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|        |
|--------|
|        |  |  |
|   | x | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934 |

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

|                                                               |
|---------------------------------------------------------------|
|                                                               |  |  |
| Delaware                                                      |   | 52-1451377 |
| (State or Other Jurisdiction ofIncorporation or Organization) |   | (I.R.S. EmployerIdentification No.) |

|                                         |
|-----------------------------------------|
|                                         |  |  |
| Title of each class                     |   | Name of each exchangeon which registered |
| Common Stock, $0.01 par value per share |   | The NASDAQ Stock Market LLC(NASDAQ Global Select Market) |

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

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Table of Contents

| AMERICAN CAPITAL, LTD.TABLE OF CONTENTS  |
|-----------------------------------------------|
|                                               |  |  |
| PART I. FINANCIAL INFORMATION                 |   |
|                                          |   |   |
| Item 1.                                  | Financial Statements | 3 |
| Item 2.                                  | Management’s Discussion and Analysis of Financial Condition and Results of Operations | 39 |
| Item 3.                                  | Quantitative and Qualitative Disclosure About Market Risk | 57 |
| Item 4.                                  | Controls and Procedures | 57 |
|                                          |   |
| PART II. OTHER INFORMATION               |   |
|                                          |   |   |
| Item 1.                                  | Legal Proceedings | 58 |
| Item 1A.                                 | Risk Factors | 58 |
| Item 2.                                  | Unregistered Sales of Equity Securities and Use of Proceeds | 58 |
| Item 3.                                  | Defaults Upon Senior Securities | 58 |
| Item 4.                                  | [Removed and Reserved] | 58 |
| Item 5.                                  | Other Information | 58 |
| Item 6.                                  | Exhibits | 59 |
| Signatures                                    | 60 |

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Table of Contents

|         |                      |
|---------|----------------------|
| ITEM 1. | Financial Statements |

|                                                                                                                                                  |
|--------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                  |  |  |  |  |  |  |  |
|                                                                                                                                             | March 31, 2011 |   | December 31, 2010 |
|                                                                                                                                             | (unaudited) |   |   |
| Assets                                                                                                                                           |   |   |   |
| Investments at fair value (cost of $7,535 and $7,698, respectively)                                                                              |   |   |   |
| Non-Control/Non-Affiliate investments (cost of $3,670 and $3,854, respectively)                                                                  | $ | 2,623 |   |   | $ | 2,719 |   |
| Affiliate investments (cost of $147 and $150, respectively)                                                                                      | 115 |   |   | 114 |   |
| Control investments (cost of $3,718 and $3,694, respectively)                                                                                    | 2,914 |   |   | 2,642 |   |
| Total investments at fair value                                                                                                                  | 5,652 |   |   | 5,475 |   |
| Cash and cash equivalents                                                                                                                        | 98 |   |   | 269 |   |
| Restricted cash and cash equivalents                                                                                                             | 98 |   |   | 185 |   |
| Interest receivable                                                                                                                              | 30 |   |   | 37 |   |
| Derivative agreements at fair value                                                                                                              | 5 |   |   | 4 |   |
| Other                                                                                                                                            | 120 |   |   | 114 |   |
| Total assets                                                                                                                                     | $ | 6,003 |   |   | $ | 6,084 |   |
| Liabilities and Shareholders’ Equity                                                                                                       |   |   |   |
| Debt ($321 and $357 due within one year, respectively)                                                                                           | $ | 1,742 |   |   | $ | 2,259 |   |
| Derivative agreements at fair value                                                                                                              | 95 |   |   | 106 |   |
| Other                                                                                                                                            | 50 |   |   | 51 |   |
| Total liabilities                                                                                                                                | 1,887 |   |   | 2,416 |   |
| Commitments and contingencies                                                                                                                    |   |   |   |
| Shareholders’ equity:                                                                                                                      |   |   |   |
| Undesignated preferred stock, $0.01 par value, 5.0 shares authorized, 0 issued and         outstanding                            | — |   |   | — |   |
| Common stock, $0.01 par value, 1,000.0 shares authorized, 353.8 and 352.7    issued and 343.9 and 342.4 outstanding, respectively | 3 |   |   | 3 |   |
| Capital in excess of par value                                                                                                                   | 7,145 |   |   | 7,131 |   |
| Distributions in excess of net realized earnings                                                                                                 | (1,056 | ) |   | (1,136 | ) |
| Net unrealized depreciation of investments                                                                                                       | (1,976 | ) |   | (2,330 | ) |
| Total shareholders’ equity                                                                                                                 | 4,116 |   |   | 3,668 |   |
| Total liabilities and shareholders’ equity                                                                                                 | $ | 6,003 |   |   | $ | 6,084 |   |
| Net Asset Value Per Common Share Outstanding                                                                                                     | $ | 11.97 |   |   | $ | 10.71 |   |

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Table of Contents

|                                                                                   |
|-----------------------------------------------------------------------------------|
|                                                                                   |  |  |  |  |  |  |  |
|                                                                              | Three Months Ended March 31, |
|                                                                              | 2011 |   | 2010 |
| Operating Income                                                                  |   |   |   |
| Interest and dividend income                                                      |   |   |   |
| Non-Control/Non-Affiliate investments                                             | $ | 94 |   |   | $ | 93 |   |
| Affiliate investments                                                             | 2 |   |   | 8 |   |
| Control investments                                                               | 50 |   |   | 49 |   |
| Total interest and dividend income                                                | 146 |   |   | 150 |   |
| Fee income                                                                        |   |   |   |
| Non-Control/Non-Affiliate investments                                             | 7 |   |   | 4 |   |
| Control investments                                                               | 6 |   |   | 10 |   |
| Total fee income                                                                  | 13 |   |   | 14 |   |
| Total operating income                                                            | 159 |   |   | 164 |   |
| Operating Expenses                                                                |   |   |   |
| Interest                                                                          | 29 |   |   | 57 |   |
| Salaries, benefits and stock-based compensation                                   | 36 |   |   | 34 |   |
| General and administrative                                                        | 11 |   |   | 20 |   |
| Debt refinancing costs                                                            | — |   |   | 4 |   |
| Total operating expenses                                                          | 76 |   |   | 115 |   |
| Net Operating Income                                                              | 83 |   |   | 49 |   |
| Net realized gain (loss) on investments                                           |   |   |   |
| Non-Control/Non-Affiliate investments                                             | 12 |   |   | (40 | ) |
| Control investments                                                               | (2 | ) |   | (67 | ) |
| Foreign currency transactions                                                     | — |   |   | (3 | ) |
| Derivative agreements                                                             | (13 | ) |   | (16 | ) |
| Total net realized loss on investments                                            | (3 | ) |   | (126 | ) |
| Net unrealized appreciation (depreciation) of investments                         |   |   |   |
| Portfolio company investments                                                     | 256 |   |   | 357 |   |
| Foreign currency translation                                                      | 85 |   |   | (87 | ) |
| Derivative agreements and other                                                   | 13 |   |   | (6 | ) |
| Total net unrealized appreciation of investments                                  | 354 |   |   | 264 |   |
| Total net gain on investments                                                     | 351 |   |   | 138 |   |
| Net Increase in Net Assets Resulting from Operations (“Net Earnings”) | $ | 434 |   |   | $ | 187 |   |
|                                                                              |   |   |   |
| Net Operating Income Per Common Share                                             |   |   |   |
| Basic                                                                             | $ | 0.24 |   |   | $ | 0.17 |   |
| Diluted                                                                           | $ | 0.23 |   |   | $ | 0.17 |   |
| Net Earnings Per Common Share                                                     |   |   |   |
| Basic                                                                             | $ | 1.25 |   |   | $ | 0.66 |   |
| Diluted                                                                           | $ | 1.21 |   |   | $ | 0.65 |   |
| Weighted Average Shares of Common Stock Outstanding                               |   |   |   |
| Basic                                                                             | 346.1 |   |   | 283.7 |   |
| Diluted                                                                           | 358.4 |   |   | 286.0 |   |

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|                                                                      |
|----------------------------------------------------------------------|
|                                                                      |  |  |  |  |  |  |  |
|                                                                 | Three Months Ended March 31, |
|                                                                 | 2011 |   | 2010 |
| Operations                                                           |   |   |   |
| Net operating income                                                 | $ | 83 |   |   | $ | 49 |   |
| Net realized loss on investments                                     | (3 | ) |   | (126 | ) |
| Net unrealized appreciation of investments                           | 354 |   |   | 264 |   |
| Net earnings                                                         | 434 |   |   | 187 |   |
| Capital Share Transactions                                           |   |   |   |
| Issuance of common stock under stock option plans                    | 4 |   |   | — |   |
| Stock-based compensation                                             | 10 |   |   | 10 |   |
| Net increase in net assets resulting from capital share transactions | 14 |   |   | 10 |   |
| Total increase in net assets                                         | 448 |   |   | 197 |   |
| Net assets at beginning of period                                    | 3,668 |   |   | 2,329 |   |
| Net assets at end of period                                          | $ | 4,116 |   |   | $ | 2,526 |   |
|                                                                 |   |   |   |
| Net asset value per common share outstanding                         | $ | 11.97 |   |   | $ | 8.98 |   |
| Common shares outstanding at end of period                           | 343.9 |   |   | 281.3 |   |

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Table of Contents

|                                                                                     |
|-------------------------------------------------------------------------------------|
|                                                                                     |  |  |  |  |  |  |  |
|                                                                                | Three Months Ended March 31, |
|                                                                                | 2011 |   | 2010 |
| Operating Activities                                                                |   |   |   |
| Net earnings                                                                        | $ | 434 |   |   | $ | 187 |   |
| Adjustments to reconcile net earnings to net cash provided by operating activities: |   |   |   |
| Net unrealized appreciation of investments                                          | (354 | ) |   | (264 | ) |
| Net realized loss on investments                                                    | 3 |   |   | 126 |   |
| Accrued payment-in-kind interest and dividends on investments                       | (57 | ) |   | (46 | ) |
| Amortization of deferred finance costs, premiums and discounts                      | 8 |   |   | 2 |   |
| Depreciation of property and equipment                                              | 2 |   |   | 5 |   |
| Stock-based compensation                                                            | 10 |   |   | 10 |   |
| Decrease (increase) in interest receivable                                          | 2 |   |   | (3 | ) |
| (Increase) decrease in other assets                                                 | (6 | ) |   | 8 |   |
| Decrease in other liabilities                                                       | (2 | ) |   | (5 | ) |
| Other                                                                               | 2 |   |   | 1 |   |
| Net cash provided by operating activities                                           | 42 |   |   | 21 |   |
| Investing Activities                                                                |   |   |   |
| Purchases and originations of investments                                           | (49 | ) |   | (99 | ) |
| Repayments from portfolio company revolving credit facility investments, net        | 6 |   |   | 13 |   |
| Principal repayments on debt investments                                            | 157 |   |   | 97 |   |
| Proceeds from loan syndications and loan sales                                      | 6 |   |   | 15 |   |
| Payment of accrued PIK notes and dividend and accreted original issue discounts     | 43 |   |   | 2 |   |
| Proceeds from sales of equity investments                                           | 63 |   |   | 49 |   |
| Other                                                                               | (13 | ) |   | (17 | ) |
| Net cash provided by investing activities                                           | 213 |   |   | 60 |   |
| Financing Activities                                                                |   |   |   |
| Payments on secured borrowings                                                      | (300 | ) |   | — |   |
| Payments on notes payable from asset securitizations                                | (217 | ) |   | (113 | ) |
| Issuance of common stock under stock option plans                                   | 4 |   |   | — |   |
| Decrease in debt service escrows                                                    | 87 |   |   | 17 |   |
| Net cash used in financing activities                                               | (426 | ) |   | (96 | ) |
| Net decrease in cash and cash equivalents                                           | (171 | ) |   | (15 | ) |
| Cash and cash equivalents at beginning of period                                    | 269 |   |   | 835 |   |
| Cash and cash equivalents at end of period                                          | $ | 98 |   |   | $ | 820 |   |

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Table of Contents

|                                                                                |
|--------------------------------------------------------------------------------|
|                                                                                |  |  |  |  |  |  |  |
|                                                                           | Three Months Ended March 31, |
|                                                                           | 2011 |   | 2010 |
| Per Share Data                                                                 |   |   |   |
| Net asset value at beginning of the period                                     | $ | 10.71 |   |   | $ | 8.29 |   |
| Net operating income(1)                                                        | 0.24 |   |   | 0.17 |   |
| Net realized loss on investments(1)                                            | (0.01 | ) |   | (0.44 | ) |
| Net unrealized appreciation on investments(1)                                  | 1.02 |   |   | 0.93 |   |
| Net earnings(1)                                                                | 1.25 |   |   | 0.66 |   |
| Issuance of common stock under stock option plans                              | (0.02 | ) |   | — |   |
| Other, net(2)                                                                  | 0.03 |   |   | 0.03 |   |
| Net asset value at end of period                                               | $ | 11.97 |   |   | $ | 8.98 |   |
| Ratio/Supplemental Data                                                        |   |   |   |
| Per share market value at end of period                                        | $ | 9.91 |   |   | $ | 5.08 |   |
| Total investment return(3)                                                     | 31.08 | % |   | 108.20 | % |
| Shares outstanding at end of period                                            | 343.9 |   |   | 281.3 |   |
| Net assets at end of period                                                    | $ | 4,116 |   |   | $ | 2,526 |   |
| Average net assets(4)                                                          | $ | 3,892 |   |   | $ | 2,428 |   |
| Average debt outstanding(5)                                                    | $ | 2,001 |   |   | $ | 4,076 |   |
| Average debt outstanding per common share(1)                                   | $ | 5.78 |   |   | $ | 14.37 |   |
| Ratio of operating expenses to average net assets(6)                           | 7.92 | % |   | 18.95 | % |
| Ratio of operating expenses, net of interest expense, to average net assets(6) | 4.90 | % |   | 9.56 | % |
| Ratio of interest expense to average net assets(6)                             | 3.02 | % |   | 9.39 | % |
| Ratio of net operating income to average net assets(6)                         | 8.65 | % |   | 8.07 | % |

|     |                                        |
|-----|----------------------------------------|
| (1) | Weighted average basic per share data. |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Represents the impact of (i) the other components in the changes in net assets, including other capital transactions such as the purchase of common stock held in deferred compensation trusts, stock-based compensation, income tax deductions related to the exercise of stock options and distribution of stock awards in excess of GAAP expense credited to additional paid-in capital and (ii) 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 a period end. |

|     |                                                                                                                                                                                                 |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | Total investment return is based on the change in the market value of our common stock taking into account dividends reinvested in accordance with the terms of our dividend reinvestment plan. |

|     |                                                                                                    |
|-----|----------------------------------------------------------------------------------------------------|
| (4) | Based on the quarterly average of net assets as of the beginning and end of each period presented. |

|     |                                                                                  |
|-----|----------------------------------------------------------------------------------|
| (5) | Based on a daily weighted average balance of debt outstanding during the period. |

