732,526 | ) |
| Net      unrealized depreciation on investments                                                                                            |   |                                                         | 9,525,054   |   |                                                         |   | 27,961,244  |                                                         |   |   | 20,051,923 |   |
| Unrealized      (appreciation) depreciation on derivatives                                                                                 |   |                                                         | (2,634      | )      |                                                         |   | 37,221      |                                                         |   |   | 54,266 |   |
| Proceeds      from sale and redemption of investments                                                                                      |   |                                                         | 15,185,210  |   |                                                         |   | 49,193,508  |                                                         |   |   | 141,772,158 |   |
| Purchase      of investments                                                                                                               |   |                                                         | -           |   |                                                         |   | (28,259,995 | )                                                            |   |   | (314,002,526 | ) |
| (Increase)      decrease in operating assets:                                                                                              |   |                                                         |        |   |                                                         |   |        |                                                         |   |   |   |   |
| Cash      and cash equivalents, securitization accounts                                                                                    |   |                                                         | 952,777     |   |                                                         |   | 13,402,772  |                                                         |   |   | (14,580,973 | ) |
| Interest      receivable                                                                                                                   |   |                                                         | (386,293    | )      |                                                         |   | (732,546    | )                                                            |   |   | (2,355,122 | ) |
| Due      from manager                                                                                                                      |   |                                                         | -           |   |                                                         |   | 940,903     |                                                         |   |   | (940,903 | ) |
| Management      fee receivable                                                                                                             |   |                                                         | (90,558     | )      |                                                         |   | (21,456     | )                                                            |   |   | (215,914 | ) |
| Other      assets                                                                                                                          |   |                                                         | 180,988     |   |                                                         |   | (281,911    | )                                                            |   |   | (39,349 | ) |
| Deferred      offering costs                                                                                                               |   |                                                         | -           |   |                                                         |   | -           |                                                         |   |   | 808,617 |   |
| Increase      (decrease) in operating liabilities:                                                                                         |   |                                                         |        |   |                                                         |   |        |                                                         |   |   |   |   |
| Payable      for unsettled trades                                                                                                          |   |                                                         | -           |   |                                                         |   | (11,329,150 | )                                                            |   |   | 11,329,150 |   |
| Management      and incentive fees payable                                                                                                 |   |                                                         | 190,426     |   |                                                         |   | 1,937,606   |                                                         |   |   | 943,061 |   |
| Accounts      payable and accrued expenses                                                                                                 |   |                                                         | 410,544     |   |                                                         |   | (12,885     | )                                                            |   |   | 608,422 |   |
| Interest      and credit facility fees payable                                                                                             |   |                                                         | 194,341     |   |                                                         |   | (219,482    | )                                                            |   |   | 292,307 |   |
| Due      to manager                                                                                                                        |   |                                                         | 15,602      |   |                                                         |   | (11,048     | )                                                            |   |   | (62,762 | ) |
| Accrued      offering costs                                                                                                                |   |                                                         | -           |   |                                                         |   | -           |                                                         |   |   | (760,000 | ) |
| NET      CASH  PROVIDED BY OPERATING ACTIVITIES                                                                                  |   |                                                         | 21,175,308  |   |                                                         |   | 36,512,677  |                                                         |   |   | (167,084,935 | ) |
|                                                                                                                                       |   |                                                         |        |   |                                                         |   |        |                                                         |   |   |   |   |
| Financing      activities                                                                                                                  |   |                                                         |        |   |                                                         |   |        |                                                         |   |   |   |   |
| Issuance      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                                                                                                                      |   |                                                         | (22,002,451 | )      |                                                         |   | (27,255,327 | )                                                            |   |   | (89,508,119 | ) |
| Credit      facility financing cost                                                                                                        |   |                                                         | (103,582    | )      |                                                         |   | -           |                                                         |   |   | (1,225,699 | ) |
| Cost      of interest rate cap                                                                                                             |   |                                                         | -           |   |                                                         |   | -           |                                                         |   |   | (131,000 | ) |
| Payments      of cash dividends                                                                                                            |   |                                                         | (2,073,066  | )      |                                                         |   | (11,773,766 | )                                                            |   |   | (9,618,005 | ) |
| NET      CASH USED BY FINANCING ACTIVITIES                                                                                                 |   |                                                         | (24,179,099 | )      |                                                         |   | (31,229,093 | )                                                            |   |   | 168,156,546 |   |
|                                                                                                                                       |   |                                                         |        |   |                                                         |   |        |                                                         |   |   |   |   |
| NET      INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS                                                                                  |   |                                                         | (3,003,791  | )      |                                                         |   | 5,283,584   |                                                         |   |   | 1,071,611 |   |
| CASH      AND CASH EQUIVALENTS, BEGINNING OF YEAR                                                                                          |   |                                                         | 6,356,225   |   |                                                         |   | 1,072,641   |                                                         |   |   | 1,030 |   |
| CASH      AND CASH EQUIVALENTS, END OF YEAR                                                                                                |   | $                                                            | 3,352,434   |   |                                                         | $      | 6,356,225   |                                                         |   | $ | 1,072,641 |   |
|                                                                                                                                       |   |                                                         |        |   |                                                         |   |        |                                                         |   |   |   |   |
| Supplemental      Information:                                                                                                             |   |                                                         |        |   |                                                         |   |        |                                                         |   |   |   |   |
| Interest      paid during the year                                                                                                         |   | $                                                            | 3,268,351   |   |                                                         | $      | 2,631,385   |                                                         |   | $ | 4,236,458 |   |
| Federal      excise tax paid during the year                                                                                               |   | $                                                            | 140,322     |   |                                                         | $      | 88,951      |                                                         |   | $ | - |   |
| Supplemental      non-cash information                                                                                                     |   |                                                         |        |   |                                                         |   |        |                                                         |   |   |   |   |
| Issuance      of common stock for acquisition of investments in GSC CDO III, LLC and GSC      Partners CDO GP III, L.P.                    |   | $                                                            | -           |   |                                                         | $      | -           |                                                         |   | $ | 15,619,761 |   |
| Paid-in-kind      interest income                                                                                                          |   | $                                                            | 858,730     |   |                                                         | $      | 819,905     |                                                         |   | $ | 365,592 |   |
| Net      accretion of discount on investments                                                                                              |   | $                                                            | 966,191     |   |                                                         | $      | 1,323,644   |                                                         |   | $ | 765,255 |   |
| Amortization      of deferred credit facility financing costs                                                                              |   | $                                                            | 633,349     |   |                                                         | $      | 193,464     |                                                         |   | $ | 502,468 |   |
| Stock      dividend distribution                                                                                                           |   | $                                                            | 13,058,710  |   |                                                         | $      | -           |                                                         |   | $ | - |   |

