Table of Contents

|        |
|--------|
|        |  |  |
|   | 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 | 42 |
| Item 3.                            | Quantitative and Qualitative Disclosure About Market Risk | 62 |
| Item 4.                            | Controls and Procedures | 63 |
|                                    |   |
| PART II. OTHER INFORMATION         |   |
|                                    |   |   |
| Item 1.                            | Legal Proceedings | 64 |
| Item 1A.                           | Risk Factors | 64 |
| Item 2.                            | Unregistered Sales of Equity Securities and Use of Proceeds | 64 |
| Item 3.                            | Defaults Upon Senior Securities | 64 |
| Item 4.                            | [Removed and Reserved] | 64 |
| Item 5.                            | Other Information | 64 |
| Item 6.                            | Exhibits | 65 |
| Signatures                              | 66 |

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Table of Contents

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

|                                                                                                                                |
|--------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                |  |  |  |  |  |  |  |
|                                                                                                                           | September 30, 2011 |   | December 31, 2010 |
|                                                                                                                           | (unaudited) |   |   |
| Assets                                                                                                                         |   |   |   |
| Investments at fair value (cost of $7,148 and $7,698, respectively)                                                            |   |   |   |
| Non-Control/Non-Affiliate investments (cost of $2,984 and $3,854, respectively)                                                | $ | 2,104 |  |   | $ | 2,719 |  |
| Affiliate investments (cost of $147 and $150, respectively)                                                                    | 101 |  |   | 114 |  |
| Control investments (cost of $4,017 and $3,694, respectively)                                                                  | 3,090 |  |   | 2,642 |  |
| Total investments at fair value                                                                                                | 5,295 |  |   | 5,475 |  |
| Cash and cash equivalents                                                                                                      | 187 |  |   | 269 |  |
| Restricted cash and cash equivalents                                                                                           | 85 |  |   | 185 |  |
| Interest receivable                                                                                                            | 25 |  |   | 37 |  |
| Derivative agreements at fair value                                                                                            | 13 |  |   | 4 |  |
| Other                                                                                                                          | 87 |  |   | 114 |  |
| Total assets                                                                                                                   | $ | 5,692 |  |   | $ | 6,084 |  |
| Liabilities and Shareholders’ Equity                                                                                     |   |   |   |
| Debt ($206 and $357 due within one year, respectively)                                                                         | $ | 1,519 |  |   | $ | 2,259 |  |
| Derivative agreements at fair value                                                                                            | 108 |  |   | 106 |  |
| Other                                                                                                                          | 49 |  |   | 51 |  |
| Total liabilities                                                                                                              | 1,676 |  |   | 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, 344.8 and 352.7 issued and 337.0 and 342.4 outstanding, respectively | 3 |  |   | 3 |  |
| Capital in excess of par value                                                                                                 | 7,100 |  |   | 7,131 |  |
| Distributions in excess of net realized earnings                                                                               | (1,137 | ) |   | (1,136 | ) |
| Net unrealized depreciation of investments                                                                                     | (1,950 | ) |   | (2,330 | ) |
| Total shareholders’ equity                                                                                               | 4,016 |  |   | 3,668 |  |
| Total liabilities and shareholders’ equity                                                                               | $ | 5,692 |  |   | $ | 6,084 |  |
| Net Asset Value Per Common Share Outstanding                                                                                   | $ | 11.92 |  |   | $ | 10.71 |  |

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Table of Contents

|                                                                                                     |
|-----------------------------------------------------------------------------------------------------|
|                                                                                                     |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                                | Three Months Ended September 30, |   | Nine Months Ended September 30, |
|                                                                                                | 2011 |   | 2010 |   | 2011 |   | 2010 |
| Operating Income                                                                                    |   |   |   |   |   |   |   |
| Interest and dividend income                                                                        |   |   |   |   |   |   |   |
| Non-Control/Non-Affiliate investments                                                               | $ | 66 |  |   | $ | 65 |  |   | $ | 223 |  |   | $ | 232 |  |
| Affiliate investments                                                                               | 2 |  |   | 6 |  |   | 6 |  |   | 21 |  |
| Control investments                                                                                 | 49 |  |   | 54 |  |   | 165 |  |   | 160 |  |
| Total interest and dividend income                                                                  | 117 |  |   | 125 |  |   | 394 |  |   | 413 |  |
| Fee income                                                                                          |   |   |   |   |   |   |   |
| Non-Control/Non-Affiliate investments                                                               | 3 |  |   | 5 |  |   | 13 |  |   | 13 |  |
| Control investments                                                                                 | 10 |  |   | 12 |  |   | 24 |  |   | 31 |  |
| Total fee income                                                                                    | 13 |  |   | 17 |  |   | 37 |  |   | 44 |  |
| Total operating income                                                                              | 130 |  |   | 142 |  |   | 431 |  |   | 457 |  |
| Operating Expenses                                                                                  |   |   |   |   |   |   |   |
| Interest                                                                                            | 20 |  |   | 36 |  |   | 69 |  |   | 149 |  |
| Salaries, benefits and stock-based compensation                                                     | 33 |  |   | 31 |  |   | 107 |  |   | 99 |  |
| General and administrative                                                                          | 12 |  |   | 16 |  |   | 36 |  |   | 51 |  |
| Debt refinancing costs                                                                              | — |  |   | — |  |   | — |  |   | 21 |  |
| Total operating expenses                                                                            | 65 |  |   | 83 |  |   | 212 |  |   | 320 |  |
| Net Operating Income                                                                                | 65 |  |   | 59 |  |   | 219 |  |   | 137 |  |
| Net realized gain (loss) on investments                                                             |   |   |   |   |   |   |   |
| Non-Control/Non-Affiliate investments                                                               | (6 | ) |   | (38 | ) |   | (211 | ) |   | (308 | ) |
| Affiliate investments                                                                               | — |  |   | 3 |  |   | — |  |   | 10 |  |
| Control investments                                                                                 | 50 |  |   | (19 | ) |   | 30 |  |   | (154 | ) |
| Foreign currency transactions                                                                       | (1 | ) |   | — |  |   | — |  |   | (2 | ) |
| Derivative agreements                                                                               | (10 | ) |   | (14 | ) |   | (37 | ) |   | (60 | ) |
| Total net realized gain (loss) on investments                                                       | 33 |  |   | (68 | ) |   | (218 | ) |   | (514 | ) |
| Net unrealized (depreciation) appreciation of investments                                           |   |   |   |   |   |   |   |
| Portfolio company investments                                                                       | (477 | ) |   | 28 |  |   | 337 |  |   | 1,080 |  |
| Foreign currency translation                                                                        | (80 | ) |   | 141 |  |   | 34 |  |   | (71 | ) |
| Derivative agreements                                                                               | (5 | ) |   | (11 | ) |   | 8 |  |   | (15 | ) |
| Total net unrealized (depreciation) appreciation of investments                                     | (562 | ) |   | 158 |  |   | 379 |  |   | 994 |  |
| Total net (loss) gain on investments                                                                | (529 | ) |   | 90 |  |   | 161 |  |   | 480 |  |
| Net (Decrease) Increase in Net Assets Resulting from Operations (“Net (Loss) Earnings”) | $ | (464 | ) |   | $ | 149 |  |   | $ | 380 |  |   | $ | 617 |  |
|                                                                                                |   |   |   |   |   |   |   |
| Net Operating Income Per Common Share                                                               |   |   |   |   |   |   |   |
| Basic                                                                                               | $ | 0.19 |  |   | $ | 0.17 |  |   | $ | 0.63 |  |   | $ | 0.43 |  |
| Diluted                                                                                             | $ | 0.19 |  |   | $ | 0.17 |  |   | $ | 0.61 |  |   | $ | 0.42 |  |
| Net (Loss) Earnings Per Common Share                                                                |   |   |   |   |   |   |   |
| Basic                                                                                               | $ | (1.34 | ) |   | $ | 0.43 |  |   | $ | 1.10 |  |   | $ | 1.93 |  |
| Diluted                                                                                             | $ | (1.34 | ) |   | $ | 0.43 |  |   | $ | 1.06 |  |   | $ | 1.91 |  |
| Weighted Average Shares of Common Stock Outstanding                                                 |   |   |   |   |   |   |   |
| Basic                                                                                               | 345.3 |  |   | 343.5 |  |   | 346.2 |  |   | 319.6 |  |
| Diluted                                                                                             | 345.3 |  |   | 348.0 |  |   | 359.1 |  |   | 323.5 |  |

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Table of Contents

|                                                                                 |
|---------------------------------------------------------------------------------|
|                                                                                 |  |  |  |  |  |  |  |
|                                                                            | Nine Months Ended September 30, |
|                                                                            | 2011 |   | 2010 |
| Operations                                                                      |   |   |   |
| Net operating income                                                            | $ | 219 |  |   | $ | 137 |  |
| Net realized loss on investments                                                | (218 | ) |   | (514 | ) |
| Net unrealized appreciation of investments                                      | 379 |  |   | 994 |  |
| Net earnings                                                                    | 380 |  |   | 617 |  |
| Capital Share Transactions                                                      |   |   |   |
| Issuance of common stock                                                        | — |  |   | 293 |  |
| Proceeds from issuance of common stock upon exercise of stock options           | 10 |  |   | 2 |  |
| Repurchase of common stock                                                      | (75 | ) |   | — |  |
| Stock-based compensation                                                        | 33 |  |   | 30 |  |
| Net (decrease) increase in net assets resulting from capital share transactions | (32 | ) |   | 325 |  |
| Total increase in net assets                                                    | 348 |  |   | 942 |  |
| Net assets at beginning of period                                               | 3,668 |  |   | 2,329 |  |
| Net assets at end of period                                                     | $ | 4,016 |  |   | $ | 3,271 |  |
|                                                                            |   |   |   |
| Net asset value per common share outstanding                                    | $ | 11.92 |  |   | $ | 9.59 |  |
| Common shares outstanding at end of period                                      | 337.0 |  |   | 341.0 |  |

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Table of Contents

|                                                                                            |
|--------------------------------------------------------------------------------------------|
|                                                                                            |  |  |  |  |  |  |  |
|                                                                                       | Nine Months Ended September 30, |
|                                                                                       | 2011 |   | 2010 |
| Operating Activities                                                                       |   |   |   |
| Net earnings                                                                               | $ | 380 |  |   | $ | 617 |  |
| Adjustments to reconcile net earnings to net cash provided by operating activities:        |   |   |   |
| Net unrealized appreciation of investments                                                 | (379 | ) |   | (994 | ) |
| Net realized loss on investments                                                           | 218 |  |   | 514 |  |
| Accrued payment-in-kind interest and dividends on investments                              | (131 | ) |   | (107 | ) |
| Amortization of deferred finance costs, premiums and discounts                             | 14 |  |   | 11 |  |
| Depreciation of property and equipment                                                     | 5 |  |   | 12 |  |
| Stock-based compensation                                                                   | 33 |  |   | 30 |  |
| Decrease (increase) in interest receivable                                                 | 7 |  |   | (1 | ) |
| Increase in other assets                                                                   | (12 | ) |   | (5 | ) |
| Decrease in other liabilities                                                              | (5 | ) |   | (28 | ) |
| Other                                                                                      | 5 |  |   | (2 | ) |
| Net cash provided by operating activities                                                  | 135 |  |   | 47 |  |
| Investing Activities                                                                       |   |   |   |
| Purchases and originations of investments                                                  | (172 | ) |   | (182 | ) |
| (Fundings on) repayments from portfolio company revolving credit facility investments, net | (12 | ) |   | 40 |  |
| Principal repayments on debt investments                                                   | 387 |  |   | 566 |  |
| Proceeds from loan syndications and loan sales                                             | 16 |  |   | 40 |  |
| Payment of accrued PIK notes and dividend and accreted original issue discounts            | 89 |  |   | 44 |  |
| Proceeds from sales of equity investments                                                  | 218 |  |   | 169 |  |
| Interest rate derivative periodic interest payments, net                                   | (37 | ) |   | (46 | ) |
| Other                                                                                      | (1 | ) |   | (18 | ) |
| Net cash provided by investing activities                                                  | 488 |  |   | 613 |  |
| Financing Activities                                                                       |   |   |   |
| Payments on unsecured borrowings                                                           | — |  |   | (1,030 | ) |
| Payments on secured borrowings                                                             | (300 | ) |   | (200 | ) |
| Payments on notes payable from asset securitizations                                       | (440 | ) |   | (393 | ) |
| Increase in deferred financing costs                                                       | — |  |   | (26 | ) |
| Issuance of common stock                                                                   | — |  |   | 293 |  |
| Proceeds from issuance of common stock upon exercise of stock options                      | 10 |  |   | 2 |  |
| Repurchase of common stock                                                                 | (75 | ) |   | — |  |
| Decrease (increase) in debt service escrows                                                | 100 |  |   | (32 | ) |
| Net cash used in financing activities                                                      | (705 | ) |   | (1,386 | ) |
| Net decrease in cash and cash equivalents                                                  | (82 | ) |   | (726 | ) |
| Cash and cash equivalents at beginning of period                                           | 269 |  |   | 835 |  |
| Cash and cash equivalents at end of period                                                 | $ | 187 |  |   | $ | 109 |  |
|                                                                                       |   |   |   |
| Non-cash Investing Activities                                                              |   |   |   |
| Debt investment received from the sale of equity investments                               | $ | — |  |   | $ | 37 |  |
|                                                                                       |   |   |   |

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Table of Contents

|                                                                                |
|--------------------------------------------------------------------------------|
|                                                                                |  |  |  |  |  |  |  |
|                                                                           | Nine Months Ended September 30, |
|                                                                           | 2011 |   | 2010 |
| Per Share Data                                                                 |   |   |   |
| Net asset value at beginning of the period                                     | $ | 10.71 |  |   | $ | 8.29 |  |
| Net operating income(1)                                                        | 0.63 |  |   | 0.43 |  |
| Net realized loss on investments(1)                                            | (0.63 | ) |   | (1.61 | ) |
| Net unrealized appreciation on investments(1)                                  | 1.10 |  |   | 3.11 |  |
| Net earnings(1)                                                                | 1.10 |  |   | 1.93 |  |
| Issuance of common stock                                                       | (0.05 | ) |   | (0.57 | ) |
| Repurchase of common stock                                                     | 0.10 |  |   | — |  |
| Other, net(2)                                                                  | 0.06 |  |   | (0.06 | ) |
| Net asset value at end of period                                               | $ | 11.92 |  |   | $ | 9.59 |  |
| Ratio/Supplemental Data                                                        |   |   |   |
| Per share market value at end of period                                        | $ | 6.82 |  |   | $ | 5.81 |  |
| Total investment (loss) return(3)                                              | (9.79 | )% |   | 138.11 | % |
| Shares outstanding at end of period                                            | 337.0 |  |   | 341.0 |  |
| Net assets at end of period                                                    | $ | 4,016 |  |   | $ | 3,271 |  |
| Average net assets(4)                                                          | $ | 4,085 |  |   | $ | 2,810 |  |
| Average debt outstanding(5)                                                    | $ | 1,745 |  |   | $ | 3,575 |  |
| Average debt outstanding per common share(1)                                   | $ | 5.04 |  |   | $ | 11.19 |  |
| Ratio of operating expenses to average net assets(6)                           | 6.94 |  % |   | 15.23 | % |
| Ratio of operating expenses, net of interest expense, to average net assets(6) | 4.68 |  % |   | 8.14 | % |
| Ratio of interest expense to average net assets(6)                             | 2.26 |  % |   | 7.09 | % |
| Ratio of net operating income to average net assets(6)                         | 7.17 |  % |   | 6.52 | % |