|     |                        |
|-----|------------------------|
| (6) | Ratios are annualized. |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTSMarch 31, 2011(in millions, except share data) |
|---------------------------------------------------------------------------------------------------------------|
|                                                                                                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                   |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| NON-CONTROL / NON-AFFILIATE INVESTMENTS                                                                       |   |   |   |   |   |   |   |   |
| AFA Investment Inc.                                                                                           |   | Food Products |   | Senior Debt(6) |   | 12.5 | % |   | 2/15 |   |   |   | $ | 5.4 |   |   | $ | 4.0 |   |   | $ | — |   |
| Affordable Care Holding Corp.                                                                                 |   | Health Care Providers & Services |   | Mezzanine Debt(7) |   | 15.0 | % |   | 6/16 |   |   |   | 69.2 |   |   | 68.6 |   |   | 69.2 |   |
|                                                                                                          |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 70,752 |   |   |   |   | 63.6 |   |   | 88.9 |   |
|                                                                                                          |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 17,687,156 |   |   |   |   | 15.8 |   |   | 22.1 |   |
|                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 148.0 |   |   | 180.2 |   |
| Algoma Holding Company                                                                                        |   | Building Products |   | Mezzanine Debt(7) |   | 14.1 | % |   | 9/13 |   |   |   | 15.8 |   |   | 15.7 |   |   | 16.0 |   |
| American Acquisition, LLC                                                                                     |   | Capital Markets |   | Senior Debt(7) |   | 14.6 | % |   | 12/12 |   |   |   | 17.3 |   |   | 17.1 |   |   | 16.9 |   |
| AmWins Group, Inc.                                                                                            |   | Insurance |   | Senior Debt(7) |   | 5.8 | % |   | 6/14 |   |   |   | 18.5 |   |   | 18.6 |   |   | 15.1 |   |
| Avalon Laboratories Holding Corp.                                                                             |   | Health Care Equipment & Supplies |   | Senior Debt(7) |   | 11.0 | % |   | 1/14 |   |   |   | 17.2 |   |   | 17.1 |   |   | 17.2 |   |
| Mezzanine Debt(7)                                                                                             |   | 18.6 | % |   | 1/15 |   |   |   | 27.2 |   |   | 27.0 |   |   | 27.2 |   |
|                                                                                                          |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 148,742 |   |   |   |   | 24.3 |   |   | 17.4 |   |
|                                                                                                          |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 7,829 |   |   |   |   | 1.3 |   |   | — |   |
|                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 69.7 |   |   | 61.8 |   |
| Avanti Park Place LLC                                                                                         |   | Real Estate |   | Senior Debt(7) |   | 6.8 | % |   | 6/13 |   |   |   | 4.8 |   |   | 4.8 |   |   | 4.6 |   |
| BBB Industries, LLC                                                                                           |   | Auto Components |   | Senior Debt(7) |   | 9.3 | % |   | 6/14 |   |   |   | 21.2 |   |   | 21.2 |   |   | 20.7 |   |
| Blue Wolf Capital Fund II, L.P.                                                                               |   | Capital Markets |   | Limited Partnership Interest |   |   |   |   |   |   |   |   |   | 2.7 |   |   | 2.2 |   |
| CAMP Systems International, Inc.                                                                              |   | Air Freight & Logistics |   | Senior Debt(7) |   | 6.2 | % |   | 9/14 |   |   |   | 30.0 |   |   | 29.8 |   |   | 24.3 |   |
| CIBT Travel Solutions, LLC                                                                                    |   | Commercial Services & Supplies |   | Mezzanine Debt(7) |   | 15.0 | % |   | 11/16 |   |   |   | 56.6 |   |   | 56.2 |   |   | 56.6 |   |
|                                                                                                          |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 11,086 |   |   |   |   | 11.5 |   |   | 11.6 |   |
|                                                                                                          |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 926,800 |   |   |   |   | 92.7 |   |   | 115.6 |   |
|                                                                                                          |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 194,200 |   |   |   |   | 19.4 |   |   | 4.9 |   |
|                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 179.8 |   |   | 188.7 |   |
| Cinelease Holdings, LLC                                                                                       |   | Electronic Equipment, Instruments & Components |   | Senior Debt(7) |   | 11.0 | % |   | 3/12-4/13 |   |   |   | 52.0 |   |   | 51.8 |   |   | 52.6 |   |
|                                                                                                          |   |   | Common Stock(1) |   |   |   |   |   | 583 |   |   |   |   | 0.6 |   |   | 1.2 |   |
|                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 52.4 |   |   | 53.8 |   |
| Contec, LLC                                                                                                   |   | Household Durables |   | Mezzanine Debt(7) |   | 14.0 | % |   | 9/15-9/16 |   |   |   | 135.0 |   |   | 134.0 |   |   | 127.8 |   |
| Delsey Holding(3)                                                                                             |   | Textiles, Apparel & Luxury Goods |   | Senior Debt(7) |   | 7.9 | % |   | 2/14 |   |   |   | 20.5 |   |   | 20.5 |   |   | 15.9 |   |
| DelStar, Inc.                                                                                                 |   | Building Products |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 26,613 |   |   |   |   | 22.9 |   |   | 39.4 |   |
|                                                                                                          |   |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 29,569 |   |   |   |   | 3.7 |   |   | 3.7 |   |
|                                                                                                          |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 89,020 |   |   |   |   | 16.9 |   |   | 3.5 |   |
|                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 43.5 |   |   | 46.6 |   |
| Easton Bell Sports, LLC                                                                                       |   | Leisure Equipment & Products |   | Redeemable Preferred Stock |   |   |   |   |   | 1,171 |   |   |   |   | 1.5 |   |   | 1.5 |   |
|                                                                                                          |   |   | Common Units(1) |   |   |   |   |   | 3,830,068 |   |   |   |   | 0.7 |   |   | 3.0 |   |
|                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 2.2 |   |   | 4.5 |   |
| FAMS Acquisition, Inc.                                                                                        |   | Diversified Financial Services |   | Mezzanine Debt(7) |   | 14.0 | % |   | 11/13 |   |   |   | 15.9 |   |   | 15.9 |   |   | 15.9 |   |
|                                                                                                          |   |   | Mezzanine Debt(6)(7) |   | 15.5 | % |   | 11/14 |   |   |   | 17.0 |   |   | 11.8 |   |   | 4.8 |   |
|                                                                                                          |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 919 |   |   |   |   | 0.9 |   |   | — |   |
|                                                                                                          |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 861,364 |   |   |   |   | 20.9 |   |   | — |   |
|                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 49.5 |   |   | 20.7 |   |
| FPI Holding Corporation                                                                                       |   | Food Products |   | Senior Debt(7) |   | 10.6 | % |   | 10/11-6/14 |   |   |   | 32.5 |   |   | 32.5 |   |   | 32.5 |   |
|                                                                                                          |   |   |   | Senior Debt(6)(7) |   | 17.3 | % |   | 6/15 |   |   |   | 9.7 |   |   | 5.9 |   |   | 4.1 |   |
|                                                                                                          |   |   |   | Mezzanine Debt(6)(7) |   | 21.6 | % |   | 6/15-5/16 |   |   |   | 31.4 |   |   | 17.3 |   |   | — |   |
|                                                                                                          |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 4,469 |   |   |   |   | 39.1 |   |   | — |   |
|                                                                                                          |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 21,715 |   |   |   |   | 23.3 |   |   | — |   |
|                                                                                                          |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 5,429 |   |   |   |   | 5.8 |   |   | — |   |
|                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 123.9 |   |   | 36.6 |   |
| HMSC Corporation                                                                                              |   | Insurance |   | Senior Debt(6)(7) |   | 5.7 | % |   | 10/14 |   |   |   | 3.5 |   |   | 3.1 |   |   | 1.2 |   |
| Hoppy Holdings, Corp.                                                                                         |   | Auto Components |   | Mezzanine Debt(7) |   | 15.1 | % |   | 7/12 |   |   |   | 40.8 |   |   | 40.7 |   |   | 41.3 |   |
|                                                                                                          |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 2,915 |   |   |   |   | 8.5 |   |   | 8.5 |   |
|                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 49.2 |   |   | 49.8 |   |
| IS Holdings I, Inc.                                                                                           |   | Software |   | Common Stock(7) |   |   |   |   |   | 1,165,930 |   |   |   |   | — |   |   | 10.5 |   |
| Infiltrator Systems, Inc.                                                                                     |   | Building Products |   | Senior Debt(7) |   | 16.5 | % |   | 10/13 |   |   |   | 42.8 |   |   | 42.6 |   |   | 43.0 |   |
|                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)March 31, 2011(in millions, except share data) |
|---------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                     |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| JHCI Acquisition, Inc.                                                                                                          |   | Air Freight & Logistics |   | Senior Debt(7) |   | 5.8 | % |   | 12/14 |   |   |   | 19.0 |   |   | 19.1 |   |   | 14.1 |   |
| KIK Custom Products, Inc.(3)                                                                                                    |   | Household Products |   | Senior Debt(7) |   | 5.2 | % |   | 12/14 |   |   |   | 22.5 |   |   | 18.9 |   |   | 14.8 |   |
| LabelCorp Holdings, Inc.                                                                                                        |   | Paper & Forest Products |   | Senior Debt(7) |   | 8.2 | % |   | 8/13-8/14 |   |   |   | 3.3 |   |   | 3.1 |   |   | 3.2 |   |
|                                                                                                                            |   |   |   | Mezzanine Debt(7) |   | 14.0 | % |   | 8/15-8/16 |   |   |   | 45.7 |   |   | 45.3 |   |   | 43.5 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 48.4 |   |   | 46.7 |   |
| LCW Holdings, LLC                                                                                                               |   | Real Estate |   | Senior Debt(7) |   | 11.0 | % |   | 10/12 |   |   |   | 7.7 |   |   | 7.6 |   |   | 7.0 |   |
|                                                                                                                            |   |   |   | Warrant(1) |   |   |   |   |   | 12.5 | % |   |   |   | 0.8 |   |   | 3.5 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 8.4 |   |   | 10.5 |   |
| Mirion Technologies, Inc.                                                                                                       |   | Electrical Equipment |   | Senior Debt(7) |   | 5.5 | % |   | 7/11-11/11 |   |   |   | 127.1 |   |   | 127.0 |   |   | 128.4 |   |
|                                                                                                                            |   |   |   | Mezzanine Debt(7) |   | 14.0 | % |   | 7/11-5/12 |   |   |   | 55.6 |   |   | 55.4 |   |   | 55.7 |   |
|                                                                                                                            |   |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 435,724 |   |   |   |   | 63.0 |   |   | 102.0 |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 208,276 |   |   |   |   | 2.8 |   |   | 3.2 |   |
|                                                                                                                            |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 222,156 |   |   |   |   | 18.6 |   |   | 27.9 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 266.8 |   |   | 317.2 |   |
| Mitchell International, Inc.                                                                                                    |   | IT Services |   | Senior Debt(7) |   | 5.6 | % |   | 3/15 |   |   |   | 5.0 |   |   | 5.0 |   |   | 3.9 |   |
| NBD Holdings Corp.                                                                                                              |   | Diversified Financial Services |   | Mezzanine Debt(7) |   | 14.0 | % |   | 8/13 |   |   |   | 48.4 |   |   | 48.0 |   |   | 48.9 |   |
|                                                                                                                            |   |   |   | Convertible Preferred Stock(1) |   |   |   |   |   | 84,174 |   |   |   |   | 8.7 |   |   | 7.8 |   |
|                                                                                                                            |   |   |   | Common Stock(1) |   |   |   |   |   | 633,408 |   |   |   |   | 0.1 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 56.8 |   |   | 56.7 |   |
| Net1 Las Colinas Manager, LLC                                                                                                   |   | Real Estate |   | Senior Debt(7) |   | 7.7 | % |   | 10/15 |   |   |   | 3.7 |   |   | 3.8 |   |   | 3.2 |   |
| Orchard Brands Corporation(8)                                                                                                   |   | Internet & Catalog Retail |   | Senior First Lien DIP Facility(7) |   | 14.0 | % |   | 5/11 |   |   |   | 14.4 |   |   | 14.4 |   |   | 14.4 |   |
|                                                                                                                            |   |   |   | Senior First Lien Debt(6)(7) |   | 4.3 | % |   | 4/13 |   |   |   | 108.8 |   |   | 100.4 |   |   | 49.7 |   |
|                                                                                                                            |   |   |   | Senior Second Lien Debt(6)(7) |   | 9.8 | % |   | 4/14 |   |   |   | 296.9 |   |   | 197.8 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 312.6 |   |   | 64.1 |   |
| Orion Foundry, Inc.(2)(3)                                                                                                       |   | Internet Software & Services |   | Senior Debt(7) |   | 9.0 | % |   | 6/14 |   |   |   | 24.0 |   |   | 22.8 |   |   | 13.2 |   |
| Pan Am International Flight Academy, Inc.                                                                                       |   | Professional Services |   | Mezzanine Debt(7) |   | 17.4 | % |   | 7/13 |   |   |   | 40.9 |   |   | 40.8 |   |   | 40.9 |   |
|                                                                                                                            |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 14,938 |   |   |   |   | 14.9 |   |   | 7.7 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 55.7 |   |   | 48.6 |   |
| PaR Systems, Inc.                                                                                                               |   | Machinery |   | Senior Debt(7) |   | 3.4 | % |   | 7/13 |   |   |   | 3.2 |   |   | 3.1 |   |   | 2.8 |   |
| Parts Holding Coörperatief U.A(3)                                                                                          |   | Distributors |   | Membership Entitlements(1)(7) |   |   |   |   |   | 173,060 |   |   |   |   | 6.4 |   |   | 0.4 |   |
| Phillips & Temro Industries, Inc.                                                                                      |   | Auto Components |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 5,000,000 |   |   |   |   | — |   |   | 7.8 |   |
| Qioptiq S.A.R.L.(3)                                                                                                             |   | Electronic Equipment, Instruments & Components |   | Mezzanine Debt(7) |   | 10.0 | % |   | 3/18 |   |   |   | 33.1 |   |   | 32.9 |   |   | 32.6 |   |
| Qualium I(3)                                                                                                                    |   | Capital Markets |   | Common Stock(1) |   |   |   |   |   | 241,879 |   |   |   |   | 3.1 |   |   | 3.1 |   |
| Ranpak Acquisition Company                                                                                                      |   | Containers & Packaging |   | Senior Debt(7) |   | 6.8 | % |   | 12/13-12/14 |   |   |   | 20.6 |   |   | 20.4 |   |   | 20.5 |   |
| RDR Holdings, Inc.                                                                                                              |   | Household Durables |   | Mezzanine Debt(7) |   | 15.5 | % |   | 10/14-11/15 |   |   |   | 70.4 |   |   | 70.0 |   |   | 70.4 |   |
|                                                                                                                            |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 1,541 |   |   |   |   | 192.3 |   |   | 42.7 |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 15,414 |   |   |   |   | 1.5 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 263.8 |   |   | 113.1 |   |
| Roark - Money Mailer, LLC                                                                                                       |   | Media |   | Common Membership Units(1) |   |   |   |   |   | 3.5 | % |   |   |   | 0.9 |   |   | 1.0 |   |
| Scanner Holdings Corporation                                                                                                    |   | Computers & Peripherals |   | Mezzanine Debt(7) |   | 14.0 | % |   | 6/14 |   |   |   | 17.5 |   |   | 17.4 |   |   | 17.5 |   |
|                                                                                                                            |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 77,640,000 |   |   |   |   | 7.7 |   |   | 13.8 |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 78,242 |   |   |   |   | 0.1 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 25.2 |   |   | 31.3 |   |
| Soil Safe Holdings, LLC                                                                                                         |   | Professional Services |   | Senior Debt(7) |   | 9.8 | % |   | 8/13-8/14 |   |   |   | 40.1 |   |   | 39.9 |   |   | 39.0 |   |
|                                                                                                                            |   |   |   | Mezzanine Debt(7) |   | 15.5 | % |   | 8/15-8/16 |   |   |   | 40.6 |   |   | 40.3 |   |   | 34.0 |   |
|                                                                                                                            |   |   |   | Mezzanine Debt(6)(7) |   | 17.5 | % |   | 8/17 |   |   |   | 29.6 |   |   | 18.7 |   |   | 23.7 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 98.9 |   |   | 96.7 |   |
| SPL Acquisition Corp.                                                                                                           |   | Pharmaceuticals |   | Senior Debt(7) |   | 11.0 | % |   | 6/14 |   |   |   | 57.6 |   |   | 57.2 |   |   | 57.6 |   |
|                                                                                                                            |   |   |   | Mezzanine Debt(7) |   | 15.3 | % |   | 6/15-6/16 |   |   |   | 53.8 |   |   | 53.3 |   |   | 53.8 |   |
|                                                                                                                            |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 84,043 |   |   |   |   | 40.8 |   |   | 27.2 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 151.3 |   |   | 138.6 |   |
| Swank Audio Visuals, LLC                                                                                                        |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 9.8 | % |   | 8/14-8/15 |   |   |   | 42.2 |   |   | 42.2 |   |   | 30.7 |   |
|                                                                                                                            |   |   |   | Senior Debt(6)(7) |   | 10.5 | % |   | 8/14 |   |   |   | 14.4 |   |   | 11.4 |   |   | 2.6 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 53.6 |   |   | 33.3 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)March 31, 2011(in millions, except share data) |
|---------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                     |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| The Tensar Corporation                                                                                                          |   | Construction & Engineering |   | Senior Debt(7) |   | 13.0 | % |   | 5/13 |   |   |   | 82.3 |   |   | 81.8 |   |   | 79.2 |   |
|                                                                                                                            |   |   |   | Mezzanine Debt(7) |   | 19.5 | % |   | 11/15 |   |   |   | 30.9 |   |   | 30.9 |   |   | 30.9 |   |
|                                                                                                                            |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 8,263,171 |   |   |   |   | 9.1 |   |   | 8.5 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 121.8 |   |   | 118.6 |   |
| ThreeSixty Sourcing, Inc.(3)                                                                                                    |   | Commercial Services & Supplies |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 35 |   |   |   |   | 4.1 |   |   | — |   |
| TransFirst Holdings, Inc.                                                                                                       |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 6.3 | % |   | 6/15 |   |   |   | 54.0 |   |   | 53.6 |   |   | 43.3 |   |
| Tyden Cayman Holdings Corp.(3)                                                                                                  |   | Electronic Equipment, Instruments & Components |   | Common Stock(1) |   |   |   |   |   | 3,218,667 |   |   |   |   | 3.8 |   |   | 5.6 |   |
| WRH, Inc.                                                                                                                       |   | Life Sciences Tools & Services |   | Senior Debt(7) |   | 4.3 | % |   | 9/13-9/14 |   |   |   | 3.9 |   |   | 3.9 |   |   | 3.9 |   |
|                                                                                                                            |   |   | Mezzanine Debt(7) |   | 14.6 | % |   | 7/14-9/15 |   |   |   | 95.9 |   |   | 95.5 |   |   | 95.8 |   |
|                                                                                                                            |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 2,008,575 |   |   |   |   | 223.3 |   |   | 90.2 |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 502,144 |   |   |   |   | 49.9 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 372.6 |   |   | 189.9 |   |
| WWC Acquisitions, Inc.                                                                                                          |   | Professional Services |   | Senior Debt(7) |   | 14.0 | % |   | 1/17 |   |   |   | 25.1 |   |   | 24.9 |   |   | 24.9 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| CMBS INVESTMENTS                                                                                                                |   |   |   |   |   |   |   |   |
| Banc of America Commercial Mortgage Trust 2007-1                                                                                |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(7) |   | 5.9 | % |   | 2/17-2/18 |   |   |   | 12.4 |   |   | 4.4 |   |   | 1.1 |   |
| CD 2007-CD4 Commercial Mortgage Trust                                                                                           |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.9 | % |   | 4/17 |   |   |   | 14.0 |   |   | 8.7 |   |   | 0.4 |   |
| CD 2007-CD5 Mortgage Trust                                                                                                      |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.4 | % |   | 12/17 |   |   |   | 14.8 |   |   | 10.0 |   |   | 0.6 |   |
| Citigroup Commercial Mortgage Securities Trust 2007-C6                                                                          |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(7) |   | 5.7 | % |   | 7/17 |   |   |   | 112.5 |   |   | 66.4 |   |   | 14.6 |   |
| COBALT CMBS Commercial Mortgage Trust 2007-C3                                                                                   |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.2 | % |   | 10/17 |   |   |   | 11.1 |   |   | 8.1 |   |   | 0.4 |   |
| Countrywide Commercial Mortgage Trust 2007-MF1                                                                                  |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.3 | % |   | 11/37-12/37 |   |   |   | 12.8 |   |   | 6.4 |   |   | — |   |
| Credit Suisse Commercial Mortgage Trust Series 2007-C4                                                                          |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.0 | % |   | 8/17 |   |   |   | 20.8 |   |   | 12.1 |   |   | 2.0 |   |
| GE Commercial Mortgage Corporation, Series 2007-C1                                                                              |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.8 | % |   | 12/19 |   |   |   | 24.8 |   |   | 21.9 |   |   | 0.3 |   |
| GS Mortgage Securities Trust 2006-GG10                                                                                          |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.0 | % |   | 7/17 |   |   |   | 7.0 |   |   | 4.1 |   |   | 0.1 |   |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11                                                               |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.7 | % |   | 7/17 |   |   |   | 87.2 |   |   | 55.5 |   |   | 0.4 |   |
| LB-UBS Commercial Mortgage Trust 2007-C6                                                                                        |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.5 | % |   | 8/17 |   |   |   | 36.6 |   |   | 22.4 |   |   | 1.5 |   |
| LB-UBS Commercial Mortgage Trust 2008-C1                                                                                        |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.3 | % |   | 7/23-7/24 |   |   |   | 19.4 |   |   | 7.4 |   |   | 0.6 |   |
| ML-CFC Commercial Mortgage Trust 2007-6                                                                                         |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.0 | % |   | 4/17 |   |   |   | 9.8 |   |   | 3.2 |   |   | 0.1 |   |
| ML-CFC Commercial Mortgage Trust 2007-8                                                                                         |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.2 | % |   | 8/17 |   |   |   | 32.8 |   |   | 19.1 |   |   | 1.6 |   |
| Wachovia Bank Commercial Mortgage Trust 2007-C31                                                                                |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.0 | % |   | 5/17 |   |   |   | 20.0 |   |   | 11.3 |   |   | 1.2 |   |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C32                                                                        |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.8 | % |   | 10/17 |   |   |   | 85.1 |   |   | 54.6 |   |   | 2.0 |   |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C34                                                                        |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(7) |   | 5.7 | % |   | 10/17-9/24 |   |   |   | 96.2 |   |   | 41.2 |   |   | 6.5 |   |
| Wachovia Bank Commercial Trust 2006-C28                                                                                         |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.2 | % |   | 11/16 |   |   |   | 5.0 |   |   | 3.2 |   |   | 0.1 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| CLO INVESTMENTS                                                                                                                 |   |   |   |   |   |   |   |   |
| ACAS CLO 2007-1, Ltd.                                                                                                           |   | Diversified Financial Services |   | Secured Notes(7) |   |   |   |   |   |   |   | 8.5 |   |   | 8.4 |   |   | 6.8 |   |
|                                                                                                                            |   |   |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 25.9 |   |   | 18.1 |   |   | 20.2 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 26.5 |   |   | 27.0 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)March 31, 2011(in millions, except share data) |
|---------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                     |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| Ares IIIR/IVR CLO Ltd.                                                                                                          |   | Diversified Financial Services |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 20.0 |   |   | 18.0 |   |   | 13.3 |   |
| Ares VIII CLO, Ltd.                                                                                                             |   | Diversified Financial Services |   | Preference Shares(7) |   |   |   |   |   | 6,241 |   |   |   |   | 4.6 |   |   | 2.8 |   |
| Avalon Capital Ltd. 3                                                                                                           |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 13,796 |   |   |   |   | 5.8 |   |   | 8.5 |   |
| Babson CLO Ltd. 2006-II                                                                                                         |   | Diversified Financial Services |   | Income Notes(7) |   |   |   |   |   |   |   | 15.0 |   |   | 11.8 |   |   | 14.7 |   |
| BALLYROCK CLO 2006-2 LTD.                                                                                                       |   | Diversified Financial Services |   | Deferrable Notes(7) |   |   |   |   |   |   |   | 2.0 |   |   | 1.6 |   |   | 1.4 |   |
| Cent CDO 12 Limited                                                                                                             |   | Diversified Financial Services |   | Income Notes(7) |   |   |   |   |   |   |   | 26.4 |   |   | 17.4 |   |   | 22.4 |   |
| Centurion CDO 8 Limited                                                                                                         |   | Diversified Financial Services |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 5.0 |   |   | 2.4 |   |   | 3.7 |   |
| Champlain CLO                                                                                                                   |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 1,000,000 |   |   |   |   | 0.9 |   |   | 0.3 |   |
| CoLTs 2005-1 Ltd.(3)                                                                                                            |   | Diversified Financial Services |   | Preference Shares(1)(7) |   |   |   |   |   | 360 |   |   |   |   | 6.7 |   |   | 1.6 |   |
| CoLTs 2005-2 Ltd.(3)                                                                                                            |   | Diversified Financial Services |   | Preference Shares(7) |   |   |   |   |   | 34,170,000 |   |   |   |   | 22.6 |   |   | 8.7 |   |
| CREST Exeter Street Solar 2004-2                                                                                                |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 3,089,177 |   |   |   |   | 3.3 |   |   | 1.6 |   |
| Eaton Vance CDO X PLC(3)                                                                                                        |   | Diversified Financial Services |   | Secured Subordinated Income Notes(7) |   |   |   |   |   |   |   | 15.0 |   |   | 12.9 |   |   | 9.7 |   |
| Essex Park CDO Ltd.                                                                                                             |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 5,750,000 |   |   |   |   | 2.1 |   |   | 2.7 |   |
| Flagship CLO V                                                                                                                  |   | Diversified Financial Services |   | Deferrable Notes(7) |   |   |   |   |   |   |   | 1.7 |   |   | 1.4 |   |   | 1.2 |   |
|                                                                                                                            |   |   |   | Subordinated Securities(7) |   |   |   |   |   | 15,000 |   |   |   |   | 9.8 |   |   | 11.4 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 11.2 |   |   | 12.6 |   |
| Galaxy III CLO, Ltd                                                                                                             |   | Diversified Financial Services |   | Subordinated Notes(1)(7) |   |   |   |   |   |   |   | 4.0 |   |   | 1.9 |   |   | 0.7 |   |
| LightPoint CLO IV, LTD                                                                                                          |   | Diversified Financial Services |   | Income Notes(7) |   |   |   |   |   |   |   | 6.7 |   |   | 7.9 |   |   | 5.3 |   |
| LightPoint CLO VII, Ltd.                                                                                                        |   | Diversified Financial Services |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 9.0 |   |   | 6.0 |   |   | 6.9 |   |
| LightPoint CLO VIII, Ltd.                                                                                                       |   | Diversified Financial Services |   | Deferrable Notes(7) |   |   |   |   |   |   |   | 7.0 |   |   | 6.5 |   |   | 6.6 |   |
| Mayport CLO Ltd.                                                                                                                |   | Diversified Financial Services |   | Income Notes(7) |   |   |   |   |   |   |   | 14.0 |   |   | 11.0 |   |   | 10.7 |   |
| NYLIM Flatiron CLO 2006-1 LTD.(3)                                                                                               |   | Diversified Financial Services |   | Subordinated Securities(7) |   |   |   |   |   | 10,000 |   |   |   |   | 6.2 |   |   | 7.8 |   |
| Octagon Investment Partners VII, Ltd.                                                                                           |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 5,000,000 |   |   |   |   | 1.6 |   |   | 3.2 |   |
| Sapphire Valley CDO I, Ltd.                                                                                                     |   | Diversified Financial Services |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 14.0 |   |   | 15.6 |   |   | 4.9 |   |
| Vitesse CLO, Ltd.                                                                                                               |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 20,000,000 |   |   |   |   | 14.6 |   |   | 15.3 |   |
| Subtotal Non-Control / Non-Affiliate Investments (46% of total investments at fair value)                                       |   |   |   | $ | 3,670.1 |   |   | $ | 2,623.3 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |
| AFFILIATE INVESTMENTS                                                                                                           |   |   |   |   |   |   |   |   |
| Anchor Drilling Fluids USA, Inc.                                                                                                |   | Energy Equipment & Services |   | Senior Debt(7) |   | 11.3 | % |   | 12/13 |   |   |   | $ | 6.8 |   |   | $ | 6.7 |   |   | $ | 6.8 |   |
|                                                                                                                            |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 859 |   |   |   |   | 1.6 |   |   | 1.3 |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 3,061 |   |   |   |   | 5.0 |   |   | 0.7 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 13.3 |   |   | 8.8 |   |
| Comfort Co., Inc.                                                                                                               |   | Household Durables |   | Senior Debt(7) |   | 11.5 | % |   | 3/15 |   |   |   | 11.2 |   |   | 11.2 |   |   | 10.3 |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 110,684 |   |   |   |   | 11.8 |   |   | 6.9 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 23.0 |   |   | 17.2 |   |
| Egenera, Inc.                                                                                                                   |   | Computers & Peripherals |   | Mezzanine Debt(6) |   | 15.0 | % |   | 12/11 |   |   |   | 4.5 |   |   | 3.2 |   |   | 2.4 |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 8,569,905 |   |   |   |   | 25.4 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 28.6 |   |   | 2.4 |   |
| HALT Medical, Inc.                                                                                                              |   | Health Care Equipment & Supplies |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 5,592,367 |   |   |   |   | 8.9 |   |   | 9.7 |   |
| IEE Holding 1 S.A.(3)                                                                                                           |   | Auto Components |   | Common Stock(1) |   |   |   |   |   | 250,000 |   |   |   |   | 4.5 |   |   | 12.8 |   |
| LTM Enterprises, Inc.                                                                                                           |   | Personal Products |   | Senior Debt(6)(7) |   | 17.3 | % |   | 11/11 |   |   |   | 25.5 |   |   | 18.4 |   |   | 14.6 |   |
| Primrose Holding Corporation                                                                                                    |   | Diversified Consumer Services |   | Common Stock(1)(7) |   |   |   |   |   | 4,213 |   |   |   |   | 2.7 |   |   | 4.1 |   |
| Qualitor Component Holdings, LLC                                                                                                |   | Auto Components |   | Mezzanine Debt(7) |   | 17.1 | % |   | 7/13 |   |   |   | 40.4 |   |   | 40.2 |   |   | 40.3 |   |
|                                                                                                                            |   |   | Redeemable Preferred Units(1) |   |   |   |   |   | 3,150,000 |   |   |   |   | 3.1 |   |   | — |   |
|                                                                                                                            |   |   |   | Common Units(1) |   |   |   |   |   | 350,000 |   |   |   |   | 0.4 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 43.7 |   |   | 40.3 |   |
| Radar Detection Holdings Corp.                                                                                                  |   | Household Durables |   | Convertible Preferred Stock(1) |   |   |   |   |   | 7,075 |   |   |   |   | 0.7 |   |   | 1.9 |   |
|                                                                                                                            |   |   | Common Stock(1) |   |   |   |   |   | 40,688 |   |   |   |   | 0.6 |   |   | 0.9 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 1.3 |   |   | 2.8 |   |
| WFS Holding, LLC                                                                                                                |   | Software |   | Preferred Interest(1) |   |   |   |   |   | 20,403,772 |   |   |   |   | 3.0 |   |   | 2.7 |   |
| Subtotal Affiliate Investments (2% of total investments at fair value)                                                          |   |   |   | $ | 147.4 |   |   | $ | 115.4 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |
| CONTROL INVESTMENTS                                                                                                             |   |   |   |   |   |   |   |   |
| ACAS Equity Holdings Corp.                                                                                                      |   | Diversified Financial Services |   | Common Stock(1)(7) |   |   |   |   |   | 589 |   |   |   |   | $ | 14.5 |   |   | $ | 1.8 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