----

----

|   | • | 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. |
|--------|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

----

----

----

|   | • | 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. 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. |
|--------|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|                                       |   | Fair Value Measurements Using |    |
|--------------------------------------------|--------|----------------------------------------------|---------|
|                                       |   | Level 1                                 |    |   | Level 2 |   |   | Level 3 |   |   | Total |   |
| Non-control/non-affiliate      investments |   | $                                            | — |   |   | $ | — |   |   | $ | 72,675 |   |   | $ | 72,675 |   |
| Control      investments                   |   |                                         | — |   |   |   | — |   |   |   | 16,698 |   |   |   | 16,698 |   |
| Affiliate      investments                 |   |                                         | — |   |   |   | — |   |   |   | — |   |   |   | — |   |
| Total      investments at fair value       |   | $                                            | — |   |   | $ | — |   |   | $ | 89,373 |   |   | $ | 89,373 |   |

|                                       |   | Fair Value Measurements Using |    |
|--------------------------------------------|--------|----------------------------------------------|---------|
|                                       |   | Level 1                                 |    |   | Level 2 |   |   | Level 3 |   |   | Total |   |
| Non-control/non-affiliate      investments |   | $                                            | — |   |   | $ | — |   |   | $ | 96,463 |   |   | $ | 96,463 |   |
| Control      investments                   |   |                                         | — |   |   |   | — |   |   |   | 22,439 |   |   |   | 22,439 |   |
| Affiliate      investments                 |   |                                         | — |   |   |   | — |   |   |   | 10 |   |   |   | 10 |   |
| Total      investments at fair value       |   | $                                            | — |   |   | $ | — |   |   | $ | 118,912 |   |   | $ | 118,912 |   |