|     |                                        |
|-----|----------------------------------------|
| (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 US 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, if any, 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 INVESTMENTSSeptember 30, 2011(unaudited)(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                  |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| NON-CONTROL / NON-AFFILIATE INVESTMENTS                                                                                      |   |   |   |   |   |   |   |   |
| Affordable Care Holding Corp.                                                                                                |   | Health Care Providers & Services |   | Mezzanine Debt(7) |   | 15.0 | % |   | 6/16 |   |   |   | $ | 70.2 |  |   | $ | 69.7 |  |   | $ | 70.2 |  |
|                                                                                                                         |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 70,752 |  |   |   |   | 66.6 |  |   | 96.6 |  |
|                                                                                                                         |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 17,687,156 |  |   |   |   | 15.8 |  |   | 23.3 |  |
|                                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   | 152.1 |  |   | 190.1 |  |
| Algoma Holding Company                                                                                                       |   | Building Products |   | Mezzanine Debt(7) |   | 14.1 | % |   | 9/13 |   |   |   | 16.0 |  |   | 15.9 |  |   | 16.2 |  |
| American Acquisition, LLC                                                                                                    |   | Capital Markets |   | Senior Debt(7) |   | 14.3 | % |   | 12/12 |   |   |   | 14.8 |  |   | 14.8 |  |   | 14.6 |  |
| AmWins Group, Inc.                                                                                                           |   | Insurance |   | Senior Debt(7) |   | 5.9 | % |   | 6/14 |   |   |   | 18.5 |  |   | 18.5 |  |   | 16.3 |  |
| Avalon Laboratories Holding Corp.                                                                                            |   | Health Care Equipment & Supplies |   | Senior Debt(7) |   | 11.0 | % |   | 1/14 |   |   |   | 17.0 |  |   | 16.9 |  |   | 17.0 |  |
| Mezzanine Debt(7)                                                                                                            |   | 18.6 | % |   | 1/15 |   |   |   | 29.2 |  |   | 29.0 |  |   | 29.2 |  |
|                                                                                                                         |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 148,742 |  |   |   |   | 24.3 |  |   | 22.6 |  |
|                                                                                                                         |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 7,829 |  |   |   |   | 1.3 |  |   | — |  |
|                                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   | 71.5 |  |   | 68.8 |  |
| 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(1) |   |   |   |   |   |   |   |   |   | 3.5 |  |   | 3.1 |  |
| CAMP Systems International, Inc.                                                                                             |   | Air Freight & Logistics |   | Senior Debt(7) |   | 6.3 | % |   | 9/14 |   |   |   | 30.0 |  |   | 29.8 |  |   | 27.7 |  |
| Cinelease Holdings, LLC                                                                                                      |   | Electronic Equipment, Instruments & Components |   | Senior Debt(7) |   | 11.0 | % |   | 3/12-4/13 |   |   |   | 53.8 |  |   | 53.6 |  |   | 54.4 |  |
|                                                                                                                         |   |   | Common Stock(1) |   |   |   |   |   | 583 |  |   |   |   | 0.6 |  |   | 1.2 |  |
|                                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   | 54.2 |  |   | 55.6 |  |
| Contec, LLC                                                                                                                  |   | Household Durables |   | Mezzanine Debt(6)(7) |   | 14.0 | % |   | 9/15-9/16 |   |   |   | 135.0 |  |   | 134.0 |  |   | — |  |
| Delsey Holding(3)                                                                                                            |   | Textiles, Apparel & Luxury Goods |   | Senior Debt(7) |   | 7.9 | % |   | 2/14 |   |   |   | 20.5 |  |   | 20.5 |  |   | 16.6 |  |
| DelStar, Inc.                                                                                                                |   | Building Products |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 26,613 |  |   |   |   | 24.5 |  |   | 41.4 |  |
|                                                                                                                         |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 29,569 |  |   |   |   | 3.0 |  |   | 1.4 |  |
|                                                                                                                         |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 89,020 |  |   |   |   | 16.9 |  |   | — |  |
|                                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   | 44.4 |  |   | 42.8 |  |
| Easton Bell Sports, LLC                                                                                                      |   | Leisure Equipment & Products |   | Redeemable Preferred Stock |   |   |   |   |   | 1,171 |  |   |   |   | 1.7 |  |   | 1.7 |  |
|                                                                                                                         |   |   | Common Units(1) |   |   |   |   |   | 3,830,068 |  |   |   |   | 0.7 |  |   | 1.8 |  |
|                                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   | 2.4 |  |   | 3.5 |  |
| FAMS Acquisition, Inc.                                                                                                       |   | Diversified Financial Services |   | Mezzanine Debt(7) |   | 14.0 | % |   | 11/13 |   |   |   | 17.1 |  |   | 17.0 |  |   | 17.1 |  |
|                                                                                                                         |   |   | Mezzanine Debt(6)(7) |   | 15.5 | % |   | 11/14 |   |   |   | 18.4 |  |   | 11.8 |  |   | 4.8 |  |
|                                                                                                                         |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 919 |  |   |   |   | 0.9 |  |   | — |  |
|                                                                                                                         |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 861,364 |  |   |   |   | 20.9 |  |   | — |  |
|                                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   | 50.6 |  |   | 21.9 |  |
| Flexera Software, LLC                                                                                                        |   | Software |   | Senior Debt(7) |   | 12.0 | % |   | 10/18 |   |   |   | 15.0 |  |   | 13.9 |  |   | 13.9 |  |
| FPI Holding Corporation                                                                                                      |   | Food Products |   | Senior Debt(7) |   | 10.4 | % |   | 10/11-6/14 |   |   |   | 29.2 |  |   | 29.1 |  |   | 29.2 |  |
|                                                                                                                         |   |   |   | Senior Debt(6)(7) |   | 17.3 | % |   | 6/15 |   |   |   | 9.8 |  |   | 5.1 |  |   | 3.2 |  |
|                                                                                                                         |   |   |   | Mezzanine Debt(6)(7) |   | 21.6 | % |   | 6/15-5/16 |   |   |   | 35.0 |  |   | 17.2 |  |   | — |  |
|                                                                                                                         |   |   |   | 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 |  |   | — |  |
|                                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   | 119.6 |  |   | 32.4 |  |
| Groupe Unipex(3)                                                                                                             |   | Personal Products |   | Mezzanine Debt(7) |   | 10.9 | % |   | 5/17 |   |   |   | 6.8 |  |   | 5.9 |  |   | 5.8 |  |
|                                                                                                                         |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 840,001 |  |   |   |   | 0.9 |  |   | 0.3 |  |
|                                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   | 6.8 |  |   | 6.1 |  |
| HMSC Corporation                                                                                                             |   | Insurance |   | Senior Debt(6)(7) |   | 5.7 | % |   | 10/14 |   |   |   | 3.5 |  |   | 3.0 |  |   | 1.1 |  |
| Infiltrator Systems, Inc.                                                                                                    |   | Building Products |   | Senior Debt(7) |   | 16.5 | % |   | 10/13 |   |   |   | 44.3 |  |   | 44.1 |  |   | 44.5 |  |
| IS Holdings I, Inc.                                                                                                          |   | Software |   | Common Stock(1)(7) |   |   |   |   |   | 1,165,930 |  |   |   |   | — |  |   | 9.3 |  |
| JHCI Acquisition, Inc.                                                                                                       |   | Air Freight & Logistics |   | Senior Debt(7) |   | 5.7 | % |   | 12/14 |   |   |   | 19.0 |  |   | 19.1 |  |   | 16.1 |  |
| KIK Custom Products, Inc.(3)                                                                                                 |   | Household Products |   | Senior Debt(7) |   | 5.3 | % |   | 12/14 |   |   |   | 22.5 |  |   | 21.6 |  |   | 15.4 |  |
| LCW Holdings, LLC                                                                                                            |   | Real Estate |   | Senior Debt(7) |   | 11.0 | % |   | 10/12 |   |   |   | 6.1 |  |   | 6.0 |  |   | 5.6 |  |
|                                                                                                                         |   |   |   | Warrant(1) |   |   |   |   |   | 12.5 | % |   |   |   | 0.8 |  |   | 3.5 |  |
|                                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   | 6.8 |  |   | 9.1 |  |
| Mirion Technologies, Inc.                                                                                                    |   | Electrical Equipment |   | Senior Debt(7) |   | 5.7 | % |   | 10/14 |   |   |   | 121.6 |  |   | 121.0 |  |   | 122.6 |  |
|                                                                                                                         |   |   |   | Mezzanine Debt(7) |   | 14.2 | % |   | 4/15 |   |   |   | 56.7 |  |   | 56.4 |  |   | 56.7 |  |
|                                                                                                                         |   |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 435,724 |  |   |   |   | 66.7 |  |   | 112.5 |  |
|                                                                                                                         |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 24,503 |  |   |   |   | 2.8 |  |   | 3.4 |  |
|                                                                                                                         |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 222,156 |  |   |   |   | 18.6 |  |   | 30.8 |  |
|                                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   | 265.5 |  |   | 326.0 |  |
| Mitchell International, Inc.                                                                                                 |   | IT Services |   | Senior Debt(7) |   | 5.6 | % |   | 3/15 |   |   |   | 5.0 |  |   | 5.0 |  |   | 4.4 |  |
|                                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)September 30, 2011(unaudited)(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                                    |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| NBD Holdings Corp.                                                                                                                             |   | Diversified Financial Services |   | Mezzanine Debt(7) |   | 15.0 | % |   | 8/13 |   |   |   | 24.2 |  |   | 24.0 |  |   | 24.6 |  |
|                                                                                                                                           |   |   |   | Convertible Preferred Stock(1) |   |   |   |   |   | 84,174 |  |   |   |   | 8.7 |  |   | 4.7 |  |
|                                                                                                                                           |   |   |   | Common Stock(1) |   |   |   |   |   | 633,408 |  |   |   |   | 0.1 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 32.8 |  |   | 29.3 |  |
| Net1 Las Colinas Manager, LLC                                                                                                                  |   | Real Estate |   | Senior Debt(7) |   | 7.7 | % |   | 10/15 |   |   |   | 3.4 |  |   | 3.4 |  |   | 3.1 |  |
| Orion Foundry, Inc.(2)(3)                                                                                                                      |   | Internet Software & Services |   | Senior Debt(7) |   | 7.8 | % |   | 12/15 |   |   |   | 13.7 |  |   | 13.3 |  |   | 8.1 |  |
|                                                                                                                                           |   |   |   | Senior Debt(6)(7) |   | 8.5 | % |   | 12/15 |   |   |   | 5.5 |  |   | 4.7 |  |   | 3.3 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 18.0 |  |   | 11.4 |  |
| Pan Am International Flight Academy, Inc.                                                                                                      |   | Professional Services |   | Mezzanine Debt(7) |   | 16.4 | % |   | 7/14 |   |   |   | 42.4 |  |   | 42.3 |  |   | 42.4 |  |
|                                                                                                                                           |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 14,938 |  |   |   |   | 14.9 |  |   | 20.3 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 57.2 |  |   | 62.7 |  |
| PaR Systems, Inc.                                                                                                                              |   | Machinery |   | Senior Debt(7) |   | 3.1 | % |   | 7/13 |   |   |   | 2.8 |  |   | 2.7 |  |   | 2.4 |  |
| 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 |  |   |   |   | — |  |   | 6.3 |  |
| Qioptiq S.A.R.L.(3)                                                                                                                            |   | Electronic Equipment, Instruments & Components |   | Mezzanine Debt(7) |   | 10.0 | % |   | 3/18 |   |   |   | 34.0 |  |   | 33.8 |  |   | 33.5 |  |
| Qualium I(3)                                                                                                                                   |   | Capital Markets |   | Common Stock(1)(7) |   |   |   |   |   | 241,879 |  |   |   |   | 2.2 |  |   | 2.1 |  |
| RDR Holdings, Inc.                                                                                                                             |   | Household Durables |   | Mezzanine Debt(7) |   | 13.6 | % |   | 10/14 |   |   |   | 30.6 |  |   | 30.4 |  |   | 30.6 |  |
|                                                                                                                                           |   |   |   | Mezzanine Debt(6)(7) |   | 17.0 | % |   | 10/14 |   |   |   | 41.1 |  |   | 32.5 |  |   | — |  |
|                                                                                                                                           |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 1,541 |  |   |   |   | 192.3 |  |   | — |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 15,414 |  |   |   |   | 1.5 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 256.7 |  |   | 30.6 |  |
| 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 |   |   |   | 17.7 |  |   | 17.6 |  |   | 17.7 |  |
|                                                                                                                                           |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 77,640,000 |  |   |   |   | 7.7 |  |   | 15.8 |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 78,242 |  |   |   |   | 0.1 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 25.4 |  |   | 33.5 |  |
| Soil Safe Holdings, LLC                                                                                                                        |   | Professional Services |   | Senior Debt(7) |   | 9.8 | % |   | 8/13-8/14 |   |   |   | 37.3 |  |   | 37.1 |  |   | 38.0 |  |
|                                                                                                                                           |   |   |   | Mezzanine Debt(7) |   | 15.5 | % |   | 8/15-8/16 |   |   |   | 41.3 |  |   | 41.0 |  |   | 41.2 |  |
|                                                                                                                                           |   |   |   | Mezzanine Debt(6)(7) |   | 17.5 | % |   | 8/17 |   |   |   | 32.3 |  |   | 18.5 |  |   | 26.8 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 96.6 |  |   | 106.0 |  |
| SPL Acquisition Corp.                                                                                                                          |   | Pharmaceuticals |   | Senior Debt(7) |   | 11.0 | % |   | 6/14 |   |   |   | 47.2 |  |   | 46.9 |  |   | 47.2 |  |
|                                                                                                                                           |   |   |   | Mezzanine Debt(7) |   | 15.3 | % |   | 6/15-6/16 |   |   |   | 54.7 |  |   | 54.3 |  |   | 54.7 |  |
|                                                                                                                                           |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 84,043 |  |   |   |   | 40.8 |  |   | 27.2 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 142.0 |  |   | 129.1 |  |
| Survey Sampling International, LLC                                                                                                             |   | Media |   | Mezzanine Debt(7) |   | 15.0 | % |   | 7/18 |   |   |   | 40.3 |  |   | 39.9 |  |   | 39.9 |  |
| Swank Audio Visuals, LLC                                                                                                                       |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 9.5 | % |   | 8/15 |   |   |   | 58.0 |  |   | 57.8 |  |   | 43.6 |  |
| The Tensar Corporation                                                                                                                         |   | Construction & Engineering |   | Senior Debt(7) |   | 13.0 | % |   | 5/13 |   |   |   | 82.8 |  |   | 82.4 |  |   | 82.8 |  |
|                                                                                                                                           |   |   |   | Mezzanine Debt(7) |   | 19.8 | % |   | 11/15 |   |   |   | 33.9 |  |   | 33.9 |  |   | 34.3 |  |
|                                                                                                                                           |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 8,263,171 |  |   |   |   | 9.1 |  |   | 21.1 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 125.4 |  |   | 138.2 |  |
| ThreeSixty Sourcing, Inc.(3)                                                                                                                   |   | Commercial Services & Supplies |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 35 |  |   |   |   | 4.1 |  |   | — |  |
| TransFirst Holdings, Inc.                                                                                                                      |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 6.2 | % |   | 6/15 |   |   |   | 54.0 |  |   | 53.7 |  |   | 44.2 |  |
| Tyden Cayman Holdings Corp.(3)                                                                                                                 |   | Electronic Equipment, Instruments & Components |   | Common Stock(1) |   |   |   |   |   | 3,218,667 |  |   |   |   | 3.8 |  |   | 4.7 |  |
| WRH, Inc.                                                                                                                                      |   | Life Sciences Tools & Services |   | Senior Debt(7) |   | 4.2 | % |   | 9/13 |   |   |   | 3.9 |  |   | 3.9 |  |   | 3.9 |  |
|                                                                                                                                           |   |   | Mezzanine Debt(7) |   | 14.6 | % |   | 7/14-9/15 |   |   |   | 98.0 |  |   | 97.6 |  |   | 95.9 |  |
|                                                                                                                                           |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 2,008,575 |  |   |   |   | 227.2 |  |   | 79.7 |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 502,144 |  |   |   |   | 49.8 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 378.5 |  |   | 179.5 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 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 |  |   | 4.3 |  |   | 0.7 |  |
| CD 2007-CD4 Commercial Mortgage Trust                                                                                                          |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.9 | % |   | 4/17 |   |   |   | 14.0 |  |   | 8.7 |  |   | 0.2 |  |