----

Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)March 31, 2011(in millions, except share data) |
|---------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                     |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| ACAS Real Estate Holdings Corporation                                                                                           |   | Real Estate |   | Mezzanine Debt(6)(7) |   | 15.0 | % |   | 5/16 |   |   |   | $ | 4.9 |   |   | 3.7 |   |   | 4.9 |   |
|                                                                                                                            |   |   | Common Stock(1)(7) |   |   |   |   |   | 100 | % |   |   |   | 9.5 |   |   | 1.5 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 13.2 |   |   | 6.4 |   |
| American Capital, LLC                                                                                                           |   | Capital Markets |   | Common Membership Interest(7) |   |   |   |   |   | 100 | % |   |   |   | 53.7 |   |   | 183.6 |   |
| American Driveline Systems, Inc.                                                                                                |   | Diversified Consumer Services |   | Mezzanine Debt(7) |   | 14.0 | % |   | 12/14-12/15 |   |   |   | 43.1 |   |   | 42.8 |   |   | 43.2 |   |
|                                                                                                                            |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 403,357 |   |   |   |   | 37.1 |   |   | 52.8 |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 128,681 |   |   |   |   | 10.8 |   |   | 1.2 |   |
|                                                                                                                            |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 204,663 |   |   |   |   | 17.3 |   |   | 1.9 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 108.0 |   |   | 99.1 |   |
| Aptara, Inc.                                                                                                                    |   | IT Services |   | Senior Debt(7) |   | 11.5 | % |   | 8/12 |   |   |   | 3.0 |   |   | 3.0 |   |   | 3.0 |   |
|                                                                                                                            |   |   |   | Mezzanine Debt(7) |   | 17.0 | % |   | 8/12 |   |   |   | 61.7 |   |   | 61.5 |   |   | 63.7 |   |
|                                                                                                                            |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 15,107 |   |   |   |   | 20.9 |   |   | 27.8 |   |
|                                                                                                                            |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 2,549,410 |   |   |   |   | 8.7 |   |   | — |   |
|                                                                                                                            |   |   |   | Preferred Stock Warrants(1)(7) |   |   |   |   |   | 230,681 |   |   |   |   | 1.0 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 95.1 |   |   | 94.5 |   |
| Capital.com, Inc.                                                                                                               |   | Diversified Financial Services |   | Common Stock(1)(7) |   |   |   |   |   | 8,500,100 |   |   |   |   | 0.9 |   |   | — |   |
| CH Holding Corp.                                                                                                                |   | Leisure Equipment & Products |   | Senior Debt(7) |   | 7.3 | % |   | 5/13 |   |   |   | 17.7 |   |   | 17.7 |   |   | 17.7 |   |
|                                                                                                                            |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 21,215 |   |   |   |   | 42.8 |   |   | 21.0 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 60.5 |   |   | 38.7 |   |
| CMX Inc.                                                                                                                        |   | Construction & Engineering |   | Senior Debt(6)(7) |   | 3.5 | % |   | 5/11 |   |   |   | 4.9 |   |   | 4.8 |   |   | 0.1 |   |
| Contour Semiconductor, Inc.                                                                                                     |   | Semiconductors & Semiconductor Equipment |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 11,532,842 |   |   |   |   | 12.4 |   |   | 12.6 |   |
| Core Financial Holdings, LLC                                                                                                    |   | Diversified Financial Services |   | Common Units(1)(7) |   |   |   |   |   | 57,940,360 |   |   |   |   | 48.2 |   |   | 5.6 |   |
| Dyno Holding Corp.                                                                                                              |   | Auto Components |   | Senior Debt(7) |   | 11.6 | % |   | 11/15 |   |   |   | 40.7 |   |   | 40.5 |   |   | 40.7 |   |
|                                                                                                                            |   |   | Mezzanine Debt(7) |   | 7.3 | % |   | 11/16 |   |   |   | 15.7 |   |   | 15.6 |   |   | 15.7 |   |
|                                                                                                                            |   |   |   | Mezzanine Debt(6)(7) |   | 0.0 | % |   | 11/16 |   |   |   | 13.1 |   |   | 11.7 |   |   | 4.7 |   |
|                                                                                                                            |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 389,759 |   |   |   |   | 40.5 |   |   | — |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 97,440 |   |   |   |   | 10.1 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 118.4 |   |   | 61.1 |   |
| ECA Acquisition Holdings, Inc.                                                                                                  |   | Health Care Equipment & Supplies |   | Mezzanine Debt(7) |   | 16.5 | % |   | 12/14 |   |   |   | 14.1 |   |   | 14.0 |   |   | 14.1 |   |
|                                                                                                                            |   | Common Stock(1)(7) |   |   |   |   |   | 583 |   |   |   |   | 11.1 |   |   | 13.4 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 25.1 |   |   | 27.5 |   |
| eLynx Holdings, Inc.                                                                                                            |   | IT Services |   | Senior Debt(7) |   | 7.7 | % |   | 7/13 |   |   |   | 7.6 |   |   | 7.6 |   |   | 7.6 |   |
|                                                                                                                            |   |   |   | Mezzanine Debt(7) |   | 7.6 | % |   | 7/13 |   |   |   | 8.9 |   |   | 8.8 |   |   | 8.9 |   |
|                                                                                                                            |   |   |   | Mezzanine Debt(6)(7) |   | 8.4 | % |   | 7/13 |   |   |   | 9.0 |   |   | 6.6 |   |   | 1.3 |   |
|                                                                                                                            |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 21,113 |   |   |   |   | 8.9 |   |   | — |   |
|                                                                                                                            |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 7,929 |   |   |   |   | 6.0 |   |   | — |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 11,261 |   |   |   |   | 1.1 |   |   | — |   |
|                                                                                                                            |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 1,078,792 |   |   |   |   | 13.1 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 52.1 |   |   | 17.8 |   |
| European Capital Limited(3)                                                                                                     |   | Diversified Financial Services |   | Subordinated Debt(7) |   | 7.3 | % |   | 12/13 |   |   |   | 34.9 |   |   | 34.8 |   |   | 34.9 |   |
| Ordinary Shares(1)(7)                                                                                                           |   |   |   |   |   | 431,895,528 |   |   |   |   | 1,267.3 |   |   | 779.9 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 1,302.1 |   |   | 814.8 |   |
| European Touch, LTD. II                                                                                                         |   | Leisure Equipment & Products |   | Senior Debt(6)(7) |   | 9.0 | % |   | 8/11-1/12 |   |   |   | 0.9 |   |   | 0.9 |   |   | 0.8 |   |
|                                                                                                                            |   | Mezzanine Debt(6)(7) |   | 16.1 | % |   | 5/11 |   |   |   | 21.1 |   |   | 13.5 |   |   | — |   |
|                                                                                                                            |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 263 |   |   |   |   | 0.3 |   |   | — |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 1,688 |   |   |   |   | 0.9 |   |   | — |   |
|                                                                                                                            |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 7,105 |   |   |   |   | 3.7 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 19.3 |   |   | 0.8 |   |
| EXPL Pipeline Holdings LLC                                                                                                      |   | Oil, Gas & Consumable Fuels |   | Senior Debt(7) |   | 8.0 | % |   | 1/17 |   |   |   | 45.6 |   |   | 45.3 |   |   | 45.6 |   |
|                                                                                                                            |   |   | Common Membership Units(1)(7) |   |   |   |   |   | 58,297 |   |   |   |   | 44.5 |   |   | 17.5 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 89.8 |   |   | 63.1 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

----

Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)March 31, 2011(in millions, except share data) |
|---------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                     |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| FL Acquisitions Holdings, Inc.                                                                                                  |   | Computers & Peripherals |   | Senior Debt(7) |   | 8.3 | % |   | 10/12-10/13 |   |   |   | 40.0 |   |   | 39.9 |   |   | 40.0 |   |
|                                                                                                                            |   | Mezzanine Debt(7) |   | 18.6 | % |   | 4/14-10/14 |   |   |   | 35.0 |   |   | 34.9 |   |   | 35.0 |   |
|                                                                                                                            |   |   |   | Mezzanine Debt(6)(7) |   | 22.5 | % |   | 10/14 |   |   |   | 18.2 |   |   | 8.4 |   |   | 2.7 |   |
|                                                                                                                            |   |   |   | Redeemable Preferred Stock(1) |   |   |   |   |   | 583,000 |   |   |   |   | 0.6 |   |   | — |   |
|                                                                                                                            |   |   |   | Common Stock(1) |   |   |   |   |   | 129,514 |   |   |   |   | 15.6 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 99.4 |   |   | 77.7 |   |
| Formed Fiber Technologies, Inc.                                                                                                 |   | Auto Components |   | Common Stock(1)(7) |   |   |   |   |   | 31,250 |   |   |   |   | 8.1 |   |   | 5.6 |   |
| Fosbel Global Services (LUXCO) S.C.A.(3)                                                                                        |   | Commercial Services & Supplies |   | Mezzanine Debt(7) |   | 17.3 | % |   | 12/13 |   |   |   | 26.7 |   |   | 26.6 |   |   | 26.7 |   |
|                                                                                                                            | Mezzanine Debt(6)(7) |   | 20.0 | % |   | 12/14 |   |   |   | 28.5 |   |   | 15.6 |   |   | 15.6 |   |
|                                                                                                                            |   |   |   | Redeemable Preferred Stock(1) |   |   |   |   |   | 18,449,456 |   |   |   |   | 18.5 |   |   | — |   |
|                                                                                                                            |   |   |   | Convertible Preferred Stock(1) |   |   |   |   |   | 1,519,368 |   |   |   |   | 3.0 |   |   | — |   |
|                                                                                                                            |   |   |   | Common Stock(1) |   |   |   |   |   | 108,526 |   |   |   |   | 0.2 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 63.9 |   |   | 42.3 |   |
| FreeConference.com, Inc.                                                                                                        |   | Diversified Telecommunication Services |   | Senior Debt(6)(7) |   | 8.5 | % |   | 5/13 |   |   |   | 9.4 |   |   | 9.2 |   |   | 9.0 |   |
|                                                                                                                            |   |   | Mezzanine Debt(6)(7) |   | 15.0 | % |   | 5/14 |   |   |   | 11.4 |   |   | 9.2 |   |   | — |   |
|                                                                                                                            |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 14,042,095 |   |   |   |   | 12.8 |   |   | — |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 6,088,229 |   |   |   |   | 2.3 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 33.5 |   |   | 9.0 |   |
| Future Food, Inc.                                                                                                               |   | Food Products |   | Senior Debt(7) |   | 5.3 | % |   | 8/11 |   |   |   | 1.6 |   |   | 1.6 |   |   | 1.6 |   |
|                                                                                                                            |   |   |   | Senior Debt(6)(7) |   | 5.3 | % |   | 8/11 |   |   |   | 15.4 |   |   | 14.9 |   |   | 9.7 |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 64,917 |   |   |   |   | 13.0 |   |   | — |   |
|                                                                                                                            |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 6,500 |   |   |   |   | 1.3 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 30.8 |   |   | 11.3 |   |
| Group Montana, Inc.                                                                                                             |   | Textiles, Apparel & Luxury Goods |   | Senior Debt(7) |   | 10.9 | % |   | 10/11-1/12 |   |   |   | 25.2 |   |   | 25.2 |   |   | 25.5 |   |
|                                                                                                                            |   |   |   | Mezzanine Debt(6)(7) |   | 24.5 | % |   | 10/12 |   |   |   | 17.2 |   |   | 6.6 |   |   | — |   |
|                                                                                                                            |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 4,000 |   |   |   |   | 1.0 |   |   | — |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 2.5 | % |   |   |   | 0.7 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 33.5 |   |   | 25.5 |   |
| Halex Holdings, Inc.                                                                                                            |   | Construction Materials |   | Senior Debt(6)(7) |   | 7.0 | % |   | 9/11 |   |   |   | 12.0 |   |   | 9.8 |   |   | 4.7 |   |
|                                                                                                                            |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 24,087,546 |   |   |   |   | 31.2 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 41.0 |   |   | 4.7 |   |
| Hartstrings Holdings Corp.                                                                                                      |   | Textiles, Apparel & Luxury Goods |   | Senior Debt(6)(7) |   | 4.5 | % |   | 5/11 |   |   |   | 8.8 |   |   | 8.8 |   |   | 7.0 |   |
|                                                                                                                            |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 10,196 |   |   |   |   | 3.0 |   |   | — |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 14,250 |   |   |   |   | 4.8 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 16.6 |   |   | 7.0 |   |
| Kingway Inca Clymer Holdings, Inc.                                                                                              |   | Building Products |   | Mezzanine Debt(6)(7) |   | 12.3 | % |   | 4/12 |   |   |   | 3.0 |   |   | — |   |   | 1.1 |   |
|                                                                                                                            |   |   | Redeemable Preferred Stock(1) |   |   |   |   |   | 13,709 |   |   |   |   | 9.2 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 9.2 |   |   | 1.1 |   |
| Lifoam Holdings, Inc.                                                                                                           |   | Leisure Equipment & Products |   | Senior Debt(7) |   | 10.5 | % |   | 12/14 |   |   |   | 18.9 |   |   | 18.9 |   |   | 18.9 |   |
|                                                                                                                            |   |   | Mezzanine Debt(7) |   | 8.0 | % |   | 12/14 |   |   |   | 44.1 |   |   | 43.9 |   |   | 44.1 |   |
|                                                                                                                            |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 6,160 |   |   |   |   | 3.4 |   |   | — |   |
|                                                                                                                            |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 15,797 |   |   |   |   | 12.2 |   |   | 10.3 |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 14,000 |   |   |   |   | 1.4 |   |   | — |   |
|                                                                                                                            |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 464,242 |   |   |   |   | 2.9 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 82.7 |   |   | 73.3 |   |
| LLSC Holdings Corporation                                                                                                       |   | Personal Products |   | Senior Debt(7) |   | 6.3 | % |   | 8/12 |   |   |   | 3.1 |   |   | 3.1 |   |   | 3.1 |   |
|                                                                                                                            |   |   | Mezzanine Debt(7) |   | 12.0 | % |   | 9/13 |   |   |   | 5.5 |   |   | 5.5 |   |   | 5.5 |   |
|                                                                                                                            |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 7,496 |   |   |   |   | 8.1 |   |   | 5.5 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 16.7 |   |   | 14.1 |   |
| LVI Holdings, LLC                                                                                                               |   | Professional Services |   | Senior Debt(7) |   | 7.3 | % |   | 5/11 |   |   |   | 2.7 |   |   | 2.7 |   |   | 3.0 |   |
|                                                                                                                            |   |   |   | Mezzanine Debt(6)(7) |   | 18.0 | % |   | 2/13 |   |   |   | 13.1 |   |   | 8.9 |   |   | 5.0 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 11.6 |   |   | 8.0 |   |
| Medical Billings Holdings, Inc.                                                                                                 |   | IT Services |   | Senior Debt(7) |   | 4.0 | % |   | 9/11 |   |   |   | 0.8 |   |   | 0.8 |   |   | 0.8 |   |
|                                                                                                                            |   |   | Mezzanine Debt(7) |   | 15.0 | % |   | 9/13 |   |   |   | 11.4 |   |   | 11.3 |   |   | 11.4 |   |
|                                                                                                                            |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 13,199,000 |   |   |   |   | 13.2 |   |   | 9.1 |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 3,299,582 |   |   |   |   | 3.3 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 28.6 |   |   | 21.3 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)March 31, 2011(in millions, except share data) |
|---------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                     |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| Montgomery Lane, LLC                                                                                                            |   | Diversified Financial Services |   | Common Membership Units(1)(7) |   |   |   |   |   | 100 |   |   |   |   | 7.0 |   |   | 4.7 |   |
| Montgomery Lane, LTD(3)                                                                                                         |   | Diversified Financial Services |   | Common Membership Units(1) |   |   |   |   |   | 50,000 |   |   |   |   | 6.2 |   |   | — |   |
| MW Acquisition Corporation                                                                                                      |   | Health Care Providers & Services |   | Senior Debt(7) |   | 8.0 | % |   | 12/11 |   |   |   | 0.5 |   |   | 0.5 |   |   | 0.5 |   |
|                                                                                                                            |   | Mezzanine Debt(7) |   | 15.8 | % |   | 2/13-2/14 |   |   |   | 28.0 |   |   | 27.8 |   |   | 28.0 |   |
|                                                                                                                            |   |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 2,485 |   |   |   |   | 1.2 |   |   | 1.2 |   |
|                                                                                                                            |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 38,192 |   |   |   |   | 13.6 |   |   | 11.8 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 43.1 |   |   | 41.5 |   |
| NECCO Holdings, Inc.                                                                                                            |   | Food Products |   | Senior Debt(7) |   | 6.5 | % |   | 8/13 |   |   |   | 7.8 |   |   | 7.8 |   |   | 7.1 |   |
|                                                                                                                            |   |   |   | Senior Debt(6)(7) |   | 18.0 | % |   | 11/13 |   |   |   | 19.9 |   |   | 16.5 |   |   | — |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 782,609 |   |   |   |   | 0.1 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 24.4 |   |   | 7.1 |   |
| NECCO Realty Investments, LLC                                                                                                   |   | Real Estate |   | Senior Debt(6)(7) |   | 14.0 | % |   | 12/17 |   |   |   | 44.0 |   |   | 32.8 |   |   | 31.0 |   |
|                                                                                                                            |   |   | Common Membership Units(1)(7) |   |   |   |   |   | 7,450 |   |   |   |   | 4.9 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 37.7 |   |   | 31.0 |   |
| Paradigm Precision Holdings, LLC                                                                                                |   | Aerospace & Defense |   | Mezzanine Debt(7) |   | 17.0 | % |   | 8/16 |   |   |   | 68.0 |   |   | 67.7 |   |   | 68.0 |   |
|                                                                                                                            |   |   | Mezzanine Debt(6)(7) |   | 20.0 | % |   | 8/16-10/16 |   |   |   | 84.6 |   |   | 53.2 |   |   | 19.4 |   |
|                                                                                                                            |   |   |   | Common Membership Units(1)(7) |   |   |   |   |   | 478,488 |   |   |   |   | 17.5 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 138.4 |   |   | 87.4 |   |
| PHC Sharp Holdings, Inc.                                                                                                        |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 10.4 | % |   | 12/11-12/12 |   |   |   | 7.6 |   |   | 7.5 |   |   | 7.5 |   |
|                                                                                                                            |   |   |   | Mezzanine Debt(6)(7) |   | 18.2 | % |   | 12/14 |   |   |   | 21.0 |   |   | 15.4 |   |   | 7.2 |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 367,881 |   |   |   |   | 4.2 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 27.1 |   |   | 14.7 |   |
| PHI Acquisitions, Inc.                                                                                                          |   | Internet & Catalog Retail |   | Mezzanine Debt(7) |   | 15.3 | % |   | 3/16 |   |   |   | 28.0 |   |   | 27.9 |   |   | 28.0 |   |
|                                                                                                                            |   |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 36,267 |   |   |   |   | 32.9 |   |   | 44.5 |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 40,295 |   |   |   |   | 3.9 |   |   | 9.6 |   |
|                                                                                                                            |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 116,065 |   |   |   |   | 11.6 |   |   | 27.5 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 76.3 |   |   | 109.6 |   |
| Plumbing Holding Corporation                                                                                                    |   | Building Products |   | Common Stock(1)(7) |   |   |   |   |   | 342,500 |   |   |   |   | 11.1 |   |   | — |   |
| Sixnet Holdings, LLC                                                                                                            |   | Electronic Equipment, Instruments & Components |   | Senior Debt(7) |   | 11.1 | % |   | 6/12-6/13 |   |   |   | 36.9 |   |   | 36.7 |   |   | 36.9 |   |
|                                                                                                                            |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 94 |   |   |   |   | 0.5 |   |   | 0.5 |   |
|                                                                                                                            |   |   |   | Membership Units(1)(7) |   |   |   |   |   | 446 |   |   |   |   | 5.6 |   |   | 2.1 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 42.8 |   |   | 39.5 |   |
| Small Smiles Holding Company, LLC                                                                                               |   | Health Care Providers & Services |   | Senior Debt(7) |   | 3.7 | % |   | 2/15 |   |   |   | 8.5 |   |   | 6.2 |   |   | 5.2 |   |
|                                                                                                                            |   |   | Senior Debt(6)(7) |   | 4.0 | % |   | 2/15 |   |   |   | 1.7 |   |   | 1.2 |   |   | 0.1 |   |
|                                                                                                                            |   |   |   | Mezzanine Debt(6)(7) |   | 11.0 | % |   | 2/17 |   |   |   | 29.5 |   |   | 19.1 |   |   | — |   |
|                                                                                                                            |   |   |   | Preferred Interest(1)(7) |   |   |   |   |   |   |   |   |   | 37.8 |   |   | — |   |
|                                                                                                                            |   |   |   | Common Interest(1)(7) |   |   |   |   |   | 22.1 | % |   |   |   | 13.8 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 78.1 |   |   | 5.3 |   |
| SMG Holdings, Inc.                                                                                                              |   | Hotels, Restaurants & Leisure |   | Senior Debt(7) |   | 3.3 | % |   | 7/14 |   |   |   | 5.8 |   |   | 5.8 |   |   | 5.8 |   |
|                                                                                                                            |   |   | Mezzanine Debt(7) |   | 12.6 | % |   | 6/15 |   |   |   | 132.0 |   |   | 131.3 |   |   | 132.3 |   |
|                                                                                                                            |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 1,101,673 |   |   |   |   | 140.5 |   |   | 127.5 |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 275,419 |   |   |   |   | 27.5 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 305.1 |   |   | 265.6 |   |
| Specialty Brands of America, Inc.                                                                                               |   | Food Products |   | Mezzanine Debt(7) |   | 14.0 | % |   | 5/14 |   |   |   | 35.7 |   |   | 35.5 |   |   | 35.7 |   |
|                                                                                                                            |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 122,017 |   |   |   |   | 10.8 |   |   | 16.5 |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 128,175 |   |   |   |   | 2.3 |   |   | 25.7 |   |
|                                                                                                                            |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 56,819 |   |   |   |   | 1.4 |   |   | 11.4 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 50.0 |   |   | 89.3 |   |
| Spring Air International, LLC                                                                                                   |   | Household Durables |   | Common Membership Units(1) |   |   |   |   |   | 49 | % |   |   |   | 2.7 |   |   | — |   |
| TestAmerica Environmental Services, LLC                                                                                         |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 6.5 | % |   | 12/11-12/12 |   |   |   | 23.9 |   |   | 20.5 |   |   | 21.6 |   |
|                                                                                                                            |   | Preferred Membership Units(7) |   |   |   |   |   | 20,000 |   |   |   |   | 22.1 |   |   | 14.6 |   |
|                                                                                                                            |   |   | Common Units(1)(7) |   |   |   |   |   | 490,000 |   |   |   |   | 2.0 |   |   | 18.4 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 44.6 |   |   | 54.6 |   |
| UFG Real Estate Holdings, LLC                                                                                                   |   | Real Estate |   | Common Membership(1)(7) |   |   |   |   |   |   |   |   |   | — |   |   | 0.9 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)March 31, 2011(in millions, except share data) |
|---------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                     |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| Unique Fabricating Incorporated                                                                                                 |   | Auto Components |   | Senior Debt(7) |   | 14.0 | % |   | 2/15 |   |   |   | 6.4 |   |   | 6.4 |   |   | 6.4 |   |
|                                                                                                                            |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 301,556 |   |   |   |   | 7.9 |   |   | 7.8 |   |
|                                                                                                                            |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 6,862 |   |   |   |   | 0.2 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 14.5 |   |   | 14.2 |   |
| Unwired Holdings, Inc.                                                                                                          |   | Household Durables |   | Senior Debt(7) |   | 8.5 | % |   | 6/11-6/12 |   |   |   | 15.9 |   |   | 15.9 |   |   | 15.9 |   |
|                                                                                                                            |   |   |   | Mezzanine Debt(7) |   | 14.5 | % |   | 6/12 |   |   |   | 32.4 |   |   | 10.7 |   |   | 26.1 |   |
|                                                                                                                            |   |   |   | Redeemable Preferred Stock(1) |   |   |   |   |   | 14,630 |   |   |   |   | 14.6 |   |   | — |   |
|                                                                                                                            |   |   |   | Common Stock(1) |   |   |   |   |   | 126,001 |   |   |   |   | 1.3 |   |   | — |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 42.5 |   |   | 42.0 |   |
| VP Acquisition Holdings, Inc.                                                                                                   |   | Health Care Equipment & Supplies |   | Mezzanine Debt(7) |   | 14.5 | % |   | 10/13-10/14 |   |   |   | 20.7 |   |   | 20.5 |   |   | 20.7 |   |
|                                                                                                                            |   | Common Stock(1)(7) |   |   |   |   |   | 19,780 |   |   |   |   | 24.7 |   |   | 65.5 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 45.2 |   |   | 86.2 |   |
| Warner Power, LLC                                                                                                               |   | Electrical Equipment |   | Mezzanine Debt(7) |   | 14.6 | % |   | 12/12 |   |   |   | 6.0 |   |   | 6.0 |   |   | 6.0 |   |
|                                                                                                                            |   |   |   | Redeemable Preferred Membership Units(1)(7) |   |   |   |   |   | 3,796,269 |   |   |   |   | 3.0 |   |   | 7.3 |   |
|                                                                                                                            |   |   |   | Common Membership Units(1)(7) |   |   |   |   |   | 27,400 |   |   |   |   | 1.9 |   |   | 2.3 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 10.9 |   |   | 15.6 |   |
| WIS Holding Company, Inc.                                                                                                       |   | Commercial Services & Supplies |   | Mezzanine Debt(7) |   | 14.5 | % |   | 1/14 |   |   |   | 87.1 |   |   | 86.7 |   |   | 87.1 |   |
|                                                                                                                            |   | Convertible Preferred Stock(7) |   |   |   |   |   | 703,406 |   |   |   |   | 98.7 |   |   | 153.8 |   |
|                                                                                                                            |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 175,853 |   |   |   |   | 17.6 |   |   | 31.4 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   | 203.0 |   |   | 272.3 |   |
|                                                                                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| CDO / CLO INVESTMENTS                                                                                                           |   |   |   |   |   |   |   |   |
| ACAS Wachovia Investments, L.P.                                                                                                 |   | Diversified Financial Services |   | Partnership Interest |   |   |   |   |   | 90 | % |   |   |   | 13.3 |   |   | 3.7 |   |
| Subtotal Control Investments (52% of total investments at fair value)                                                           |   |   |   |   |   | $ | 3,717.7 |   |   | $ | 2,913.6 |   |
| Total Investment Assets                                                                                                         |   |   |   |   |   | $ | 7,535.2 |   |   | $ | 5,652.3 |   |