|                                         |   | Non-control/non-affiliate |    |   | ControlInvestments |   |    | AffiliateInvestments |   |   | Total   |   |
|----------------------------------------------|--------|---------------------------|---------|--------|--------------------|--------|---------|----------------------|--------|--------|---------|--------|
| Balance      as of February 28, 2009         |   | $                         | 96,464  |   |               | $      | 22,438  |                 |   | $      | 10      |   |   | $ | 118,912 |   |
| Net      unrealized losses                   |   |                      | (4,447  | )      |               |   | (5,068  | )                    |   |   | (10     | )      |   |   | (9,525 | ) |
| Purchases      and other adjustments to cost |   |                      | 1,825   |   |               |   | – |                 |   |   | – |   |   |   | 1,825 |   |
| Sales      and redemptions                   |   |                      | (14,513 | )      |               |   | (672    | )                    |   |   | – |   |   |   | (15,185 | ) |
| Net      realized loss from investments      |   |                      | (6,654  | )      |               |   | – |                 |   |   | – |   |   |   | (6,654 | ) |
| Balance      as of February 28, 2010         |   | $                         | 72,675  |   |               | $      | 16,698  |                 |   | $      | – |   |   | $ | 89,373 |   |

----

|                               |   | Investments atAmortizedCost |    |   | Investmentsat Fair Value |   |    | Fair ValuePercentage ofTotal Portfolio |   |
|------------------------------------|--------|----------------------------------|---------|--------|------------------------------------|--------|---------|-------------------------------------------------------|--------|
| First      lien term loans         |   | $                                | 18,936  |   |                               | $      | 16,653  |                                                  |   |   | 18.6 | % |
| Second      lien term loans        |   |                             | 41,264  |   |                               |   | 20,267  |                                                  |   |   | 22.7 |   |
| Senior      secured notes          |   |                             | 33,416  |   |                               |   | 27,742  |                                                  |   |   | 31.0 |   |
| Unsecured      notes               |   |                             | 20,306  |   |                               |   | 5,690   |                                                  |   |   | 6.4 |   |
| Structured      Finance Securities |   |                             | 29,233  |   |                               |   | 16,698  |                                                  |   |   | 18.7 |   |
| Common      stock/equities         |   |                             | 3,756   |   |                               |   | 2,323   |                                                  |   |   | 2.6 |   |
| Limited      partnership interest  |   |                             | – |   |                               |   | – |                                                  |   |   | – |   |
| Total                              |   | $                                | 146,911 |   |                               | $      | 89,373  |                                                  |   |   | 100.0 | % |

|                               |   | Investments atAmortizedCost |    |   | Investmentsat Fair Value |   |    | Fair ValuePercentage ofTotal Portfolio |   |
|------------------------------------|--------|----------------------------------|---------|--------|------------------------------------|--------|---------|-------------------------------------------------------|--------|
| First      lien term loans         |   | $                                | 24,901  |   |                               | $      | 17,117  |                                                  |   |   | 14.4 | % |
| Second      lien term loans        |   |                             | 57,558  |   |                               |   | 41,043  |                                                  |   |   | 34.5 |   |
| Senior      secured notes          |   |                             | 35,780  |   |                               |   | 25,832  |                                                  |   |   | 21.7 |   |
| Unsecured      notes               |   |                             | 18,782  |   |                               |   | 12,381  |                                                  |   |   | 10.4 |   |
| Structured      Finance Securities |   |                             | 29,905  |   |                               |   | 22,341  |                                                  |   |   | 18.8 |   |
| Common      stock/equities         |   |                             | – |   |                               |   | – |                                                  |   |   | – |   |
| Limited      partnership interest  |   |                             | – |   |                               |   | 198     |                                                  |   |   | 0.2 |   |
| Total                              |   | $                                | 166,926 |   |                               | $      | 118,912 |                                                  |   |   | 100.0 | % |

