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

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

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

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

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

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Table of Contents

| AMERICAN CAPITAL, LTD.TABLE OF CONTENTS |
|-----------------------------------------|
|                                         |  |  |
| PART I. FINANCIAL INFORMATION           |   |
|                                    |   |   |
| Item 1.                                 | Financial Statements | 3 |
| Item 2.                                 | Management’s Discussion and Analysis of Financial Condition and Results of Operations | 40 |
| Item 3.                                 | Quantitative and Qualitative Disclosure About Market Risk | 59 |
| Item 4.                                 | Controls and Procedures | 61 |
|                                    |   |   |
| PART II.                           |   |
|                                    |   |   |
| Item 1.                                 | Legal Proceedings | 62 |
| Item 1A.                                | Risk Factors | 62 |
| Item 2.                                 | Unregistered Sales of Equity Securities and Use of Proceeds | 62 |
| Item 3.                                 | Defaults Upon Senior Securities | 62 |
| Item 4.                                 | Mine Safety Disclosures | 62 |
| Item 5.                                 | Other Information | 62 |
| Item 6.                                 | Exhibits | 63 |
| Signatures                              | 64 |
|                                    |   |   |

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Table of Contents

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

|                                                                                                                                |
|--------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                |  |  |  |  |  |  |  |
|                                                                                                                           | March 31, |   | December 31, |
|                                                                                                                           | 2012 |   | 2011 |
|                                                                                                                           | (unaudited) |   |   |
| Assets                                                                                                                         |   |   |   |
| Investments at fair value                                                                                                      |   |   |   |
| Non-Control/Non-Affiliate investments (cost of $2,412 and $2,781, respectively)                                                | $ | 1,755 |  |   | $ | 2,113 |  |
| Affiliate investments (cost of $157 and $148, respectively)                                                                    | 127 |  |   | 107 |  |
| Control investments (cost of $3,753 and $3,810, respectively)                                                                  | 3,497 |  |   | 2,910 |  |
| Total investments at fair value (cost of $6,322 and $6,739, respectively)                                                      | 5,379 |  |   | 5,130 |  |
| Cash and cash equivalents                                                                                                      | 313 |  |   | 204 |  |
| Restricted cash and cash equivalents                                                                                           | 205 |  |   | 80 |  |
| Interest receivable                                                                                                            | 22 |  |   | 24 |  |
| Deferred tax asset, net                                                                                                        | 396 |  |   | 428 |  |
| Derivative agreements at fair value                                                                                            | 10 |  |   | 10 |  |
| Other                                                                                                                          | 96 |  |   | 85 |  |
| Total assets                                                                                                                   | $ | 6,421 |  |   | $ | 5,961 |  |
| Liabilities and Shareholders’ Equity                                                                                     |   |   |   |
| Debt ($294 and $227 due within one year, respectively)                                                                         | $ | 1,132 |  |   | $ | 1,251 |  |
| Derivative agreements at fair value                                                                                            | 105 |  |   | 99 |  |
| Other                                                                                                                          | 70 |  |   | 48 |  |
| Total liabilities                                                                                                              | 1,307 |  |   | 1,398 |  |
| 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, 332.5 and 336.4 issued and 325.6 and 329.1 outstanding, respectively | 3 |  |   | 3 |  |
| Capital in excess of par value                                                                                                 | 7,024 |  |   | 7,053 |  |
| Distributions in excess of net realized earnings                                                                               | (1,058 | ) |   | (999 | ) |
| Net unrealized depreciation of investments                                                                                     | (855 | ) |   | (1,494 | ) |
| Total shareholders’ equity                                                                                               | 5,114 |  |   | 4,563 |  |
| Total liabilities and shareholders’ equity                                                                               | $ | 6,421 |  |   | $ | 5,961 |  |
| Net Asset Value Per Common Share Outstanding                                                                                   | $ | 15.71 |  |   | $ | 13.87 |  |

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Table of Contents

|                                                                                   |
|-----------------------------------------------------------------------------------|
|                                                                                   |  |  |  |  |  |  |  |
|                                                                              | Three Months Ended March 31, |
|                                                                              | 2012 |   | 2011 |
| Operating Income                                                                  |   |   |   |
| Interest and dividend income                                                      |   |   |   |
| Non-Control/Non-Affiliate investments                                             | $ | 69 |  |   | $ | 94 |  |
| Affiliate investments                                                             | 3 |  |   | 2 |  |
| Control investments                                                               | 64 |  |   | 50 |  |
| Total interest and dividend income                                                | 136 |  |   | 146 |  |
| Fee income                                                                        |   |   |   |
| Non-Control/Non-Affiliate investments                                             | 2 |  |   | 7 |  |
| Control investments                                                               | 11 |  |   | 6 |  |
| Total fee income                                                                  | 13 |  |   | 13 |  |
| Total operating income                                                            | 149 |  |   | 159 |  |
| Operating Expenses                                                                |   |   |   |
| Interest                                                                          | 16 |  |   | 29 |  |
| Salaries, benefits and stock-based compensation                                   | 37 |  |   | 36 |  |
| General and administrative                                                        | 15 |  |   | 11 |  |
| Total operating expenses                                                          | 68 |  |   | 76 |  |
| Net Operating Income Before Income Taxes                                          | 81 |  |   | 83 |  |
| Tax provision                                                                     | (32 | ) |   | — |  |
| Net Operating Income                                                              | 49 |  |   | 83 |  |
| Net realized (loss) gain                                                          |   |   |   |
| Non-Control/Non-Affiliate investments                                             | (53 | ) |   | 12 |  |
| Affiliate investments                                                             | (1 | ) |   | — |  |
| Control investments                                                               | (68 | ) |   | (2 | ) |
| Foreign currency transactions                                                     | 1 |  |   | — |  |
| Derivative agreements                                                             | (8 | ) |   | (13 | ) |
| Tax benefit                                                                       | 22 |  |   | — |  |
| Total net realized loss                                                           | (107 | ) |   | (3 | ) |
| Net unrealized appreciation (depreciation)                                        |   |   |   |
| Portfolio company investments                                                     | 627 |  |   | 256 |  |
| Foreign currency translation                                                      | 38 |  |   | 85 |  |
| Derivative agreements                                                             | (6 | ) |   | 13 |  |
| Tax provision                                                                     | (21 | ) |   | — |  |
| Total net unrealized appreciation                                                 | 638 |  |   | 354 |  |
| Total net gain                                                                    | 531 |  |   | 351 |  |
| Net Increase in Net Assets Resulting from Operations (“Net Earnings”) | $ | 580 |  |   | $ | 434 |  |
|                                                                              |   |   |   |
| Net Operating Income Per Common Share                                             |   |   |   |
| Basic                                                                             | $ | 0.15 |  |   | $ | 0.24 |  |
| Diluted                                                                           | $ | 0.14 |  |   | $ | 0.23 |  |
| Net Earnings Per Common Share                                                     |   |   |   |
| Basic                                                                             | $ | 1.75 |  |   | $ | 1.25 |  |
| Diluted                                                                           | $ | 1.71 |  |   | $ | 1.21 |  |
| Weighted Average Shares of Common Stock Outstanding                               |   |   |   |
| Basic                                                                             | 330.9 |  |   | 346.1 |  |
| Diluted                                                                           | 339.6 |  |   | 358.4 |  |