|                                  |
|----------------------------------|
|                                  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Counterparty                     |   | Instrument |   | InterestRate (5) |   | ExpirationDate (5) |   | # ofContracts |   | Notional |   | Cost |   | FairValue |
| DERIVATIVE AGREEMENTS            |   |   |   |   |   |   |   |   |   |   |   |   |
| Wells Fargo Bank, N.A            |   | Balance Differential Swap - Pay Float/ Receive Fixed(7) |   | LIBOR/5.1% |   | 8/19 |   | 1 |   |   | $ | (16.5 | ) |   | $ | — |   |   | $ | 5.4 |   |
| Subtotal Derivative Assets       |   |   |   |   |   |   |   |   |   |   |   | $ | — |   |   | $ | 5.4 |   |
|                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| DERIVATIVE AGREEMENTS            |   |   |   |   |   |   |   |   |   |   |   |   |
| Wells Fargo Bank, N.A            |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 4.9%/LIBOR |   | 1/14-8/19 |   | 3 |   |   | $ | 299.2 |   |   | $ | — |   |   | $ | (27.1 | ) |
| BMO Financial Group              |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.3%/LIBOR |   | 2/13-8/17 |   | 5 |   |   | 294.8 |   |   | — |   |   | (32.5 | ) |
| Citibank, N.A.                   |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.0%/LIBOR |   | 4/12-11/19 |   | 4 |   |   | 268.2 |   |   | — |   |   | (18.9 | ) |
| UniCredit Group                  |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.7%/LIBOR |   | 7/17 |   | 1 |   |   | 66.0 |   |   | — |   |   | (10.1 | ) |
| Citibank, N.A.                   |   | Balance Differential Swap - Pay Fixed/ Receive Floating(7) |   | 5.2%/LIBOR |   | 11/19 |   | 1 |   |   | 49.2 |   |   | — |   |   | (3.3 | ) |
| Fortis Financial Services LLC    |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.7%/LIBOR |   | 7/17 |   | 1 |   |   | 22.3 |   |   | — |   |   | (3.5 | ) |
| Subtotal Derivative Liabilities  |   |   |   |   |   |   |   |   |   | $ | — |   |   | $ | (95.4 | ) |
| Total Derivative Agreements, Net |   |   |   |   |   |   |   |   |   | $ | — |   |   | $ | (90.0 | ) |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)March 31, 2011(in millions, except share data) |
|---------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                 |  |  |  |  |  |  |  |  |
| Funds                                                                                                                           |   | Cost |   | FairValue |
| MONEY MARKET FUNDS(7)(9)                                                                                                        |   |   |
| DWS Prime Money Market Service                                                                                                  |   | $ | 8.4 |   |   | $ | 8.4 |   |
| Dreyfus Cash Mgmt                                                                                                               |   | 8.4 |   |   | 8.4 |   |
| Fidelity Money Market Pt CI I                                                                                                   |   | 6.0 |   |   | 6.0 |   |
| AIM STIT Liquid Asset P-CSM 7D                                                                                                  |   | 4.0 |   |   | 4.0 |   |
| Federated Money Market Prime Oblig IO                                                                                           |   | 4.0 |   |   | 4.0 |   |
| Morgan Stanley Liq Prime Instl Fds                                                                                              |   | 4.0 |   |   | 4.0 |   |
| Federated Prime Oblig Fd #10                                                                                                    |   | 4.0 |   |   | 4.0 |   |
| Dreyfus Ins Cash Advantage I                                                                                                    |   | 4.0 |   |   | 4.0 |   |
| Blackrock Liquidity Temp Fund #24                                                                                               |   | 2.0 |   |   | 2.0 |   |
| Total Money Market Funds                                                                                                        |   | $ | 44.8 |   |   | $ | 44.8 |   |

|     |                       |
|-----|-----------------------|
| (1) | Non-income producing. |

|     |                                                                           |
|-----|---------------------------------------------------------------------------|
| (2) | Publicly traded company or a consolidated subsidiary of a public company. |

|     |                           |
|-----|---------------------------|
| (3) | International investment. |

|     |                                                                                       |
|-----|---------------------------------------------------------------------------------------|
| (4) | Certain of the securities are issued by affiliate(s) of the listed portfolio company. |

|     |                                                                                                                                                                                                                                                        |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (5) | Interest rates represent the weighted average annual stated interest rate on loans and debt securities, which are presented by the nature of indebtedness by a single issuer. The maturity dates represent the earliest and the latest maturity dates. |

|     |                                                                              |
|-----|------------------------------------------------------------------------------|
| (6) | Loan is on non-accrual status and therefore considered non-income producing. |

|     |                                                                                                                            |
|-----|----------------------------------------------------------------------------------------------------------------------------|
| (7) | All or a portion of the investments or instruments are pledged as collateral under various secured financing arrangements. |

|     |                                                                                            |
|-----|--------------------------------------------------------------------------------------------|
| (8) | Portfolio company has filed for reorganization under Chapter 11 of the United States Code. |

|     |                                                                           |
|-----|---------------------------------------------------------------------------|
| (9) | Included in cash and cash equivalents on our consolidated balance sheets. |

----

Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTSDecember 31, 2010(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------|
|                                                                                                                  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                      |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| NON-CONTROL / NON-AFFILIATE INVESTMENTS                                                                          |   |   |   |   |   |   |   |   |
| AFA Investment Inc.                                                                                              |   | Food Products |   | Senior Debt(6) |   | 12.5 | % |   | 2/15 |   |   |   | $ | 5.3 |   |   | $ | 4.0 |   |   | $ | — |   |
| Affordable Care Holding Corp.                                                                                    |   | Health Care Providers & Services |   | Mezzanine Debt(7) |   | 15.0 | % |   | 11/13-11/14 |   |   |   | 68.6 |   |   | 68.1 |   |   | 68.8 |   |
|                                                                                                             |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 70,752 |   |   |   |   | 98.6 |   |   | 117.5 |   |
|                                                                                                             |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 17,687,156 |   |   |   |   | 17.7 |   |   | 22.4 |   |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 184.4 |   |   | 208.7 |   |
| Algoma Holding Company                                                                                           |   | Building Products |   | Mezzanine Debt(7) |   | 14.1 | % |   | 9/13 |   |   |   | 15.7 |   |   | 15.6 |   |   | 15.3 |   |
| American Acquisition, LLC                                                                                        |   | Capital Markets |   | Senior Debt(7) |   | 13.8 | % |   | 12/12 |   |   |   | 20.8 |   |   | 20.6 |   |   | 19.3 |   |
| AmWins Group, Inc.                                                                                               |   | Insurance |   | Senior Debt(7) |   | 5.8 | % |   | 6/14 |   |   |   | 18.5 |   |   | 18.6 |   |   | 15.1 |   |
| Avalon Laboratories Holding Corp.                                                                                |   | Health Care Equipment & Supplies |   | Senior Debt(7) |   | 11.0 | % |   | 1/14 |   |   |   | 16.8 |   |   | 16.8 |   |   | 16.8 |   |
| Mezzanine Debt(7)                                                                                                |   | 18.6 | % |   | 1/15 |   |   |   | 26.3 |   |   | 26.1 |   |   | 26.3 |   |
|                                                                                                             |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 148,742 |   |   |   |   | 24.3 |   |   | 17.4 |   |
|                                                                                                             |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 7,829 |   |   |   |   | 1.3 |   |   | — |   |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 68.5 |   |   | 60.5 |   |
| Avanti Park Place LLC                                                                                            |   | Real Estate |   | Senior Debt(7) |   | 6.8 | % |   | 6/13 |   |   |   | 4.8 |   |   | 4.8 |   |   | 4.6 |   |
| BBB Industries, LLC                                                                                              |   | Auto Components |   | Senior Debt(7) |   | 9.3 | % |   | 6/14 |   |   |   | 21.2 |   |   | 21.2 |   |   | 20.7 |   |
| Berry-Hill Galleries, Inc.                                                                                       |   | Distributors |   | Senior Debt(7) |   | 13.8 | % |   | 3/11 |   |   |   | 8.5 |   |   | 8.5 |   |   | 8.1 |   |
| Blue Wolf Capital Fund II, L.P.                                                                                  |   | Capital Markets |   | Limited Partnership Interest |   |   |   |   |   |   |   |   |   | 3.0 |   |   | 3.0 |   |
| CAMP Systems International, Inc.                                                                                 |   | Air Freight & Logistics |   | Senior Debt(7) |   | 6.2 | % |   | 9/14 |   |   |   | 30.0 |   |   | 29.8 |   |   | 23.2 |   |
| Carestream Health, Inc.                                                                                          |   | Health Care Equipment & Supplies |   | Senior Debt(7) |   | 5.5 | % |   | 10/13 |   |   |   | 15.0 |   |   | 15.0 |   |   | 13.5 |   |
| CIBT Travel Solutions, LLC                                                                                       |   | Commercial Services & Supplies |   | Mezzanine Debt(7) |   | 15.0 | % |   | 11/16 |   |   |   | 56.2 |   |   | 55.8 |   |   | 56.2 |   |
|                                                                                                             |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 11,086 |   |   |   |   | 11.0 |   |   | 11.1 |   |
|                                                                                                             |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 926,800 |   |   |   |   | 92.7 |   |   | 106.2 |   |
|                                                                                                             |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 194,200 |   |   |   |   | 19.4 |   |   | — |   |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 178.9 |   |   | 173.5 |   |
| Cinelease Holdings, LLC                                                                                          |   | Electronic Equipment, Instruments & Components |   | Senior Debt(7) |   | 11.0 | % |   | 3/12-4/13 |   |   |   | 53.0 |   |   | 52.7 |   |   | 51.5 |   |
|                                                                                                             |   |   | Common Stock(1) |   |   |   |   |   | 583 |   |   |   |   | 0.6 |   |   | 0.8 |   |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 53.3 |   |   | 52.3 |   |
| Contec, LLC                                                                                                      |   | Household Durables |   | Mezzanine Debt(7) |   | 14.0 | % |   | 9/15-9/16 |   |   |   | 135.0 |   |   | 133.9 |   |   | 123.5 |   |
| Delsey Holding(3)                                                                                                |   | Textiles, Apparel & Luxury Goods |   | Senior Debt(7) |   | 7.3 | % |   | 2/14 |   |   |   | 20.5 |   |   | 20.5 |   |   | 15.6 |   |
| DelStar, Inc.                                                                                                    |   | Building Products |   | Mezzanine Debt(7) |   | 14.0 | % |   | 12/12 |   |   |   | 19.5 |   |   | 19.4 |   |   | 19.5 |   |
|                                                                                                             |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 26,613 |   |   |   |   | 22.2 |   |   | 39.1 |   |
|                                                                                                             |   |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 29,569 |   |   |   |   | 3.6 |   |   | 3.6 |   |
|                                                                                                             |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 89,020 |   |   |   |   | 16.9 |   |   | 5.8 |   |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 62.1 |   |   | 68.0 |   |
| Easton Bell Sports, LLC                                                                                          |   | Leisure Equipment & Products |   | Redeemable Preferred Stock |   |   |   |   |   | 1,171 |   |   |   |   | 1.5 |   |   | 1.5 |   |
|                                                                                                             |   |   |   | Common Units(1) |   |   |   |   |   | 3,830,068 |   |   |   |   | 0.7 |   |   | 3.0 |   |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 2.2 |   |   | 4.5 |   |
| FAMS Acquisition, Inc.                                                                                           |   | Diversified Financial Services |   | Mezzanine Debt(7) |   | 14.0 | % |   | 11/13 |   |   |   | 15.4 |   |   | 15.3 |   |   | 15.4 |   |
|                                                                                                             |   |   | Mezzanine Debt(6)(7) |   | 15.5 | % |   | 11/14 |   |   |   | 16.3 |   |   | 11.8 |   |   | 4.7 |   |
|                                                                                                             |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 919 |   |   |   |   | 0.9 |   |   | — |   |
|                                                                                                             |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 861,364 |   |   |   |   | 20.9 |   |   | — |   |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 48.9 |   |   | 20.1 |   |
| Ford Motor Company(2)                                                                                            |   | Automobiles |   | Senior Debt(7) |   | 3.0 | % |   | 12/13 |   |   |   | 6.5 |   |   | 6.4 |   |   | 6.4 |   |
| FPI Holding Corporation                                                                                          |   | Food Products |   | Senior Debt(7) |   | 8.6 | % |   | 10/11-5/13 |   |   |   | 18.2 |   |   | 18.1 |   |   | 18.2 |   |
|                                                                                                             |   |   |   | Senior Debt(6)(7) |   | 15.8 | % |   | 6/14-6/15 |   |   |   | 18.5 |   |   | 12.8 |   |   | 3.1 |   |
|                                                                                                             |   |   |   | Mezzanine Debt(6)(7) |   | 21.6 | % |   | 6/15-5/16 |   |   |   | 29.7 |   |   | 17.3 |   |   | — |   |
|                                                                                                             |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 4,469 |   |   |   |   | 39.1 |   |   | — |   |
|                                                                                                             |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 21,715 |   |   |   |   | 23.3 |   |   | — |   |
|                                                                                                             |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 5,429 |   |   |   |   | 5.8 |   |   | — |   |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 116.4 |   |   | 21.3 |   |
| HMSC Corporation                                                                                                 |   | Insurance |   | Senior Debt(6)(7) |   | 5.8 | % |   | 10/14 |   |   |   | 3.5 |   |   | 3.2 |   |   | 1.7 |   |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