| CD 2007-CD5 Mortgage Trust                                                                                                                     |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.3 | % |   | 12/17 |   |   |   | 14.8 |  |   | 9.6 |  |   | 1.1 |  |
| Citigroup Commercial Mortgage Securities Trust 2007-C6                                                                                         |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(7) |   | 5.8 | % |   | 7/17 |   |   |   | 79.7 |  |   | 44.2 |  |   | 12.6 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)September 30, 2011(unaudited)(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                                    |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| COBALT CMBS Commercial Mortgage Trust 2007-C3                                                                                                  |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.2 | % |   | 10/17 |   |   |   | 11.1 |  |   | 7.9 |  |   | 0.2 |  |
| Countrywide Commercial Mortgage Trust 2007-MF1                                                                                                 |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.3 | % |   | 11/37 |   |   |   | 7.2 |  |   | 4.3 |  |   | 1.1 |  |
| Credit Suisse Commercial Mortgage Trust Series 2007-C4                                                                                         |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.0 | % |   | 8/17 |   |   |   | 20.8 |  |   | 11.4 |  |   | 2.4 |  |
| GE Commercial Mortgage Corporation, Series 2007-C1                                                                                             |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.0 | % |   | 12/19 |   |   |   | 20.0 |  |   | 18.0 |  |   | 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 |   |   |   | 46.6 |  |   | 30.7 |  |   | 0.3 |  |
| LB-UBS Commercial Mortgage Trust 2007-C6                                                                                                       |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.5 | % |   | 8/17 |   |   |   | 36.6 |  |   | 21.8 |  |   | 1.6 |  |
| 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 |  |   | 0.5 |  |
| ML-CFC Commercial Mortgage Trust 2007-6                                                                                                        |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(7) |   | 6.0 | % |   | 4/17 |   |   |   | 9.8 |  |   | 3.2 |  |   | 0.2 |  |
| ML-CFC Commercial Mortgage Trust 2007-8                                                                                                        |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.2 | % |   | 8/17 |   |   |   | 32.8 |  |   | 19.1 |  |   | 0.7 |  |
| Wachovia Bank Commercial Mortgage Trust 2007-C31                                                                                               |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.0 | % |   | 5/17 |   |   |   | 20.0 |  |   | 10.8 |  |   | 1.4 |  |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C32                                                                                       |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 5.8 | % |   | 10/17 |   |   |   | 66.0 |  |   | 42.7 |  |   | 2.8 |  |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C34                                                                                       |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(7) |   | 5.7 | % |   | 10/17-9/24 |   |   |   | 96.2 |  |   | 40.1 |  |   | 5.1 |  |
| Wachovia Bank Commercial Trust 2006-C28                                                                                                        |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(1)(7) |   | 6.1 | % |   | 11/16 |   |   |   | 5.0 |  |   | 3.0 |  |   | 0.1 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| CLO INVESTMENTS                                                                                                                                |   |   |   |   |   |   |   |   |
| ACAS CLO 2007-1, Ltd.                                                                                                                          |   | Diversified Financial Services |   | Secured Notes(7) |   |   |   |   |   |   |   | 8.5 |  |   | 8.4 |  |   | 5.7 |  |
|                                                                                                                                           |   |   |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 25.9 |  |   | 16.7 |  |   | 17.4 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 25.1 |  |   | 23.1 |  |
| Ares IIIR/IVR CLO Ltd.                                                                                                                         |   | Diversified Financial Services |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 20.0 |  |   | 17.7 |  |   | 13.7 |  |
| Ares VIII CLO, Ltd.                                                                                                                            |   | Diversified Financial Services |   | Preference Shares(7) |   |   |   |   |   | 6,241 |  |   |   |   | 4.7 |  |   | 2.6 |  |
| Avalon Capital Ltd. 3                                                                                                                          |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 13,796 |  |   |   |   | 5.2 |  |   | 7.3 |  |
| Babson CLO Ltd. 2006-II                                                                                                                        |   | Diversified Financial Services |   | Income Notes(7) |   |   |   |   |   |   |   | 15.0 |  |   | 10.5 |  |   | 14.8 |  |
| 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 |  |   | 16.2 |  |   | 23.3 |  |
| Centurion CDO 8 Limited                                                                                                                        |   | Diversified Financial Services |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 5.0 |  |   | 2.2 |  |   | 2.8 |  |
| Champlain CLO                                                                                                                                  |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 1,000,000 |  |   |   |   | 1.0 |  |   | 0.6 |  |
| CoLTs 2005-1 Ltd.(3)                                                                                                                           |   | Diversified Financial Services |   | Preference Shares(1)(7) |   |   |   |   |   | 360 |  |   |   |   | 3.1 |  |   | 0.7 |  |
| CoLTs 2005-2 Ltd.(3)                                                                                                                           |   | Diversified Financial Services |   | Preference Shares(7) |   |   |   |   |   | 34,170,000 |  |   |   |   | 22.3 |  |   | 8.6 |  |
| CREST Exeter Street Solar 2004-2                                                                                                               |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 3,089,177 |  |   |   |   | 3.6 |  |   | 2.0 |  |
| Eaton Vance CDO X PLC(3)                                                                                                                       |   | Diversified Financial Services |   | Secured Subordinated Income Notes(7) |   |   |   |   |   |   |   | 15.0 |  |   | 12.6 |  |   | 9.9 |  |
| Essex Park CDO Ltd.                                                                                                                            |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 5,750,000 |  |   |   |   | 2.3 |  |   | 2.9 |  |
| Flagship CLO V                                                                                                                                 |   | Diversified Financial Services |   | Deferrable Notes(7) |   |   |   |   |   |   |   | 1.7 |  |   | 1.4 |  |   | 1.2 |  |
|                                                                                                                                           |   |   |   | Subordinated Securities(7) |   |   |   |   |   | 15,000 |  |   |   |   | 9.0 |  |   | 10.0 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 10.4 |  |   | 11.2 |  |
| Galaxy III CLO, Ltd                                                                                                                            |   | Diversified Financial Services |   | Subordinated Notes(1)(7) |   |   |   |   |   |   |   | 4.0 |  |   | 1.6 |  |   | 0.8 |  |
| LightPoint CLO IV, LTD                                                                                                                         |   | Diversified Financial Services |   | Income Notes(7) |   |   |   |   |   |   |   | 6.7 |  |   | 7.6 |  |   | 5.4 |  |
| LightPoint CLO VII, Ltd.                                                                                                                       |   | Diversified Financial Services |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 9.0 |  |   | 5.4 |  |   | 6.6 |  |
| LightPoint CLO VIII, Ltd.                                                                                                                      |   | Diversified Financial Services |   | Deferrable Notes(7) |   |   |   |   |   |   |   | 7.0 |  |   | 6.5 |  |   | 5.8 |  |
| Mayport CLO Ltd.                                                                                                                               |   | Diversified Financial Services |   | Income Notes(7) |   |   |   |   |   |   |   | 14.0 |  |   | 10.4 |  |   | 9.7 |  |
| NYLIM Flatiron CLO 2006-1 LTD.(3)                                                                                                              |   | Diversified Financial Services |   | Subordinated Securities(7) |   |   |   |   |   | 10,000 |  |   |   |   | 5.6 |  |   | 7.2 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)September 30, 2011(unaudited)(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                                    |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| Octagon Investment Partners VII, Ltd.                                                                                                          |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 5,000,000 |  |   |   |   | 1.6 |  |   | 3.1 |  |
| Sapphire Valley CDO I, Ltd.                                                                                                                    |   | Diversified Financial Services |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 14.0 |  |   | 16.2 |  |   | 13.3 |  |
| Vitesse CLO, Ltd.                                                                                                                              |   | Diversified Financial Services |   | Preferred Securities(7) |   |   |   |   |   | 20,000,000 |  |   |   |   | 13.9 |  |   | 13.4 |  |
| Subtotal Non-Control / Non-Affiliate Investments (40% of total investments at fair value)                                                      |   |   |   | $ | 2,983.5 |  |   | $ | 2,103.9 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |
| AFFILIATE INVESTMENTS                                                                                                                          |   |   |   |   |   |   |   |   |
| American Capital Mortgage Investment Corp,(2)                                                                                                  |   | Real Estate |   | Common Stock(7) |   |   |   |   |   | 2,000,100 |  |   |   |   | $ | 40.0 |  |   | $ | 30.7 |  |
| Anchor Drilling Fluids USA, Inc.                                                                                                               |   | Energy Equipment & Services |   | Senior Debt(7) |   | 11.3 | % |   | 12/13 |   |   |   | $ | 6.9 |  |   | 6.9 |  |   | 6.6 |  |
|                                                                                                                                           |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 859 |  |   |   |   | 1.6 |  |   | 0.7 |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 3,061 |  |   |   |   | 5.0 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |  |   |   |   | 13.5 |  |   | 7.3 |  |
| Comfort Co., Inc.                                                                                                                              |   | Household Durables |   | Senior Debt(7) |   | 11.5 | % |   | 3/15 |   |   |   | 11.8 |  |   | 11.8 |  |   | 10.4 |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 110,684 |  |   |   |   | 11.7 |  |   | 2.6 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 23.5 |  |   | 13.0 |  |
| Egenera, Inc.                                                                                                                                  |   | Computers & Peripherals |   | Mezzanine Debt(6) |   | 15.0 | % |   | 12/11 |   |   |   | 4.8 |  |   | 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 |  |   | 10.6 |  |
| IEE Holding 1 S.A.(3)                                                                                                                          |   | Auto Components |   | Common Stock(1) |   |   |   |   |   | 250,000 |  |   |   |   | 4.5 |  |   | 11.1 |  |
| LTM Enterprises, Inc.                                                                                                                          |   | Personal Products |   | Senior Debt(6)(7) |   | 17.3 | % |   | 11/11 |   |   |   | 27.9 |  |   | 18.4 |  |   | 15.3 |  |
| Primrose Holding Corporation                                                                                                                   |   | Diversified Consumer Services |   | Common Stock(1)(7) |   |   |   |   |   | 4,213 |  |   |   |   | 2.7 |  |   | 4.3 |  |
| Qualitor Component Holdings, LLC                                                                                                               |   | Auto Components |   | Redeemable Preferred Units(1) |   |   |   |   |   | 3,150,000 |  |   |   |   | 3.1 |  |   | — |  |
|                                                                                                                                           |   |   | Common Units(1) |   |   |   |   |   | 350,000 |  |   |   |   | 0.4 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 3.5 |  |   | — |  |
| Radar Detection Holdings Corp.                                                                                                                 |   | Household Durables |   | Convertible Preferred Stock(1) |   |   |   |   |   | 7,075 |  |   |   |   | 0.7 |  |   | 1.9 |  |
|                                                                                                                                           |   |   | Common Stock(1) |   |   |   |   |   | 40,688 |  |   |   |   | 0.6 |  |   | 1.2 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 1.3 |  |   | 3.1 |  |
| WFS Holding, LLC                                                                                                                               |   | Software |   | Preferred Interest |   |   |   |   |   | 20,403,772 |  |   |   |   | 2.3 |  |   | 3.0 |  |
| Subtotal Affiliate Investments (2% of total investments at fair value)                                                                         |   |   |   | $ | 147.2 |  |   | $ | 100.8 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |
| CONTROL INVESTMENTS                                                                                                                            |   |   |   |   |   |   |   |   |
| ACAS Equity Holdings Corp.                                                                                                                     |   | Diversified Financial Services |   | Common Stock(1)(7) |   |   |   |   |   | 589 |  |   |   |   | $ | 14.5 |  |   | $ | 2.2 |  |
| ACAS Real Estate Holdings Corporation                                                                                                          |   | Real Estate |   | Mezzanine Debt(6)(7) |   | 15.0 | % |   | 5/16 |   |   |   | $ | 5.3 |  |   | 10.4 |  |   | 11.8 |  |
|                                                                                                                                           |   |   | Common Stock(7) |   |   |   |   |   | 100 | % |   |   |   | 3.7 |  |   | 0.4 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 14.1 |  |   | 12.2 |  |
| American Capital, LLC                                                                                                                          |   | Capital Markets |   | Senior Debt(7) |   | 3.2 | % |   | 9/16 |   |   |   | 6.0 |  |   | 6.0 |  |   | 6.0 |  |
|                                                                                                                                           |   |   |   | Common Membership Interest(7) |   |   |   |   |   | 100 | % |   |   |   | 44.7 |  |   | 284.2 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 50.7 |  |   | 290.2 |  |
| American Driveline Systems, Inc.                                                                                                               |   | Diversified Consumer Services |   | Mezzanine Debt(7) |   | 14.0 | % |   | 12/14-12/15 |   |   |   | 43.5 |  |   | 43.1 |  |   | 43.5 |  |
|                                                                                                                                           |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 403,357 |  |   |   |   | 39.3 |  |   | 55.0 |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 128,681 |  |   |   |   | 10.8 |  |   | 2.9 |  |
|                                                                                                                                           |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 204,663 |  |   |   |   | 17.3 |  |   | 4.6 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 110.5 |  |   | 106.0 |  |
| Aptara, Inc.                                                                                                                                   |   | IT Services |   | Senior Debt(7) |   | 11.5 | % |   | 8/12 |   |   |   | 4.0 |  |   | 4.0 |  |   | 4.0 |  |
|                                                                                                                                           |   |   |   | Mezzanine Debt(7) |   | 17.0 | % |   | 8/12 |   |   |   | 63.2 |  |   | 63.1 |  |   | 65.2 |  |
|                                                                                                                                           |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 15,107 |  |   |   |   | 30.8 |  |   | 31.6 |  |
|                                                                                                                                           |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 2,549,410 |  |   |   |   | 8.8 |  |   | — |  |
|                                                                                                                                           |   |   |   | Preferred Stock Warrants(1)(7) |   |   |   |   |   | 230,681 |  |   |   |   | 1.0 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 107.7 |  |   | 100.8 |  |
| Capital.com, Inc.                                                                                                                              |   | Diversified Financial Services |   | Common Stock(1)(7) |   |   |   |   |   | 8,500,100 |  |   |   |   | 0.9 |  |   | — |  |
| CH Holding Corp.                                                                                                                               |   | Leisure Equipment & Products |   | Senior Debt(7) |   | 7.2 | % |   | 5/13 |   |   |   | 18.1 |  |   | 18.0 |  |   | 18.1 |  |
|                                                                                                                                           |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 21,215 |  |   |   |   | 42.8 |  |   | 7.5 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 60.8 |  |   | 25.6 |  |
| CIBT Travel Solutions, LLC                                                                                                                     |   | Commercial Services & Supplies |   | Mezzanine Debt(7) |   | 15.0 | % |   | 11/16 |   |   |   | 57.4 |  |   | 57.0 |  |   | 57.4 |  |
|                                                                                                                                           |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 11,086 |  |   |   |   | 12.6 |  |   | 12.7 |  |
|                                                                                                                                           |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 923,700 |  |   |   |   | 92.4 |  |   | 149.6 |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 203,256 |  |   |   |   | 19.7 |  |   | 25.3 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 181.7 |  |   | 245.0 |  |
| CMX Inc.                                                                                                                                       |   | Construction & Engineering |   | Senior Debt(6)(7) |   | 3.5 | % |   | 11/11 |   |   |   | 4.7 |  |   | 4.6 |  |   | — |  |
| Contour Semiconductor, Inc.                                                                                                                    |   | Semiconductors & Semiconductor Equipment |   | Convertible Senior Debt(7) |   | 3.0 | % |   | 4/12 |   |   |   | 0.6 |  |   | 0.6 |  |   | 0.6 |  |
|                                                                                                                                           |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 11,532,842 |  |   |   |   | 12.5 |  |   | 6.8 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 13.1 |  |   | 7.4 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