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Table of Contents

|                                                                                 |
|---------------------------------------------------------------------------------|
|                                                                                 |  |  |  |  |  |  |  |
|                                                                            | Three Months Ended March 31, |
|                                                                            | 2012 |   | 2011 |
| Operations                                                                      |   |   |   |
| Net operating income                                                            | $ | 49 |  |   | $ | 83 |  |
| Net realized loss                                                               | (107 | ) |   | (3 | ) |
| Net unrealized appreciation                                                     | 638 |  |   | 354 |  |
| Net earnings                                                                    | 580 |  |   | 434 |  |
| Capital Share Transactions                                                      |   |   |   |
| Proceeds from issuance of common stock upon exercise of stock options           | 7 |  |   | 4 |  |
| Repurchase of common stock                                                      | (48 | ) |   | — |  |
| Stock-based compensation                                                        | 12 |  |   | 10 |  |
| Net (decrease) increase in net assets resulting from capital share transactions | (29 | ) |   | 14 |  |
| Total increase (decrease) in net assets                                         | 551 |  |   | 448 |  |
| Net assets at beginning of period                                               | 4,563 |  |   | 3,668 |  |
| Net assets at end of period                                                     | $ | 5,114 |  |   | $ | 4,116 |  |
|                                                                            |   |   |   |
| Net asset value per common share outstanding                                    | $ | 15.71 |  |   | $ | 11.97 |  |
| Common shares outstanding at end of period                                      | 325.6 |  |   | 343.9 |  |

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Table of Contents

|                                                                                     |
|-------------------------------------------------------------------------------------|
|                                                                                     |  |  |  |  |  |  |  |
|                                                                                | Three Months Ended March 31, |
|                                                                                | 2012 |   | 2011 |
| Operating Activities                                                                |   |   |   |
| Net earnings                                                                        | $ | 580 |  |   | $ | 434 |  |
| Adjustments to reconcile net earnings to net cash provided by operating activities: |   |   |   |
| Net unrealized appreciation                                                         | (638 | ) |   | (354 | ) |
| Net realized loss                                                                   | 107 |  |   | 3 |  |
| Accrued payment-in-kind interest and dividends on investments                       | (56 | ) |   | (57 | ) |
| Amortization of deferred finance costs, premiums and discounts                      | 3 |  |   | 8 |  |
| Depreciation of property and equipment                                              | 2 |  |   | 2 |  |
| Stock-based compensation                                                            | 12 |  |   | 10 |  |
| Decrease in deferred tax asset, net                                                 | 32 |  |   | — |  |
| Decrease in interest receivable                                                     | 1 |  |   | 2 |  |
| Increase in other assets                                                            | (17 | ) |   | (6 | ) |
| Increase (decrease) in other liabilities                                            | 22 |  |   | (2 | ) |
| Other                                                                               | (2 | ) |   | 2 |  |
| Net cash provided by operating activities                                           | 46 |  |   | 42 |  |
| Investing Activities                                                                |   |   |   |
| Purchases and originations of investments                                           | (73 | ) |   | (49 | ) |
| Repayments from portfolio company revolving credit facility investments, net        | 35 |  |   | 6 |  |
| Principal repayments on debt investments                                            | 298 |  |   | 157 |  |
| Payment of accrued PIK notes and dividend and accreted original issue discounts     | 51 |  |   | 43 |  |
| Proceeds from sales of equity investments                                           | 47 |  |   | 63 |  |
| Interest rate derivative periodic interest payments, net                            | (8 | ) |   | (13 | ) |
| Other                                                                               | (2 | ) |   | 6 |  |
| Net cash provided by investing activities                                           | 348 |  |   | 213 |  |
| Financing Activities                                                                |   |   |   |
| Payments on secured borrowings                                                      | (1 | ) |   | (300 | ) |
| Payments on notes payable from asset securitizations                                | (118 | ) |   | (217 | ) |
| Proceeds from issuance of common stock upon exercise of stock options               | 7 |  |   | 4 |  |
| Repurchase of common stock                                                          | (48 | ) |   | — |  |
| (Increase) decrease in debt service escrows                                         | (125 | ) |   | 87 |  |
| Net cash used in financing activities                                               | (285 | ) |   | (426 | ) |
| Net increase (decrease) in cash and cash equivalents                                | 109 |  |   | (171 | ) |
| Cash and cash equivalents at beginning of period                                    | 204 |  |   | 269 |  |
| Cash and cash equivalents at end of period                                          | $ | 313 |  |   | $ | 98 |  |

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Table of Contents

|                                                                                |
|--------------------------------------------------------------------------------|
|                                                                                |  |  |  |  |  |  |  |
|                                                                           | Three Months Ended March 31, |
|                                                                           | 2012 |   | 2011 |
| Per Share Data                                                                 |   |   |   |
| Net asset value at beginning of the period                                     | $ | 13.87 |  |   | $ | 10.71 |  |
| Net operating income(1)                                                        | 0.15 |  |   | 0.24 |  |
| Net realized loss(1)                                                           | (0.33 | ) |   | (0.01 | ) |
| Net unrealized appreciation(1)                                                 | 1.93 |  |   | 1.02 |  |
| Net earnings(1)                                                                | 1.75 |  |   | 1.25 |  |
| Issuance of common stock                                                       | (0.05 | ) |   | (0.02 | ) |
| Repurchase of common stock                                                     | 0.12 |  |   | — |  |
| Other, net(2)                                                                  | 0.02 |  |   | 0.03 |  |
| Net asset value at end of period                                               | $ | 15.71 |  |   | $ | 11.97 |  |
| Ratio/Supplemental Data                                                        |   |   |   |
| Per share market value at end of period                                        | $ | 8.68 |  |   | $ | 9.91 |  |
| Total investment return(3)                                                     | 28.97 | % |   | 31.08 | % |
| Shares outstanding at end of period                                            | 325.6 |  |   | 343.9 |  |
| Net assets at end of period                                                    | $ | 5,114 |  |   | $ | 4,116 |  |
| Average net assets(4)                                                          | $ | 4,839 |  |   | $ | 3,892 |  |
| Average debt outstanding(5)                                                    | $ | 1,183 |  |   | $ | 2,001 |  |
| Average debt outstanding per common share(1)                                   | $ | 3.58 |  |   | $ | 5.78 |  |
| Portfolio turnover rate(6)                                                     | 7.17 | % |   | 4.37 | % |
| Ratio of operating expenses to average net assets(6)                           | 5.65 | % |   | 7.92 | % |
| Ratio of operating expenses, net of interest expense, to average net assets(6) | 4.32 | % |   | 4.90 | % |
| Ratio of interest expense to average net assets(6)                             | 1.33 | % |   | 3.02 | % |
| Ratio of net operating income to average net assets(6)                         | 4.07 | % |   | 8.65 | % |