----

Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)December 31, 2010(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                    |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                        |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| Hoppy Holdings, Corp.                                                                                                              |   | Auto Components |   | Mezzanine Debt(7) |   | 15.1 | % |   | 7/12 |   |   |   | 40.5 |   |   | 40.4 |   |   | 41.0 |   |
|                                                                                                                               |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 2,915 |   |   |   |   | 8.1 |   |   | 8.1 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 48.5 |   |   | 49.1 |   |
| Infiltrator Systems, Inc.                                                                                                          |   | Building Products |   | Senior Debt(7) |   | 16.5 | % |   | 10/13 |   |   |   | 42.2 |   |   | 41.9 |   |   | 42.3 |   |
| JHCI Acquisition, Inc.                                                                                                             |   | Air Freight & Logistics |   | Senior Debt(7) |   | 5.8 | % |   | 12/14 |   |   |   | 19.0 |   |   | 19.1 |   |   | 14.1 |   |
| Jones Stephens Corp.(8)                                                                                                            |   | Building Products |   | Mezzanine Debt(6)(7) |   | 13.0 | % |   | 9/13 |   |   |   | 11.7 |   |   | 11.1 |   |   | — |   |
| KIK Custom Products, Inc.(3)                                                                                                       |   | Household Products |   | Senior Debt(7) |   | 5.3 | % |   | 12/14 |   |   |   | 22.5 |   |   | 18.9 |   |   | 14.8 |   |
| LabelCorp Holdings, Inc.                                                                                                           |   | Paper & Forest Products |   | Senior Debt(7) |   | 8.0 | % |   | 8/13-8/14 |   |   |   | 2.9 |   |   | 2.6 |   |   | 2.6 |   |
|                                                                                                                               |   |   |   | Mezzanine Debt(7) |   | 14.0 | % |   | 8/15-8/16 |   |   |   | 45.5 |   |   | 45.1 |   |   | 40.2 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 47.7 |   |   | 42.8 |   |
| LCW Holdings, LLC                                                                                                                  |   | Real Estate |   | Senior Debt(7) |   | 11.0 | % |   | 10/12 |   |   |   | 7.7 |   |   | 7.6 |   |   | 7.1 |   |
|                                                                                                                               |   |   |   | Warrant(1) |   |   |   |   |   | 12.5 | % |   |   |   | 0.8 |   |   | 3.5 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 8.4 |   |   | 10.6 |   |
| Mirion Technologies, Inc.                                                                                                          |   | Electrical Equipment |   | Senior Debt(7) |   | 5.4 | % |   | 7/11-11/11 |   |   |   | 127.3 |   |   | 127.1 |   |   | 128.0 |   |
|                                                                                                                               |   |   |   | Mezzanine Debt(7) |   | 13.9 | % |   | 7/11-5/12 |   |   |   | 55.0 |   |   | 54.8 |   |   | 55.0 |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 435,724 |   |   |   |   | 61.2 |   |   | 100.3 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 208,276 |   |   |   |   | 2.8 |   |   | 3.2 |   |
|                                                                                                                               |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 222,156 |   |   |   |   | 18.6 |   |   | 27.9 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 264.5 |   |   | 314.4 |   |
| Mitchell International, Inc.                                                                                                       |   | IT Services |   | Senior Debt(7) |   | 5.6 | % |   | 3/15 |   |   |   | 5.0 |   |   | 5.0 |   |   | 3.9 |   |
| NBD Holdings Corp.                                                                                                                 |   | Diversified Financial Services |   | Mezzanine Debt(7) |   | 14.0 | % |   | 8/13 |   |   |   | 48.1 |   |   | 47.7 |   |   | 48.6 |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(1) |   |   |   |   |   | 84,174 |   |   |   |   | 8.7 |   |   | 7.8 |   |
|                                                                                                                               |   |   |   | Common Stock(1) |   |   |   |   |   | 633,408 |   |   |   |   | 0.1 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 56.5 |   |   | 56.4 |   |
| Net1 Las Colinas Manager, LLC                                                                                                      |   | Real Estate |   | Senior Debt(7) |   | 7.7 | % |   | 10/15 |   |   |   | 3.9 |   |   | 4.0 |   |   | 3.3 |   |
| Nivel Holdings, LLC                                                                                                                |   | Distributors |   | Senior Debt(7) |   | 11.3 | % |   | 10/12-10/13 |   |   |   | 58.7 |   |   | 58.4 |   |   | 58.8 |   |
| Orchard Brands Corporation                                                                                                         |   | Internet & Catalog Retail |   | Senior First Lien Debt(6)(7) |   | 4.3 | % |   | 4/13 |   |   |   | 108.8 |   |   | 100.4 |   |   | 49.7 |   |
|                                                                                                                               |   |   | Senior Second Lien Debt(6)(7) |   | 9.8 | % |   | 4/14 |   |   |   | 289.7 |   |   | 197.8 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 298.2 |   |   | 49.7 |   |
| Orion Foundry, Inc.(2)(3)                                                                                                          |   | Internet Software & Services |   | Senior Debt(7) |   | 9.0 | % |   | 6/14 |   |   |   | 25.9 |   |   | 24.5 |   |   | 22.3 |   |
| Pan Am International Flight Academy, Inc.                                                                                          |   | Professional Services |   | Mezzanine Debt(7) |   | 18.0 | % |   | 7/13 |   |   |   | 40.2 |   |   | 40.0 |   |   | 40.2 |   |
|                                                                                                                               |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 14,938 |   |   |   |   | 14.9 |   |   | 4.5 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 54.9 |   |   | 44.7 |   |
| PaR Systems, Inc.                                                                                                                  |   | Machinery |   | Senior Debt(7) |   | 3.3 | % |   | 7/13 |   |   |   | 3.4 |   |   | 3.3 |   |   | 3.0 |   |
| Parts Holding Coörperatief U.A(3)                                                                                             |   | Distributors |   | Membership Entitlements(1)(7) |   |   |   |   |   | 173,060 |   |   |   |   | 6.4 |   |   | — |   |
| Phillips & Temro Industries, Inc.                                                                                         |   | Auto Components |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 5,000,000 |   |   |   |   | — |   |   | 6.8 |   |
| Qioptiq S.A.R.L.(3)                                                                                                                |   | Electronic Equipment, Instruments & Components |   | Mezzanine Debt(7) |   | 10.0 | % |   | 3/18 |   |   |   | 32.6 |   |   | 32.4 |   |   | 32.1 |   |
| Ranpak Acquisition Company                                                                                                         |   | Containers & Packaging |   | Senior Debt(7) |   | 6.6 | % |   | 12/13-12/14 |   |   |   | 23.2 |   |   | 22.9 |   |   | 20.0 |   |
| RDR Holdings, Inc.                                                                                                                 |   | Household Durables |   | Mezzanine Debt(7) |   | 16.2 | % |   | 10/14-11/15 |   |   |   | 106.5 |   |   | 105.9 |   |   | 106.5 |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 1,541 |   |   |   |   | 154.2 |   |   | 24.8 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 15,414 |   |   |   |   | 1.5 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 261.6 |   |   | 131.3 |   |
| Roark - Money Mailer, LLC                                                                                                          |   | Media |   | Common Membership Units(1) |   |   |   |   |   | 3.5 | % |   |   |   | 0.9 |   |   | 1.0 |   |
| Scanner Holdings Corporation                                                                                                       |   | Computers & Peripherals |   | Mezzanine Debt(7) |   | 14.0 | % |   | 6/14 |   |   |   | 17.4 |   |   | 17.3 |   |   | 17.4 |   |
|                                                                                                                               |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 77,640,000 |   |   |   |   | 7.8 |   |   | 13.8 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 78,242 |   |   |   |   | 0.1 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 25.2 |   |   | 31.2 |   |
| Seroyal Holdings, L.P.(3)                                                                                                          |   | Pharmaceuticals |   | Redeemable Preferred Units |   |   |   |   |   | 32,462 |   |   |   |   | 0.9 |   |   | 1.1 |   |
|                                                                                                                               |   |   | Common Units(1) |   |   |   |   |   | 95,280 |   |   |   |   | 0.8 |   |   | 1.5 |   |
|                                                                                                                               |   |   |   | Common Unit Warrants(1) |   |   |   |   |   | 41,661 |   |   |   |   | 0.1 |   |   | 0.6 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 1.8 |   |   | 3.2 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)December 31, 2010(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                    |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                        |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| Soil Safe Holdings, LLC                                                                                                            |   | Professional Services |   | Senior Debt(7) |   | 9.7 | % |   | 8/13-8/14 |   |   |   | 40.5 |   |   | 40.2 |   |   | 39.2 |   |
|                                                                                                                               |   |   |   | Mezzanine Debt(7) |   | 15.5 | % |   | 8/15-8/16 |   |   |   | 40.3 |   |   | 39.9 |   |   | 33.7 |   |
|                                                                                                                               |   |   |   | Mezzanine Debt(6)(7) |   | 17.5 | % |   | 8/17 |   |   |   | 28.3 |   |   | 18.7 |   |   | 23.7 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 98.8 |   |   | 96.6 |   |
| SPL Acquisition Corp.                                                                                                              |   | Pharmaceuticals |   | Senior Debt(7) |   | 11.0 | % |   | 6/14 |   |   |   | 57.8 |   |   | 57.4 |   |   | 57.8 |   |
|                                                                                                                               |   |   |   | Mezzanine Debt(7) |   | 15.3 | % |   | 6/15-6/16 |   |   |   | 53.3 |   |   | 52.9 |   |   | 53.3 |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 84,043 |   |   |   |   | 40.7 |   |   | 27.2 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 151.0 |   |   | 138.3 |   |
| Swank Audio Visuals, LLC                                                                                                           |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 7.1 | % |   | 8/14 |   |   |   | 36.4 |   |   | 36.2 |   |   | 28.9 |   |
|                                                                                                                               |   |   |   | Senior Debt(6)(7) |   | 7.8 | % |   | 8/14 |   |   |   | 12.1 |   |   | 11.5 |   |   | 5.9 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 47.7 |   |   | 34.8 |   |
| The Tensar Corporation                                                                                                             |   | Construction & Engineering |   | Senior Debt(7) |   | 13.0 | % |   | 5/13 |   |   |   | 82.0 |   |   | 81.5 |   |   | 73.4 |   |
|                                                                                                                               |   |   |   | Mezzanine Debt(7) |   | 19.5 | % |   | 11/15 |   |   |   | 29.5 |   |   | 29.4 |   |   | 27.5 |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 8,263,171 |   |   |   |   | 9.1 |   |   | 9.7 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 120.0 |   |   | 110.6 |   |
| ThreeSixty Sourcing, Inc.(3)                                                                                                       |   | Commercial Services & Supplies |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 35 |   |   |   |   | 4.1 |   |   | — |   |
| TransFirst Holdings, Inc.                                                                                                          |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 6.3 | % |   | 6/15 |   |   |   | 54.0 |   |   | 53.6 |   |   | 42.1 |   |
| triVIN, Holdings, Inc.                                                                                                             |   | IT Services |   | Mezzanine Debt(7) |   | 15.0 | % |   | 6/14-6/15 |   |   |   | 21.0 |   |   | 20.9 |   |   | 21.0 |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 247,000,000 |   |   |   |   | 32.9 |   |   | 42.6 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 6,319,923 |   |   |   |   | 6.3 |   |   | 8.8 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 60.1 |   |   | 72.4 |   |
| Tyden Cayman Holdings Corp.(3)                                                                                                     |   | Electronic Equipment, Instruments & Components |   | Common Stock(1) |   |   |   |   |   | 3,218,667 |   |   |   |   | 3.8 |   |   | 5.6 |   |
| WRH, Inc.                                                                                                                          |   | Life Sciences Tools & Services |   | Senior Debt(7) |   | 4.3 | % |   | 9/13-9/14 |   |   |   | 3.9 |   |   | 3.9 |   |   | 3.9 |   |
|                                                                                                                               |   |   | Mezzanine Debt(7) |   | 14.6 | % |   | 7/14-9/15 |   |   |   | 95.0 |   |   | 94.5 |   |   | 94.1 |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 2,008,575 |   |   |   |   | 210.0 |   |   | 55.7 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 502,144 |   |   |   |   | 49.9 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 358.3 |   |   | 153.7 |   |
| WWC Acquisitions, Inc.                                                                                                             |   | Professional Services |   | Senior Debt(7) |   | 7.0 | % |   | 12/11-12/13 |   |   |   | 34.0 |   |   | 33.7 |   |   | 33.9 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| CMBS INVESTMENTS                                                                                                                   |   |   |   |   |   |   |   |   |
| Banc of America Commercial Mortgage Trust 2007-1                                                                                   |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(7) |   | 5.7 | % |   | 2/17-2/18 |   |   |   | 12.4 |   |   | 4.5 |   |   | 0.8 |   |
| CD 2007-CD4 Commercial Mortgage Trust                                                                                              |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.7 | % |   | 4/17 |   |   |   | 14.0 |   |   | 8.7 |   |   | 0.4 |   |
| CD 2007-CD5 Mortgage Trust                                                                                                         |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(7) |   | 6.2 | % |   | 12/17 |   |   |   | 14.8 |   |   | 10.2 |   |   | 1.1 |   |
| Citigroup Commercial Mortgage Securities Trust 2007-C6                                                                             |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(7) |   | 5.6 | % |   | 7/17 |   |   |   | 112.5 |   |   | 67.1 |   |   | 12.8 |   |
| COBALT CMBS Commercial Mortgage Trust 2007-C3                                                                                      |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.2 | % |   | 10/17 |   |   |   | 11.1 |   |   | 8.1 |   |   | 0.3 |   |
| Countrywide Commercial Mortgage Trust 2007-MF1                                                                                     |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.1 | % |   | 11/37-12/37 |   |   |   | 12.8 |   |   | 6.4 |   |   | — |   |
| Credit Suisse Commercial Mortgage Trust Series 2007-C4                                                                             |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.8 | % |   | 8/17 |   |   |   | 20.8 |   |   | 12.4 |   |   | 1.1 |   |
| GE Commercial Mortgage Corporation, Series 2007-C1                                                                                 |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.7 | % |   | 12/19 |   |   |   | 24.8 |   |   | 21.9 |   |   | 0.2 |   |
| GS Mortgage Securities Trust 2006-GG10                                                                                             |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.8 | % |   | 7/17 |   |   |   | 7.0 |   |   | 4.1 |   |   | 0.1 |   |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11                                                                  |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.6 | % |   | 7/17 |   |   |   | 87.2 |   |   | 55.6 |   |   | 0.3 |   |
| LB-UBS Commercial Mortgage Trust 2007-C6                                                                                           |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(7) |   | 6.2 | % |   | 8/17 |   |   |   | 36.6 |   |   | 22.6 |   |   | 2.0 |   |
| LB-UBS Commercial Mortgage Trust 2008-C1                                                                                           |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.2 | % |   | 7/23-7/24 |   |   |   | 19.4 |   |   | 7.4 |   |   | 0.6 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)December 31, 2010(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                    |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                        |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| ML-CFC Commercial Mortgage Trust 2007-6                                                                                            |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.8 | % |   | 4/17 |   |   |   | 9.8 |   |   | 3.2 |   |   | 0.1 |   |
| ML-CFC Commercial Mortgage Trust 2007-8                                                                                            |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.0 | % |   | 8/17 |   |   |   | 32.8 |   |   | 19.2 |   |   | 1.5 |   |
| Wachovia Bank Commercial Mortgage Trust 2007-C31                                                                                   |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.8 | % |   | 5/17 |   |   |   | 20.0 |   |   | 11.6 |   |   | 0.6 |   |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C32                                                                           |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.7 | % |   | 10/17 |   |   |   | 85.1 |   |   | 55.5 |   |   | 1.3 |   |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C34                                                                           |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(7) |   | 5.3 | % |   | 10/17-9/24 |   |   |   | 96.2 |   |   | 41.9 |   |   | 6.2 |   |
| Wachovia Bank Commercial Trust 2006-C28                                                                                            |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.0 | % |   | 11/16 |   |   |   | 5.0 |   |   | 3.2 |   |   | 0.1 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| CLO INVESTMENTS                                                                                                                    |   |   |   |   |   |   |   |   |
| ACAS CLO 2007-1, Ltd.                                                                                                              |   | Diversified Financial Services |   | Secured Notes(7) |   |   |   |   |   |   |   | 8.5 |   |   | 8.3 |   |   | 5.5 |   |
|                                                                                                                               |   |   |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 25.9 |   |   | 18.8 |   |   | 18.4 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 27.1 |   |   | 23.9 |   |
| Ares IIIR/IVR CLO Ltd.                                                                                                             |   | Diversified Financial Services |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 20.0 |   |   | 18.0 |   |   | 11.0 |   |
| Ares VIII CLO, Ltd.                                                                                                                |   | Diversified Financial Services |   | Preference Shares(7) |   |   |   |   |   | 6,241 |   |   |   |   | 4.6 |   |   | 2.5 |   |
| Avalon Capital Ltd. 3                                                                                                              |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 13,796 |   |   |   |   | 5.9 |   |   | 8.2 |   |
| Babson CLO Ltd. 2006-II                                                                                                            |   | Diversified Financial Services |   | Income Notes(7) |   |   |   |   |   |   |   | 15.0 |   |   | 12.4 |   |   | 12.8 |   |
| BALLYROCK CLO 2006-2 LTD.                                                                                                          |   | Diversified Financial Services |   | Deferrable Notes(7) |   |   |   |   |   |   |   | 2.0 |   |   | 1.6 |   |   | 1.4 |   |
| Cent CDO 12 Limited                                                                                                                |   | Diversified Financial Services |   | Income Notes(7) |   |   |   |   |   |   |   | 26.4 |   |   | 18.1 |   |   | 20.8 |   |
| Centurion CDO 8 Limited                                                                                                            |   | Diversified Financial Services |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 5.0 |   |   | 2.5 |   |   | 3.0 |   |
| Champlain CLO                                                                                                                      |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 1,000,000 |   |   |   |   | 0.8 |   |   | 0.2 |   |
| CoLTs 2005-1 Ltd.(3)                                                                                                               |   | Diversified Financial Services |   | Preference Shares(1)(7) |   |   |   |   |   | 360 |   |   |   |   | 6.7 |   |   | 0.7 |   |
| CoLTs 2005-2 Ltd.(3)                                                                                                               |   | Diversified Financial Services |   | Preference Shares(7) |   |   |   |   |   | 34,170,000 |   |   |   |   | 23.0 |   |   | 8.2 |   |
| CREST Exeter Street Solar 2004-2                                                                                                   |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 3,089,177 |   |   |   |   | 3.2 |   |   | 0.7 |   |
| Eaton Vance CDO X PLC(3)                                                                                                           |   | Diversified Financial Services |   | Secured Subordinated Income Notes(7) |   |   |   |   |   |   |   | 15.0 |   |   | 13.0 |   |   | 8.4 |   |
| Essex Park CDO Ltd.                                                                                                                |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 5,750,000 |   |   |   |   | 2.3 |   |   | 2.3 |   |
| Flagship CLO V                                                                                                                     |   | Diversified Financial Services |   | Deferrable Notes(7) |   |   |   |   |   |   |   | 1.7 |   |   | 1.3 |   |   | 1.2 |   |
|                                                                                                                               |   |   |   | Subordinated Securities(7) |   |   |   |   |   | 15,000 |   |   |   |   | 10.4 |   |   | 9.7 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 11.7 |   |   | 10.9 |   |
| Galaxy III CLO, Ltd                                                                                                                |   | Diversified Financial Services |   | Subordinated Notes(1)(7) |   |   |   |   |   |   |   | 4.0 |   |   | 2.0 |   |   | 0.9 |   |
| LightPoint CLO IV, LTD                                                                                                             |   | Diversified Financial Services |   | Income Notes(7) |   |   |   |   |   |   |   | 6.7 |   |   | 8.0 |   |   | 2.0 |   |
| LightPoint CLO VII, Ltd.                                                                                                           |   | Diversified Financial Services |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 9.0 |   |   | 6.2 |   |   | 6.2 |   |
| LightPoint CLO VIII, Ltd.                                                                                                          |   | Diversified Financial Services |   | Deferrable Notes(7) |   |   |   |   |   |   |   | 7.0 |   |   | 6.5 |   |   | 5.5 |   |
| Mayport CLO Ltd.                                                                                                                   |   | Diversified Financial Services |   | Income Notes(7) |   |   |   |   |   |   |   | 14.0 |   |   | 11.5 |   |   | 9.7 |   |
| NYLIM Flatiron CLO 2006-1 LTD.(3)                                                                                                  |   | Diversified Financial Services |   | Subordinated Securities(7) |   |   |   |   |   | 10,000 |   |   |   |   | 6.6 |   |   | 7.8 |   |
| Octagon Investment Partners VII, Ltd.                                                                                              |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 5,000,000 |   |   |   |   | 1.7 |   |   | 2.8 |   |
| Sapphire Valley CDO I, Ltd.                                                                                                        |   | Diversified Financial Services |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 14.0 |   |   | 15.3 |   |   | 3.7 |   |
| Vitesse CLO, Ltd.                                                                                                                  |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 20,000,000 |   |   |   |   | 14.9 |   |   | 13.1 |   |
| Subtotal Non-Control / Non-Affiliate Investments (50% of total investments at fair value)                                          |   |   |   | $ | 3,854.2 |   |   | $ | 2,718.9 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |
| AFFILIATE INVESTMENTS                                                                                                              |   |   |   |   |   |   |   |   |
| Anchor Drilling Fluids USA, Inc.                                                                                                   |   | Energy Equipment & Services |   | Senior Debt(7) |   | 11.3 | % |   | 12/13 |   |   |   | $ | 6.7 |   |   | $ | 6.7 |   |   | $ | 6.2 |   |
|                                                                                                                               |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 859 |   |   |   |   | 1.6 |   |   | 0.3 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 3,061 |   |   |   |   | 4.9 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 13.2 |   |   | 6.5 |   |
| Comfort Co., Inc.                                                                                                                  |   | Household Durables |   | Senior Debt(7) |   | 11.5 | % |   | 3/12-3/15 |   |   |   | 13.3 |   |   | 13.3 |   |   | 12.2 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 110,684 |   |   |   |   | 11.7 |   |   | 6.9 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 25.0 |   |   | 19.1 |   |
| Egenera, Inc.                                                                                                                      |   | Computers & Peripherals |   | Mezzanine Debt(6) |   | 15.0 | % |   | 12/11 |   |   |   | 4.4 |   |   | 3.2 |   |   | 1.8 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 8,569,905 |   |   |   |   | 25.4 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 28.6 |   |   | 1.8 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)December 31, 2010(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                    |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                        |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| HALT Medical, Inc.                                                                                                                 |   | Health Care Equipment & Supplies |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 5,592,367 |   |   |   |   | 8.9 |   |   | 9.7 |   |
| IEE Holding 1 S.A.(3)                                                                                                              |   | Auto Components |   | Common Stock(1) |   |   |   |   |   | 250,000 |   |   |   |   | 4.5 |   |   | — |   |
| IS Holdings I, Inc.                                                                                                                |   | Software |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 1,297 |   |   |   |   | 1.9 |   |   | 1.9 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 1,165,930 |   |   |   |   | — |   |   | 11.6 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 1.9 |   |   | 13.5 |   |
| LTM Enterprises, Inc.                                                                                                              |   | Personal Products |   | Senior Debt(6)(7) |   | 17.3 | % |   | 11/11 |   |   |   | 24.5 |   |   | 18.4 |   |   | 14.6 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Primrose Holding Corporation                                                                                                       |   | Diversified Consumer Services |   | Common Stock(1)(7) |   |   |   |   |   | 4,213 |   |   |   |   | 2.7 |   |   | 4.0 |   |
| Qualitor Component Holdings, LLC                                                                                                   |   | Auto Components |   | Mezzanine Debt(7) |   | 17.1 | % |   | 7/13 |   |   |   | 39.6 |   |   | 39.4 |   |   | 39.5 |   |
|                                                                                                                               |   |   | Redeemable Preferred Units(1) |   |   |   |   |   | 3,150,000 |   |   |   |   | 3.2 |   |   | — |   |
|                                                                                                                               |   |   |   | Common Units(1) |   |   |   |   |   | 350,000 |   |   |   |   | 0.3 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 42.9 |   |   | 39.5 |   |
| Radar Detection Holdings Corp.                                                                                                     |   | Household Durables |   | Convertible Preferred Stock(1) |   |   |   |   |   | 7,075 |   |   |   |   | 0.7 |   |   | 1.9 |   |
|                                                                                                                               |   |   |   | Common Stock(1) |   |   |   |   |   | 40,688 |   |   |   |   | 0.6 |   |   | 0.3 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 1.3 |   |   | 2.2 |   |
| WFS Holding, LLC                                                                                                                   |   | Software |   | Preferred Interest(1) |   |   |   |   |   | 20,403,772 |   |   |   |   | 3.0 |   |   | 2.7 |   |
| Subtotal Affiliate Investments (2% of total investments at fair value)                                                             |   |   |   | $ | 150.4 |   |   | $ | 113.6 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |
| CONTROL INVESTMENTS                                                                                                                |   |   |   |   |   |   |   |   |
| ACAS Equity Holdings Corp.                                                                                                         |   | Diversified Financial Services |   | Common Stock(1)(7) |   |   |   |   |   | 589 |   |   |   |   | $ | 14.5 |   |   | $ | 1.8 |   |
| ACAS Real Estate Holdings Corporation                                                                                              |   | Real Estate |   | Mezzanine Debt(6)(7) |   | 15.0 | % |   | 5/16 |   |   |   | $ | 4.7 |   |   | 3.7 |   |   | 4.6 |   |
|                                                                                                                               |   |   | Common Stock(1)(7) |   |   |   |   |   | 100 | % |   |   |   | 11.5 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 15.2 |   |   | 4.6 |   |
| American Capital, LLC                                                                                                              |   | Capital Markets |   | Common Membership Interest(7) |   |   |   |   |   | 100 | % |   |   |   | 58.2 |   |   | 128.5 |   |
| American Driveline Systems, Inc.                                                                                                   |   | Diversified Consumer Services |   | Mezzanine Debt(7) |   | 14.0 | % |   | 12/14-12/15 |   |   |   | 43.0 |   |   | 42.6 |   |   | 43.0 |   |
|                                                                                                                               |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 403,357 |   |   |   |   | 36.1 |   |   | 51.8 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 128,681 |   |   |   |   | 10.8 |   |   | 1.2 |   |
|                                                                                                                               |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 204,663 |   |   |   |   | 17.3 |   |   | 1.9 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 106.8 |   |   | 97.9 |   |
| Aptara, Inc.                                                                                                                       |   | IT Services |   | Senior Debt(7) |   | 11.5 | % |   | 8/12 |   |   |   | 0.7 |   |   | 0.7 |   |   | 0.7 |   |
|                                                                                                                               |   |   |   | Mezzanine Debt(7) |   | 17.0 | % |   | 8/12 |   |   |   | 60.9 |   |   | 60.7 |   |   | 63.0 |   |
|                                                                                                                               |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 15,107 |   |   |   |   | 14.1 |   |   | 21.0 |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 2,549,410 |   |   |   |   | 8.7 |   |   | — |   |
|                                                                                                                               |   |   |   | Preferred Stock Warrants(1)(7) |   |   |   |   |   | 230,681 |   |   |   |   | 1.0 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 85.2 |   |   | 84.7 |   |
| Capital.com, Inc.                                                                                                                  |   | Diversified Financial Services |   | Common Stock(1)(7) |   |   |   |   |   | 8,500,100 |   |   |   |   | 0.9 |   |   | — |   |
| CH Holding Corp.                                                                                                                   |   | Leisure Equipment & Products |   | Senior Debt(7) |   | 7.3 | % |   | 5/13 |   |   |   | 17.1 |   |   | 17.7 |   |   | 17.7 |   |
|                                                                                                                               |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 21,215 |   |   |   |   | 42.8 |   |   | 18.2 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 60.5 |   |   | 35.9 |   |
| CMX Inc.                                                                                                                           |   | Construction & Engineering |   | Senior Debt(6)(7) |   | 3.5 | % |   | 5/11 |   |   |   | 5.0 |   |   | 4.9 |   |   | 0.2 |   |
| Contour Semiconductor, Inc.                                                                                                        |   | Semiconductors & Semiconductor Equipment |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 11,532,842 |   |   |   |   | 12.4 |   |   | 21.6 |   |
| Core Financial Holdings, LLC                                                                                                       |   | Diversified Financial Services |   | Common Units(1)(7) |   |   |   |   |   | 57,940,360 |   |   |   |   | 48.2 |   |   | 6.0 |   |
| Dyno Holding Corp.                                                                                                                 |   | Auto Components |   | Senior Debt(7) |   | 11.7 | % |   | 11/13-11/15 |   |   |   | 40.8 |   |   | 40.5 |   |   | 40.8 |   |
|                                                                                                                               |   |   | Mezzanine Debt(6)(7) |   | 3.8 | % |   | 11/16 |   |   |   | 28.5 |   |   | 25.6 |   |   | 13.9 |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 389,759 |   |   |   |   | 40.5 |   |   | — |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 97,440 |   |   |   |   | 10.1 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 116.7 |   |   | 54.7 |   |
| ECA Acquisition Holdings, Inc.                                                                                                     |   | Health Care Equipment & Supplies |   | Mezzanine Debt(7) |   | 16.5 | % |   | 12/14 |   |   |   | 13.9 |   |   | 13.8 |   |   | 13.9 |   |
|                                                                                                                               |   | Common Stock(1)(7) |   |   |   |   |   | 583 |   |   |   |   | 11.1 |   |   | 13.4 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 24.9 |   |   | 27.3 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)December 31, 2010(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                    |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                        |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| eLynx Holdings, Inc.                                                                                                               |   | IT Services |   | Senior Debt(7) |   | 7.8 | % |   | 7/13 |   |   |   | 8.6 |   |   | 8.6 |   |   | 8.6 |   |
|                                                                                                                               |   |   |   | Mezzanine Debt(6)(7) |   | 8.0 | % |   | 7/13 |   |   |   | 17.5 |   |   | 13.4 |   |   | 3.9 |   |
|                                                                                                                               |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 21,113 |   |   |   |   | 8.9 |   |   | — |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 7,929 |   |   |   |   | 6.0 |   |   | — |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 11,261 |   |   |   |   | 1.1 |   |   | — |   |
|                                                                                                                               |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 1,078,792 |   |   |   |   | 13.1 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 51.1 |   |   | 12.5 |   |
| European Capital Limited(3)                                                                                                        |   | Diversified Financial Services |   | Subordinated Debt(7) |   | 7.3 | % |   | 7/12 |   |   |   | 28.3 |   |   | 28.2 |   |   | 28.3 |   |
| Ordinary Shares(1)(7)                                                                                                              |   |   |   |   |   | 431,895,528 |   |   |   |   | 1,267.3 |   |   | 607.9 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 1,295.5 |   |   | 636.2 |   |
| European Touch, LTD. II                                                                                                            |   | Leisure Equipment & Products |   | Senior Debt(7) |   | 9.0 | % |   | 8/11-1/12 |   |   |   | 0.9 |   |   | 0.9 |   |   | 0.9 |   |
|                                                                                                                               |   | Mezzanine Debt(6)(7) |   | 16.0 | % |   | 3/11 |   |   |   | 20.9 |   |   | 13.5 |   |   | 1.8 |   |
|                                                                                                                               |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 263 |   |   |   |   | 0.3 |   |   | — |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 1,688 |   |   |   |   | 0.9 |   |   | — |   |
|                                                                                                                               |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 7,105 |   |   |   |   | 3.7 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 19.3 |   |   | 2.7 |   |
| EXPL Pipeline Holdings LLC                                                                                                         |   | Oil, Gas & Consumable Fuels |   | Senior Debt(7) |   | 8.0 | % |   | 1/17 |   |   |   | 45.4 |   |   | 45.1 |   |   | 45.4 |   |
|                                                                                                                               |   |   | Common Membership Units(1)(7) |   |   |   |   |   | 58,297 |   |   |   |   | 44.5 |   |   | 17.5 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 89.6 |   |   | 62.9 |   |
| FL Acquisitions Holdings, Inc.                                                                                                     |   | Computers & Peripherals |   | Senior Debt(7) |   | 8.3 | % |   | 10/12-10/13 |   |   |   | 40.0 |   |   | 39.8 |   |   | 40.0 |   |
|                                                                                                                               |   | Mezzanine Debt(7) |   | 18.6 | % |   | 4/14-10/14 |   |   |   | 34.1 |   |   | 34.0 |   |   | 34.1 |   |
|                                                                                                                               |   |   |   | Mezzanine Debt(6)(7) |   | 22.5 | % |   | 10/14 |   |   |   | 17.2 |   |   | 8.5 |   |   | 8.5 |   |
|                                                                                                                               |   |   |   | Redeemable Preferred Stock(1) |   |   |   |   |   | 583,000 |   |   |   |   | 0.6 |   |   | — |   |
|                                                                                                                               |   |   |   | Common Stock(1) |   |   |   |   |   | 129,514 |   |   |   |   | 15.6 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 98.5 |   |   | 82.6 |   |
| Formed Fiber Technologies, Inc.                                                                                                    |   | Auto Components |   | Common Stock(1)(7) |   |   |   |   |   | 31,250 |   |   |   |   | 8.1 |   |   | 5.6 |   |
| Fosbel Global Services (LUXCO) S.C.A.(3)                                                                                           |   | Commercial Services & Supplies |   | Mezzanine Debt(7) |   | 17.3 | % |   | 12/13 |   |   |   | 25.9 |   |   | 25.8 |   |   | 25.8 |   |
|                                                                                                                               | Mezzanine Debt(6)(7) |   | 20.0 | % |   | 12/14 |   |   |   | 27.1 |   |   | 20.7 |   |   | 23.0 |   |
|                                                                                                                               |   |   |   | Redeemable Preferred Stock(1) |   |   |   |   |   | 18,449,456 |   |   |   |   | 18.4 |   |   | — |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(1) |   |   |   |   |   | 1,519,368 |   |   |   |   | 3.0 |   |   | — |   |
|                                                                                                                               |   |   |   | Common Stock(1) |   |   |   |   |   | 108,526 |   |   |   |   | 0.2 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 68.1 |   |   | 48.8 |   |
| FreeConference.com, Inc.                                                                                                           |   | Diversified Telecommunication Services |   | Senior Debt(7) |   | 8.5 | % |   | 5/11 |   |   |   | 9.2 |   |   | 9.2 |   |   | 9.2 |   |
|                                                                                                                               |   |   | Mezzanine Debt(6)(7) |   | 15.0 | % |   | 5/12 |   |   |   | 10.7 |   |   | 9.2 |   |   | 1.1 |   |
|                                                                                                                               |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 14,042,095 |   |   |   |   | 12.8 |   |   | — |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 6,088,229 |   |   |   |   | 2.3 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 33.5 |   |   | 10.3 |   |
| Future Food, Inc.                                                                                                                  |   | Food Products |   | Senior Debt(7) |   | 5.3 | % |   | 8/11 |   |   |   | 1.6 |   |   | 1.6 |   |   | 1.6 |   |
|                                                                                                                               |   |   |   | Senior Debt(6)(7) |   | 5.3 | % |   | 8/11 |   |   |   | 15.4 |   |   | 15.2 |   |   | 10.0 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 64,917 |   |   |   |   | 13.0 |   |   | — |   |
|                                                                                                                               |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 6,500 |   |   |   |   | 1.3 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 31.1 |   |   | 11.6 |   |
| Group Montana, Inc.                                                                                                                |   | Textiles, Apparel & Luxury Goods |   | Senior Debt(7) |   | 10.6 | % |   | 1/11-10/11 |   |   |   | 19.1 |   |   | 19.1 |   |   | 19.1 |   |
|                                                                                                                               |   |   | Senior Debt(6)(7) |   | 12.8 | % |   | 10/11 |   |   |   | 6.1 |   |   | 4.5 |   |   | 2.0 |   |
|                                                                                                                               |   |   |   | Mezzanine Debt(6)(7) |   | 24.5 | % |   | 10/12 |   |   |   | 16.1 |   |   | 6.6 |   |   | — |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 4,000 |   |   |   |   | 1.0 |   |   | — |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 2.5 | % |   |   |   | 0.7 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 31.9 |   |   | 21.1 |   |
| Halex Holdings, Inc.                                                                                                               |   | Construction Materials |   | Senior Debt(6)(7) |   | 7.0 | % |   | 9/11 |   |   |   | 11.8 |   |   | 9.8 |   |   | 4.7 |   |
|                                                                                                                               |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 24,087,546 |   |   |   |   | 31.2 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 41.0 |   |   | 4.7 |   |
| Hartstrings Holdings Corp.                                                                                                         |   | Textiles, Apparel & Luxury Goods |   | Senior Debt(6)(7) |   | 4.5 | % |   | 3/11 |   |   |   | 9.4 |   |   | 9.4 |   |   | 7.6 |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 10,196 |   |   |   |   | 3.0 |   |   | — |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 14,250 |   |   |   |   | 4.8 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 17.2 |   |   | 7.6 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)December 31, 2010(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                    |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                        |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| Kingway Inca Clymer Holdings, Inc.                                                                                                 |   | Building Products |   | Mezzanine Debt(6)(7) |   | 12.3 | % |   | 4/12 |   |   |   | 2.9 |   |   | — |   |   | 1.1 |   |
|                                                                                                                               |   |   | Redeemable Preferred Stock(1) |   |   |   |   |   | 13,709 |   |   |   |   | 9.2 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 9.2 |   |   | 1.1 |   |
| Lifoam Holdings, Inc.                                                                                                              |   | Leisure Equipment & Products |   | Senior Debt(7) |   | 10.5 | % |   | 12/14 |   |   |   | 18.9 |   |   | 18.9 |   |   | 18.9 |   |
|                                                                                                                               |   |   | Mezzanine Debt(7) |   | 8.0 | % |   | 12/14 |   |   |   | 43.2 |   |   | 43.1 |   |   | 43.2 |   |
|                                                                                                                               |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 6,160 |   |   |   |   | 4.2 |   |   | 7.4 |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 15,797 |   |   |   |   | 12.2 |   |   | — |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 14,000 |   |   |   |   | 1.4 |   |   | — |   |
|                                                                                                                               |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 464,242 |   |   |   |   | 2.9 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 82.7 |   |   | 69.5 |   |
| LLSC Holdings Corporation                                                                                                          |   | Personal Products |   | Senior Debt(7) |   | 6.3 | % |   | 8/12 |   |   |   | 3.4 |   |   | 3.4 |   |   | 3.4 |   |
|                                                                                                                               |   |   | Mezzanine Debt(7) |   | 12.0 | % |   | 9/13 |   |   |   | 5.5 |   |   | 5.5 |   |   | 5.5 |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 7,496 |   |   |   |   | 8.1 |   |   | 4.7 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 17.0 |   |   | 13.6 |   |
| LVI Holdings, LLC                                                                                                                  |   | Professional Services |   | Senior Debt(7) |   | 7.3 | % |   | 3/11 |   |   |   | 2.7 |   |   | 2.7 |   |   | 3.0 |   |
|                                                                                                                               |   |   |   | Mezzanine Debt(6)(7) |   | 18.0 | % |   | 2/13 |   |   |   | 12.9 |   |   | 8.9 |   |   | 5.0 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 11.6 |   |   | 8.0 |   |
| Medical Billing Holdings, Inc.                                                                                                     |   | IT Services |   | Mezzanine Debt(7) |   | 15 | % |   | 9/13 |   |   |   | 11.3 |   |   | 11.2 |   |   | 11.3 |   |
|                                                                                                                               |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 13,199,000 |   |   |   |   | 13.2 |   |   | 14.1 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 3,299,582 |   |   |   |   | 3.3 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 27.7 |   |   | 25.4 |   |
| Montgomery Lane, LLC                                                                                                               |   | Diversified Financial Services |   | Common Membership Units(1)(7) |   |   |   |   |   | 100 |   |   |   |   | 7.3 |   |   | 4.3 |   |
| Montgomery Lane, LTD(3)                                                                                                            |   | Diversified Financial Services |   | Common Membership Units(1) |   |   |   |   |   | 50,000 |   |   |   |   | 6.2 |   |   | — |   |
| MW Acquisition Corporation                                                                                                         |   | Health Care Providers & Services |   | Mezzanine Debt(7) |   | 16.3 | % |   | 2/13-2/14 |   |   |   | 27.4 |   |   | 27.2 |   |   | 27.4 |   |
|                                                                                                                               |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 2,485 |   |   |   |   | 1.2 |   |   | 1.1 |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 38,192 |   |   |   |   | 13.6 |   |   | 14.8 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 42.0 |   |   | 43.3 |   |
| NECCO Holdings, Inc.                                                                                                               |   | Food Products |   | Senior Debt(7) |   | 6.5 | % |   | 8/13 |   |   |   | 17.2 |   |   | 17.2 |   |   | 17.2 |   |
|                                                                                                                               |   |   |   | Senior Debt(6)(7) |   | 18.0 | % |   | 11/13 |   |   |   | 19.0 |   |   | 16.6 |   |   | 1.6 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 782,609 |   |   |   |   | 0.1 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 33.9 |   |   | 18.8 |   |
| NECCO Realty Investments, LLC                                                                                                      |   | Real Estate |   | Senior Debt(6)(7) |   | 14.0 | % |   | 12/17 |   |   |   | 42.9 |   |   | 33.0 |   |   | 24.2 |   |
|                                                                                                                               |   |   | Common Membership Units(1)(7) |   |   |   |   |   | 7,450 |   |   |   |   | 4.9 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 37.9 |   |   | 24.2 |   |
| Paradigm Precision Holdings, LLC                                                                                                   |   | Aerospace & Defense |   | Mezzanine Debt(7) |   | 17.0 | % |   | 8/14 |   |   |   | 65.6 |   |   | 65.3 |   |   | 65.6 |   |
|                                                                                                                               |   |   | Mezzanine Debt(6)(7) |   | 20.0 | % |   | 8/14-10/14 |   |   |   | 81.0 |   |   | 53.3 |   |   | 13.3 |   |
|                                                                                                                               |   |   |   | Common Membership Units(1)(7) |   |   |   |   |   | 478,488 |   |   |   |   | 17.5 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 136.1 |   |   | 78.9 |   |
| PHC Sharp Holdings, Inc.                                                                                                           |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 10.3 | % |   | 12/11-12/12 |   |   |   | 8.0 |   |   | 7.9 |   |   | 7.9 |   |
|                                                                                                                               |   |   |   | Mezzanine Debt(6)(7) |   | 18.2 | % |   | 12/14 |   |   |   | 20.1 |   |   | 15.4 |   |   | 7.2 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 367,881 |   |   |   |   | 4.2 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 27.5 |   |   | 15.1 |   |
| PHI Acquisitions, Inc.                                                                                                             |   | Internet & Catalog Retail |   | Mezzanine Debt(7) |   | 15.3 | % |   | 3/16 |   |   |   | 27.8 |   |   | 27.6 |   |   | 27.8 |   |
|                                                                                                                               |   |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 36,267 |   |   |   |   | 32.1 |   |   | 43.7 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 40,295 |   |   |   |   | 3.9 |   |   | 7.8 |   |
|                                                                                                                               |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 116,065 |   |   |   |   | 11.6 |   |   | 22.5 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 75.2 |   |   | 101.8 |   |
| Sixnet Holdings, LLC                                                                                                               |   | Electronic Equipment, Instruments & Components |   | Senior Debt(7) |   | 11.1 | % |   | 6/12-6/13 |   |   |   | 36.9 |   |   | 36.8 |   |   | 36.9 |   |
|                                                                                                                               |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 94 |   |   |   |   | 0.5 |   |   | 0.5 |   |
|                                                                                                                               |   |   |   | Membership Units(1)(7) |   |   |   |   |   | 446 |   |   |   |   | 5.6 |   |   | 2.2 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 42.9 |   |   | 39.6 |   |
| Small Smiles Holding Company, LLC                                                                                                  |   | Health Care Providers & Services |   | Senior Debt(7) |   | 3.8 | % |   | 2/15 |   |   |   | 10.2 |   |   | 7.3 |   |   | 7.9 |   |
|                                                                                                                               |   |   | Mezzanine Debt(6)(7) |   | 11.0 | % |   | 2/17 |   |   |   | 28.7 |   |   | 19.0 |   |   | — |   |
|                                                                                                                               |   |   |   | Preferred Interest(1)(7) |   |   |   |   |   |   |   |   |   | 37.8 |   |   | — |   |
|                                                                                                                               |   |   |   | Common Interest(1)(7) |   |   |   |   |   | 22.1 | % |   |   |   | 13.8 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 77.9 |   |   | 7.9 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)December 31, 2010(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                    |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                        |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| SMG Holdings, Inc.                                                                                                                 |   | Hotels, Restaurants & Leisure |   | Senior Debt(7) |   | 3.3 | % |   | 7/14 |   |   |   | 5.8 |   |   | 5.8 |   |   | 5.8 |   |
|                                                                                                                               |   |   | Mezzanine Debt(7) |   | 12.6 | % |   | 6/15 |   |   |   | 130.4 |   |   | 129.7 |   |   | 130.7 |   |
|                                                                                                                               |   |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 1,101,673 |   |   |   |   | 138.3 |   |   | 125.2 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 275,419 |   |   |   |   | 27.5 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 301.3 |   |   | 261.7 |   |
| Specialty Brands of America, Inc.                                                                                                  |   | Food Products |   | Mezzanine Debt(7) |   | 14.0 | % |   | 5/14 |   |   |   | 35.5 |   |   | 35.3 |   |   | 35.5 |   |
|                                                                                                                               |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 122,017 |   |   |   |   | 10.5 |   |   | 16.2 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 128,175 |   |   |   |   | 2.3 |   |   | 22.6 |   |
|                                                                                                                               |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 56,819 |   |   |   |   | 1.4 |   |   | 10.0 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 49.5 |   |   | 84.3 |   |
| Spring Air International, LLC                                                                                                      |   | Household Durables |   | Common Membership Units(1) |   |   |   |   |   | 49 | % |   |   |   | 2.7 |   |   | 0.4 |   |
| TestAmerica Environmental Services, LLC                                                                                            |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 6.5 | % |   | 12/11-12/12 |   |   |   | 22.6 |   |   | 19.0 |   |   | 19.0 |   |
|                                                                                                                               |   | Preferred Membership Units(7) |   |   |   |   |   | 20,000 |   |   |   |   | 21.5 |   |   | 13.3 |   |
|                                                                                                                               |   |   | Common Units(1)(7) |   |   |   |   |   | 490,000 |   |   |   |   | 2.0 |   |   | 7.3 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 42.5 |   |   | 39.6 |   |
| UFG Real Estate Holdings, LLC                                                                                                      |   | Real Estate |   | Common Membership(1)(7) |   |   |   |   |   |   |   |   |   | — |   |   | 0.9 |   |
| Unique Fabricating Incorporated                                                                                                    |   | Auto Components |   | Senior Debt(7) |   | 10.0 | % |   | 2/11-2/12 |   |   |   | 6.4 |   |   | 6.3 |   |   | 6.4 |   |
|                                                                                                                               |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 301,556 |   |   |   |   | 7.9 |   |   | 5.9 |   |
|                                                                                                                               |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 6,862 |   |   |   |   | 0.2 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 14.4 |   |   | 12.3 |   |
| Unwired Holdings, Inc.                                                                                                             |   | Household Durables |   | Senior Debt(7) |   | 8.4 | % |   | 6/11-6/12 |   |   |   | 16.0 |   |   | 16.0 |   |   | 16.0 |   |
|                                                                                                                               |   |   |   | Mezzanine Debt(7) |   | 14.5 | % |   | 6/12 |   |   |   | 20.3 |   |   | 10.0 |   |   | 25.3 |   |
|                                                                                                                               |   |   |   | Redeemable Preferred Stock(1) |   |   |   |   |   | 14,630 |   |   |   |   | 14.6 |   |   | — |   |
|                                                                                                                               |   |   |   | Common Stock(1) |   |   |   |   |   | 126,001 |   |   |   |   | 1.3 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 41.9 |   |   | 41.3 |   |
| VP Acquisition Holdings, Inc.                                                                                                      |   | Health Care Equipment & Supplies |   | Mezzanine Debt(7) |   | 14.5 | % |   | 10/13-10/14 |   |   |   | 20.6 |   |   | 20.4 |   |   | 20.5 |   |
|                                                                                                                               |   | Common Stock(7) |   |   |   |   |   | 19,780 |   |   |   |   | 24.7 |   |   | 65.5 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 45.1 |   |   | 86.0 |   |
| Warner Power, LLC                                                                                                                  |   | Electrical Equipment |   | Mezzanine Debt(7) |   | 14.6 | % |   | 1/12 |   |   |   | 6.1 |   |   | 6.1 |   |   | 6.1 |   |
|                                                                                                                               |   |   |   | Redeemable Preferred Membership Units(1)(7) |   |   |   |   |   | 3,796,269 |   |   |   |   | 3.0 |   |   | 4.7 |   |
|                                                                                                                               |   |   |   | Common Membership Units(1)(7) |   |   |   |   |   | 27,400 |   |   |   |   | 1.9 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 11.0 |   |   | 10.8 |   |
| WIS Holding Company, Inc.                                                                                                          |   | Commercial Services & Supplies |   | Mezzanine Debt(7) |   | 14.5 | % |   | 1/14 |   |   |   | 86.7 |   |   | 86.2 |   |   | 86.7 |   |
|                                                                                                                               |   | Convertible Preferred Stock(7) |   |   |   |   |   | 703,406 |   |   |   |   | 96.7 |   |   | 161.1 |   |
|                                                                                                                               |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 175,852 |   |   |   |   | 17.6 |   |   | 33.7 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   | 200.5 |   |   | 281.5 |   |
| WSACS RR Holdings, LLC                                                                                                             |   | Real Estate |   | Common Membership Units(1)(7) |   |   |   |   |   | 3,384,616 |   |   |   |   | 3.4 |   |   | — |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| CDO / CLO INVESTMENTS                                                                                                              |   |   |   |   |   |   |   |   |
| ACAS Wachovia Investments, L.P.                                                                                                    |   | Diversified Financial Services |   | Partnership Interest |   |   |   |   |   | 90 | % |   |   |   | 13.0 |   |   | 2.3 |   |
| Subtotal Control Investments (48% of total investments at fair value)                                                              |   |   |   |   |   | $ | 3,693.7 |   |   | $ | 2,642.4 |   |
| Total Investment Assets                                                                                                            |   |   |   |   |   | $ | 7,698.3 |   |   | $ | 5,474.9 |   |