----

|                                                        |   | February 28, 2010 |   |   | February 28, 2009 |    |
|-------------------------------------------------------------|--------|-----------------------------|--------|--------|-----------------------------|---------|
| Accumulated net      investment income/(loss)          |   | $                           | 449    |   |                        | $       | 381 |   |
| Accumulated      net realized gains (losses) on investments |   | 1,213                       |   |   | (1,106                      | )  |
| Additional      paid-in-capital                             |   | (1,662                      | )      |   | 725                         |    |

|                        |   | December      31, 2009 |   |   | December      31, 2008 |   |
|-----------------------------|--------|------------------------|--------|--------|------------------------|--------|
| Ordinary      Income        |   | $                      | 15,132 |   |                   | $      | 8,540 |   |
| Capital      gains          |   |                   | -      |   |                   |   | - |   |
| Return of      capital |   |                   | -      |   |                   |   | - |   |
| Total                       |   | $                      | 15,132 |   |                   | $      | 8,540 |   |

|                                  |   | February 28, 2010 |    |    | February 28, 2009 |    |
|---------------------------------------|--------|-----------------------------|---------|---------|-----------------------------|---------|
| Post      October loss deferred       |   | $                           | (4,560  | )  |                        | $       | - |   |
| Accumulated capital      losses  |   |                        | (17,306 | )  |                        |    | (3,195 | )  |
| Other      temporary differences      |   | (2,208                      | )  |    | (119                        | )  |
| Undistributed      ordinary income    |   | 3,950                       |    |    | 6,312                       |    |
| Unrealized      depreciation          |   |  (61,539               | )  |    | (146,540                    | )  |
| Components      of accumulated losses |   | $                           | (81,663 | )  |                        | $       | (143,542 | )  |

----

----

----

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| Instrument             |   | Type                          |   | Notional |   |   | InterestRate |   | Maturity |   | Fair Value |   |
|------------------------|--------|-------------------------------|--------|----------|--------|--------|--------------|--------|----------|--------|-----------------|--------|
| Interest      Rate Cap |   | Free      Standing Derivative |   | $        | 39,184 |   |         |   | 8.0      | %      | Feb      2014   |   | $ | 30 |   |
| Interest      Rate Cap |   | Free      Standing Derivative |   |     | 26,433 |   |         |   | 8.0      |   | Nov      2013   |   |   | 12 |   |
|                   |   | Net      fair value           |   |     |   |   |         |   |     |   |            |   | $ | 42 |   |

| Instrument             |   | Type                          |   | Notional |   |   | InterestRate |   | Maturity |   | Fair Value |   |
|------------------------|--------|-------------------------------|--------|----------|--------|--------|--------------|--------|----------|--------|-----------------|--------|
| Interest      Rate Cap |   | Free      Standing Derivative |   | $        | 40,000 |   |         |   | 8.0      | %      | Feb      2014   |   | $ | 28 |   |
| Interest      Rate Cap |   | Free      Standing Derivative |   |     | 26,433 |   |         |   | 8.0      |   | Nov      2013   |   |   | 12 |   |
|                   |   | Net      fair value           |   |     |   |   |         |   |     |   |            |   | $ | 40 |   |

----

| Basic and diluted                     |   | February 28, 2010 |       |   | February 28, 2009 |   |      | February 29, 2008 |   |
|-------------------------------------------------|--------|-----------------------------|------------|--------|-----------------------------|--------|-----------|-----------------------------|--------|
| Net      decrease in net assets from operations |   | $                           | (10,463    | )      |                        | $      | (21,315   | )                           |   | $ | (5,451 | ) |
| Weighted      average common shares outstanding |   |                        | 10,613,507 |   |                        |   | 8,291,384 |                        |   |   | 7,761,965 |   |
| Loss      per common share-basic and diluted    |   | $                           | (0.99      | )      |                        | $      | (2.57     | )                           |   | $ | (0.70 | ) |

| Date Declared            |   | Record Date       |   | Payment Date      |   | Amount PerShare * |   |   | Total Amount |   |
|-------------------------------|--------|------------------------|--------|------------------------|--------|-----------------------------|--------|--------|-------------------|--------|
| November      13, 2009        |   | November      25, 2009 |   | December      31, 2009 |   | $                           | 1.825  |   |              | $      | 15,132 |   |
|                          |   |                   |   |                   |   |                        |   |   |              |   |   |   |
| Total      dividends declared |   |                   |   |                   |   | $                           | 1.825  |   |              | $      | 15,132 |   |