|     |                                        |
|-----|----------------------------------------|
| (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 INVESTMENTSMarch 31, 2012(unaudited)(in millions, except share data) |
|--------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (1)                                                                                                              |   | Industry |   | Investments |   | InterestRate (2) |   |   Maturity    Date(2) |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| NON-CONTROL / NON-AFFILIATE INVESTMENTS                                                                                  |   |   |   |   |   |   |   |   |
| Affordable Care Holding Corp.                                                                                            |   | Health Care Providers & Services |   | Mezzanine Debt(7) |   | 15.1 | % |   | 6/16 |   |   |   | $ | 71.3 |  |   | $ | 70.9 |  |   | $ | 71.3 |  |
|                                                                                                                     |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 70,752 |  |   |   |   | 69.6 |  |   | 117.7 |  |
|                                                                                                                     |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 17,687,156 |  |   |   |   | 15.8 |  |   | 27.8 |  |
|                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |   | 156.3 |  |   | 216.8 |  |
| Algoma Holding Company                                                                                                   |   | Building Products |   | Mezzanine Debt(7) |   | 14.2 | % |   | 9/13 |   |   |   | 16.2 |  |   | 16.2 |  |   | 16.4 |  |
| American Acquisition, LLC(9)                                                                                             |   | Capital Markets |   | Senior Debt(7) |   | 15.5 | % |   | 12/12 |   |   |   | 7.9 |  |   | 7.9 |  |   | 7.8 |  |
| AmWins Group, Inc.                                                                                                       |   | Insurance |   | Senior Debt(7) |   | 5.8 | % |   | 6/14 |   |   |   | 18.5 |  |   | 18.5 |  |   | 18.2 |  |
| Avalon Laboratories Holding Corp.                                                                                        |   | Health Care Equipment & Supplies |   | Senior Debt(7) |   | 11.0 | % |   | 1/14 |   |   |   | 15.0 |  |   | 14.9 |  |   | 14.9 |  |
| Mezzanine Debt(7)                                                                                                        |   | 18.6 | % |   | 1/15 |   |   |   | 31.4 |  |   | 31.2 |  |   | 31.4 |  |
|                                                                                                                     |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 148,742 |  |   |   |   | 30.0 |  |   | 41.0 |  |
|                                                                                                                     |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 7,829 |  |   |   |   | 1.3 |  |   | 1.6 |  |
|                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |   | 77.4 |  |   | 88.9 |  |
| 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.(9)                                                                                       |   | Capital Markets |   | Limited Partnership Interest(4) |   |   |   |   |   |   |   |   |   | 6.6 |  |   | 6.1 |  |
| CAMP Systems International, Inc.                                                                                         |   | Air Freight & Logistics |   | Senior Debt(7) |   | 6.2 | % |   | 9/14 |   |   |   | 30.0 |  |   | 29.9 |  |   | 29.7 |  |
| CIBT Investment Holdings, LLC                                                                                            |   | Commercial Services & Supplies |   | Common Stock(4)(7) |   |   |   |   |   | 13,381 |  |   |   |   | 8.9 |  |   | 9.9 |  |
| Delsey Holding(8)                                                                                                        |   | Textiles, Apparel & Luxury Goods |   | Senior Debt(7) |   | 8.4 | % |   | 2/14 |   |   |   | 20.6 |  |   | 20.5 |  |   | 15.7 |  |
| DelStar, Inc.                                                                                                            |   | Building Products |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 26,613 |  |   |   |   | 26.1 |  |   | 43.0 |  |
|                                                                                                                     |   |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 29,569 |  |   |   |   | 3.8 |  |   | 3.8 |  |
|                                                                                                                     |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 89,020 |  |   |   |   | 16.9 |  |   | 4.2 |  |
|                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |   | 46.8 |  |   | 51.0 |  |
| Easton Bell Sports, LLC                                                                                                  |   | Leisure Equipment & Products |   | Redeemable Preferred Stock |   |   |   |   |   | 1,171 |  |   |   |   | 1.8 |  |   | 1.8 |  |
|                                                                                                                     |   |   |   | Common Units(4) |   |   |   |   |   | 3,830,068 |  |   |   |   | 0.7 |  |   | 1.0 |  |
|                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |   | 2.5 |  |   | 2.8 |  |
| FAMS Acquisition, Inc.                                                                                                   |   | Diversified Financial Services |   | Mezzanine Debt(7) |   | 14.0 | % |   | 11/13 |   |   |   | 18.2 |  |   | 18.1 |  |   | 18.2 |  |
|                                                                                                                     |   |   |   | Mezzanine Debt(6)(7) |   | 15.5 | % |   | 11/14 |   |   |   | 19.6 |  |   | 11.7 |  |   | 10.5 |  |
|                                                                                                                     |   |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 919 |  |   |   |   | 0.9 |  |   | — |  |
|                                                                                                                     |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 861,364 |  |   |   |   | 20.9 |  |   | — |  |
|                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |   | 51.6 |  |   | 28.7 |  |
| Flexera Software, LLC                                                                                                    |   | Software |   | Senior Debt(7) |   | 11.0 | % |   | 10/18 |   |   |   | 15.0 |  |   | 14.0 |  |   | 15.0 |  |
| FPI Holding Corporation                                                                                                  |   | Food Products |   | Senior Debt(7) |   | 8.5 | % |   | 12/12-5/13 |   |   |   | 21.7 |  |   | 21.7 |  |   | 21.7 |  |
|                                                                                                                     |   |   |   | Senior Debt(6)(7) |   | 15.8 | % |   | 6/14-6/15 |   |   |   | 19.0 |  |   | 12.4 |  |   | 1.2 |  |
|                                                                                                                     |   |   |   | Mezzanine Debt(6)(7) |   | 20.0 | % |   | 6/15 |   |   |   | 18.2 |  |   | 8.9 |  |   | — |  |
|                                                                                                                     |   |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 4,469 |  |   |   |   | 39.1 |  |   | — |  |
|                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |   | 82.1 |  |   | 22.9 |  |
| Groupe Unipex(8)                                                                                                         |   | Personal Products |   | Mezzanine Debt(7) |   | 10.9 | % |   | 5/17 |   |   |   | 6.9 |  |   | 6.1 |  |   | 6.7 |  |
|                                                                                                                     |   |   |   | Common Stock Warrants(4) |   |   |   |   |   | 840,001 |  |   |   |   | 0.9 |  |   | — |  |
|                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |   | 7.0 |  |   | 6.7 |  |
| HMSC Corporation                                                                                                         |   | Insurance |   | Senior Debt(6)(7) |   | 5.7 | % |   | 10/14 |   |   |   | 3.5 |  |   | 2.9 |  |   | 1.0 |  |
| IS Holdings I, Inc.                                                                                                      |   | Software |   | Common Stock(4)(7) |   |   |   |   |   | 1,165,930 |  |   |   |   | — |  |   | 14.4 |  |
| JHCI Acquisition, Inc.                                                                                                   |   | Air Freight & Logistics |   | Senior Debt(7) |   | 5.7 | % |   | 12/14 |   |   |   | 19.0 |  |   | 19.1 |  |   | 16.5 |  |