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| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)December 31, 2010(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                    |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Counterparty                                                                                                                       |   | Instrument |   | InterestRate (5) |   | ExpirationDate (5) |   | # ofContracts |   | Notional |   | Cost |   | FairValue |
| DERIVATIVE AGREEMENTS                                                                                                              |   |   |   |   |   |   |   |   |   |   |   |   |
| Wells Fargo Bank, N.A                                                                                                              |   | Balance Differential Swap - Pay Fixed/ Receive Floating(7) |   | 5.1%/LIBOR |   | 8/19 |   | 1 |   |   | $ | 7.0 |   |   | $ | — |   |   | $ | 3.7 |   |
| Subtotal Derivative Assets                                                                                                         |   |   |   |   |   |   |   |   |   |   |   | $ | — |   |   | $ | 3.7 |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| DERIVATIVE AGREEMENTS                                                                                                              |   |   |   |   |   |   |   |   |   |   |   |   |
| Citibank, N.A.                                                                                                                     |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 4.9%/LIBOR |   | 4/12-11/19 |   | 4 |   |   | $ | 329.1 |   |   | $ | — |   |   | $ | (23.5 | ) |
| BMO Financial Group                                                                                                                |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.4%/LIBOR |   | 2/13-8/17 |   | 5 |   |   | 307.6 |   |   | — |   |   | (34.0 | ) |
| Wells Fargo Bank, N.A                                                                                                              |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 4.9%/LIBOR |   | 1/14-8/19 |   | 3 |   |   | 285.9 |   |   | — |   |   | (28.4 | ) |
| UniCredit Group                                                                                                                    |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.7%/LIBOR |   | 7/17 |   | 1 |   |   | 66.0 |   |   | — |   |   | (11.9 | ) |
| Citibank, N.A.                                                                                                                     |   | Balance Differential Swap - Pay Fixed/ Receive Floating(7) |   | 5.2%/LIBOR |   | 11/19 |   | 1 |   |   | 43.2 |   |   | — |   |   | (3.2 | ) |
| Fortis Financial Services LLC                                                                                                      |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.7%/LIBOR |   | 7/17 |   | 1 |   |   | 22.3 |   |   | — |   |   | (4.1 | ) |
| Citibank, N.A.                                                                                                                     |   | Foreign Exchange Swap - Pay Euros/ Receive GBP(7) |   |   |   | 2/11 |   | 1 |   |   | 4.6 |   |   | — |   |   | (0.9 | ) |
| Subtotal Derivative Liabilities                                                                                                    |   |   |   |   |   |   |   |   |   | $ | — |   |   | $ | (106.0 | ) |
| Total Derivative Agreements, Net                                                                                                   |   |   |   |   |   |   |   |   |   | $ | — |   |   | $ | (102.3 | ) |

|                                       |
|---------------------------------------|
|                                       |  |  |  |  |  |  |  |  |
| Funds                                 |   | Cost |   | FairValue |
| MONEY MARKET FUNDS(7)(9)              |   |   |
| Dreyfus Cash Mgmt                     |   | $ | 20.5 |   |   | $ | 20.5 |   |
| DWS Prime Money Market Service        |   | 20.2 |   |   | 20.2 |   |
| AIM STIT Liquid Asset P-CSM 7D        |   | 20.0 |   |   | 20.0 |   |
| Federated Money Market Prime Oblig IO |   | 14.0 |   |   | 14.0 |   |
| Morgan Stanley Liq Prime Instl Fds    |   | 13.0 |   |   | 13.0 |   |
| Dreyfus Ins Cash Advantage I          |   | 11.5 |   |   | 11.5 |   |
| Federated Tax-Free Obligation Fund    |   | 12.0 |   |   | 12.0 |   |
| Federated Prime Oblig Fd #10          |   | 11.5 |   |   | 11.5 |   |
| Fidelity Money Market Pt CI I         |   | 11.0 |   |   | 11.0 |   |
| Blackrock Liquidity Temp Fund #24     |   | 11.0 |   |   | 11.0 |   |
| Total Money Market Funds              |   | $ | 144.7 |   |   | $ | 144.7 |   |

|     |                       |
|-----|-----------------------|
| (1) | Non-income producing. |

|     |                                                                           |
|-----|---------------------------------------------------------------------------|
| (2) | Publicly traded company or a consolidated subsidiary of a public company. |

|     |                           |
|-----|---------------------------|
| (3) | International investment. |

|     |                                                                                       |
|-----|---------------------------------------------------------------------------------------|
| (4) | Certain of the securities are issued by affiliate(s) of the listed portfolio company. |

|     |                                                                                                                                                                                                                                                        |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (5) | Interest rates represent the weighted average annual stated interest rate on loans and debt securities, which are presented by the nature of indebtedness by a single issuer. The maturity dates represent the earliest and the latest maturity dates. |

|     |                                                                              |
|-----|------------------------------------------------------------------------------|
| (6) | Loan is on non-accrual status and therefore considered non-income producing. |

|     |                                                                                                                            |
|-----|----------------------------------------------------------------------------------------------------------------------------|
| (7) | All or a portion of the investments or instruments are pledged as collateral under various secured financing arrangements. |

|     |                                                                                            |
|-----|--------------------------------------------------------------------------------------------|
| (8) | Portfolio company has filed for reorganization under Chapter 11 of the United States Code. |

|     |                                                                           |
|-----|---------------------------------------------------------------------------|
| (9) | Included in cash and cash equivalents on our consolidated balance sheets. |