----

Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)September 30, 2011(unaudited)(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                                    |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| Core Financial Holdings, LLC                                                                                                                   |   | Diversified Financial Services |   | Common Units(1)(7) |   |   |   |   |   | 57,940,360 |  |   |   |   | 48.2 |  |   | 5.2 |  |
| Dyno Holding Corp.                                                                                                                             |   | Auto Components |   | Senior Debt(7) |   | 11.6 | % |   | 11/15 |   |   |   | 40.6 |  |   | 40.4 |  |   | 40.6 |  |
|                                                                                                                                           |   |   | Mezzanine Debt(7) |   | 7.3 | % |   | 11/16 |   |   |   | 16.3 |  |   | 16.2 |  |   | 16.3 |  |
|                                                                                                                                           |   |   |   | Mezzanine Debt(6)(7) |   | 0.0 | % |   | 11/16 |   |   |   | 14.0 |  |   | 11.7 |  |   | 3.0 |  |
|                                                                                                                                           |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 389,759 |  |   |   |   | 40.5 |  |   | — |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 97,440 |  |   |   |   | 10.1 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 118.9 |  |   | 59.9 |  |
| ECA Acquisition Holdings, Inc.                                                                                                                 |   | Health Care Equipment & Supplies |   | Mezzanine Debt(7) |   | 16.5 | % |   | 12/14 |   |   |   | 14.3 |  |   | 14.2 |  |   | 14.3 |  |
|                                                                                                                                           |   | Common Stock(1)(7) |   |   |   |   |   | 583 |  |   |   |   | 11.1 |  |   | 12.0 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 25.3 |  |   | 26.3 |  |
| eLynx Holdings, Inc.                                                                                                                           |   | IT Services |   | Senior Debt(7) |   | 7.7 | % |   | 7/13 |   |   |   | 7.5 |  |   | 7.5 |  |   | 7.5 |  |
|                                                                                                                                           |   |   |   | Mezzanine Debt(7) |   | 7.5 | % |   | 7/13 |   |   |   | 4.6 |  |   | 4.6 |  |   | 4.6 |  |
|                                                                                                                                           |   |   |   | Mezzanine Debt(6)(7) |   | 8.2 | % |   | 7/13 |   |   |   | 14.1 |  |   | 10.0 |  |   | 1.4 |  |
|                                                                                                                                           |   |   |   | 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 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 51.2 |  |   | 13.5 |  |
| European Capital Limited(3)                                                                                                                    |   | Diversified Financial Services |   | Subordinated Debt(7) |   | 7.4 | % |   | 12/13 |   |   |   | 63.4 |  |   | 63.3 |  |   | 63.4 |  |
| Ordinary Shares(1)(7)                                                                                                                          |   |   |   |   |   | 431,895,528 |  |   |   |   | 1,267.3 |  |   | 633.7 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 1,330.6 |  |   | 697.1 |  |
| European Touch, LTD. II                                                                                                                        |   | Leisure Equipment & Products |   | Senior Debt(6)(7) |   | 9.0 | % |   | 11/11-1/12 |   |   |   | 0.9 |  |   | 0.9 |  |   | 0.8 |  |
|                                                                                                                                           |   | Mezzanine Debt(6)(7) |   | 12.0 | % |   | 11/11 |   |   |   | 4.0 |  |   | 3.0 |  |   | — |  |
|                                                                                                                                           |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 263 |  |   |   |   | 0.2 |  |   | — |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 1,688 |  |   |   |   | 0.9 |  |   | — |  |
|                                                                                                                                           |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 7,105 |  |   |   |   | 3.7 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 8.7 |  |   | 0.8 |  |
| EXPL Pipeline Holdings LLC                                                                                                                     |   | Oil, Gas & Consumable Fuels |   | Senior Debt(7) |   | 8.0 | % |   | 1/17 |   |   |   | 45.5 |  |   | 45.3 |  |   | 45.5 |  |
|                                                                                                                                           |   |   | Common Membership Units(1)(7) |   |   |   |   |   | 58,297 |  |   |   |   | 44.5 |  |   | 15.7 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 89.8 |  |   | 61.2 |  |
| FL Acquisitions Holdings, Inc.                                                                                                                 |   | Computers & Peripherals |   | Senior Debt(7) |   | 8.3 | % |   | 10/12-10/13 |   |   |   | 40.1 |  |   | 40.0 |  |   | 40.1 |  |
|                                                                                                                                           |   | Mezzanine Debt(7) |   | 18.7 | % |   | 4/14-10/14 |   |   |   | 37.1 |  |   | 36.9 |  |   | 37.1 |  |
|                                                                                                                                           |   |   |   | Mezzanine Debt(6)(7) |   | 22.5 | % |   | 10/14 |   |   |   | 20.4 |  |   | 8.3 |  |   | 2.5 |  |
|                                                                                                                                           |   |   |   | Redeemable Preferred Stock(1) |   |   |   |   |   | 583,000 |  |   |   |   | 0.6 |  |   | — |  |
|                                                                                                                                           |   |   |   | Common Stock(1) |   |   |   |   |   | 129,514 |  |   |   |   | 15.6 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 101.4 |  |   | 79.7 |  |
| Formed Fiber Technologies, Inc.                                                                                                                |   | Auto Components |   | Common Stock(1)(7) |   |   |   |   |   | 31,250 |  |   |   |   | 8.1 |  |   | — |  |
| Fosbel Global Services (LUXCO) S.C.A.(3)                                                                                                       |   | Commercial Services & Supplies |   | Mezzanine Debt(6)(7) |   | 18.7 | % |   | 12/13-12/14 |   |   |   | 61.7 |  |   | 37.9 |  |   | 16.5 |  |
|                                                                                                                                           |   |   | 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 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 59.6 |  |   | 16.5 |  |
| FreeConference.com, Inc.                                                                                                                       |   | Diversified Telecommunication Services |   | Senior Debt(6)(7) |   | 8.5 | % |   | 5/13 |   |   |   | 9.1 |  |   | 8.5 |  |   | 8.7 |  |
|                                                                                                                                           |   |   | Mezzanine Debt(6)(7) |   | 15.0 | % |   | 5/14 |   |   |   | 11.6 |  |   | 8.9 |  |   | — |  |
|                                                                                                                                           |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 14,042,095 |  |   |   |   | 12.7 |  |   | — |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 6,088,229 |  |   |   |   | 2.3 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 32.4 |  |   | 8.7 |  |
| Future Food, Inc.                                                                                                                              |   | Food Products |   | Senior Debt(7) |   | 5.2 | % |   | 11/11 |   |   |   | 1.6 |  |   | 1.6 |  |   | 1.6 |  |
|                                                                                                                                           |   |   |   | Senior Debt(6)(7) |   | 5.2 | % |   | 11/11 |   |   |   | 15.4 |  |   | 14.5 |  |   | 5.8 |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 64,917 |  |   |   |   | 13.0 |  |   | — |  |
|                                                                                                                                           |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 6,500 |  |   |   |   | 1.3 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 30.4 |  |   | 7.4 |  |
| Group Montana, Inc.                                                                                                                            |   | Textiles, Apparel & Luxury Goods |   | Senior Debt(7) |   | 10.6 | % |   | 10/11-1/12 |   |   |   | 27.0 |  |   | 25.6 |  |   | 23.9 |  |
|                                                                                                                                           |   |   |   | Mezzanine Debt(6)(7) |   | 24.5 | % |   | 10/12 |   |   |   | 20.6 |  |   | 6.6 |  |   | — |  |
|                                                                                                                                           |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 4,000 |  |   |   |   | 1.0 |  |   | — |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 2.5 | % |   |   |   | 0.7 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 33.9 |  |   | 23.9 |  |
| Halex Holdings, Inc.                                                                                                                           |   | Construction Materials |   | Senior Debt(6)(7) |   | 12.0 | % |   | 12/14 |   |   |   | 12.4 |  |   | 9.8 |  |   | 6.0 |  |
|                                                                                                                                           |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 25,835,518 |  |   |   |   | 32.9 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 42.7 |  |   | 6.0 |  |
| Hard 8 Games, LLC                                                                                                                              |   | Hotels, Restaurants & Leisure |   | Membership Unit(1)(7) |   |   |   |   |   | 1 |  |   |   |   | 1.5 |  |   | 1.5 |  |
| Kingway Inca Clymer Holdings, Inc.                                                                                                             |   | Building Products |   | Mezzanine Debt(6)(7) |   | 12.3 | % |   | 4/12 |   |   |   | 3.2 |  |   | — |  |   | 1.4 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

----

Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)September 30, 2011(unaudited)(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                                    |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| Lifoam Holdings, Inc.                                                                                                                          |   | Leisure Equipment & Products |   | Senior Debt(7) |   | 10.5 | % |   | 12/14 |   |   |   | 18.7 |  |   | 18.7 |  |   | 18.7 |  |
|                                                                                                                                           |   |   | Mezzanine Debt(7) |   | 8.0 | % |   | 12/14 |   |   |   | 45.9 |  |   | 45.8 |  |   | 45.9 |  |
|                                                                                                                                           |   |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 6,160 |  |   |   |   | 3.4 |  |   | — |  |
|                                                                                                                                           |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 15,797 |  |   |   |   | 12.2 |  |   | 8.4 |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 14,000 |  |   |   |   | 1.4 |  |   | — |  |
|                                                                                                                                           |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 464,242 |  |   |   |   | 2.9 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 84.4 |  |   | 73.0 |  |
| LLSC Holdings Corporation                                                                                                                      |   | Personal Products |   | Senior Debt(7) |   | 6.2 | % |   | 8/12 |   |   |   | 2.7 |  |   | 2.7 |  |   | 2.7 |  |
|                                                                                                                                           |   |   | Mezzanine Debt(7) |   | 12.0 | % |   | 9/13 |   |   |   | 5.5 |  |   | 5.5 |  |   | 5.5 |  |
|                                                                                                                                           |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 7,496 |  |   |   |   | 8.1 |  |   | 8.9 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 16.3 |  |   | 17.1 |  |
| LVI Holdings, LLC                                                                                                                              |   | Professional Services |   | Senior Debt(7) |   | 7.2 | % |   | 6/12 |   |   |   | 2.7 |  |   | 2.7 |  |   | 3.2 |  |
|                                                                                                                                           |   |   |   | Mezzanine Debt(6)(7) |   | 18.0 | % |   | 2/13 |   |   |   | 13.5 |  |   | 8.9 |  |   | 4.2 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 11.6 |  |   | 7.4 |  |
| Medical Billings Holdings, Inc.                                                                                                                |   | IT Services |   | Senior Debt(7) |   | 6.3 | % |   | 9/12 |   |   |   | 0.8 |  |   | 0.8 |  |   | 0.8 |  |
|                                                                                                                                           |   |   | Mezzanine Debt(7) |   | 17.0 | % |   | 9/13 |   |   |   | 11.6 |  |   | 11.5 |  |   | 11.6 |  |
|                                                                                                                                           |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 13,199,000 |  |   |   |   | 13.2 |  |   | 5.4 |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 3,299,582 |  |   |   |   | 3.3 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 28.8 |  |   | 17.8 |  |
| Montgomery Lane, LLC                                                                                                                           |   | Diversified Financial Services |   | Common Membership Units(1)(7) |   |   |   |   |   | 100 |  |   |   |   | 6.6 |  |   | 4.9 |  |
| 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 |   |   |   | 0.3 |  |   | 0.3 |  |   | 0.3 |  |
|                                                                                                                                           |   | Mezzanine Debt(7) |   | 16.4 | % |   | 2/13-2/14 |   |   |   | 29.8 |  |   | 29.7 |  |   | 29.8 |  |
|                                                                                                                                           |   |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 2,485 |  |   |   |   | 1.3 |  |   | 1.3 |  |
|                                                                                                                                           |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 38,192 |  |   |   |   | 13.6 |  |   | 6.2 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 44.9 |  |   | 37.6 |  |
| NECCO Holdings, Inc.                                                                                                                           |   | Food Products |   | Senior Debt(6)(7) |   | 13.5 | % |   | 8/13-11/13 |   |   |   | 37.4 |  |   | 31.9 |  |   | 13.3 |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 782,609 |  |   |   |   | 0.1 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 32.0 |  |   | 13.3 |  |
| NECCO Realty Investments, LLC                                                                                                                  |   | Real Estate |   | Senior Debt(6)(7) |   | 14.0 | % |   | 12/17 |   |   |   | 46.5 |  |   | 32.8 |  |   | 31.0 |  |
|                                                                                                                                           |   |   | Common Membership Units(1)(7) |   |   |   |   |   | 7,450 |  |   |   |   | 4.9 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 37.7 |  |   | 31.0 |  |
| Orchard Brands Corporation                                                                                                                     |   | Internet & Catalog Retail |   | Senior Debt(7) |   | 14.0 | % |   | 4/16 |   |   |   | 14.4 |  |   | 14.4 |  |   | 12.7 |  |
|                                                                                                                                           |   |   | Senior Debt(6)(7) |   | 6.5 | % |   | 4/16 |   |   |   | 68.1 |  |   | 66.1 |  |   | 1.1 |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 73,954 |  |   |   |   | 58.2 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |  |   |   |   |   |   |   |  |   | 138.7 |  |   | 13.8 |  |
| Paradigm Precision Holdings, LLC                                                                                                               |   | Aerospace & Defense |   | Mezzanine Debt(7) |   | 18.1 | % |   | 8/16 |   |   |   | 111.1 |  |   | 100.9 |  |   | 111.1 |  |
|                                                                                                                                           |   |   | Mezzanine Debt(6)(7) |   | 20.0 | % |   | 10/16 |   |   |   | 52.5 |  |   | 29.7 |  |   | 9.0 |  |
|                                                                                                                                           |   |   |   | Common Membership Units(1)(7) |   |   |   |   |   | 478,488 |  |   |   |   | 17.5 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 148.1 |  |   | 120.1 |  |
| PHC Sharp Holdings, Inc.                                                                                                                       |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 10.6 | % |   | 12/12 |   |   |   | 7.1 |  |   | 7.1 |  |   | 7.0 |  |
|                                                                                                                                           |   |   |   | Mezzanine Debt(6)(7) |   | 18.2 | % |   | 12/14 |   |   |   | 23.0 |  |   | 15.4 |  |   | 8.1 |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 367,881 |  |   |   |   | 4.2 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 26.7 |  |   | 15.1 |  |
| PHI Acquisitions, Inc.                                                                                                                         |   | Internet & Catalog Retail |   | Mezzanine Debt(7) |   | 15.3 | % |   | 3/16 |   |   |   | 28.5 |  |   | 28.3 |  |   | 28.5 |  |
|                                                                                                                                           |   |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 36,267 |  |   |   |   | 34.8 |  |   | 46.4 |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 40,295 |  |   |   |   | 3.9 |  |   | 4.6 |  |
|                                                                                                                                           |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 116,065 |  |   |   |   | 11.6 |  |   | 13.3 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 78.6 |  |   | 92.8 |  |
| 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 |   |   |   | 36.7 |  |   | 36.5 |  |   | 36.7 |  |
|                                                                                                                                           |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 94 |  |   |   |   | 0.5 |  |   | 1.4 |  |
|                                                                                                                                           |   |   |   | Membership Units(1)(7) |   |   |   |   |   | 446 |  |   |   |   | 5.6 |  |   | 6.1 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 42.6 |  |   | 44.2 |  |
| Small Smiles Holding Company, LLC                                                                                                              |   | Health Care Providers & Services |   | Senior Debt(6)(7) |   | 5.6 | % |   | 2/15 |   |   |   | 10.1 |  |   | 7.4 |  |   | 3.3 |  |
|                                                                                                                                           |   |   | Preferred Interest(1)(7) |   |   |   |   |   |   |   |   |   | 37.8 |  |   | — |  |
|                                                                                                                                           |   |   |   | Common Interest(1)(7) |   |   |   |   |   | 22.1 | % |   |   |   | 13.8 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 59.0 |  |   | 3.3 |  |
| SMG Holdings, Inc.                                                                                                                             |   | Hotels, Restaurants & Leisure |   | Senior Debt(7) |   | 3.3 | % |   | 7/14 |   |   |   | 5.6 |  |   | 5.6 |  |   | 5.6 |  |
|                                                                                                                                           |   |   | Mezzanine Debt(7) |   | 12.6 | % |   | 6/15 |   |   |   | 135.3 |  |   | 134.7 |  |   | 135.7 |  |
|                                                                                                                                           |   |   |   | Convertible Preferred Stock(1)(7) |   |   |   |   |   | 1,101,673 |  |   |   |   | 140.3 |  |   | 127.2 |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 275,419 |  |   |   |   | 27.5 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 308.1 |  |   | 268.5 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