| KIK Custom Products, Inc.(8)                                                                                             |   | Household Products |   | Senior Debt(6)(7) |   | 5.2 | % |   | 12/14 |   |   |   | 22.5 |  |   | 21.3 |  |   | 15.4 |  |
| LCW Holdings, LLC                                                                                                        |   | Real Estate |   | Senior Debt(7) |   | 11.0 | % |   | 10/12 |   |   |   | 6.1 |  |   | 6.1 |  |   | 6.3 |  |
|                                                                                                                     |   |   |   | Warrant(4) |   |   |   |   |   | 12.5 | % |   |   |   | 0.8 |  |   | 3.3 |  |
|                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |   | 6.9 |  |   | 9.6 |  |
| Mitchell International, Inc.                                                                                             |   | IT Services |   | Senior Debt(7) |   | 5.8 | % |   | 3/15 |   |   |   | 5.0 |  |   | 5.0 |  |   | 4.7 |  |
| NBD Holdings Corp.                                                                                                       |   | Diversified Financial Services |   | Convertible Preferred Stock(4) |   |   |   |   |   | 84,174 |  |   |   |   | 8.6 |  |   | 2.6 |  |
|                                                                                                                     |   |   |   | Common Stock(4) |   |   |   |   |   | 633,408 |  |   |   |   | 0.1 |  |   | — |  |
|                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |   | 8.7 |  |   | 2.6 |  |
| Net1 Las Colinas Manager, LLC                                                                                            |   | Real Estate |   | Senior Debt(7) |   | 7.7 | % |   | 10/15 |   |   |   | 3.1 |  |   | 3.1 |  |   | 2.8 |  |
| Orion Foundry, Inc.(5)(8)                                                                                                |   | Internet Software & Services |   | Senior Debt(7) |   | 7.8 | % |   | 12/15 |   |   |   | 13.8 |  |   | 13.6 |  |   | 5.5 |  |
|                                                                                                                     |   |   |   | Senior Debt(6)(7) |   | 8.5 | % |   | 12/15 |   |   |   | 5.6 |  |   | 4.5 |  |   | 2.3 |  |
|                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |   | 18.1 |  |   | 7.8 |  |
| Pan Am International Flight Academy, Inc.                                                                                |   | Professional Services |   | Mezzanine Debt(7) |   | 16.5 | % |   | 7/14 |   |   |   | 44.0 |  |   | 43.9 |  |   | 44.0 |  |
|                                                                                                                     |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 14,938 |  |   |   |   | 14.9 |  |   | 16.2 |  |
|                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |   | 58.8 |  |   | 60.2 |  |
| PaR Systems, Inc.                                                                                                        |   | Machinery |   | Senior Debt(7) |   | 3.4 | % |   | 7/13 |   |   |   | 2.4 |  |   | 2.3 |  |   | 2.1 |  |
|                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)March 31, 2012(unaudited)(in millions, except share data) |
|---------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                       |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (1)                                                                                                                           |   | Industry |   | Investments |   | InterestRate (2) |   |   Maturity    Date(2) |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| Parts Holding Coörperatief U.A(8)                                                                                                |   | Distributors |   | Membership Entitlements(4)(7) |   |   |   |   |   | 173,060 |  |   |   |   | 6.4 |  |   | 0.6 |  |
| Qioptiq S.à r.l.(8)                                                                                                              |   | Electronic Equipment, Instruments & Components |   | Mezzanine Debt(7) |   | 10.0 | % |   | 3/18 |   |   |   | 34.9 |  |   | 34.7 |  |   | 34.7 |  |
| Qualium I(8)                                                                                                                          |   | Capital Markets |   | Common Stock(4)(7) |   |   |   |   |   | 241,879 |  |   |   |   | 2.0 |  |   | 2.0 |  |
| RDR Holdings, Inc.                                                                                                                    |   | Household Durables |   | Mezzanine Debt(7) |   | 15.6 | % |   | 10/14 |   |   |   | 31.0 |  |   | 30.8 |  |   | 31.0 |  |
|                                                                                                                                  |   |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 133 |  |   |   |   | 13.3 |  |   | — |  |
|                                                                                                                                  |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 1,541 |  |   |   |   | 192.3 |  |   | — |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 15,414 |  |   |   |   | 32.7 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 269.1 |  |   | 31.0 |  |
| Renaissance Learning, Inc.                                                                                                            |   | Software |   | Senior Debt(7) |   | 12.0 | % |   | 10/18 |   |   |   | 10.0 |  |   | 9.6 |  |   | 10.2 |  |
| Roark - Money Mailer, LLC                                                                                                             |   | Media |   | Common Membership Units(4) |   |   |   |   |   | 3.5 | % |   |   |   | 0.9 |  |   | 1.0 |  |
| Scanner Holdings Corporation                                                                                                          |   | Computers & Peripherals |   | Mezzanine Debt(7) |   | 14.0 | % |   | 6/14 |   |   |   | 17.9 |  |   | 17.8 |  |   | 17.9 |  |
|                                                                                                                                  |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 77,640,000 |  |   |   |   | 7.8 |  |   | 15.8 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 78,242 |  |   |   |   | 0.1 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 25.7 |  |   | 33.7 |  |
| Soil Safe Holdings, LLC                                                                                                               |   | Professional Services |   | Senior Debt(7) |   | 9.8 | % |   | 8/13-8/14 |   |   |   | 36.7 |  |   | 36.6 |  |   | 36.8 |  |
|                                                                                                                                  |   |   |   | Mezzanine Debt(7) |   | 15.5 | % |   | 8/15-8/16 |   |   |   | 42.0 |  |   | 41.7 |  |   | 40.9 |  |
|                                                                                                                                  |   |   |   | Mezzanine Debt(6)(7) |   | 17.5 | % |   | 8/17 |   |   |   | 35.3 |  |   | 27.4 |  |   | 24.8 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 105.7 |  |   | 102.5 |  |
| SPL Acquisition Corp.                                                                                                                 |   | Pharmaceuticals |   | Senior Debt(7) |   | 11.0 | % |   | 6/14 |   |   |   | 46.8 |  |   | 46.6 |  |   | 46.8 |  |
|                                                                                                                                  |   |   |   | Mezzanine Debt(7) |   | 15.3 | % |   | 6/15-6/16 |   |   |   | 55.6 |  |   | 55.2 |  |   | 55.6 |  |
|                                                                                                                                  |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 84,043 |  |   |   |   | 40.8 |  |   | 27.4 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 142.6 |  |   | 129.8 |  |
| Survey Sampling International, LLC                                                                                                    |   | Media |   | Mezzanine Debt(7) |   | 15.0 | % |   | 7/18 |   |   |   | 40.9 |  |   | 40.5 |  |   | 40.5 |  |
| Swank Audio Visuals, LLC                                                                                                              |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 9.5 | % |   | 8/15 |   |   |   | 58.0 |  |   | 57.8 |  |   | 47.9 |  |
| The Tensar Corporation                                                                                                                |   | Construction & Engineering |   | Senior Debt(7) |   | 13.0 | % |   | 5/13 |   |   |   | 83.3 |  |   | 83.1 |  |   | 83.5 |  |