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Table of Contents

|         |                                                     |
|---------|-----------------------------------------------------|
| Note 1. | Unaudited Interim Consolidated Financial Statements |

|         |              |
|---------|--------------|
| Note 2. | Organization |

|         |             |
|---------|-------------|
| Note 3. | Investments |

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Table of Contents

|         |                                                                                                                                                                                                                                                                                                                                   |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Level 1: Level 1 inputs are unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities. We use Level 1 inputs for investments in publicly traded unrestricted securities. Such investments are valued at the closing price on the measurement date. |

|         |                                                                                                                                                                    |
|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Level 2: Level 2 inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |

|         |                                                                                                |
|---------|------------------------------------------------------------------------------------------------|
| • | Level 3: Level 3 inputs are unobservable and cannot be corroborated by observable market data. |

|                            |
|----------------------------|
|                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                       | March 31, 2011 |
|                       | Level 1 |   | Level 2 |   | Level 3 |   | Total |
| Senior debt                | $ | — |   |   | $ | — |   |   | $ | 1,188 |   |   | $ | 1,188 |   |
| Mezzanine debt             | — |   |   | — |   |   | 1,771 |   |   | 1,771 |   |
| Preferred equity           | — |   |   | — |   |   | 1,127 |   |   | 1,127 |   |
| Common equity              | — |   |   | — |   |   | 1,253 |   |   | 1,253 |   |
| Structured Products        | — |   |   | — |   |   | 230 |   |   | 230 |   |
| Equity warrants            | — |   |   | — |   |   | 83 |   |   | 83 |   |
| Derivative agreements, net | — |   |   | — |   |   | (90 | ) |   | (90 | ) |
| Total                      | $ | — |   |   | $ | — |   |   | $ | 5,562 |   |   | $ | 5,562 |   |
|                       |   |   |   |   |   |   |   |
|                       | December 31, 2010 |
|                       | Level 1 |   | Level 2 |   | Level 3 |   | Total |
| Senior debt                | $ | — |   |   | $ | — |   |   | $ | 1,282 |   |   | $ | 1,282 |   |
| Mezzanine debt             | — |   |   | — |   |   | 1,783 |   |   | 1,783 |   |
| Preferred equity           | — |   |   | — |   |   | 1,134 |   |   | 1,134 |   |
| Common equity              | — |   |   | — |   |   | 998 |   |   | 998 |   |
| Structured Products        | — |   |   | — |   |   | 199 |   |   | 199 |   |
| Equity warrants            | — |   |   | — |   |   | 79 |   |   | 79 |   |
| Derivative agreements, net | — |   |   | — |   |   | (102 | ) |   | (102 | ) |
| Total                      | $ | — |   |   | $ | — |   |   | $ | 5,373 |   |   | $ | 5,373 |   |

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|                                                                              |
|------------------------------------------------------------------------------|
|                                                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                         | Senior Debt |   | Mezzanine Debt |   | Preferred Equity |   | Common Equity |   | Structured Products |   | Equity Warrants |   | Derivative Agreements, Net |   | Total |
| Balances, January 1, 2011                                                    | $ | 1,282 |   |   | $ | 1,783 |   |   | $ | 1,134 |   |   | $ | 998 |   |   | $ | 199 |   |   | $ | 79 |   |   | $ | (102 | ) |   | $ | 5,373 |   |
|    Realized gains (losses)(1)                                 | 1 |   |   | — |   |   | 6 |   |   | (2 | ) |   | — |   |   | — |   |   | (13 | ) |   | (8 | ) |
|  Reversal of prior period (appreciation) depreciation on realization(2) | 2 |   |   | — |   |   | (10 | ) |   | — |   |   | — |   |   | (1 | ) |   | 11 |   |   | 2 |   |
|    Unrealized appreciation(2)(3)                              | 14 |   |   | 16 |   |   | 5 |   |   | 271 |   |   | 39 |   |   | 5 |   |   | 2 |   |   | 352 |   |
|    Purchases(4)                                               | 27 |   |   | 52 |   |   | 32 |   |   | 3 |   |   | — |   |   | — |   |   | — |   |   | 114 |   |
|    Sales(5)                                                   | (8 | ) |   | — |   |   | (78 | ) |   | (17 | ) |   | — |   |   | — |   |   | — |   |   | (103 | ) |
|    Settlements(6)                                             | (130 | ) |   | (80 | ) |   | 38 |   |   | — |   |   | (8 | ) |   | — |   |   | 12 |   |   | (168 | ) |
| Balances, March 31, 2011                                                     | $ | 1,188 |   |   | $ | 1,771 |   |   | $ | 1,127 |   |   | $ | 1,253 |   |   | $ | 230 |   |   | $ | 83 |   |   | $ | (90 | ) |   | $ | 5,562 |   |

|                                                               |
|---------------------------------------------------------------|
|                                                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                          | Senior Debt |   | Mezzanine Debt |   | Preferred Equity |   | Common Equity |   | Structured Products |   | Equity Warrants |   | Derivative Agreements, Net |   | Total |
| Balances, January 1, 2010                                     | $ | 1,791 |   |   | $ | 1,938 |   |   | $ | 1,049 |   |   | $ | 510 |   |   | $ | 167 |   |   | $ | 54 |   |   | $ | (113 | ) |   | $ | 5,396 |   |
|    Realized gains (losses)(1)                  | (1 | ) |   | (22 | ) |   | 2 |   |   | (80 | ) |   | (1 | ) |   | (5 | ) |   | (16 | ) |   | (123 | ) |
|  Reversal of prior period depreciation on realization(2) | 6 |   |   | 12 |   |   | — |   |   | 78 |   |   | 2 |   |   | 5 |   |   | 14 |   |   | 117 |   |
| Unrealized appreciation (depreciation)(2)(3)                  | 22 |   |   | 67 |   |   | (4 | ) |   | 74 |   |   | — |   |   | 9 |   |   | (21 | ) |   | 147 |   |
| Purchases, sales, issuances & settlements, net(7)         | (54 | ) |   | — |   |   | 37 |   |   | (20 | ) |   | (2 | ) |   | — |   |   | 16 |   |   | (23 | ) |
| Balances, March 31, 2010                                      | $ | 1,764 |   |   | $ | 1,995 |   |   | $ | 1,084 |   |   | $ | 562 |   |   | $ | 166 |   |   | $ | 63 |   |   | $ | (120 | ) |   | $ | 5,514 |   |

|     |                                                                                                                                                                                                                                                                                                                              |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Included in net realized loss on investments in the consolidated statements of operations. Excludes gains (losses) on realized foreign currency transactions on American Capital assets and liabilities that are denominated in a foreign currency. Also excludes realized gains (losses) from other assets and liabilities. |

|     |                                                                                                      |
|-----|------------------------------------------------------------------------------------------------------|
| (2) | Included in net unrealized appreciation of investments in the consolidated statements of operations. |

|     |                                                                                                                                                                                                            |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | Excludes unrealized appreciation (depreciation) related to foreign currency translation for American Capital assets and liabilities not measured at fair value that are denominated in a foreign currency. |

|     |                                                                                                                                                                                                                                      |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (4) | Includes increases in the cost basis of investments resulting from new and add-on portfolio investments, the accrual or allowance of PIK interest or cumulative dividends, the amortization of discounts, premiums and closing fees. |

|     |                                                                                                                |
|-----|----------------------------------------------------------------------------------------------------------------|
| (5) | Includes the sale of equity investments, collection of cumulative dividends, loan syndications and loan sales. |

|     |                                                                                                                                                                                                                                                                   |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (6) | Includes principal repayments on debt investments, collection of PIK interest, collection of accreted loan discounts, the exchange of one or more existing securities for one or more new securities and net interest rate derivative periodic interest payments. |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (7) | Includes increases in the cost basis of investments resulting from new portfolio investments, PIK interest or cumulative dividends, the amortization of discounts, premiums and closing fees and the exchange of one or more existing securities for one or more new securities as well as decreases in the cost basis of investments resulting from principal repayments or sales and the exchange of one or more existing securities for one or more new securities. |

----

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|                     |
|---------------------|
|                     |  |  |  |  |  |
|                | March 31, 2011 |   | December 31, 2010 |
| COST                |   |   |   |
| Mezzanine debt      | 25.1 | % |   | 25.0 | % |
| Common equity       | 24.4 | % |   | 23.9 | % |
| Preferred equity    | 20.9 | % |   | 20.5 | % |
| Senior debt         | 20.6 | % |   | 21.6 | % |
| Structured Products | 7.8 | % |   | 7.8 | % |
| Equity warrants     | 1.2 | % |   | 1.2 | % |
|                | 100.0 | % |   | 100.0 | % |
| FAIR VALUE          |   |   |   |
| Mezzanine debt      | 31.3 | % |   | 32.6 | % |
| Common equity       | 22.2 | % |   | 18.2 | % |
| Senior debt         | 21.0 | % |   | 23.5 | % |
| Preferred equity    | 19.9 | % |   | 20.7 | % |
| Structured Products | 4.1 | % |   | 3.6 | % |
| Equity warrants     | 1.5 | % |   | 1.4 | % |
|                | 100.0 | % |   | 100.0 | % |

----

Table of Contents

|                                                  |
|--------------------------------------------------|
|                                                  |  |  |  |  |  |
|                                             | March 31, 2011 |   | December 31, 2010 |
| COST                                             |   |   |   |
| Commercial Services and Supplies                 | 10.5 | % |   | 10.1 | % |
| Household Durables                               | 7.8 | % |   | 7.6 | % |
| Real Estate and Real Estate Investment Trusts    | 7.1 | % |   | 7.1 | % |
| Internet and Catalog Retail                      | 6.5 | % |   | 6.0 | % |
| Life Sciences Tools and Services                 | 6.2 | % |   | 5.8 | % |
| Hotels, Restaurants and Leisure                  | 5.1 | % |   | 4.9 | % |
| Health Care Providers and Services               | 4.6 | % |   | 5.1 | % |
| Electrical Equipment                             | 4.6 | % |   | 4.5 | % |
| Auto Components                                  | 4.3 | % |   | 4.2 | % |
| Food Products                                    | 3.9 | % |   | 3.8 | % |
| Professional Services                            | 3.3 | % |   | 3.3 | % |
| IT Services                                      | 3.0 | % |   | 3.7 | % |
| Diversified Financial Services                   | 2.8 | % |   | 2.7 | % |
| Leisure Equipment and Products                   | 2.8 | % |   | 2.7 | % |
| Computers and Peripherals                        | 2.6 | % |   | 2.5 | % |
| Health Care Equipment and Supplies               | 2.5 | % |   | 2.6 | % |
| Pharmaceuticals                                  | 2.5 | % |   | 2.5 | % |
| Aerospace and Defense                            | 2.3 | % |   | 2.2 | % |
| Electronic Equipment, Instruments and Components | 2.2 | % |   | 2.1 | % |
| Construction and Engineering                     | 2.1 | % |   | 2.0 | % |
| Building Products                                | 2.0 | % |   | 2.3 | % |
| Diversified Consumer Services                    | 1.8 | % |   | 1.8 | % |
| Other                                            | 9.5 | % |   | 10.5 | % |
|                                             | 100.0 | % |   | 100.0 | % |

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|                                                  |
|--------------------------------------------------|
|                                                  |  |  |  |  |  |
|                                             | March 31, 2011 |   | December 31, 2010 |
| FAIR VALUE                                       |   |   |   |
| Commercial Services and Supplies                 | 14.0 | % |   | 13.6 | % |
| Electrical Equipment                             | 7.2 | % |   | 7.0 | % |
| Household Durables                               | 6.5 | % |   | 6.8 | % |
| Hotels, Restaurants and Leisure                  | 5.7 | % |   | 5.6 | % |
| Health Care Providers and Services               | 4.9 | % |   | 5.6 | % |
| Auto Components                                  | 4.6 | % |   | 4.0 | % |
| Capital Markets                                  | 4.4 | % |   | 3.2 | % |
| Life Sciences Tools and Services                 | 4.1 | % |   | 3.3 | % |
| Health Care Equipment and Supplies               | 4.0 | % |   | 4.2 | % |
| Professional Services                            | 3.8 | % |   | 3.9 | % |
| Internet and Catalog Retail                      | 3.7 | % |   | 3.2 | % |
| Food Products                                    | 3.1 | % |   | 2.9 | % |
| IT Services                                      | 3.0 | % |   | 4.2 | % |
| Pharmaceuticals                                  | 3.0 | % |   | 3.0 | % |
| Electronic Equipment, Instruments and Components | 2.8 | % |   | 2.8 | % |
| Construction and Engineering                     | 2.6 | % |   | 2.4 | % |
| Leisure Equipment and Products                   | 2.5 | % |   | 2.4 | % |
| Computers and Peripherals                        | 2.4 | % |   | 2.5 | % |
| Building Products                                | 2.3 | % |   | 2.7 | % |
| Diversified Consumer Services                    | 2.2 | % |   | 2.2 | % |
| Real Estate and Real Estate Investment Trusts    | 2.0 | % |   | 1.7 | % |
| Diversified Financial Services                   | 1.9 | % |   | 1.9 | % |
| Aerospace and Defense                            | 1.9 | % |   | 1.7 | % |
| Other                                            | 7.4 | % |   | 9.2 | % |
|                                             | 100.0 | % |   | 100.0 | % |

----

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|               |
|---------------|
|               |  |  |  |  |  |
|          | March 31, 2011 |   | December 31, 2010 |
| COST          |   |   |   |
| Southwest     | 22.1 | % |   | 21.6 | % |
| International | 21.4 | % |   | 20.9 | % |
| Mid-Atlantic  | 19.6 | % |   | 18.9 | % |
| Northeast     | 13.6 | % |   | 14.7 | % |
| Southeast     | 9.0 | % |   | 10.0 | % |
| South-Central | 8.2 | % |   | 8.0 | % |
| North-Central | 5.5 | % |   | 5.4 | % |
| Northwest     | 0.6 | % |   | 0.5 | % |
|          | 100.0 | % |   | 100.0 | % |
| FAIR VALUE    |   |   |   |
| Southwest     | 24.2 | % |   | 24.9 | % |
| Mid-Atlantic  | 22.2 | % |   | 20.5 | % |
| International | 17.6 | % |   | 14.8 | % |
| Northeast     | 12.7 | % |   | 14.8 | % |
| Southeast     | 11.1 | % |   | 12.3 | % |
| North-Central | 6.0 | % |   | 6.2 | % |
| South-Central | 5.6 | % |   | 6.0 | % |
| Northwest     | 0.6 | % |   | 0.5 | % |
|          | 100.0 | % |   | 100.0 | % |

|         |            |
|---------|------------|
| Note 4. | Borrowings |

|                                                              |
|--------------------------------------------------------------|
|                                                              |  |  |  |  |  |  |  |
|                                                         | March 31, 2011 |   | December 31, 2010 |
| Fixed rate private secured notes due December 2013           | $ | 111 |   |   | $ | 304 |   |
| Floating rate private secured loans due December 2013        | 61 |   |   | 168 |   |
| Fixed rate non-amortizing secured notes due December 2013    | 524 |   |   | 524 |   |
| Floating rate non-amortizing secured notes due December 2013 | 4 |   |   | 4 |   |
| Unsecured public debt due August 2012                        | 11 |   |   | 11 |   |
| ACAS Business Loan Trust 2004-1 asset securitization         | 74 |   |   | 115 |   |
| ACAS Business Loan Trust 2005-1 asset securitization         | 400 |   |   | 472 |   |
| ACAS Business Loan Trust 2006-1 asset securitization         | 246 |   |   | 274 |   |
| ACAS Business Loan Trust 2007-1 asset securitization         | 174 |   |   | 208 |   |
| ACAS Business Loan Trust 2007-2 asset securitization         | 137 |   |   | 179 |   |
| Total                                                        | $ | 1,742 |   |   | $ | 2,259 |   |

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|                |
|----------------|
|                |  |
| Date           | Aggregate ScheduledAmortization |
| June 30, 2013  | $13 million |
| Final Maturity | Outstanding Balance |

|                |
|----------------|
|                |  |
| Date           | Aggregate PenaltyAmortization |
| June 30, 2013  | $172 million |
| Final Maturity | Outstanding Balance |

----

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|                                                              |
|--------------------------------------------------------------|
|                                                              |  |
| Facility                                                     | InterestRate |
| Fixed rate private secured notes due December 2013           | 7.96% |
| Floating rate private secured loans due December 2013        | 7.50% |
| Fixed rate non-amortizing secured notes due December 2013    | 7.96% |
| Floating rate non-amortizing secured notes due December 2013 | 7.50% |

|         |                       |
|---------|-----------------------|
| Note 5. | Derivative Agreements |

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|         |                    |
|---------|--------------------|
| Note 6. | Earnings Per Share |

----

Table of Contents

|         |             |
|---------|-------------|
| Note 7. | Commitments |

|         |              |
|---------|--------------|
| Note 8. | Income Taxes |

|         |                                |
|---------|--------------------------------|
| Note 9. | Investment in European Capital |

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|         |                                                                                                                                      |
|---------|--------------------------------------------------------------------------------------------------------------------------------------|
| ITEM 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations(in millions, except per share data) |

----

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|                                                                              |
|------------------------------------------------------------------------------|
|                                                                              |  |  |  |  |  |  |  |
|                                                                         | 2011 |   | 2010 |
| Direct investments                                                           | $ | 14 |   |   | $ | — |   |
| Add-on financing for growth and working capital                              | 97 |   |   | 1 |   |
| Add-on financing for recapitalizations, not including distressed investments | 25 |   |   | 75 |   |
| Add-on financing for working capital in distressed situations                | 16 |   |   | 8 |   |
|        Total                              | $ | 152 |   |   | $ | 84 |   |

|                                                                                 |
|---------------------------------------------------------------------------------|
|                                                                                 |  |  |  |  |  |  |  |
|                                                                            | 2011 |   | 2010 |
| Principal prepayments                                                           | $ | 149 |   |   | $ | 90 |   |
| Sale of equity investments                                                      | 63 |   |   | 49 |   |
| Payment of accrued PIK notes and dividend and accreted original issue discounts | 43 |   |   | 2 |   |
| Loan syndications and sales                                                     | 6 |   |   | 15 |   |
| Scheduled principal amortization                                                | 8 |   |   | 7 |   |
|        Total                                 | $ | 269 |   |   | $ | 163 |   |

|                         |
|-------------------------|
|                         |  |  |  |  |  |  |  |  |  |  |
|                    |   | European Capital |   | AGNC |   | ACE I |   | ACE II |   | ACAS CLO-1 |
| Fund type               |   | Private Equity Fund |   | Publicly Traded REIT  - NASDAQ ("AGNC") |   | Private Equity Fund |   | Private Equity Fund |   | CLO |
| Established             |   | 2005 |   | 2008 |   | 2006 |   | 2007 |   | 2006 |
| Assets under management |   | $1.7 Billion |   | $29.2 Billion |   | $0.6 Billion |   | $0.2 Billion |   | $0.4 Billion |
| Investment types        |   | Senior & Mezzanine Debt,Equity, Structured Products |   | Agency Securities |   | Equity |   | Equity |   | Senior Debt |
| Capital type            |   | Permanent |   | Permanent |   | Finite Life |   | Finite Life |   | Finite Life |

----

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|         |                                                                                                                                                                                                                                                                                                                                                           |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | The first element is “Net operating income,” which is primarily the interest, dividends, prepayment fees, finance and transaction fees and portfolio company management fees earned from investing in debt and equity securities and the fees we earn from fund asset management, less our operating expenses and provision for income taxes. |

|         |                                                                                                                                                                                                                                                                                                                                                                                                                           |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | The second element is “Net realized gain (loss) on investments,” which reflects the difference between the proceeds from an exit of an investment and the cost at which the investment was carried on our consolidated balance sheets and periodic interest settlements and termination receipts or payments on derivatives, foreign currency transaction gains or losses and income taxes on realized gains. |

|         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | The third element is “Net unrealized appreciation (depreciation) of investments,” which is the net change in the estimated fair value of our portfolio investments and of our interest rate derivatives at the end of the period compared with their estimated fair values at the beginning of the period or their stated costs, as appropriate. In addition, our net unrealized depreciation of investments includes the foreign currency translation from converting the cost basis of our assets and liabilities denominated in a foreign currency to the U.S. dollar. |

|                                            |
|--------------------------------------------|
|                                            |  |  |  |  |  |  |  |
|                                       | 2011 |   | 2010 |
| Operating income                           | $ | 159 |   |   | $ | 164 |   |
| Operating expenses                         | 76 |   |   | 115 |   |
| Net operating income                       | 83 |   |   | 49 |   |
| Net realized loss on investments           | (3 | ) |   | (126 | ) |
| Net realized earnings (loss)               | 80 |   |   | (77 | ) |
| Net unrealized appreciation of investments | 354 |   |   | 264 |   |
| Net earnings                               | $ | 434 |   |   | $ | 187 |   |

----

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|                                                                                    |
|------------------------------------------------------------------------------------|
|                                                                                    |  |  |  |  |  |  |  |
|                                                                               | 2011 |   | 2010 |
| Interest income on debt and Structured Products investments                        | $ | 106 |   |   | $ | 126 |   |
| Dividend income                                                                    | 40 |   |   | 24 |   |
|      Interest and dividend income                         | 146 |   |   | 150 |   |
| Portfolio company advisory and administrative fees                                 | 4 |   |   | 6 |   |
| Fund asset management fees and reimbursements                                      | 4 |   |   | 4 |   |
| Other fees                                                                         | 5 |   |   | 4 |   |
|     Fee income                                                 | 13 |   |   | 14 |   |
|           Total operating income | $ | 159 |   |   | $ | 164 |   |

|                                                                        |
|------------------------------------------------------------------------|
|                                                                        |  |  |  |  |  |  |  |
|                                                                   | 2011 |   | 2010 |
| Debt investments(1)                                                    | $ | 3,518 |   |   | $ | 4,413 |   |
| Effective interest rate on debt investments(1)                         | 10.6 | % |   | 10.1 | % |
| Structured Products investments(1)                                     | $ | 596 |   |   | $ | 891 |   |
| Effective interest rate on Structured Products investments(1)          | 8.8 | % |   | 6.7 | % |
| Debt and Structured Products investments(1)                            | $ | 4,114 |   |   | $ | 5,304 |   |
| Effective interest rate on debt and Structured Products investments(1) | 10.3 | % |   | 9.5 | % |
| Average monthly one-month LIBOR                                        | 0.3 | % |   | 0.2 | % |
| Average non-accrual debt investments at cost(2)                        | $ | 682 |   |   | $ | 741 |   |
| Equity investments(1)                                                  | $ | 3,487 |   |   | $ | 3,762 |   |
| Effective dividend yield on equity investments(1)                      | 4.6 | % |   | 2.6 | % |
| Debt, Structured Products and equity investments(1)                    | $ | 7,601 |   |   | $ | 9,066 |   |
| Effective yield on debt, Structured Products and equity investments(1) | 7.7 | % |   | 6.6 | % |

|     |                           |
|-----|---------------------------|
| (1) | Monthly weighted average. |

|     |                    |
|-----|--------------------|
| (2) | Quarterly average. |

----

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|                                                                    |
|--------------------------------------------------------------------|
|                                                                    |  |  |  |  |  |  |  |
|                                                               | 2011 |   | 2010 |
| Interest                                                           | $ | 29 |   |   | $ | 57 |   |
| Salaries, benefits and stock-based compensation                    | 36 |   |   | 34 |   |
| General and administrative                                         | 11 |   |   | 20 |   |
| Debt refinancing costs                                             | — |   |   | 4 |   |
|        Total operating expenses | $ | 76 |   |   | $ | 115 |   |