| Date Declared            |   | Record Date       |   | Payment Date       |   | Amount PerShare * |   |   | Total Amount |   |
|-------------------------------|--------|------------------------|--------|-------------------------|--------|-----------------------------|--------|--------|-------------------|--------|
| May      22, 2008             |   | May      30, 2008      |   | June      13, 2008      |   | $                           | 0.39   |   |              | $      | 3,234 |   |
| August      19, 2008          |   | August      29, 2008   |   | September      15, 2008 |   |                        | 0.39   |   |              |   | 3,234 |   |
| December      8, 2008         |   | December      18, 2008 |   | December      29, 2008  |   |                        | 0.25   |   |              |   | 2,072 |   |
|                          |   |                   |   |                    |   |                        |   |   |              |   |   |   |
| Total      dividends declared |   |                   |   |                    |   | $                           | 1.03   |   |              | $      | 8,540 |   |

| Date Declared            |   | Record Date       |   | Payment Date     |   | Amount PerShare * |   |   | Total Amount |   |
|-------------------------------|--------|------------------------|--------|-----------------------|--------|-----------------------------|--------|--------|-------------------|--------|
| May      21, 2007             |   | May      29, 2007      |   | June      6, 2007     |   | $                           | 0.24   |   |              | $      | 1,990 |   |
| August      14, 2007          |   | August      24, 2007   |   | August      31, 2007  |   |                        | 0.36   |   |              |   | 2,985 |   |
| November      15, 2007        |   | November      30, 2007 |   | December      3, 2007 |   |                        | 0.38   |   |              |   | 3,151 |   |
| December      28, 2007        |   | January      18, 2008  |   | January      28, 2008 |   |                        | 0.18   |   |              |   | 1,492 |   |
| February      20, 2008        |   | February      29, 2008 |   | March      10, 2008   |   |                        | 0.39   |   |              |   | 3,234 |   |
|                          |   |                   |   |                  |   |                        |   |   |              |   |   |   |
| Total      dividends declared |   |                   |   |                  |   | $                           | 1.55   |   |              | $      | 12,852 |   |

----

| Per share data:                                       |   | February 28, 2010 |       |   | February 28, 2009 |   |       | February 29, 2008 |   |
|-----------------------------------------------------------------|--------|-----------------------------|------------|--------|-----------------------------|--------|------------|-----------------------------|--------|
|                                                            |   |                        |       |   |                        |   |       |                        |   |
| Public      offering cost at IPO, March 23, 2007                |   | $                           | -          |   |                        | $      | -          |                        |   | $ | 15.00 |   |
| Sales      load                                                 |   |                        | -          |   |                        |   | -          |                        |   |   | (0.85 | ) |
| Offering      cost                                              |   |                        | -          |   |                        |   | -          |                        |   |   | (0.12 | ) |
| Net      asset value at beginning of period/IPO                 |   |                        | 8.20       |   |                        |   | 11.80      |                        |   |   | 14.03 |   |
|                                                            |   |                        |       |   |                        |   |       |                        |   |   |   |   |
| Net      investment income (1)                                  |   |                        | 0.54       |   |                        |   | 1.67       |                        |   |   | 1.30 |   |
| Net realized gains (losses) on investments and      derivatives |   |                        | (0.63      | )      |                        |   | (0.86      | )                           |   |   | 0.47 |   |
| Net unrealized depreciation on investments and      derivatives |   |                        | (0.90      | )      |                        |   | (3.38      | )                           |   |   | (2.45 | )* |
| Net      decrease in stockholders’ equity                 |   |                        | (0.99      | )      |                        |   | (2.57      | )                           |   |   | (0.68 | ) |
|                                                            |   |                        |       |   |                        |   |       |                        |   |   |   |   |
| Distributions      declared from net investment income          |   |                        | (1.83      | )      |                        |   | (1.03      | )                           |   |   | (1.37 | ) |
| Distributions      declared from net realized capital gains     |   |                        | -          |   |                        |   | -          |                        |   |   | (0.18 | ) |
| Other      (5)                                                  |   |                        | (2.11      | )      |                        |   | -          |                        |   |   | - |   |
| Total      distributions to stockholders                        |   |                        | (3.94      | )      |                        |   | (1.03      | )                           |   |   | (1.55 | ) |
|                                                            |   |                        |       |   |                        |   |       |                        |   |   |   |   |
| Net      asset value at end of period                           |   | $                           | 3.27       |   |                        | $      | 8.20       |                        |   | $ | 11.80 |   |
| Net      assets at end of period                                |   | $                           | 55,478,152 |   |                        | $      | 68,013,777 |                        |   | $ | 97,869,040 |   |
| Shares      outstanding at end of period                        |   |                        | 16,940,109 |   |                        |   | 8,291,384  |                        |   |   | 8,291,384 |   |
|                                                            |   |                        |       |   |                        |   |       |                        |   |   |   |   |
| Per      share market value at end of period                    |   | $                           | 1.92       |   |                        | $      | 1.99       |                        |   | $ | 11.04 |   |
| Total return based on market value      (2)                     |   |                        | 113.10     | %      |                        |   | (70.33     | )%                          |   |   | 0.45 | % |
| Total return based on net asset value      (3)                  |   |                        | (11.92     | )%     |                        |   | 14.40      | %                           |   |   | 10.96 | % |