|                                                                                                                                  |   |   |   | Mezzanine Debt(7) |   | 20.3 | % |   | 11/15 |   |   |   | 37.3 |  |   | 37.3 |  |   | 37.8 |  |
|                                                                                                                                  |   |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 8,263,171 |  |   |   |   | 11.3 |  |   | 23.2 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 131.7 |  |   | 144.5 |  |
| ThreeSixty Sourcing, Inc.(8)                                                                                                          |   | Commercial Services & Supplies |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 35 |  |   |   |   | 4.1 |  |   | — |  |
| TransFirst Holdings, Inc.                                                                                                             |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 6.3 | % |   | 6/15 |   |   |   | 54.0 |  |   | 53.7 |  |   | 47.8 |  |
| Tyden Cayman Holdings Corp.(8)                                                                                                        |   | Electronic Equipment, Instruments & Components |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 26,977 |  |   |   |   | 0.1 |  |   | 0.1 |  |
|                                                                                                                                  |   | Common Stock(4) |   |   |  |   |   |   | 3,218,667 |  |   |   |   | 3.8 |  |   | 3.7 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 3.9 |  |   | 3.8 |  |
| WRH, Inc.                                                                                                                             |   | Life Sciences Tools & Services |   | Senior Debt(7) |   | 4.0 | % |   | 9/13 |   |   |   | 3.9 |  |   | 3.9 |  |   | 3.9 |  |
|                                                                                                                                  |   |   | Mezzanine Debt(7) |   | 14.5 | % |   | 7/14-9/15 |   |   |   | 100.0 |  |   | 99.7 |  |   | 99.1 |  |
|                                                                                                                                  |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 2,008,575 |  |   |   |   | 231.4 |  |   | 103.3 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 502,144 |  |   |   |   | 49.8 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 384.8 |  |   | 206.3 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| CMBS INVESTMENTS                                                                                                                      |   |   |   |   |   |   |   |   |
| Banc of America Commercial Mortgage Trust 2007-1(9)                                                                                   |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 5.9 | % |   | 2/17-2/18 |   |   |   | 12.4 |  |   | 4.0 |  |   | 0.3 |  |
| CD 2007-CD4 Commercial Mortgage Trust(9)                                                                                              |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 5.9 | % |   | 4/17 |   |   |   | 14.0 |  |   | 8.7 |  |   | 0.1 |  |
| CD 2007-CD5 Mortgage Trust(9)                                                                                                         |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.3 | % |   | 12/17 |   |   |   | 14.8 |  |   | 9.0 |  |   | 1.1 |  |
| Citigroup Commercial Mortgage Securities Trust 2007-C6(9)                                                                             |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 5.9 | % |   | 7/17 |   |   |   | 67.5 |  |   | 33.1 |  |   | 8.8 |  |
| COBALT CMBS Commercial Mortgage Trust 2007-C3(9)                                                                                      |   | Real Estate |   | Commercia1 Mortgage Pass-Through Certificates(4)(7) |   | 5.2 | % |   | 10/17 |   |   |   | 11.1 |  |   | 7.8 |  |   | 0.2 |  |
| Credit Suisse Commercial Mortgage Trust Series 2007-C4(9)                                                                             |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.0 | % |   | 8/17 |   |   |   | 20.8 |  |   | 10.8 |  |   | 2.7 |  |
| GS Mortgage Securities Trust 2006-GG10(9)                                                                                             |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.0 | % |   | 7/17 |   |   |   | 7.0 |  |   | 4.1 |  |   | — |  |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11(9)                                                                  |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.0 | % |   | 7/17 |   |   |   | 52.3 |  |   | 9.2 |  |   | 1.0 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)March 31, 2012(unaudited)(in millions, except share data) |
|---------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                       |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (1)                                                                                                                           |   | Industry |   | Investments |   | InterestRate (2) |   |   Maturity    Date(2) |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| LB-UBS Commercial Mortgage Trust 2007-C6(9)                                                                                           |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.4 | % |   | 8/17 |   |   |   | 36.6 |  |   | 20.9 |  |   | 1.3 |  |
| LB-UBS Commercial Mortgage Trust 2008-C1(9)                                                                                           |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.3 | % |   | 7/23-7/24 |   |   |   | 19.4 |  |   | 7.4 |  |   | 0.3 |  |
| ML-CFC Commercial Mortgage Trust 2007-6(9)                                                                                            |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.0 | % |   | 4/17 |   |   |   | 9.8 |  |   | 3.2 |  |   | 0.1 |  |
| ML-CFC Commercial Mortgage Trust 2007-8(9)                                                                                            |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.2 | % |   | 8/17 |   |   |   | 22.7 |  |   | 13.0 |  |   | 0.8 |  |
| Wachovia Bank Commercial Mortgage Trust 2007-C31(9)                                                                                   |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.0 | % |   | 5/17 |   |   |   | 20.0 |  |   | 10.8 |  |   | 0.7 |  |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C32(9)                                                                           |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 5.8 | % |   | 10/17 |   |   |   | 71.0 |  |   | 42.4 |  |   | 2.3 |  |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C34(9)                                                                           |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 5.7 | % |   | 10/17-9/24 |   |   |   | 96.2 |  |   | 38.9 |  |   | 4.8 |  |
| Wachovia Bank Commercial Trust 2006-C28(9)                                                                                            |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.2 | % |   | 11/16 |   |   |   | 5.0 |  |   | 2.8 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| CLO INVESTMENTS                                                                                                                       |   |   |   |   |   |   |   |   |
| ACAS CLO 2007-1, Ltd.(8)(9)                                                                                                           |   |   |   | Secured Notes(7) |   |   |   |   |   |   |   | 8.5 |  |   | 8.4 |  |   | 6.1 |  |
|                                                                                                                                  |   |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 25.9 |  |   | 15.4 |  |   | 18.7 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 23.8 |  |   | 24.8 |  |
| Ares IIIR/IVR CLO Ltd.(8)(9)                                                                                                          |   |   |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 20.0 |  |   | 16.7 |  |   | 14.9 |  |
| Ares VIII CLO, Ltd.(8)(9)                                                                                                             |   |   |   | Preference Shares(7) |   |   |   |   |   | 6,241 |  |   |   |   | 5.0 |  |   | 2.9 |  |
| Avalon Capital Ltd. 3(8)(9)                                                                                                           |   |   |   | Preferred Securities(7) |   |   |   |   |   | 13,796 |  |   |   |   | 4.8 |  |   | 6.8 |  |
| Babson CLO Ltd. 2006-II(8)(9)                                                                                                         |   |   |   | Income Notes(7) |   |   |   |   |   |   |   | 15.0 |  |   | 9.9 |  |   | 15.6 |  |