----

Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)September 30, 2011(unaudited)(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (4)                                                                                                                                    |   | Industry |   | Investments |   | InterestRate (5) |   |   Maturity    Date |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| Specialty Brands of America, Inc.                                                                                                              |   | Food Products |   | Mezzanine Debt(7) |   | 14.0 | % |   | 5/14 |   |   |   | 36.1 |  |   | 35.9 |  |   | 36.1 |  |
|                                                                                                                                           |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 122,017 |  |   |   |   | 11.5 |  |   | 17.2 |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 128,175 |  |   |   |   | 2.3 |  |   | 25.7 |  |
|                                                                                                                                           |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 56,819 |  |   |   |   | 1.4 |  |   | 11.4 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 51.1 |  |   | 90.4 |  |
| Spring Air International, LLC                                                                                                                  |   | Household Durables |   | Common Membership Units(1) |   |   |   |   |   | 49 | % |   |   |   | 2.3 |  |   | — |  |
| TestAmerica Environmental Services, LLC                                                                                                        |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 6.5 | % |   | 12/11-12/12 |   |   |   | 23.0 |  |   | 20.6 |  |   | 21.8 |  |
|                                                                                                                                           |   | Preferred Membership Units(7) |   |   |   |   |   | 20,000 |  |   |   |   | 23.6 |  |   | 16.0 |  |
|                                                                                                                                           |   |   | Common Units(1)(7) |   |   |   |   |   | 490,000 |  |   |   |   | 2.0 |  |   | 18.4 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 46.2 |  |   | 56.2 |  |
| UFG Real Estate Holdings, LLC                                                                                                                  |   | Real Estate |   | Common Membership(1)(7) |   |   |   |   |   |   |   |   |   | — |  |   | 0.9 |  |
| Unique Fabricating Incorporated                                                                                                                |   | Auto Components |   | Senior Debt(7) |   | 14.0 | % |   | 2/15 |   |   |   | 6.2 |  |   | 6.2 |  |   | 6.2 |  |
|                                                                                                                                           |   |   | Redeemable Preferred Stock(1)(7) |   |   |   |   |   | 301,556 |  |   |   |   | 7.9 |  |   | 9.0 |  |
|                                                                                                                                           |   |   |   | Common Stock Warrants(1)(7) |   |   |   |   |   | 6,862 |  |   |   |   | 0.2 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 14.3 |  |   | 15.2 |  |
| Unwired Holdings, Inc.                                                                                                                         |   | Household Durables |   | Senior Debt(7) |   | 8.4 | % |   | 1/12-6/12 |   |   |   | 14.8 |  |   | 14.8 |  |   | 14.8 |  |
|                                                                                                                                           |   |   |   | Mezzanine Debt(7) |   | 14.5 | % |   | 6/12 |   |   |   | 22.6 |  |   | 12.3 |  |   | 23.7 |  |
|                                                                                                                                           |   |   |   | Redeemable Preferred Stock(1) |   |   |   |   |   | 14,630 |  |   |   |   | 14.6 |  |   | — |  |
|                                                                                                                                           |   |   |   | Common Stock(1) |   |   |   |   |   | 126,001 |  |   |   |   | 1.3 |  |   | — |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 43.0 |  |   | 38.5 |  |
| Warner Power, LLC                                                                                                                              |   | Electrical Equipment |   | Mezzanine Debt(7) |   | 14.6 | % |   | 12/12 |   |   |   | 6.0 |  |   | 6.0 |  |   | 6.0 |  |
|                                                                                                                                           |   |   |   | Redeemable Preferred Membership Units(7) |   |   |   |   |   | 3,796,269 |  |   |   |   | 7.2 |  |   | 7.8 |  |
|                                                                                                                                           |   |   |   | Common Membership Units(1)(7) |   |   |   |   |   | 27,400 |  |   |   |   | 1.9 |  |   | 15.2 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 15.1 |  |   | 29.0 |  |
| WIS Holding Company, Inc.                                                                                                                      |   | Commercial Services & Supplies |   | Mezzanine Debt(7) |   | 14.5 | % |   | 1/14 |   |   |   | 88.0 |  |   | 87.6 |  |   | 88.0 |  |
|                                                                                                                                           |   | Convertible Preferred Stock(7) |   |   |   |   |   | 703,406 |  |   |   |   | 102.8 |  |   | 173.0 |  |
|                                                                                                                                           |   |   |   | Common Stock(1)(7) |   |   |   |   |   | 175,853 |  |   |   |   | 17.6 |  |   | 35.2 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   | 208.0 |  |   | 296.2 |  |
|                                                                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| CDO / CLO INVESTMENTS                                                                                                                          |   |   |   |   |   |   |   |   |
| ACAS Wachovia Investments, L.P.                                                                                                                |   | Diversified Financial Services |   | Partnership Interest |   |   |   |   |   | 90 | % |   |   |   | 14.1 |  |   | 5.5 |  |
| Subtotal Control Investments (58% of total investments at fair value)                                                                          |   |   |   |   |   | $ | 4,016.8 |  |   | $ | 3,090.3 |  |
| Total Investment Assets                                                                                                                        |   |   |   |   |   | $ | 7,147.5 |  |   | $ | 5,295.0 |  |

|                                  |
|----------------------------------|
|                                  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| 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 |  |   | $ | 35.8 |  |   | $ | — |  |   | $ | 13.0 |  |
| Subtotal Derivative Assets       |   |   |   |   |   |   |   |   |   |   |   | $ | — |  |   | $ | 13.0 |  |
|                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| DERIVATIVE AGREEMENTS            |   |   |   |   |   |   |   |   |   |   |   |   |
| Wells Fargo Bank, N.A            |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 4.9%/LIBOR |   | 1/14-8/19 |   | 3 |  |   | $ | 268.7 |  |   | $ | — |  |   | $ | (29.8 | ) |
| BMO Financial Group              |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.3%/LIBOR |   | 2/13-8/17 |   | 5 |  |   | 268.4 |  |   | — |  |   | (38.9 | ) |
| Citibank, N.A.                   |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.3%/LIBOR |   | 5/16-11/19 |   | 3 |  |   | 134.9 |  |   | — |  |   | (18.4 | ) |
| UniCredit Group                  |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.7%/LIBOR |   | 7/17 |   | 1 |  |   | 66.0 |  |   | — |  |   | (13.0 | ) |
| Citibank, N.A.                   |   | Balance Differential Swap - Pay Fixed/ Receive Floating(7) |   | 5.2%/LIBOR |   | 11/19 |   | 1 |  |   | 59.8 |  |   | — |  |   | (3.1 | ) |
| Fortis Financial Services, LLC   |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.7%/LIBOR |   | 7/17 |   | 1 |  |   | 22.3 |  |   | — |  |   | (4.5 | ) |
| Subtotal Derivative Liabilities  |   |   |   |   |   |   |   |   |   | $ | — |  |   | $ | (107.7 | ) |
| Total Derivative Agreements, Net |   |   |   |   |   |   |   |   |   | $ | — |  |   | $ | (94.7 | ) |

----

Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)September 30, 2011(unaudited)(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                |  |  |  |  |  |  |  |  |
| Funds                                                                                                                                          |   | Cost |   | FairValue |
| MONEY MARKET FUNDS(7)(9)                                                                                                                       |   |   |
| Federated Tax-Free Obligation Fund                                                                                                             |   | $ | 37.2 |  |   | $ | 37.2 |  |
| Federated Governmental Fund 57                                                                                                                 |   | 31.1 |  |   | 31.1 |  |
| Total Money Market Funds                                                                                                                       |   | $ | 68.3 |  |   | $ | 68.3 |  |

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

----

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 |  |
| 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 |  |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

----

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 |
| 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 |  |
| 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 |  |

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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 |
| 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 |  |
| 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 |  |

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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 |
| 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 |  |
| 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 |  |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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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 |
| 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 |  |
| 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 |  |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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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 |
| 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 |  |
| 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 |  |

----

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 |  |

|                                  |
|----------------------------------|
|                                  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| 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 | ) |

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| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)December 31, 2010(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                    |  |  |  |  |  |  |  |  |
| 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 sheet. |

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

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

|         |                               |
|---------|-------------------------------|
| Note 3. | New Accounting Pronouncements |

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

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|                            |
|----------------------------|
|                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                       | September 30, 2011 |
|                       | Level 1 |   | Level 2 |   | Level 3 |   | Total |
| Senior debt                | $ | — |  |   | $ | — |  |   | $ | 1,125 |  |   | $ | 1,125 |  |
| Mezzanine debt             | — |  |   | — |  |   | 1,514 |  |   | 1,514 |  |
| Preferred equity           | — |  |   | — |  |   | 1,153 |  |   | 1,153 |  |
| Common equity              | — |  |   | 31 |  |   | 1,175 |  |   | 1,206 |  |
| Equity warrants            | — |  |   | — |  |   | 70 |  |   | 70 |  |
| Structured Products        | — |  |   | — |  |   | 227 |  |   | 227 |  |
| Derivative agreements, net | — |  |   | — |  |   | (95 | ) |   | (95 | ) |
| Total                      | $ | — |  |   | $ | 31 |  |   | $ | 5,169 |  |   | $ | 5,200 |  |
|                       |   |   |   |   |   |   |   |
|                       | 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 |  |
| Equity warrants            | — |  |   | — |  |   | 79 |  |   | 79 |  |
| Structured Products        | — |  |   | — |  |   | 199 |  |   | 199 |  |
| Derivative agreements, net | — |  |   | — |  |   | (102 | ) |   | (102 | ) |
| Total                      | $ | — |  |   | $ | — |  |   | $ | 5,373 |  |   | $ | 5,373 |  |

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|                                                                            |
|----------------------------------------------------------------------------|
|                                                                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                       | Senior Debt |   | Mezzanine Debt |   | Preferred Equity |   | Common Equity |   | Equity Warrants |   | Structured Products |   | Derivative Agreements, Net |   | Total |
| Balances, July 1, 2011                                                     | $ | 1,174 |  |   | $ | 1,652 |  |   | $ | 1,162 |  |   | $ | 1,611 |  |   | $ | 79 |  |   | $ | 231 |  |   | $ | (90 | ) |   | $ | 5,819 |  |
| Net realized gain (loss)(1)                                                | (15 | ) |   | (30 | ) |   | 1 |  |   | 94 |  |   | — |  |   | (7 | ) |   | (10 | ) |   | 33 |  |
| Reversal of prior period net (appreciation) depreciation on realization(2) | 16 |  |   | 28 |  |   | — |  |   | (60 | ) |   | — |  |   | 6 |  |   | 9 |  |   | (1 | ) |
| Net unrealized appreciation (depreciation)(2)(3)                           | (54 | ) |   | (118 | ) |   | (15 | ) |   | (348 | ) |   | (9 | ) |   | 6 |  |   | (14 | ) |   | (552 | ) |
| Purchases(4)                                                               | 40 |  |   | 82 |  |   | 6 |  |   | — |  |   | 1 |  |   | — |  |   | — |  |   | 129 |  |
| Sales(5)                                                                   | — |  |   | (10 | ) |   | (1 | ) |   | (122 | ) |   | (1 | ) |   | — |  |   | — |  |   | (134 | ) |
| Settlements, net(6)                                                        | (36 | ) |   | (90 | ) |   | — |  |   | — |  |   | — |  |   | (9 | ) |   | 10 |  |   | (125 | ) |
| Balances, September 30, 2011                                               | $ | 1,125 |  |   | $ | 1,514 |  |   | $ | 1,153 |  |   | $ | 1,175 |  |   | $ | 70 |  |   | $ | 227 |  |   | $ | (95 | ) |   | $ | 5,169 |  |

|                                                                            |
|----------------------------------------------------------------------------|
|                                                                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                       | Senior Debt |   | Mezzanine Debt |   | Preferred Equity |   | Common Equity |   | Equity Warrants |   | Structured Products |   | Derivative Agreements, Net |   | Total |
| Balances, July 1, 2010                                                     | $ | 1,692 |  |   | $ | 1,933 |  |   | $ | 1,084 |  |   | $ | 699 |  |   | $ | 71 |  |   | $ | 149 |  |   | $ | (117 | ) |   | $ | 5,511 |  |
| Net realized (loss) gain(1)                                                | (2 | ) |   | (5 | ) |   | (8 | ) |   | 1 |  |   | 2 |  |   | (42 | ) |   | (14 | ) |   | (68 | ) |
| Reversal of prior period net depreciation (appreciation) on realization(2) | 3 |  |   | 2 |  |   | (3 | ) |   | 3 |  |   | (2 | ) |   | 41 |  |   | 14 |  |   | 58 |  |
| Net unrealized (depreciation) appreciation(2)(3)                           | (68 | ) |   | (4 | ) |   | 52 |  |   | 128 |  |   | 4 |  |   | 11 |  |   | (23 | ) |   | 100 |  |
| Purchases, sales, issuances & settlements, net(7)                      | (114 | ) |   | (58 | ) |   | (53 | ) |   | (9 | ) |   | (1 | ) |   | (6 | ) |   | 14 |  |   | (227 | ) |
| Balances, September 30, 2010                                               | $ | 1,511 |  |   | $ | 1,868 |  |   | $ | 1,072 |  |   | $ | 822 |  |   | $ | 74 |  |   | $ | 153 |  |   | $ | (126 | ) |   | $ | 5,374 |  |

|     |                                                                                                                                                                                                                                                                                                                                                           |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Included in net realized (loss) gain on investments in the consolidated statements of operations. Excludes gain (loss) on realized foreign currency transactions on American Capital assets and liabilities that are denominated in a foreign currency. Also, excludes realized gain (loss) from other assets and liabilities not measured at fair value. |

|     |                                                                                                                     |
|-----|---------------------------------------------------------------------------------------------------------------------|
| (2) | Included in net unrealized (depreciation) 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 payment-in-kind (“PIK”) interest or cumulative dividends and 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 and termination 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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|                                                                            |
|----------------------------------------------------------------------------|
|                                                                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                       | Senior Debt |   | Mezzanine Debt |   | Preferred Equity |   | Common Equity |   | Equity Warrants |   | Structured Products |   | Derivative Agreements, Net |   | Total |
| Balances, January 1, 2011                                                  | $ | 1,282 |  |   | $ | 1,783 |  |   | $ | 1,134 |  |   | $ | 998 |  |   | $ | 79 |  |   | $ | 199 |  |   | $ | (102 | ) |   | $ | 5,373 |  |
| Net realized gain (loss)(1)                                                | (178 | ) |   | (29 | ) |   | (5 | ) |   | 90 |  |   | 1 |  |   | (64 | ) |   | (37 | ) |   | (222 | ) |
| Reversal of prior period net (appreciation) depreciation on realization(2) | 182 |  |   | 29 |  |   | 2 |  |   | (55 | ) |   | — |  |   | 63 |  |   | 32 |  |   | 253 |  |
| Net unrealized appreciation (depreciation)(2)(3)                           | (25 | ) |   | (147 | ) |   | 4 |  |   | 284 |  |   | (10 | ) |   | 53 |  |   | (24 | ) |   | 135 |  |
| Purchases(4)                                                               | 84 |  |   | 168 |  |   | 68 |  |   | 3 |  |   | 1 |  |   | — |  |   | — |  |   | 324 |  |
| Sales(5)                                                                   | (7 | ) |   | (10 | ) |   | (88 | ) |   | (145 | ) |   | (1 | ) |   | — |  |   | — |  |   | (251 | ) |
| Settlements, net(6)                                                        | (213 | ) |   | (280 | ) |   | 38 |  |   | — |  |   | — |  |   | (24 | ) |   | 36 |  |   | (443 | ) |
| Balances, September 30, 2011                                               | $ | 1,125 |  |   | $ | 1,514 |  |   | $ | 1,153 |  |   | $ | 1,175 |  |   | $ | 70 |  |   | $ | 227 |  |   | $ | (95 | ) |   | $ | 5,169 |  |

|                                                             |
|-------------------------------------------------------------|
|                                                             |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                        | Senior Debt |   | Mezzanine Debt |   | Preferred Equity |   | Common Equity |   | Equity Warrants |   | Structured Products |   | Derivative Agreements, Net |   | Total |
| Balances, January 1, 2010                                   | $ | 1,791 |  |   | $ | 1,938 |  |   | $ | 1,049 |  |   | $ | 510 |  |   | $ | 54 |  |   | $ | 167 |  |   | $ | (113 | ) |   | $ | 5,396 |  |
| Net realized loss(1)                                        | (17 | ) |   | (29 | ) |   | (38 | ) |   | (91 | ) |   | (3 | ) |   | (274 | ) |   | (60 | ) |   | (512 | ) |
| Reversal of prior period net depreciation on realization(2) | 28 |  |   | 14 |  |   | 36 |  |   | 101 |  |   | 3 |  |   | 274 |  |   | 60 |  |   | 516 |  |
| Net unrealized (depreciation) appreciation(2)(3)            | (20 | ) |   | 91 |  |   | 110 |  |   | 351 |  |   | 21 |  |   | (4 | ) |   | (73 | ) |   | 476 |  |
| Purchases, sales, issuances & settlements, net(7)       | (271 | ) |   | (146 | ) |   | (85 | ) |   | (49 | ) |   | (1 | ) |   | (10 | ) |   | 60 |  |   | (502 | ) |
| Balances, September 30, 2010                                | $ | 1,511 |  |   | $ | 1,868 |  |   | $ | 1,072 |  |   | $ | 822 |  |   | $ | 74 |  |   | $ | 153 |  |   | $ | (126 | ) |   | $ | 5,374 |  |

|     |                                                                                                                                                                                                                                                                                                                                                           |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Included in net realized gain (loss) on investments in the consolidated statements of operations. Excludes gain (loss) on realized foreign currency transactions on American Capital assets and liabilities that are denominated in a foreign currency. Also, excludes realized gain (loss) from other assets and liabilities not measured at fair value. |

|     |                                                                                                                     |
|-----|---------------------------------------------------------------------------------------------------------------------|
| (2) | Included in net unrealized (depreciation) 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 and 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 and termination 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. |