| Ratio/Supplemental      data:                                                                                        |   |   |   |          |   |   |   |          |   |
|----------------------------------------------------------------------------------------------------------------------|--------|--------|--------|---------------|--------|--------|--------|---------------|--------|
| Ratio      of net investment income net of expense waiver      and reimbursement to average net assets (4) |   |   | 9.12   | %             |   |   | 16.21  | %             |   |   | 9.63 | % |
| Ratio      of operating expenses net of expense waiver and reimbursement to      average net assets (4)    |   |   | 8.71   | %             |   |   | 5.94   | %             |   |   | 4.31 | % |
| Ratio      of incentive management fees to average net assets                                                        |   |   | 0.52   | %             |   |   | 2.05   | %   |   |   | 0.64 | %   |
| Ratio      of credit facility related expenses to average net assets                                                 |   |   | 6.54   | %   |   |   | 3.05   | %             |   |   | 4.51 | % |
| Ratio      of total expenses net of expense waiver and reimbursement to      average net assets (4)        |   |   | 15.77  | %             |   |   | 11.04  | %             |   |   | 9.45 | % |

| (1) | Net      investment income excluding expense waiver and reimbursement equals $0.48,      $1.55 and $1.08 per share for the years ended February 28, 2010 and 2009      and February 29, 2008,respectively. |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (2) | Total      annual return historical and resumes changes in share price, reinvestments      of all dividends and distributions, and no sales change for the      year. |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

| (3) | Total      annual return is historical and assumes changes in net assets value,      reinvestments of all dividends and distributions, and no sales change for      the year. |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (4) | For      the year ended February 28, 2010, excluding the expense waiver and      reimbursement arrangement, the ratio of net investment income, operating      expenses, total expenses to average net assets is 8.10%, 9.78% and 16.84%,      respectively. For the year ended February 28, 2009, excluding the expense      waiver and reimbursement arrangement, the ratio of net investment income,      operating expenses, total expenses to average net assets is 15.19%, 7.12%      and 12.23%, respectively. For the year ended February 29, 2008, excluding      the expense waiver and reimbursement arrangement, the ratio of net      investment income, operating expenses, total expenses to average net      assets is 8.11%, 5.91% and 11.05%,respectively. |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (5) | Represents      the impact of the different share amounts used in calculating per share      data as a result of calculating certain per share data based upon the      weighted average basic shares outstanding during the period and certain      per share data based on the shares outstanding as of period      end. |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