| BALLYROCK CLO 2006-2 LTD.(8)(9)                                                                                                       |   |   |   | Deferrable Notes(7) |   |   |   |   |   |   |   | 2.0 |  |   | 1.6 |  |   | 1.5 |  |
| Cent CDO 12 Limited(8)(9)                                                                                                             |   |   |   | Income Notes(7) |   |   |   |   |   |   |   | 26.4 |  |   | 14.9 |  |   | 24.5 |  |
| Centurion CDO 8 Limited(8)(9)                                                                                                         |   |   |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 5.0 |  |   | 2.0 |  |   | 2.7 |  |
| Champlain CLO(8)(9)                                                                                                                   |   |   |   | Preferred Securities(7) |   |   |   |   |   | 1,000,000 |  |   |   |   | 1.0 |  |   | 0.7 |  |
| CoLTs 2005-1 Ltd.(8)(9)                                                                                                               |   |   |   | Preference Shares(4)(7) |   |   |   |   |   | 360 |  |   |   |   | 2.0 |  |   | 0.4 |  |
| CoLTs 2005-2 Ltd.(8)(9)                                                                                                               |   |   |   | Preference Shares(7) |   |   |   |   |   | 34,170,000 |  |   |   |   | 22.8 |  |   | 9.1 |  |
| CREST Exeter Street Solar 2004-2(8)(9)                                                                                                |   |   |   | Preferred Securities(7) |   |   |   |   |   | 3,089,177 |  |   |   |   | 4.1 |  |   | 2.5 |  |
| Eaton Vance CDO X PLC(8)(9)                                                                                                           |   |   |   | Secured Subordinated Income Notes(7) |   |   |   |   |   |   |   | 15.0 |  |   | 12.6 |  |   | 10.9 |  |
| Essex Park CDO Ltd.(8)(9)                                                                                                             |   |   |   | Preferred Securities(7) |   |   |   |   |   | 5,750,000 |  |   |   |   | 2.5 |  |   | 2.8 |  |
| Flagship CLO V(8)(9)                                                                                                                  |   |   |   | Deferrable Notes(7) |   |   |   |   |   |   |   | 1.7 |  |   | 1.4 |  |   | 1.3 |  |
|                                                                                                                                  |   |   |   | Subordinated Securities(7) |   |   |   |   |   | 15,000 |  |   |   |   | 8.2 |  |   | 11.2 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 9.6 |  |   | 12.5 |  |
| Galaxy III CLO, Ltd(8)(9)                                                                                                             |   |   |   | Subordinated Notes(4)(7) |   |   |   |   |   |   |   | 4.0 |  |   | 1.5 |  |   | 0.7 |  |
| LightPoint CLO IV, LTD(8)(9)                                                                                                          |   |   |   | Income Notes(7) |   |   |   |   |   |   |   | 6.7 |  |   | 7.5 |  |   | 5.4 |  |
| LightPoint CLO VII, Ltd.(8)(9)                                                                                                        |   |   |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 9.0 |  |   | 4.8 |  |   | 6.5 |  |
| LightPoint CLO VIII, Ltd.(8)(9)                                                                                                       |   |   |   | Deferrable Notes(7) |   |   |   |   |   |   |   | 7.0 |  |   | 6.5 |  |   | 6.0 |  |
| Mayport CLO Ltd.(8)(9)                                                                                                                |   |   |   | Income Notes(7) |   |   |   |   |   |   |   | 14.0 |  |   | 10.1 |  |   | 9.9 |  |
| NYLIM Flatiron CLO 2006-1 LTD.(8)(9)                                                                                                  |   |   |   | Subordinated Securities(7) |   |   |   |   |   | 10,000 |  |   |   |   | 4.9 |  |   | 7.3 |  |
| Octagon Investment Partners VII, Ltd.(8)(9)                                                                                           |   |   |   | Preferred Securities(7) |   |   |   |   |   | 5,000,000 |  |   |   |   | 1.6 |  |   | 2.5 |  |
| Sapphire Valley CDO I, Ltd.(8)(9)                                                                                                     |   |   |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 14.0 |  |   | 15.7 |  |   | 14.0 |  |
| Vitesse CLO, Ltd.(8)(9)                                                                                                               |   |   |   | Preferred Securities(7) |   |   |   |   |   | 20,000,000 |  |   |   |   | 13.5 |  |   | 14.4 |  |
| Subtotal Non-Control / Non-Affiliate Investments (33% of total investments at fair value)                                             |   |   |   | $ | 2,412.3 |  |   | $ | 1,754.5 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |
|                                                                                                                                  |   |   |   |   |   |   |   |   |
|                                                                                                                                  |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)March 31, 2012(unaudited)(in millions, except share data) |
|---------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                       |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (1)                                                                                                                           |   | Industry |   | Investments |   | InterestRate (2) |   |   Maturity    Date(2) |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| AFFILIATE INVESTMENTS                                                                                                                 |   |   |   |   |   |   |   |   |
| American Capital Mortgage Investment Corp,(5)(9)                                                                                      |   | Real Estate |   | Common Stock(7) |   |   |   |   |   | 2,000,100 |  |   |   |   | $ | 40.0 |  |   | $ | 41.8 |  |
| Anchor Drilling Fluids USA, Inc.                                                                                                      |   | Energy Equipment & Services |   | Senior Debt(7) |   | 11.3 | % |   | 12/13 |   |   |   | $ | 7.0 |  |   | 7.0 |  |   | 6.7 |  |
|                                                                                                                                  |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 859 |  |   |   |   | 1.6 |  |   | 1.0 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 3,061 |  |   |   |   | 5.0 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |  |   |   |   | 13.6 |  |   | 7.7 |  |
| Comfort Co., Inc.                                                                                                                     |   | Household Durables |   | Senior Debt(7) |   | 11.5 | % |   | 3/15 |   |   |   | 9.4 |  |   | 9.4 |  |   | 9.6 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 110,684 |  |   |   |   | 11.8 |  |   | 11.3 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 21.2 |  |   | 20.9 |  |
| Egenera, Inc.                                                                                                                         |   | Computers & Peripherals |   | Mezzanine Debt(6) |   | 15.0 | % |   | 5/12 |   |   |   | 5.0 |  |   | 3.2 |  |   | 1.6 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 8,569,905 |  |   |   |   | 25.4 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 28.6 |  |   | 1.6 |  |
| HALT Medical, Inc.                                                                                                                    |   | Health Care Equipment & Supplies |   | Senior Debt(7) |   | 16.8 | % |   | 12/12-7/13 |   |   |   | 12.1 |  |   | 12.1 |  |   | 12.1 |  |
|                                                                                                                                  |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 5,592,367 |  |   |   |   | 8.9 |  |   | 10.8 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 131,315 |  |   |   |   | 0.1 |  |   | 0.1 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 21.1 |  |   | 23.0 |  |
| IEE Holding 1 S.A.(8)                                                                                                                 |   | Auto Components |   | Common Stock(4) |   |   |   |   |   | 250,000 |  |   |   |   | 4.5 |  |   | 8.2 |  |
| Neways Holdings, L.P.                                                                                                                 |   | Personal Products |   | Senior Debt(7) |   | 16.0 | % |   | 8/14 |   |   |   | 9.2 |  |   | 9.2 |  |   | 8.8 |  |