----

Table of Contents

|                     |
|---------------------|
|                     |  |  |  |  |  |
|                | September 30, 2011 |   | December 31, 2010 |
| Cost                |   |   |   |
| Senior debt         | 18.0 | % |   | 21.6 | % |
| Mezzanine debt      | 24.7 | % |   | 25.0 | % |
| Preferred equity    | 22.3 | % |   | 20.5 | % |
| Common equity       | 26.5 | % |   | 23.9 | % |
| Equity warrants     | 1.3 | % |   | 1.2 | % |
| Structured Products | 7.2 | % |   | 7.8 | % |
| Total               | 100.0 | % |   | 100.0 | % |
|                |   |   |   |
| Fair Value          |   |   |   |
| Senior debt         | 21.2 | % |   | 23.5 | % |
| Mezzanine debt      | 28.6 | % |   | 32.6 | % |
| Preferred equity    | 21.8 | % |   | 20.7 | % |
| Common equity       | 22.8 | % |   | 18.2 | % |
| Equity warrants     | 1.3 | % |   | 1.4 | % |
| Structured Products | 4.3 | % |   | 3.6 | % |
| Total               | 100.0 | % |   | 100.0 | % |

----

Table of Contents

|                                                  |
|--------------------------------------------------|
|                                                  |  |  |  |  |  |
|                                             | September 30, 2011 |   | December 31, 2010 |
| Cost                                             |   |   |   |
| Commercial Services and Supplies                 | 11.4 | % |   | 10.1 | % |
| Household Durables                               | 8.2 | % |   | 7.6 | % |
| Real Estate and Real Estate Investment Trusts    | 7.1 | % |   | 7.1 | % |
| Life Sciences Tools and Services                 | 6.8 | % |   | 5.8 | % |
| Hotels, Restaurants and Leisure                  | 5.5 | % |   | 4.9 | % |
| Electrical Equipment                             | 5.0 | % |   | 4.5 | % |
| Health Care Providers and Services               | 4.7 | % |   | 5.1 | % |
| Food Products                                    | 4.2 | % |   | 3.8 | % |
| Internet and Catalog Retail                      | 3.9 | % |   | 6.0 | % |
| IT Services                                      | 3.4 | % |   | 3.7 | % |
| Professional Services                            | 3.1 | % |   | 3.3 | % |
| Auto Components                                  | 3.1 | % |   | 4.2 | % |
| Leisure Equipment and Products                   | 2.8 | % |   | 2.7 | % |
| Computers and Peripherals                        | 2.8 | % |   | 2.5 | % |
| Diversified Financial Services                   | 2.6 | % |   | 2.7 | % |
| Aerospace and Defense                            | 2.6 | % |   | 2.2 | % |
| Pharmaceuticals                                  | 2.5 | % |   | 2.5 | % |
| Electronic Equipment, Instruments and Components | 2.4 | % |   | 2.1 | % |
| Construction and Engineering                     | 2.3 | % |   | 2.0 | % |
| Building Products                                | 2.1 | % |   | 2.3 | % |
| Diversified Consumer Services                    | 2.0 | % |   | 1.8 | % |
| Health Care Equipment and Supplies               | 1.9 | % |   | 2.6 | % |
| Oil, Gas and Consumable Fuels                    | 1.6 | % |   | 1.5 | % |
| Other                                            | 8.0 | % |   | 9.0 | % |
| Total                                            | 100.0 | % |   | 100.0 | % |

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Table of Contents

|                                                  |
|--------------------------------------------------|
|                                                  |  |  |  |  |  |
|                                             | September 30, 2011 |   | December 31, 2010 |
| Fair Value                                       |   |   |   |
| Commercial Services and Supplies                 | 16.3 | % |   | 13.6 | % |
| Electrical Equipment                             | 8.1 | % |   | 7.0 | % |
| Capital Markets                                  | 7.0 | % |   | 3.2 | % |
| Hotels, Restaurants and Leisure                  | 6.1 | % |   | 5.6 | % |
| Health Care Providers and Services               | 5.3 | % |   | 5.6 | % |
| Life Sciences Tools and Services                 | 4.1 | % |   | 3.3 | % |
| Professional Services                            | 4.0 | % |   | 3.9 | % |
| Food Products                                    | 3.3 | % |   | 2.9 | % |
| IT Services                                      | 3.1 | % |   | 4.2 | % |
| Construction and Engineering                     | 3.1 | % |   | 2.4 | % |
| Electronic Equipment, Instruments and Components | 3.1 | % |   | 2.8 | % |
| Pharmaceuticals                                  | 2.9 | % |   | 3.0 | % |
| Real Estate and Real Estate Investment Trusts    | 2.8 | % |   | 1.7 | % |
| Aerospace and Defense                            | 2.7 | % |   | 1.7 | % |
| Auto Components                                  | 2.6 | % |   | 4.0 | % |
| Computers and Peripherals                        | 2.6 | % |   | 2.5 | % |
| Diversified Consumer Services                    | 2.5 | % |   | 2.2 | % |
| Health Care Equipment and Supplies               | 2.4 | % |   | 4.2 | % |
| Internet and Catalog Retail                      | 2.4 | % |   | 3.2 | % |
| Building Products                                | 2.4 | % |   | 2.7 | % |
| Leisure Equipment and Products                   | 2.3 | % |   | 2.4 | % |
| Household Durables                               | 1.9 | % |   | 6.8 | % |
| Diversified Financial Services                   | 1.4 | % |   | 1.9 | % |
| Other                                            | 7.6 | % |   | 9.2 | % |
| Total                                            | 100.0 | % |   | 100.0 | % |

----

Table of Contents

|               |
|---------------|
|               |  |  |  |  |  |
|          | September 30, 2011 |   | December 31, 2010 |
| Cost          |   |   |   |
| International | 22.9 | % |   | 20.9 | % |
| Southwest     | 21.6 | % |   | 21.6 | % |
| Mid-Atlantic  | 19.6 | % |   | 18.9 | % |
| Northeast     | 13.2 | % |   | 14.7 | % |
| Southeast     | 9.8 | % |   | 10.0 | % |
| South-Central | 8.3 | % |   | 8.0 | % |
| North-Central | 4.0 | % |   | 5.4 | % |
| Northwest     | 0.6 | % |   | 0.5 | % |
| Total         | 100.0 | % |   | 100.0 | % |
|          |   |   |   |
| Fair Value    |   |   |   |
| Mid-Atlantic  | 26.0 | % |   | 20.5 | % |
| Southwest     | 24.4 | % |   | 24.9 | % |
| International | 16.1 | % |   | 14.8 | % |
| Southeast     | 12.6 | % |   | 12.3 | % |
| Northeast     | 11.5 | % |   | 14.8 | % |
| North-Central | 4.6 | % |   | 6.0 | % |
| South-Central | 4.2 | % |   | 6.2 | % |
| Northwest     | 0.6 | % |   | 0.5 | % |
| Total         | 100.0 | % |   | 100.0 | % |

|         |            |
|---------|------------|
| Note 5. | Borrowings |

|                                                              |
|--------------------------------------------------------------|
|                                                              |  |  |  |  |  |  |  |
|                                                         | September 30, 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         | 31 |  |   | 115 |  |
| ACAS Business Loan Trust 2005-1 asset securitization         | 287 |  |   | 472 |  |
| ACAS Business Loan Trust 2006-1 asset securitization         | 221 |  |   | 274 |  |
| ACAS Business Loan Trust 2007-1 asset securitization         | 160 |  |   | 208 |  |
| ACAS Business Loan Trust 2007-2 asset securitization         | 109 |  |   | 179 |  |
| Total                                                        | $ | 1,519 |  |   | $ | 2,259 |  |

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----

Table of Contents

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

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

----

Table of Contents

|                                                              |
|--------------------------------------------------------------|
|                                                              |  |
| Facility                                                     | Interest Rate |
| 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 6. | Derivative Agreements |

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Table of Contents

|         |                    |
|---------|--------------------|
| Note 7. | Earnings Per Share |

----

Table of Contents

|         |             |
|---------|-------------|
| Note 8. | Commitments |

|                                                                   |
|-------------------------------------------------------------------|
|                                                                   |  |  |  |  |  |
|                                                              | September 30, |
|                                                              | 2011 |   | 2010 |
| Common stock outstanding at beginning of period                   | 342.4 |  |   | 280.9 |  |
| Issuance of common stock                                          | — |  |   | 58.3 |  |
| Issuance of common stock under stock option plans                 | 2.4 |  |   | 0.6 |  |
| Repurchase of common stock                                        | (9.1 | ) |   | — |  |
| Distribution of common stock held in deferred compensation trusts | 1.3 |  |   | 1.2 |  |
| Common stock outstanding at end of period                         | 337.0 |  |   | 341.0 |  |

----

Table of Contents

|          |              |
|----------|--------------|
| Note 10. | Income Taxes |

----

Table of Contents

|                                                     |
|-----------------------------------------------------|
|                                                     |  |  |  |
| Deferred tax assets:                                |   |
| Net operating loss carryforwards                    | $ | 36 |  |
| Net unrealized depreciation of ordinary investments | 297 |  |
| Basis differences in ordinary investments           | 103 |  |
| Stock-based compensation                            | 59 |  |
| Other                                               | 8 |  |
| Total ordinary deferred tax assets                  | 503 |  |
| Net capital loss carryforwards                      | 196 |  |
| Net unrealized depreciation of capital investments  | 461 |  |
| Basis differences in capital investments            | 185 |  |
| Total capital deferred tax assets                   | 842 |  |
| Total deferred tax assets                           | 1,345 |  |
| Less valuation allowance                            | (1,336 | ) |
| Total deferred tax assets less valuation allowance  | 9 |  |
| Deferred tax liabilities:                           |   |
| Other                                               | (9 | ) |
| Total deferred tax liabilities                      | (9 | ) |
| Total net deferred tax asset                        | $ | — |  |

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Table of Contents

|                                                      |
|------------------------------------------------------|
|                                                      |  |  |  |  |  |  |  |
|                                                 | Three Months Ended September 30, 2011 |   | Nine Months Ended September 30, 2011 |
| Tax on income computed at federal statutory tax rate | $ | (163 | ) |   | $ | 133 |  |
| State taxes, net of federal tax benefit              | (21 | ) |   | 13 |  |
| Conversion to a taxable corporation                  | — |  |   | (1,481 | ) |
| Valuation allowance                                  | 184 |  |   | 1,336 |  |
| Other                                                | — |  |   | (1 | ) |
| Effective income tax                                 | $ | — |  |   | $ | — |  |

|          |                                |
|----------|--------------------------------|
| Note 11. | Investment in European Capital |

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Table of Contents

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

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|                                                                              |
|------------------------------------------------------------------------------|
|                                                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                         | Three Months Ended September 30, |   | Nine Months Ended September 30, |
|                                                                         | 2011 |   | 2010 |   | 2011 |   | 2010 |
| Financing for private equity buyouts                                         | $ | 15 |  |   | $ | — |  |   | $ | 15 |  |   | $ | 35 |  |
| Investments in managed funds                                                 | 40 |  |   | — |  |   | 40 |  |   | — |  |
| Direct and other investments                                                 | — |  |   | — |  |   | 14 |  |   | — |  |
| American Capital buyouts                                                     | 1 |  |   | — |  |   | 1 |  |   | — |  |
| Add-on financing for growth and working capital                              | 13 |  |   | 1 |  |   | 112 |  |   | 2 |  |
| Add-on financing for working capital in distressed situations                | 2 |  |   | 8 |  |   | 21 |  |   | 28 |  |
| Add-on financing for acquisitions                                            | 57 |  |   | 22 |  |   | 58 |  |   | 22 |  |
| Add-on financing for recapitalizations, not including distressed investments | — |  |   | — |  |   | 25 |  |   | 80 |  |
| Add-on financing for purchase of debt of a portfolio company                 | — |  |   | 32 |  |   | — |  |   | 32 |  |
|        Total                              | $ | 128 |  |   | $ | 63 |  |   | $ | 286 |  |   | $ | 199 |  |

|                                                                                 |
|---------------------------------------------------------------------------------|
|                                                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                            | Three Months Ended September 30, |   | Nine Months Ended September 30, |
|                                                                            | 2011 |   | 2010 |   | 2011 |   | 2010 |
| Sale of equity investments                                                      | $ | 127 |  |   | $ | 75 |  |   | $ | 218 |  |   | $ | 169 |  |
| Principal prepayments                                                           | 96 |  |   | 181 |  |   | 359 |  |   | 543 |  |
| Payment of accrued PIK notes and dividend and accreted original issue discounts | 16 |  |   | 17 |  |   | 89 |  |   | 44 |  |
| Scheduled principal amortization                                                | 11 |  |   | 7 |  |   | 28 |  |   | 23 |  |
| Loan syndications and sales                                                     | 10 |  |   | 25 |  |   | 16 |  |   | 40 |  |
| Total                                                                           | $ | 260 |  |   | $ | 305 |  |   | $ | 710 |  |   | $ | 819 |  |

----

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|                         |
|-------------------------|
|                         |  |  |  |  |  |  |  |  |  |  |  |  |
|                    |   | European Capital |   | AGNC |   | MTGE |   | ACE I |   | ACE II |   | ACAS CLO-1 |
| Fund type               |   | Private Equity Fund |   | Publicly Traded REIT  - NASDAQ ("AGNC") |   | Publicly Traded REIT  - NASDAQ ("MTGE") |   | Private Equity Fund |   | Private Equity Fund |   | CLO |
| Established             |   | 2005 |   | 2008 |   | 2011 |   | 2006 |   | 2007 |   | 2006 |
| Assets under management |   | $1.6 Billion |   | $47.0 Billion |   | $1.9 Billion |   | $0.5 Billion |   | $0.2 Billion |   | $0.4 Billion |
| Investment types        |   | Senior & Mezzanine Debt,Equity, Structured Products |   | Agency Securities |   | Mortgage Securities |   | Equity |   | Equity |   | Senior Debt |
| Capital type            |   | Permanent |   | Permanent |   | Permanent |   | Finite Life |   | Finite Life |   | Finite Life |

----

Table of Contents

|         |                                                                                                                                                                                                                                                                                                                                                           |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | 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 US dollar. |

|                                                           |
|-----------------------------------------------------------|
|                                                           |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                      | Three Months Ended September 30, |   | Nine Months Ended September 30, |
|                                                      | 2011 |   | 2010 |   | 2011 |   | 2010 |
| Operating income                                          | $ | 130 |  |   | $ | 142 |  |   | $ | 431 |  |   | $ | 457 |  |
| Operating expenses                                        | 65 |  |   | 83 |  |   | 212 |  |   | 320 |  |
| Net operating income                                      | 65 |  |   | 59 |  |   | 219 |  |   | 137 |  |
| Net realized gain (loss) on investments                   | 33 |  |   | (68 | ) |   | (218 | ) |   | (514 | ) |
| Net realized earnings (loss)                              | 98 |  |   | (9 | ) |   | 1 |  |   | (377 | ) |
| Net unrealized (depreciation) appreciation of investments | (562 | ) |   | 158 |  |   | 379 |  |   | 994 |  |
| Net (loss) earnings                                       | $ | (464 | ) |   | $ | 149 |  |   | $ | 380 |  |   | $ | 617 |  |