|                                                                                      |   | 2010   |    |
|-------------------------------------------------------------------------------------------|--------|--------|---------|
| ($      in thousands, except per share numbers)                                           |   | Qtr 4  |    |   | Qtr 3 |   |   | Qtr 2 |   |   | Qtr 1 |   |
| Interest      and related portfolio income                                                |   | $      | 3,637   |   |   | $ | 3,530 |   |   | $ | 3,685 |   |   | $ | 4,764 |   |
| Net      investment income                                                                |   |   | 1,201   |   |   |   | 869 |   |   |   | 1,080 |   |   |   | 2,564 |   |
| Net      realized and unrealized gain (loss)                                              |   |   | (10,067 | ) |   |   | 8,258 |   |   |   | (17,168 | ) |   |   | 2,800 |   |
| Net      increase (decrease) in net assets resulting fromoperations                       |   |   | (8,866  | ) |   |   | 9,128 |   |   |   | (16,088 | ) |   |   | 5,364 |   |
| Net      investment income per common share at end of each quarter                        |   | $      | 0.07    |   |   | $ | 0.10 |   |   | $ | 0.13 |   |   | $ | 0.31 |   |
| Net      realized and unrealized gain (loss) per common share at end of each      quarter |   | $      | (0.59   | ) |   | $ | 0.91 |   |   | $ | (2.07 | ) |   | $ | 0.34 |   |
| Dividends      declared per common share                                                  |   | $      | – |   |   | $ | 1.825 |   |   | $ | – |   |   | $ | – |   |
| Net      asset value per common share                                                     |   | $      | 3.27    |   |   | $ | 3.80 |   |   | $ | 6.91 |   |   | $ | 8.85 |   |

|                                                                                      |   | 2009   |    |
|-------------------------------------------------------------------------------------------|--------|--------|---------|
| ($      in thousands, except per share numbers)                                           |   | Qtr 4  |    |   | Qtr 3 |   |   | Qtr 2 |   |   | Qtr 1 |   |
| Interest      and related portfolio income                                                |   | $      | 5,476   |   |   | $ | 6,361 |   |   | $ | 5,835 |   |   | $ | 5,715 |   |
| Net      investment income                                                                |   |   | 3,289   |   |   |   | 3,887 |   |   |   | 3,455 |   |   |   | 3,195 |   |
| Net      realized and unrealized loss                                                     |   |   | (17,296 | ) |   |   | (11,438 | ) |   |   | (6,023 | ) |   |   | (384 | ) |
| Net      increase (decrease) in net assets resulting fromoperations                       |   |   | (14,008 | ) |   |   | (7,551 | ) |   |   | (2,567 | ) |   |   | 2,811 |   |
| Net      investment income per common share at end of each quarter                        |   | $      | 0.40    |   |   | $ | 0.47 |   |   | $ | 0.42 |   |   | $ | 0.39 |   |
| Net      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 |   |   | $ | 0.39 |   |
| Net      asset value per common share                                                     |   | $      | 8.20    |   |   | $ | 10.14 |   |   | $ | 11.05 |   |   | $ | 11.75 |   |
|                                                                                      |   | 2008   |    |
| ($      in thousands, except per share numbers)                                           |   | Qtr 4  |    |   | Qtr 3 |   |   | Qtr 2 |   |   | Qtr 1 |   |
| Interest      and related portfolio income                                                |   | $      | 5,520   |   |   | $ | 5,882 |   |   | $ | 5,882 |   |   | $ | 4,102 |   |
| Net      investment income                                                                |   |   | 2,562   |   |   |   | 3,070 |   |   |   | 3,157 |   |   |   | 1,958 |   |
| Net      realized and unrealized gain (loss)                                              |   |   | (11,972 | ) |   |   | (2,009 | ) |   |   | (3,939 | ) |   |   | 1,722 |   |
| Net      increase (decrease) in net assets resulting fromoperations                       |   |   | (9,410  | ) |   |   | 1,061 |   |   |   | (782 | ) |   |   | 3,680 |   |
| Net      investment income per common share at end of each quarter                        |   | $      | 0.32    |   |   | $ | 0.37 |   |   | $ | 0.38 |   |   | $ | 0.23 |   |
| Net      realized and unrealized gain (loss) per common share at end of each      quarter |   | $      | (1.46   | ) |   | $ | (0.24 | ) |   | $ | (0.47 | ) |   | $ | 0.21 |   |
| Dividends      declared per common share                                                  |   | $      | 0.57    |   |   | $ | 0.38 |   |   | $ | 0.36 |   |   | $ | 0.24 |   |
| Net      asset value per common share                                                     |   | $      | 11.80   |   |   | $ | 13.51 |   |   | $ | 13.76 |   |   | $ | 14.21 |   |

----

----