|                                                                                                                                  |   |   |   | Common Units(4) |   |   |   |   |   | 10.6 | % |   |   |   | 9.5 |  |   | 5.2 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 18.7 |  |   | 14.0 |  |
| Primrose Holding Corporation                                                                                                          |   | Diversified Consumer Services |   | Common Stock(4)(7) |   |   |   |   |   | 4,213 |  |   |   |   | 1.6 |  |   | 3.3 |  |
| Qualitor Component Holdings, LLC                                                                                                      |   | Auto Components |   | Redeemable Preferred Units(4) |   |   |   |   |   | 3,150,000 |  |   |   |   | 3.2 |  |   | — |  |
|                                                                                                                                  |   |   | Common Units(4) |   |   |   |   |   | 350,000 |  |   |   |   | 0.3 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 3.5 |  |   | — |  |
| Radar Detection Holdings Corp.                                                                                                        |   | Household Durables |   | Convertible Preferred Stock(4) |   |   |   |   |   | 7,075 |  |   |   |   | 0.7 |  |   | 1.9 |  |
|                                                                                                                                  |   |   | Common Stock(4) |   |   |   |   |   | 40,688 |  |   |   |   | 0.6 |  |   | 0.6 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 1.3 |  |   | 2.5 |  |
| WFS Holding, LLC                                                                                                                      |   | Software |   | Preferred Interest |   |   |   |   |   | 20,403,772 |  |   |   |   | 2.4 |  |   | 4.2 |  |
| Subtotal Affiliate Investments (2% of total investments at fair value)                                                                |   |   |   | $ | 156.5 |  |   | $ | 127.2 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |
| CONTROL INVESTMENTS                                                                                                                   |   |   |   |   |   |   |   |   |
| ACAS Equity Holdings Corp.                                                                                                            |   | Diversified Financial Services |   | Common Stock(4)(7) |   |   |   |   |   | 589 |  |   |   |   | $ | 14.3 |  |   | $ | — |  |
| ACAS Real Estate Holdings Corporation                                                                                                 |   | Real Estate |   | Mezzanine Debt(6)(7) |   | 15.0 | % |   | 5/16 |   |   |   | $ | 5.7 |  |   | 3.7 |  |   | — |  |
|                                                                                                                                  |   |   | Common Stock(7) |   |   |   |   |   | 100 | % |   |   |   | 6.0 |  |   | 11.7 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 9.7 |  |   | 11.7 |  |
| American Capital, LLC                                                                                                                 |   | Capital Markets |   | Senior Debt(7) |   | 3.2 | % |   | 9/16 |   |   |   | 6.0 |  |   | 6.0 |  |   | 6.0 |  |
|                                                                                                                                  |   |   |   | Common Membership Interest(7) |   |   |   |   |   | 100 | % |   |   |   | 92.5 |  |   | 729.9 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 98.5 |  |   | 735.9 |  |
| American Driveline Systems, Inc.                                                                                                      |   | Diversified Consumer Services |   | Mezzanine Debt(7) |   | 13.9 | % |   | 7/16 |   |   |   | 35.3 |  |   | 35.1 |  |   | 35.2 |  |
|                                                                                                                                  |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 403,357 |  |   |   |   | 41.5 |  |   | 57.2 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 128,681 |  |   |   |   | 10.8 |  |   | 3.6 |  |
|                                                                                                                                  |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 204,663 |  |   |   |   | 17.3 |  |   | 5.7 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 104.7 |  |   | 101.7 |  |
| Auto Network Member Corp.                                                                                                             |   | Electronic Equipment, Instruments & Components |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 1,514 |  |   |   |   | 0.1 |  |   | 1.4 |  |
|                                                                                                                                  |   | Common Stock(4)(7) |   |   |   |   |   | 65 |  |   |   |   | 0.7 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 0.8 |  |   | 1.4 |  |
| Capital.com, Inc.                                                                                                                     |   | Diversified Financial Services |   | Common Stock(4)(7) |   |   |   |   |   | 8,500,100 |  |   |   |   | 0.9 |  |   | — |  |
| CH Holding Corp.                                                                                                                      |   | Leisure Equipment & Products |   | Senior Debt(7) |   | 7.2 | % |   | 5/13 |   |   |   | 18.7 |  |   | 18.7 |  |   | 18.7 |  |
|                                                                                                                                  |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 21,215 |  |   |   |   | 42.8 |  |   | 7.5 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 61.5 |  |   | 26.2 |  |
| CIBT Travel Solutions, LLC                                                                                                            |   | Commercial Services & Supplies |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 10,303 |  |   |   |   | 1.2 |  |   | 1.0 |  |
|                                                                                                                                  |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 858,410 |  |   |   |   | — |  |   | 10.9 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 188,889 |  |   |   |   | — |  |   | 1.8 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 1.2 |  |   | 13.7 |  |
| CMX Inc.                                                                                                                              |   | Construction & Engineering |   | Senior Debt(6)(7) |   | 3.5 | % |   | 5/12 |   |   |   | 4.5 |  |   | 4.4 |  |   | 0.1 |  |
| Contour Semiconductor, Inc.                                                                                                           |   | Semiconductors & Semiconductor Equipment |   | Convertible Senior Debt(6)(7) |   | 3.0 | % |   | 5/12-10/12 |   |   |   | 1.0 |  |   | 0.9 |  |   | 1.0 |  |
|                                                                                                                                  |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 11,532,842 |  |   |   |   | 12.5 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 13.4 |  |   | 1.0 |  |
| Core Financial Holdings, LLC(9)                                                                                                       |   | Diversified Financial Services |   | Common Units(4)(7) |   |   |   |   |   | 57,940,360 |  |   |   |   | 47.5 |  |   | 3.8 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)March 31, 2012(unaudited)(in millions, except share data) |
|---------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                       |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (1)                                                                                                                           |   | Industry |   | Investments |   | InterestRate (2) |   |   Maturity    Date(2) |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| Dyno Holding Corp.                                                                                                                    |   | Auto Components |   | Senior Debt(7) |   | 11.6 | % |   | 11/15 |   |   |   | 40.5 |  |   | 40.3 |  |   | 40.5 |  |
|                                                                                                                                  |   |   | Mezzanine Debt(7) |   | 7.3 | % |   | 11/16 |   |   |   | 16.9 |  |   | 16.8 |  |   | 16.8 |  |
|                                                                                                                                  |   |   |   | Mezzanine Debt(6)(7) |   | — | % |   | 11/16 |   |   |   | 14.0 |  |   | 11.7 |  |   | 1.1 |  |