----

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|                                                                                                       |
|-------------------------------------------------------------------------------------------------------|
|                                                                                                       |  |  |  |  |  |  |  |
|                                                                                                  | 2011 |   | 2010 |
| Base salaries                                                                                         | $ | 13 |   |   | $ | 14 |   |
| Incentive compensation                                                                                | 10 |   |   | 7 |   |
| Benefits                                                                                              | 3 |   |   | 3 |   |
| Stock-based compensation                                                                              | 10 |   |   | 10 |   |
|         Total salaries, benefits and stock-based compensation | $ | 36 |   |   | $ | 34 |   |

|                                                                                                                  |
|------------------------------------------------------------------------------------------------------------------|
|                                                                                                                  |  |  |  |  |  |  |  |
|                                                                                                             | 2011 |   | 2010 |
| Other, net                                                                                                       | $ | 14 |   |   | 8 |   |
|     Total gross realized portfolio gain                                                      | 14 |   |   | 8 |   |
| UFG Member, LLC                                                                                                  | — |   |   | (76 | ) |
| Genband Inc.                                                                                                     | — |   |   | (15 | ) |
| Other, net                                                                                                       | (4 | ) |   | (24 | ) |
|     Total gross realized portfolio loss                                                      | (4 | ) |   | (115 | ) |
|             Total net realized portfolio gain (loss) | $ | 10 |   |   | $ | (107 | ) |
| Interest rate derivative periodic interest payments, net                                                         | (13 | ) |   | (16 | ) |
| Foreign currency transactions                                                                                    | — |   |   | (3 | ) |
|             Total net realized loss                  | $ | (3 | ) |   | $ | (126 | ) |

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|                                                                                                                |
|----------------------------------------------------------------------------------------------------------------|
|                                                                                                                |  |  |  |  |  |  |  |
|                                                                                                           | 2011 |   | 2010 |
| Gross unrealized appreciation of private finance portfolio investments                                         | $ | 162 |   |   | $ | 195 |   |
| Gross unrealized depreciation of private finance portfolio investments                                         | (87 | ) |   | (84 | ) |
|        Net unrealized appreciation of private finance portfolio investments | 75 |   |   | 111 |   |
| Net unrealized appreciation of European Capital investment                                                     | 133 |   |   | 50 |   |
| Net unrealized (depreciation) appreciation of European Capital foreign currency translation                    | (43 | ) |   | 69 |   |
| Net unrealized depreciation of AGNC                                                                            | — |   |   | (2 | ) |
| Net unrealized appreciation of American Capital, LLC                                                           | 60 |   |   | 26 |   |
| Net unrealized appreciation of Structured Products investments                                                 | 39 |   |   | — |   |
| Reversal of prior period net unrealized (appreciation) depreciation upon realization                           | (8 | ) |   | 103 |   |
|        Net unrealized appreciation of portfolio investments                 | 256 |   |   | 357 |   |
| Foreign currency translation - European Capital                                                                | 82 |   |   | (85 | ) |
| Foreign currency translation - other                                                                           | 3 |   |   | (2 | ) |
| Derivative agreements and other                                                                                | 13 |   |   | (6 | ) |
|        Net unrealized appreciation of investments                           | $ | 354 |   |   | $ | 264 |   |

----

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|                                                  |
|--------------------------------------------------|
|                                                  |  |  |  |  |  |  |  |
|                                             | March 31, 2011 |   | December 31, 2010 |
| Debt investments at fair value                   | € | 904 |   |   | € | 868 |   |
| Equity investments at fair value                 | 232 |   |   | 207 |   |
| Other assets and liabilities, net                | 10 |   |   | 42 |   |
| Secured debt at cost                             | (326 | ) |   | (353 | ) |
| Unsecured debt at cost                           | (107 | ) |   | (110 | ) |
| Unsecured debt from American Capital at cost     | (25 | ) |   | (21 | ) |
|      NAV (Euros)        | € | 688 |   |   | € | 633 |   |
| Exchange rate                                    | 1.41 |   |   | 1.33 |   |
|      NAV (U.S. dollars) | $ | 970 |   |   | $ | 842 |   |
| Fair value of American Capital equity investment | $ | 780 |   |   | $ | 608 |   |
| Implied discount to NAV                          | 19.6 | % |   | 27.8 | % |

----

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|                                                                                          |
|------------------------------------------------------------------------------------------|
|                                                                                          |  |  |  |  |  |
|                                                                                     | 2011 |   | 2010 |
| LTM net operating income return on average equity at cost                                | 4.0 |  % |   | 1.9 |  % |
| LTM net realized loss return on average equity at cost                                   | (3.6 | )% |   | (11.3 | )% |
| LTM net earnings (loss) return on average equity at fair value                           | 37.3 |  % |   | (7.6 | )% |
| Current quarter annualized net operating income return on average equity at cost         | 5.5 |  % |   | 3.2 |  % |
| Current quarter annualized net realized earnings (loss) return on average equity at cost | 5.3 |  % |   | (5.1 | )% |
| Current quarter annualized net earnings return on average equity at fair value           | 44.6 |  % |   | 30.7 |  % |

----

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|                                                              |
|--------------------------------------------------------------|
|                                                              |  |  |  |  |  |  |  |
|                                                         | March 31, 2011 |   | December 31, 2010 |
| Fixed rate private secured notes due December 2013           | $ | 111 |   |   | $ | 304 |   |
| Floating rate private secured loans due December 2013        | 61 |   |   | 168 |   |
| Fixed rate non-amortizing secured notes due December 2013    | 524 |   |   | 524 |   |
| Floating rate non-amortizing secured notes due December 2013 | 4 |   |   | 4 |   |
| Unsecured public debt due August 2012                        | 11 |   |   | 11 |   |
| ACAS Business Loan Trust 2004-1 asset securitization         | 74 |   |   | 115 |   |
| ACAS Business Loan Trust 2005-1 asset securitization         | 400 |   |   | 472 |   |
| ACAS Business Loan Trust 2006-1 asset securitization         | 246 |   |   | 274 |   |
| ACAS Business Loan Trust 2007-1 asset securitization         | 174 |   |   | 208 |   |
| ACAS Business Loan Trust 2007-2 asset securitization         | 137 |   |   | 179 |   |
| Total                                                        | $ | 1,742 |   |   | $ | 2,259 |   |

----

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----

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|                |
|----------------|
|                |  |
| Date           | Aggregate ScheduledAmortization |
| June 30, 2013  | $13 million |
| Final Maturity | Outstanding Balance |

|                |
|----------------|
|                |  |
| Date           | Aggregate PenaltyAmortization |
| June 30, 2013  | $172 million |
| Final Maturity | Outstanding Balance |

|                                                              |
|--------------------------------------------------------------|
|                                                              |  |
| Facility                                                     | InterestRate |
| Fixed rate private secured notes due December 2013           | 7.96% |
| Floating rate private secured loans due December 2013        | 7.50% |
| Fixed rate non-amortizing secured notes due December 2013    | 7.96% |
| Floating rate non-amortizing secured notes due December 2013 | 7.50% |

----

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|                                                             |
|-------------------------------------------------------------|
|                                                             |  |  |  |  |  |  |  |
|                                                        | Cost Basis |   | Fair Value |
| Senior debt                                                 | $ | 805 |   |   | $ | 706 |   |
| Mezzanine debt                                              | 881 |   |   | 590 |   |
| Preferred equity                                            | 1,512 |   |   | 1,112 |   |
| Common equity                                               | 1,782 |   |   | 1,223 |   |
| Equity warrants                                             | 92 |   |   | 81 |   |
| Structured Products                                         | 579 |   |   | 226 |   |
|    Total investment collateral               | $ | 5,651 |   |   | $ | 3,938 |   |
|    Total investment non-collateral           | 1,884 |   |   | 1,714 |   |
|        Total investments | $ | 7,535 |   |   | $ | 5,652 |   |

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|                                                                             |  |  |  |  |  |  |  |
|                                                                        | March 31, 2011 |   | December 31, 2010 |
| Current                                                                     | $ | 2,775 |   |   | $ | 2,828 |   |
| 0 - 30 days past due                                                        | — |   |   | 2 |   |
| 31 - 60 days past due                                                       | — |   |   | 9 |   |
| 61 - 90 days past due                                                       | — |   |   | — |   |
| Greater than 90 days past due                                               | 3 |   |   | 47 |   |
| Total past due accruing loans at cost                                       | 3 |   |   | 58 |   |
| Non-accruing loans at cost                                                  | 663 |   |   | 702 |   |
| Total loans at cost                                                         | $ | 3,441 |   |   | $ | 3,588 |   |
| Non-accruing loans at fair value                                            | $ | 227 |   |   | $ | 239 |   |
| Total loans at fair value                                                   | $ | 2,959 |   |   | $ | 3,065 |   |
| Non-accruing loans at cost as a percent of total loans at cost              | 19.3 | % |   | 19.6 | % |
| Non-accruing loans at fair value as a percent of total loans at fair value  | 7.7 | % |   | 7.8 | % |
| Non-accruing loans at fair value as a percent of non-accruing loans at cost | 34.2 | % |   | 34.0 | % |

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|                                                                             |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        | Static Pool (1) |
| Portfolio Statistics($ in millions, unaudited)                              | Pre-2001 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2011 | Pre-2001 - 2011 Aggregate | 2006 - 2011 Aggregate |
| IRR at Fair Value of All Investments(2)                                     | 8.5 | % | 18.1 |  % | 8.2 | % | 20.3 | % | 13.5 | % | 10.0 | % | 9.6 | % | (7.4 | )% | 7.8 | % | — |   | 7.3 | % | 1.0 | % |
| IRR of Exited Investments(5)                                                | 8.6 | % | 20.3 |  % | 9.7 | % | 23.3 | % | 16.8 | % | 21.8 | % | 10.7 | % | (5.9 | )% | 12.9 | % | — |   | 11.8 | % | 3.3 | % |
| IRR at Fair Value of Equity Investments Only(2)(3)(4)                       | 6.7 | % | 46.3 |  % | 11.5 | % | 27.2 | % | 26.6 | % | 2.2 | % | 14.1 | % | (12.1 | )% | 13.1 | % | — |   | 6.8 | % | 1.9 | % |
| IRR of Exited Equity Investments Only(3)(4)(5)                              | 8.6 | % | 48.2 |  % | 18.3 | % | 32.2 | % | 42.8 | % | 47.2 | % | 18.7 | % | 9.3 |  % | 35.7 | % | — |   | 26.2 | % | 16.3 | % |
| Original Investments and Commitments                                        | $ | 1,065 |   | $ | 376 |   | $ | 962 |   | $ | 1,436 |   | $ | 2,266 |   | $ | 4,740 |   | $ | 5,223 |   | $ | 7,451 |   | $ | 1,036 |   | $ | 14 |   | $ | 24,569 |   | $ | 13,724 |   |
| Total Exits and Prepayments of Original Investments and Commitments         | $ | 998 |   | $ | 353 |   | $ | 810 |   | $ | 1,098 |   | $ | 1,908 |   | $ | 2,373 |   | $ | 3,743 |   | $ | 4,128 |   | $ | 238 |   | $ | — |   | $ | 15,649 |   | $ | 8,109 |   |
| Total Interest, Dividends and Fees Collected                                | $ | 405 |   | $ | 148 |   | $ | 340 |   | $ | 419 |   | $ | 637 |   | $ | 1,056 |   | $ | 1,113 |   | $ | 1,060 |   | $ | 275 |   | $ | — |   | $ | 5,453 |   | $ | 2,448 |   |
| Total Net Realized (Loss) Gain on Investments                               | $ | (128 | ) | $ | (4 | ) | $ | (90 | ) | $ | 143 |   | $ | 28 |   | $ | 279 |   | $ | (103 | ) | $ | (756 | ) | $ | (28 | ) | $ | — |   | $ | (659 | ) | $ | (887 | ) |
| Current Cost of Investments                                                 | $ | 82 |   | $ | 23 |   | $ | 157 |   | $ | 329 |   | $ | 421 |   | $ | 2,050 |   | $ | 1,217 |   | $ | 2,547 |   | $ | 706 |   | $ | 3 |   | $ | 7,535 |   | $ | 4,473 |   |
| Current Fair Value of Investments                                           | $ | 55 |   | $ | 1 |   | $ | 97 |   | $ | 420 |   | $ | 323 |   | $ | 1,701 |   | $ | 1,064 |   | $ | 1,366 |   | $ | 622 |   | $ | 3 |   | $ | 5,652 |   | $ | 3,055 |   |
| Current Fair Value of Investments as a % of Total Investments at Fair Value | 1.0 | % | — |   | 1.7 | % | 7.4 | % | 5.7 | % | 30.1 | % | 18.8 | % | 24.2 |  % | 11.0 | % | 0.1 | % | 100.0 | % | 54.1 | % |
| Net Unrealized Appreciation (Depreciation)                                  | $ | (27 | ) | $ | (22 | ) | $ | (60 | ) | $ | 91 |   | $ | (98 | ) | $ | (349 | ) | $ | (153 | ) | $ | (1,181 | ) | $ | (84 | ) | $ | — |   | $ | (1,883 | ) | $ | (1,418 | ) |
| Non-Accruing Loans at Cost                                                  | $ | — |   | $ | 15 |   | $ | 27 |   | $ | — |   | $ | 33 |   | $ | 36 |   | $ | 100 |   | $ | 430 |   | $ | 22 |   | $ | — |   | $ | 663 |   | $ | 552 |   |
| Non-Accruing Loans at Fair Value                                            | $ | 1 |   | $ | 1 |   | $ | 14 |   | $ | — |   | $ | 11 |   | $ | 25 |   | $ | 35 |   | $ | 111 |   | $ | 29 |   | $ | — |   | $ | 227 |   | $ | 175 |   |
| Equity Interest at Fair Value(3)                                            | $ | 31 |   | $ | — |   | $ | 8 |   | $ | 201 |   | $ | 75 |   | $ | 1,225 |   | $ | 410 |   | $ | 330 |   | $ | 181 |   | $ | 3 |   | $ | 2,464 |   | $ | 924 |   |
| Debt to EBITDA(6)(7)(8)                                                     | 3.6 |   |  NM |   | 9.5 |   | 4.0 |   | 5.9 |   | 5.1 |   | 4.7 |   | 6.9 |   | 5.5 |   | — |   | 5.6 |   | 5.8 |   |
| Interest Coverage(6)(8)                                                     | 3.2 |   |  NM |   | 1.7 |   | 3.1 |   | 2.5 |   | 3.4 |   | 2.6 |   | 1.7 |   | 1.7 |   | — |   | 2.4 |   | 2.0 |   |
| Debt Service Coverage(6)(8)                                                 | 3.0 |   |  NM |   | 1.6 |   | 2.9 |   | 1.8 |   | 2.4 |   | 2.2 |   | 1.5 |   | 1.6 |   | — |   | 2.0 |   | 1.8 |   |
| Average Age of Companies(8)                                                 |  33 yrs |   |  26 yrs |   |  34 yrs |   |  41 yrs |   |  49 yrs |   |  28 yrs |   |  36 yrs |   |  31 yrs |   |  26 yrs |   |  1 yr |   |  33 yrs |   |  33 yrs |   |
| Diluted Ownership Percentage(3)                                             | 56 | % | 86 |  % | 45 | % | 53 | % | 53 | % | 74 | % | 44 | % | 50 |  % | 42 | % | — |   | 56 | % | 56 | % |
| Average Sales(8)(9)                                                         | $ | 48 |   | $ | 7 |   | $ | 45 |   | $ | 193 |   | $ | 72 |   | $ | 115 |   | $ | 155 |   | $ | 183 |   | $ | 115 |   | $ | — |   | $ | 145 |   | $ | 159 |   |
| Average EBITDA(8)(10)                                                       | $ | 6 |   | $ | — |   | $ | 9 |   | $ | 40 |   | $ | 16 |   | $ | 22 |   | $ | 37 |   | $ | 36 |   | $ | 32 |   | $ | — |   | $ | 31 |   | $ | 36 |   |
| Average EBITDA Margin                                                       | 12.5 | % | (6.8 | )% | 20.6 | % | 20.7 | % | 22.3 | % | 19.0 | % | 24.0 | % | 19.6 |  % | 28.2 | % | — |   | 20.9 | % | 22.4 | % |
| Total Sales(8)(9)                                                           | $ | 89 |   | $ | 306 |   | $ | 194 |   | $ | 1,343 |   | $ | 446 |   | $ | 1,319 |   | $ | 4,556 |   | $ | 5,071 |   | $ | 1,381 |   | $ | — |   | $ | 14,705 |   | $ | 11,008 |   |
| Total EBITDA(8)(10)                                                         | $ | 11 |   | $ | 6 |   | $ | 26 |   | $ | 198 |   | $ | 84 |   | $ | 243 |   | $ | 472 |   | $ | 906 |   | $ | 284 |   | $ | — |   | $ | 2,230 |   | $ | 1,662 |   |
| % of Senior Loans(8)(11)                                                    | 71 | % | 100 |  % | 58 | % | 58 | % | 26 | % | 40 | % | 29 | % | 54 |  % | 16 | % | — |   | 40 | % | 39 | % |
| % of Loans with Lien(8)(11)                                                 | 100 | % | 67 |  % | 100 | % | 100 | % | 88 | % | 93 | % | 93 | % | 91 |  % | 56 | % | — |   | 89 | % | 87 | % |

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Table of Contents

|         |                                                           |
|---------|-----------------------------------------------------------|
| ITEM 3. | Quantitative and Qualitative Disclosure About Market Risk |

|         |                         |
|---------|-------------------------|
| ITEM 4. | Controls and Procedures |

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Table of Contents

|         |                   |
|---------|-------------------|
| Item 1. | Legal Proceedings |

|          |              |
|----------|--------------|
| Item 1A. | Risk Factors |

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

|         |                                 |
|---------|---------------------------------|
| Item 3. | Defaults Upon Senior Securities |

|         |                        |
|---------|------------------------|
| Item 4. | [Removed and Reserved] |

|         |                   |
|---------|-------------------|
| Item 5. | Other Information |

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Table of Contents

|         |          |
|---------|----------|
| Item 6. | Exhibits |

|     |          |
|-----|----------|
| (a) | Exhibits |

|        |
|--------|
|        |  |  |  |
| *3.1.  |   |    | American Capital Strategies, Ltd. Third Amended and Restated Certificate of Incorporation, incorporated herein by reference to Exhibit 2.a. of the Registration Statement on Form N-2 (File No. 333-161421), filed August 19, 2009. |
|   |   |
| *3.2.  |   |    | American Capital Strategies, Ltd. Second Amended and Restated Bylaws, as amended, incorporated herein by reference to Exhibit 3.2 of Form 10-Q for the quarter ended June 30, 2008 (File No.: 814-00149), dated August 11, 2008. |
|   |   |
| *4.1.  |   |    | Instruments defining the rights of holders of securities: See Article IV of our Third Amended and Restated Certificate of Incorporation, incorporated herein by reference to Exhibit 3.2 on Form 10-Q for the quarter ended June 30, 2008 (File No.: 814-00149), filed on August 11, 2008. |
|   |   |
| *4.2.  |   |    | Instruments defining the rights of holders of securities: See Section I of our Second Amended and Restated Bylaws, as amended, incorporated herein by reference to Exhibit 2.d.1 of the Registration Statement on Form N-2 (File No.: 333-161421), filed on August 19, 2009. |
|   |   |
| *4.3.  |   |    | Indenture between American Capital, Ltd. and Wilmington Trust Company, as successor trustee, dated as of April 26, 2007, incorporated herein by reference to Exhibit 2.d.3. of the Registration Statement on Form N-2 (File No. 333-142398), filed on April 26, 2007. |
|   |   |
| *4.4.  |   |    | First Supplemental Indenture by and between American Capital, Ltd. and Wilmington Trust Company, as successor trustee, dated as of July 17, 2007, incorporated herein by reference to Exhibit 4.4 on Form 10-Q for the quarter ended June 30, 2010 (File No.: 814-00149), filed on August 6, 2010. |
|   |   |
| *4.5.  |   |    | Second Supplemental Indenture between American Capital, Ltd. and Wilmington Trust Company, as Trustee, dated as of June 28, 2010, incorporated herein by reference to Exhibit 4.6 on Form 10-Q for the quarter ended June 30, 2010 (File No.: 814-00149), filed on August 6, 2010. |
|   |   |
| *4.6.  |   |    | Indenture between American Capital, Ltd. and Wilmington Trust FSB, as Trustee, dated as of June 28, 2010, incorporated herein by reference to Exhibit 4.7 on Form 10-Q for the quarter ended June 30, 2010 (File No.: 814-00149), filed on August 6, 2010. |
|   |   |
| *4.7.  |   |    | Senior Secured Non-Amortizing Call-Protected Adjustable Fixed Rate Dollar Unrestricted Global Note, No. B-1, CUSIP No. 02503YAF0, payable to Cede & Co., in the amount of $500,000,000, incorporated herein by reference to Exhibit 4.8 on Form 10-Q for the quarter ended June 30, 2010 (File No.: 814-00149), filed on August 6, 2010. |
|   |   |
| *4.8.  |   |    | Senior Secured Non-Amortizing Call-Protected Adjustable Fixed Rate Dollar Unrestricted Global Note, No. B-2, CUSIP No. 02503YAF0, payable to Cede & Co., in the amount of $24,098,000, incorporated herein by reference to Exhibit 4.9 on Form 10-Q for the quarter ended June 30, 2010 (File No.: 814-00149), filed on August 6, 2010. |
|   |   |
| *4.9.  |   |    | Senior Secured Non-Amortizing Call-Protected Floating Rate Dollar Unrestricted Global Note, No. C-1, CUSIP No. 02503YAE3, payable to Cede & Co., in the amount of $4,300,000, incorporated herein by reference to Exhibit 4.10 on Form 10-Q for the quarter ended June 30, 2010 (File No.: 814-00149), filed on August 6, 2010. |
|   |   |
| *4.10. |   |    | Senior Secured Amortizing Adjustable Fixed Rate Dollar Rule 144A Global Note, No. D-1, CUSIP No. 02503YAC7, payable to Cede & Co., in the amount of $500,000,000, incorporated herein by reference to Exhibit 4.11 on Form 10-Q for the quarter ended June 30, 2010 (File No.: 814-00149), filed on August 6, 2010. |
|   |   |
| *4.11. |   |    | Senior Secured Amortizing Adjustable Fixed Rate Dollar Rule 144A Global Note, No. D-2, CUSIP No. 02503YAC7, payable to Cede & Co., in the amount of $2,431,467, incorporated herein by reference to Exhibit 4.12 on Form 10-Q for the quarter ended June 30, 2010 (File No.: 814-00149), filed on August 6, 2010. |
|   |   |
| *4.12. |   |    | Series 6.85% Senior Notes Due 2012, No. 1, CUSIP No. 024937AA2, payable to Cede & Co., in the amount of $500,000,000, incorporated herein by reference to Exhibit 4.13 on Form 10-Q for the quarter ended June 30, 2010 (File No.: 814-00149), filed on August 6, 2010. |
|   |   |   |
| *4.13. |   |   | Series 6.85% Senior Notes Due 2012, No. 2, CUSIP No. 024937AA2, payable to Cede & Co., in the amount of $50,000,000, incorporated herein by reference to Exhibit 4.14 on Form 10-Q for the quarter ended June 30, 2010 (File No.: 814-00149), filed on August 6, 2010. |
|   |   |   |
| 31.1.  |   |   | Certification of CEO Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. |
|   |   |   |
| 31.2.  |   |   | Certification of CFO Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. |
|   |   |   |
| 32     |   |   | Certification of CEO and CFO Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |

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|        |  |  |
|   | AMERICAN CAPITAL, LTD. |
|   |   |   |
|   | By: | /s/    RICHARD E. KONZMANN         |
|   |   | Richard E. KonzmannSenior Vice President, Accounting |