----

Table of Contents

|                                                                                    |
|------------------------------------------------------------------------------------|
|                                                                                    |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                               | Three Months Ended September 30, |   | Nine Months Ended September 30, |
|                                                                               | 2011 |   | 2010 |   | 2011 |   | 2010 |
| Interest income on debt investments                                                | $ | 84 |  |   | $ | 99 |  |   | $ | 258 |  |   | $ | 330 |  |
| Interest income on Structured Products investments                                 | 14 |  |   | 10 |  |   | 41 |  |   | 41 |  |
| Dividend income                                                                    | 18 |  |   | 15 |  |   | 94 |  |   | 40 |  |
| Interest income on bank deposits                                                   | 1 |  |   | 1 |  |   | 1 |  |   | 2 |  |
| Interest and dividend income                                                       | 117 |  |   | 125 |  |   | 394 |  |   | 413 |  |
| Portfolio company advisory and administrative fees                                 | 2 |  |   | 3 |  |   | 11 |  |   | 14 |  |
| Fund asset management fees and reimbursements                                      | 5 |  |   | 5 |  |   | 15 |  |   | 13 |  |
| Other fees                                                                         | 6 |  |   | 9 |  |   | 11 |  |   | 17 |  |
| Fee income                                                                         | 13 |  |   | 17 |  |   | 37 |  |   | 44 |  |
|           Total operating income | $ | 130 |  |   | $ | 142 |  |   | $ | 431 |  |   | $ | 457 |  |

|                                                                        |
|------------------------------------------------------------------------|
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                   | Three Months Ended September 30, |   | Nine Months Ended September 30, |
|                                                                   | 2011 |   | 2010 |   | 2011 |   | 2010 |
| Debt investments(1)                                                    | $ | 3,099 |  |   | $ | 4,055 |  |   | $ | 3,283 |  |   | $ | 4,242 |  |
| Effective interest rate on debt investments(1)                         | 10.9 | % |   | 9.8 | % |   | 10.5 | % |   | 10.4 | % |
| Structured Products investments(1)                                     | $ | 523 |  |   | $ | 645 |  |   | $ | 565 |  |   | $ | 793 |  |
| Effective interest rate on Structured Products investments(1)          | 10.9 | % |   | 6.4 | % |   | 9.7 | % |   | 7.0 | % |
| Debt and Structured Products investments(1)                            | $ | 3,622 |  |   | $ | 4,700 |  |   | $ | 3,848 |  |   | $ | 5,035 |  |
| Effective interest rate on debt and Structured Products investments(1) | 10.9 | % |   | 9.3 | % |   | 10.4 | % |   | 9.8 | % |
| Average monthly one-month LIBOR                                        | 0.2 | % |   | 0.3 | % |   | 0.2 | % |   | 0.3 | % |
| Average non-accrual debt investments at cost(2)                        | $ | 544 |  |   | $ | 716 |  |   | $ | 613 |  |   | $ | 728 |  |
| Equity investments(1)                                                  | $ | 3,576 |  |   | $ | 3,591 |  |   | $ | 3,539 |  |   | $ | 3,689 |  |
| Effective dividend yield on equity investments(1)                      | 1.9 | % |   | 1.7 | % |   | 3.5 | % |   | 1.5 | % |
| Debt, Structured Products and equity investments(1)                    | $ | 7,198 |  |   | $ | 8,291 |  |   | $ | 7,387 |  |   | $ | 8,724 |  |
| Effective yield on debt, Structured Products and equity investments(1) | 6.5 | % |   | 6.0 | % |   | 7.1 | % |   | 6.3 | % |

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

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

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|                                                 |
|-------------------------------------------------|
|                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                            | Three Months Ended September 30, |   | Nine Months Ended September 30, |
|                                            | 2011 |   | 2010 |   | 2011 |   | 2010 |
| Interest                                        | $ | 20 |  |   | $ | 36 |  |   | $ | 69 |  |   | $ | 149 |  |
| Salaries, benefits and stock-based compensation | 33 |  |   | 31 |  |   | 107 |  |   | 99 |  |
| General and administrative                      | 12 |  |   | 16 |  |   | 36 |  |   | 51 |  |
| Debt refinancing costs                          | — |  |   | — |  |   | — |  |   | 21 |  |
| Total operating expenses                        | $ | 65 |  |   | $ | 83 |  |   | $ | 212 |  |   | $ | 320 |  |

|                                                                                    |
|------------------------------------------------------------------------------------|
|                                                                                    |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                               | Three Months Ended September 30, |   | Nine Months Ended September 30, |
|                                                                               | 2011 |   | 2010 |   | 2011 |   | 2010 |
| Asset Securitizations:                                                             |   |   |   |   |   |   |   |
| Cash interest expense                                                              | $ | 1 |  |   | $ | 3 |  |   | $ | 6 |  |   | $ | 9 |  |
| Amortization of deferred financing costs                                           | 1 |  |   | 1 |  |   | 3 |  |   | 3 |  |
| Total interest expense                                                             | $ | 2 |  |   | $ | 4 |  |   | $ | 9 |  |   | $ | 12 |  |
|                                                                               |   |   |   |   |   |   |   |
| Weighted average interest rate, including amortization of deferred financing costs | 1.2 | % |   | 1.2 | % |   | 1.2 | % |   | 1.0 | % |
| Weighted average interest rate, excluding amortization of deferred financing costs | 0.9 | % |   | 0.9 | % |   | 0.9 | % |   | 0.8 | % |
| Weighted average balance outstanding                                               | $ | 850 |  |   | $ | 1,481 |  |   | $ | 978 |  |   | $ | 1,613 |  |
|                                                                               |   |   |   |   |   |   |   |
| Public and Private Borrowings:                                                     |   |   |   |   |   |   |   |
| Cash interest expense                                                              | $ | 15 |  |   | $ | 28 |  |   | $ | 46 |  |   | $ | 131 |  |
| Amortization of deferred financing costs                                           | 3 |  |   | 4 |  |   | 14 |  |   | 6 |  |
| Total interest expense                                                             | $ | 18 |  |   | $ | 32 |  |   | $ | 60 |  |   | $ | 137 |  |
|                                                                               |   |   |   |   |   |   |   |
| Weighted average interest rate, including amortization of deferred financing costs | 9.7 | % |   | 10.2 | % |   | 10.4 | % |   | 9.3 | % |
| Weighted average interest rate, excluding amortization of deferred financing costs | 8.0 | % |   | 8.9 | % |   | 7.9 | % |   | 8.9 | % |
| Weighted average balance outstanding                                               | $ | 710 |  |   | $ | 1,234 |  |   | $ | 767 |  |   | $ | 1,962 |  |
|                                                                               |   |   |   |   |   |   |   |
| Total Borrowings:                                                                  |   |   |   |   |   |   |   |
| Cash interest expense                                                              | $ | 16 |  |   | $ | 31 |  |   | $ | 52 |  |   | $ | 140 |  |
| Amortization of deferred financing costs                                           | 4 |  |   | 5 |  |   | 17 |  |   | 9 |  |
| Total interest expense                                                             | $ | 20 |  |   | $ | 36 |  |   | $ | 69 |  |   | $ | 149 |  |
|                                                                               |   |   |   |   |   |   |   |
| Weighted average interest rate, including amortization of deferred financing costs | 5.1 | % |   | 5.3 | % |   | 5.2 | % |   | 5.6 | % |
| Weighted average interest rate, excluding amortization of deferred financing costs | 4.1 | % |   | 4.6 | % |   | 4.0 | % |   | 5.2 | % |
| Weighted average balance outstanding                                               | $ | 1,560 |  |   | $ | 2,715 |  |   | $ | 1,745 |  |   | $ | 3,575 |  |

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|                                                       |
|-------------------------------------------------------|
|                                                       |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                  | Three Months Ended September 30, |   | Nine Months Ended September 30, |
|                                                  | 2011 |   | 2010 |   | 2011 |   | 2010 |
| Base salaries                                         | $ | 14 |  |   | $ | 13 |  |   | $ | 40 |  |   | $ | 41 |  |
| Incentive compensation                                | 4 |  |   | 7 |  |   | 26 |  |   | 20 |  |
| Benefits                                              | 2 |  |   | 2 |  |   | 8 |  |   | 8 |  |
| Stock-based compensation                              | 13 |  |   | 9 |  |   | 33 |  |   | 30 |  |
| Total salaries, benefits and stock-based compensation | $ | 33 |  |   | $ | 31 |  |   | $ | 107 |  |   | $ | 99 |  |

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|                                                                   |
|-------------------------------------------------------------------|
|                                                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                              | Three Months Ended September 30, |   | Nine Months Ended September 30, |
|                                                              | 2011 |   | 2010 |   | 2011 |   | 2010 |
| VP Acquisition Holdings, Inc.                                     | $ | 93 |  |   | $ | — |  |   | $ | 93 |  |   | $ | — |  |
| Other, net                                                        | 3 |  |   | 11 |  |   | 19 |  |   | 29 |  |
| Total gross realized portfolio gain                               | 96 |  |   | 11 |  |   | 112 |  |   | 29 |  |
|                                                              |   |   |   |   |   |   |   |
| Small Smiles Holding Company, LLC                                 | (19 | ) |   | — |  |   | (19 | ) |   | — |  |
| Orchard Brands Corporation                                        | (15 | ) |   | — |  |   | (174 | ) |   | — |  |
| Citigroup Commercial Mortgage Securities Trust 2007-C6            | (7 | ) |   | — |  |   | (21 | ) |   | — |  |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11 | — |  |   | — |  |   | (25 | ) |   | — |  |
| ACAS CRE CDO 2007-1, Ltd.                                         | — |  |   | — |  |   | — |  |   | (170 | ) |
| UFG Member, LLC                                                   | — |  |   | (3 | ) |   | — |  |   | (81 | ) |
| GS Mortgage Securities Trust 2007-GG10                            | — |  |   | (33 | ) |   | — |  |   | (49 | ) |
| Fountainhead Estate Holding Corp.                                 | — |  |   | — |  |   | — |  |   | (25 | ) |
| ETG Holdings, Inc.                                                | — |  |   | — |  |   | — |  |   | (22 | ) |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C32          | — |  |   | — |  |   | — |  |   | (19 | ) |
| Resort Funding Holdings, Inc.                                     | — |  |   | — |  |   | — |  |   | (18 | ) |
| CCRD Operating Company, Inc.                                      | — |  |   | (17 | ) |   | — |  |   | (17 | ) |
| Genband Inc.                                                      | — |  |   | — |  |   | — |  |   | (15 | ) |
| Other, net                                                        | (11 | ) |   | (12 | ) |   | (54 | ) |   | (65 | ) |
| Total gross realized portfolio loss                               | (52 | ) |   | (65 | ) |   | (293 | ) |   | (481 | ) |
| Total net realized portfolio gain (loss)                          | $ | 44 |  |   | $ | (54 | ) |   | $ | (181 | ) |   | $ | (452 | ) |
| Interest rate derivative periodic interest payments, net          | (9 | ) |   | (14 | ) |   | (34 | ) |   | (46 | ) |
| Interest rate derivative termination payments                     | (1 | ) |   | — |  |   | (3 | ) |   | (14 | ) |
| Foreign currency transactions                                     | (1 | ) |   | — |  |   | — |  |   | (2 | ) |
| Total net realized gain (loss)                                    | $ | 33 |  |   | $ | (68 | ) |   | $ | (218 | ) |   | $ | (514 | ) |

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|                                                                                             |
|---------------------------------------------------------------------------------------------|
|                                                                                             |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                        | Three Months Ended September 30, |   | Nine Months Ended September 30, |
|                                                                                        | 2011 |   | 2010 |   | 2011 |   | 2010 |
| Gross unrealized appreciation of private finance portfolio investments                      | $ | 82 |  |   | $ | 135 |  |   | $ | 330 |  |   | $ | 483 |  |
| Gross unrealized depreciation of private finance portfolio investments                      | (285 | ) |   | (145 | ) |   | (428 | ) |   | (243 | ) |
| Net unrealized (depreciation) appreciation of private finance portfolio investments         | (203 | ) |   | (10 | ) |   | (98 | ) |   | 240 |  |
| Net unrealized (depreciation) appreciation of European Capital investment                   | (248 | ) |   | 44 |  |   | 22 |  |   | 251 |  |
| Net unrealized appreciation (depreciation) of European Capital foreign currency translation | 25 |  |   | (88 | ) |   | (30 | ) |   | 75 |  |
| Net unrealized (depreciation) appreciation of American Capital, LLC                         | (47 | ) |   | 26 |  |   | 169 |  |   | 62 |  |
| Net unrealized appreciation (depreciation) of Structured Products investments               | 6 |  |   | 12 |  |   | 53 |  |   | (4 | ) |
| Reversal of prior period net unrealized (appreciation) depreciation upon realization        | (10 | ) |   | 44 |  |   | 221 |  |   | 456 |  |
| Net unrealized (depreciation) appreciation of portfolio investments                         | (477 | ) |   | 28 |  |   | 337 |  |   | 1,080 |  |
| Foreign currency translation - European Capital                                             | (77 | ) |   | 135 |  |   | 33 |  |   | (70 | ) |
| Foreign currency translation - other                                                        | (3 | ) |   | 6 |  |   | 1 |  |   | (1 | ) |
| Derivative agreements                                                                       | (5 | ) |   | (11 | ) |   | 8 |  |   | (15 | ) |
| Net unrealized (depreciation) appreciation of investments                                   | $ | (562 | ) |   | $ | 158 |  |   | $ | 379 |  |   | $ | 994 |  |

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|                                                  |
|--------------------------------------------------|
|                                                  |  |  |  |  |  |  |  |
|                                             | September 30, 2011 |   | December 31, 2010 |
| Debt investments at fair value                   | € | 794 |  |   | € | 868 |  |
| Equity investments at fair value                 | 251 |  |   | 207 |  |
| Other assets and liabilities, net                | 76 |  |   | 42 |  |
| Secured debt at cost                             | (289 | ) |   | (353 | ) |
| Unsecured debt at cost                           | (109 | ) |   | (110 | ) |
| Unsecured debt from American Capital at cost     | (46 | ) |   | (21 | ) |
| NAV (Euros)                                      | € | 677 |  |   | € | 633 |  |
| Exchange rate                                    | 1.36 |  |   | 1.33 |  |
| NAV (US dollars)                                 | $ | 921 |  |   | $ | 842 |  |
| Fair value of American Capital equity investment | $ | 634 |  |   | $ | 608 |  |
| Implied discount to NAV                          | 31.2 | % |   | 27.8 | % |

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|                                                                                          |
|------------------------------------------------------------------------------------------|
|                                                                                          |  |  |  |  |  |
|                                                                                     | Period Ended September 30, |
|                                                                                     | 2011 |   | 2010 |
| LTM net operating income return on average equity at cost                                | 4.8 |  % |   | 2.6 |  % |
| LTM net realized earnings (loss) return on average equity at cost                        | 0.1 |  % |   | (10.9 | )% |
| LTM net earnings return on average equity at fair value                                  | 19.4 |  % |   | 26.9 |  % |
| Current quarter annualized net operating income return on average equity at cost         | 4.3 |  % |   | 4.0 |  % |
| Current quarter annualized net realized earnings (loss) return on average equity at cost | 6.6 |  % |   | (0.6 | )% |
| Current quarter annualized net (loss) earnings return on average equity at fair value    | (43.4 | )% |   | 18.7 |  % |

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|                                                              |
|--------------------------------------------------------------|
|                                                              |  |  |  |  |  |  |  |
|                                                         | September 30, 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         | 31 |  |   | 115 |  |
| ACAS Business Loan Trust 2005-1 asset securitization         | 287 |  |   | 472 |  |
| ACAS Business Loan Trust 2006-1 asset securitization         | 221 |  |   | 274 |  |
| ACAS Business Loan Trust 2007-1 asset securitization         | 160 |  |   | 208 |  |
| ACAS Business Loan Trust 2007-2 asset securitization         | 109 |  |   | 179 |  |
| Total                                                        | $ | 1,519 |  |   | $ | 2,259 |  |

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

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

|                                                              |
|--------------------------------------------------------------|
|                                                              |  |
| Facility                                                     | Interest Rate |
| 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                     | $ | 664 |  |   | $ | 562 |  |
| Mezzanine debt                  | 798 |  |   | 644 |  |
| Preferred equity                | 1,538 |  |   | 1,142 |  |
| Common equity                   | 1,835 |  |   | 1,182 |  |
| Equity warrants                 | 93 |  |   | 66 |  |
| Structured Products             | 499 |  |   | 221 |  |
| Total investment collateral     | 5,427 |  |   | 3,817 |  |
| Total investment non-collateral | 1,721 |  |   | 1,478 |  |
| Total investments               | $ | 7,148 |  |   | $ | 5,295 |  |

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|                                                                             |
|-----------------------------------------------------------------------------|
|                                                                             |  |  |  |  |  |  |  |
|                                                                        | September 30, 2011 |   | December 31, 2010 |
| Current                                                                     | $ | 2,482 |  |   | $ | 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                                                  | 569 |  |   | 702 |  |
| Total loans at cost                                                         | $ | 3,054 |  |   | $ | 3,588 |  |
| Non-accruing loans at fair value                                            | $ | 173 |  |   | $ | 239 |  |
| Total loans at fair value                                                   | $ | 2,640 |  |   | $ | 3,065 |  |
| Non-accruing loans at cost as a percent of total loans at cost              | 18.6 | % |   | 19.6 | % |
| Non-accruing loans at fair value as a percent of total loans at fair value  | 6.6 | % |   | 7.8 | % |
| Non-accruing loans at fair value as a percent of non-accruing loans at cost | 30.4 | % |   | 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 Static Pools Aggregate | 2006 - 2011 Static Pools Aggregate |
| Aggregate                                                                   |   |   |   |   |   |   |   |   |   |   |   |   |
| IRR at Fair Value of All Investments(2)                                     | 8.5 | % | 18.1 | % | 8.2 | % | 20.1 | % | 13.4 | % | 9.8 | % | 10.0 | % | (7.2 | %) | 6.0 | % | (34.1 | %) | 7.1 | % | 1.1 | % |
| IRR of Exited Investments(3)                                                | 9.1 | % | 19.4 | % | 9.5 | % | 23.3 | % | 17.1 | % | 22.8 | % | 10.4 | % | (10.3 | %) | 13.6 | % | N/A |  | 11.0 | % | 0.6 | % |
| IRR at Fair Value of Equity Investments Only(2)(4)(5)                       | 8.3 | % | 46.4 | % | 11.4 | % | 27.0 | % | 26.5 | % | 4.8 | % | 14.3 | % | (11.6 | %) | 18.6 | % | (76.4 | %) | 8.0 | % | 2.9 | % |
| IRR of Exited Equity Investments Only(3)(4)(5)                              | 10.9 | % | 48.3 | % | 21.4 | % | 36.7 | % | 49.0 | % | 54.1 | % | 18.1 | % | 9.3 | % | 35.5 | % | N/A |  | 28.6 | % | 15.8 | % |
| IRR at Fair Value of All One Stop Buyout® Investments(2)(6)            | 2.9 | % | 17.1 | % | 10.9 | % | 18.3 | % | 15.7 | % | 25.4 | % | 12.6 | % | — | % | 14.5 | % | — | % | 12.3 | % | 7.2 | % |
| IRR at Fair Value of Current One Stop Buyout® Investments(2)(6)        | 18.1 | % | (3.9 | %) | (0.3 | %) | 16.6 | % | 5.7 | % | 17.4 | % | 11.3 | % | (3.3 | %) | 14.5 | % | — | % | 8.4 | % | 4.6 | % |
| IRR of Exited One Stop Buyout® Investments(3)(6)                       | 1.3 | % | 19.3 | % | 14.7 | % | 21.9 | % | 27.5 | % | 31.3 | % | 15.3 | % | 16.6 | % | 10.7 | % |  N/A |  | 16.7 | % | 15.6 | % |
| Committed Investments(7)                                                    | $ | 1,065 |  | $ | 376 |  | $ | 964 |  | $ | 1,436 |  | $ | 2,266 |  | $ | 4,752 |  | $ | 5,228 |  | $ | 7,451 |  | $ | 1,038 |  | $ | 127 |  | $ | 24,703 |  | $ | 13,844 |  |
| Total Exits and Prepayments of Committed Investments(7)                     | $ | 995 |  | $ | 363 |  | $ | 836 |  | $ | 1,098 |  | $ | 1,970 |  | $ | 2,420 |  | $ | 3,833 |  | $ | 4,567 |  | $ | 304 |  | $ | — |  | $ | 16,386 |  | $ | 8,704 |  |
| Total Interest, Dividends and Fees Collected                                | $ | 407 |  | $ | 148 |  | $ | 343 |  | $ | 429 |  | $ | 684 |  | $ | 1,090 |  | $ | 1,177 |  | $ | 1,097 |  | $ | 308 |  | $ | 3 |  | $ | 5,686 |  | $ | 2,585 |  |
| Total Net Realized (Loss) Gain on Investments                               | $ | (137 | ) | $ | (14 | ) | $ | (99 | ) | $ | 142 |  | $ | 29 |  | $ | 372 |  | $ | (124 | ) | $ | (993 | ) | $ | (26 | ) | $ | — |  | $ | (850 | ) | $ | (1,143 | ) |
| Current Cost of Investments                                                 | $ | 77 |  | $ | 13 |  | $ | 144 |  | $ | 330 |  | $ | 336 |  | $ | 2,044 |  | $ | 1,138 |  | $ | 2,303 |  | $ | 666 |  | $ | 97 |  | $ | 7,148 |  | $ | 4,204 |  |
| Current Fair Value of Investments                                           | $ | 56 |  | $ | 1 |  | $ | 92 |  | $ | 424 |  | $ | 231 |  | $ | 1,585 |  | $ | 1,042 |  | $ | 1,251 |  | $ | 525 |  | $ | 88 |  | $ | 5,295 |  | $ | 2,906 |  |
| Current Fair Value of Investments as a % of Total Investments at Fair Value | 1.1 | % | — | % | 1.7 | % | 8.0 | % | 4.4 | % | 29.9 | % | 19.7 | % | 23.6 | % | 9.9 | % | 1.7 | % | 100.0 | % | 54.9 | % |
| Net Unrealized (Depreciation) Appreciation                                  | $ | (21 | ) | $ | (12 | ) | $ | (52 | ) | $ | 94 |  | $ | (105 | ) | $ | (459 | ) | $ | (96 | ) | $ | (1,052 | ) | $ | (141 | ) | $ | (9 | ) | $ | (1,853 | ) | $ | (1,298 | ) |
| Non-Accruing Loans at Cost                                                  | $ | — |  | $ | 4 |  | $ | 18 |  | $ | — |  | $ | 36 |  | $ | 58 |  | $ | 81 |  | $ | 216 |  | $ | 156 |  | $ | — |  | $ | 569 |  | $ | 453 |  |
| Non-Accruing Loans at Fair Value                                            | $ | 1 |  | $ | 1 |  | $ | 9 |  | $ | — |  | $ | 7 |  | $ | 25 |  | $ | 39 |  | $ | 64 |  | $ | 27 |  | $ | — |  | $ | 173 |  | $ | 130 |  |
| Equity Interest at Fair Value(4)                                            | $ | 30 |  | $ | — |  | $ | 6 |  | $ | 209 |  | $ | 71 |  | $ | 1,114 |  | $ | 443 |  | $ | 277 |  | $ | 244 |  | $ | 34 |  | $ | 2,428 |  | $ | 998 |  |
| Debt to Adjusted EBITDA(8)(9)(10)(11)(14)                                   | 2.5 |  |   NM |  | 9.2 |  | 3.5 |  | 6.6 |  | 3.6 |  | 4.7 |  | 6.3 |  | 4.7 |  | 5.5 |  | 5.0 |  | 5.4 |  |
| Interest Coverage(10)(11)(14)                                               | 4.9 |  |   NM |  | 1.8 |  | 3.9 |  | 2.5 |  | 2.1 |  | 2.9 |  | 2.0 |  | 2.3 |  | 2.4 |  | 2.5 |  | 2.4 |  |
| Debt Service Coverage(10)(11)(14)                                           | 4.4 |  |   NM |  | 1.8 |  | 3.1 |  | 1.4 |  | 1.1 |  | 2.5 |  | 1.7 |  | 1.8 |  | 2.3 |  | 2.0 |  | 2.1 |  |
| Average Age of Companies(11)(14)                                            |   50 yrs |  |   26 yrs |  |   32 yrs |  |   41 yrs |  |   55 yrs |  |   20 yrs |  |   37 yrs |  |   32 yrs |  |   21 yrs |  |   24 yrs |  |   32 yrs |  |   32 yrs |  |
| Diluted Ownership Percentage(4)(14)                                         | 61 | % | 86 | % | 42 | % | 56 | % | 70 | % | 75 | % | 45 | % | 50 | % | 62 | % | 8 | % | 59 | % | 49 | % |
| Average Sales(11)(12)(14)                                                   | $ | 47 |  | $ | 7 |  | $ | 47 |  | $ | 208 |  | $ | 61 |  | $ | 122 |  | $ | 167 |  | $ | 147 |  | $ | 94 |  | $ | 159 |  | $ | 138 |  | $ | 144 |  |
| Average Adjusted EBITDA(8)(11)(14)                                          | $ | 7 |  | $ | — |  | $ | 11 |  | $ | 44 |  | $ | 16 |  | $ | 33 |  | $ | 40 |  | $ | 33 |  | $ | 29 |  | $ | 41 |  | $ | 34 |  | $ | 35 |  |
| Total Sales(11)(12)                                                         | $ | 98 |  | $ | 299 |  | $ | 180 |  | $ | 1,389 |  | $ | 334 |  | $ | 1,596 |  | $ | 4,306 |  | $ | 4,862 |  | $ | 1,477 |  | $ | 358 |  | $ | 14,899 |  | $ | 11,003 |  |
| Total Adjusted EBITDA(8)(11)                                                | $ | 15 |  | $ | 8 |  | $ | 35 |  | $ | 197 |  | $ | 57 |  | $ | 428 |  | $ | 454 |  | $ | 841 |  | $ | 258 |  | $ | 96 |  | $ | 2,389 |  | $ | 1,649 |  |
| % of Senior Loans(11)(13)                                                   | 71 | % | 100 | % | 54 | % | 57 | % | 38 | % | 42 | % | 29 | % | 52 | % | 25 | % | 26 | % | 43 | % | 40 | % |
| % of Loans with Lien(11)(13)                                                | 100 | % | 78 | % | 100 | % | 100 | % | 100 | % | 90 | % | 97 | % | 89 | % | 76 | % | 26 | % | 86 | % | 90 | % |
| One Stop Buyout® Portfolio Companies(6)                                | Pre-2001 - 2011 Static Pools Aggregate |   |   |   |   |   |   |   |   |   |
| Total Current ACAS Investment in OSB                                        | $ | 3,414 |   |   |   |   |   |   |   |   |   |   |
| Diluted Ownership Percentage of ACAS in OSB(14)                             | 64% |   |   |   |   |   |   |   |   |   |   |
| Total Cash                                                                  | $ | 167 |   |   |   |   |   |   |   |   |   |   |
| Total Assets                                                                | $ | 4,904 |   |   |   |   |   |   |   |   |   |   |
| Total Debt                                                                  | $ | 3,643 |   |   |   |   |   |   |   |   |   |   |
| Total Third-party Debt at Cost                                              | $ | 1,330 |   |   |   |   |   |   |   |   |   |   |
| Total Shareholders' Equity at Fair Value                                    | $ | 2,504 |   |   |   |   |   |   |   |   |   |   |
| Total Sales(12)                                                             | $ | 3,241 |   |   |   |   |   |   |   |   |   |   |
| Total Gross Profit(12)                                                      | $ | 1,613 |   |   |   |   |   |   |   |   |   |   |
| Total Adjusted EBITDA(8)                                                    | $ | 705 |   |   |   |   |   |   |   |   |   |   |
| Total Capital Expenditures                                                  | $ | 97 |   |   |   |   |   |   |   |   |   |   |

|    |                                                                                                                                                                                                                                                      |
|----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 1) | Static pool classification is based on the year the initial investment was made.  Subsequent add-on investments are included in the static pool year of the original investment.  There were no investments made in 2009 and 2010 static pool years. |

|    |                                                       |
|----|-------------------------------------------------------|
| 2) | Assumes investments are exited at current fair value. |

|    |                                                                    |
|----|--------------------------------------------------------------------|
| 3) | Includes fully exited investments of existing portfolio companies. |

|    |                                              |
|----|----------------------------------------------|
| 4) | Excludes investments in structured products. |

|    |                                                                                                                         |
|----|-------------------------------------------------------------------------------------------------------------------------|
| 5) | Excludes equity investments that are the result of conversions of debt and warrants received with the issuance of debt. |

|    |                                                                                                                                                                     |
|----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 6) | One Stop Buyout® (“OSB”) investments represents investments in the formation or buyouts of private equity companies sponsored by American Capital. |

|    |                                                                    |
|----|--------------------------------------------------------------------|
| 7) | Represents committed investment amount at the time of origination. |

|    |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 8) | Adjusted EBITDA may reflect certain adjustments to the reported EBITDA of a portfolio company for non-recurring, unusual or infrequent items or other pro-forma items or events to normalize current earnings which a buyer may consider in a change in control transactions.  These adjustments may be material and are highly subjective in nature.  Portfolio company reported EBITDA is for the most recently available twelve months, or when appropriate, the forecasted twelve months or current annualized run-rate. |

|    |                                                                                                                                                      |
|----|------------------------------------------------------------------------------------------------------------------------------------------------------|
| 9) | For portfolio companies with a nominal Adjusted EBITDA amount, the portfolio company's maximum debt leverage is limited to 15 times Adjusted EBITDA. |

|     |                                                   |
|-----|---------------------------------------------------|
| 10) | Excludes investments in which we own only equity. |

|     |                                                                |
|-----|----------------------------------------------------------------|
| 11) | Excludes investments in structured products and managed funds. |

|     |                                                                                            |
|-----|--------------------------------------------------------------------------------------------|
| 12) | Sales of the most recent twelve months, or when appropriate, the forecasted twelve months. |

|     |                                                |
|-----|------------------------------------------------|
| 13) | As a percentage of our total debt investments. |

|     |                                       |
|-----|---------------------------------------|
| 14) | Weighted average based on fair value. |

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Table of Contents

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

|                    |
|--------------------|
|                    |  |  |  |  |  |  |
|               | Total Numberof SharesPurchased |   | Weighted AveragePrice Paid PerShare   |
| July 2011          | — |  |   | $ | — |  |
| August 2011        | 4.9 |  |   | 8.12 |  |
| September 2011     | 4.2 |  |   | 8.31 |  |
| Third Quarter 2011 | 9.1 |  |   | $ | 8.21 |  |

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

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Table of Contents

|                              |
|------------------------------|
|                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Basis Point Change |   | InterestIncome |   | InterestExpense |   | NetOperating Income (Loss) |   | Net Realized Gain (Loss) on Derivative Agreements(1) |   | Net Earnings (Loss) |
| Up 100 basis points          |   | $ | 5 |  |   | $ | 8 |  |   | $ | (3 | ) |   | $ | 5 |  |   | $ | 2 |  |
| Up 200 basis points          |   | $ | 12 |  |   | $ | 16 |  |   | $ | (4 | ) |   | $ | 9 |  |   | $ | 5 |  |
| Up 300 basis points          |   | $ | 20 |  |   | $ | 25 |  |   | $ | (5 | ) |   | $ | 15 |  |   | $ | 10 |  |
| Up 400 basis points          |   | $ | 30 |  |   | $ | 34 |  |   | $ | (4 | ) |   | $ | 20 |  |   | $ | 16 |  |
| Down 400 basis points        |   | $ | (2 | ) |   | $ | (2 | ) |   | $ | — |  |   | $ | (2 | ) |   | $ | (2 | ) |
| Down 300 basis points        |   | $ | (3 | ) |   | $ | (2 | ) |   | $ | (1 | ) |   | $ | (1 | ) |   | $ | (2 | ) |
| Down 200 basis points        |   | $ | (3 | ) |   | $ | (2 | ) |   | $ | (1 | ) |   | $ | (1 | ) |   | $ | (2 | ) |
| Down 100 basis points        |   | $ | (3 | ) |   | $ | (2 | ) |   | $ | (1 | ) |   | $ | (1 | ) |   | $ | (2 | ) |

|     |                                                                 |
|-----|-----------------------------------------------------------------|
| (1) | Represents interest rate derivative periodic interest payments. |

|         |                         |
|---------|-------------------------|
| 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, Ltd. (f/k/a 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, Ltd. (f/k/a 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. |

|   |                                  |
|---|----------------------------------|
| * | Fully or partly previously filed |

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Table of Contents

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