|                                                                                                                                  |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 389,759 |  |   |   |   | 40.5 |  |   | — |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 97,440 |  |   |   |   | 10.1 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 119.4 |  |   | 58.4 |  |
| ECA Acquisition Holdings, Inc.                                                                                                        |   | Health Care Equipment & Supplies |   | Mezzanine Debt(7) |   | 16.5 | % |   | 12/14 |   |   |   | 14.6 |  |   | 14.5 |  |   | 14.6 |  |
|                                                                                                                                  |   | Common Stock(4)(7) |   |   |   |   |   | 583 |  |   |   |   | 11.1 |  |   | 10.4 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 25.6 |  |   | 25.0 |  |
| eLynx Holdings, Inc.                                                                                                                  |   | IT Services |   | Senior Debt(7) |   | 7.7 | % |   | 7/13 |   |   |   | 7.0 |  |   | 7.0 |  |   | 7.0 |  |
|                                                                                                                                  |   |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 21,113 |  |   |   |   | 8.9 |  |   | — |  |
|                                                                                                                                  |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 11,728 |  |   |   |   | 20.7 |  |   | 12.8 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 11,261 |  |   |   |   | 1.1 |  |   | — |  |
|                                                                                                                                  |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 1,078,792 |  |   |   |   | 13.1 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 50.8 |  |   | 19.8 |  |
| European Capital Limited(8)                                                                                                           |   | Diversified Financial Services |   | Subordinated Debt(7) |   | 7.8 | % |   | 12/13 |   |   |   | 88.4 |  |   | 88.4 |  |   | 88.4 |  |
| Ordinary Shares(4)(7)                                                                                                                 |   |   |   |   |   | 431,895,528 |  |   |   |   | 1,267.3 |  |   | 711.3 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 1,355.7 |  |   | 799.7 |  |
| EXPL Pipeline Holdings LLC(9)                                                                                                         |   | Oil, Gas & Consumable Fuels |   | Senior Debt(7) |   | 8.0 | % |   | 1/17 |   |   |   | 46.0 |  |   | 45.7 |  |   | 46.0 |  |
|                                                                                                                                  |   |   | Common Membership Units(4)(7) |   |   |   |   |   | 58,297 |  |   |   |   | 44.5 |  |   | 4.2 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 90.2 |  |   | 50.2 |  |
| FL Acquisitions Holdings, Inc.                                                                                                        |   | Computers & Peripherals |   | Senior Debt(7) |   | 8.3 | % |   | 10/12-10/13 |   |   |   | 40.1 |  |   | 40.0 |  |   | 40.2 |  |
|                                                                                                                                  |   | Mezzanine Debt(7) |   | 18.7 | % |   | 4/14-10/14 |   |   |   | 39.2 |  |   | 39.1 |  |   | 39.2 |  |
|                                                                                                                                  |   |   |   | Mezzanine Debt(6)(7) |   | 22.5 | % |   | 10/14 |   |   |   | 22.8 |  |   | 8.0 |  |   | 2.3 |  |
|                                                                                                                                  |   |   |   | Redeemable Preferred Stock(4) |   |   |   |   |   | 583,000 |  |   |   |   | 0.6 |  |   | — |  |
|                                                                                                                                  |   |   |   | Common Stock(4) |   |   |   |   |   | 129,514 |  |   |   |   | 15.6 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 103.3 |  |   | 81.7 |  |
| Formed Fiber Technologies, Inc.                                                                                                       |   | Auto Components |   | Common Stock(4)(7) |   |   |   |   |   | 31,250 |  |   |   |   | 8.1 |  |   | — |  |
| Fosbel Global Services (LUXCO) S.C.A.(8)                                                                                              |   | Commercial Services & Supplies |   | Mezzanine Debt(6)(7) |   | 18.7 | % |   | 12/13-12/14 |   |   |   | 67.8 |  |   | 37.9 |  |   | 14.7 |  |
|                                                                                                                                  |   |   | Redeemable Preferred Stock(4) |   |   |   |   |   | 18,449,456 |  |   |   |   | 18.5 |  |   | — |  |
|                                                                                                                                  |   |   |   | Convertible Preferred Stock(4) |   |   |   |   |   | 1,519,368 |  |   |   |   | 3.0 |  |   | — |  |
|                                                                                                                                  |   |   |   | Common Stock(4) |   |   |   |   |   | 108,526 |  |   |   |   | 0.2 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 59.6 |  |   | 14.7 |  |
| FreeConference.com, Inc.                                                                                                              |   | Diversified Telecommunication Services |   | Senior Debt(6)(7) |   | 8.5 | % |   | 5/13 |   |   |   | 9.1 |  |   | 8.2 |  |   | 5.6 |  |
|                                                                                                                                  |   |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 14,042,095 |  |   |   |   | 12.8 |  |   | — |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 6,088,229 |  |   |   |   | 2.3 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 23.3 |  |   | 5.6 |  |
| Future Food, Inc.                                                                                                                     |   | Food Products |   | Senior Debt(7) |   | 5.2 | % |   | 3/14 |   |   |   | 1.6 |  |   | 1.6 |  |   | 1.6 |  |
|                                                                                                                                  |   |   |   | Senior Debt(6)(7) |   | 5.2 | % |   | 3/14 |   |   |   | 15.4 |  |   | 1.1 |  |   | 1.1 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 64,917 |  |   |   |   | 12.9 |  |   | — |  |
|                                                                                                                                  |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 6,500 |  |   |   |   | 1.3 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 16.9 |  |   | 2.7 |  |
| Group Montana, Inc.                                                                                                                   |   | Textiles, Apparel & Luxury Goods |   | Senior Debt(7) |   | 4.2 | % |   | 1/17 |   |   |   | 5.0 |  |   | 5.0 |  |   | 5.0 |  |
|                                                                                                                                  |   |   |   | Senior Debt(6)(7) |   | 12.0 | % |   | 1/17 |   |   |   | 22.1 |  |   | 18.7 |  |   | 10.4 |  |
|                                                                                                                                  |   |   |   | Mezzanine Debt(6)(7) |   | 24.5 | % |   | 7/17 |   |   |   | 23.9 |  |   | 6.6 |  |   | — |  |
|                                                                                                                                  |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 4,000 |  |   |   |   | 1.0 |  |   | — |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 2.5 | % |   |   |   | 0.7 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 32.0 |  |   | 15.4 |  |
| Halex Holdings, Inc.                                                                                                                  |   | Construction Materials |   | Senior Debt(6)(7) |   | 12.0 | % |   | 12/14 |   |   |   | 13.0 |  |   | 9.8 |  |   | 4.5 |  |
|                                                                                                                                  |   |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 6,482,972 |  |   |   |   | 6.6 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 16.4 |  |   | 4.5 |  |
| Hard 8 Games, LLC                                                                                                                     |   | Hotels, Restaurants & Leisure |   | Membership Unit(4)(7) |   |   |   |   |   | 1 |  |   |   |   | 1.5 |  |   | 1.5 |  |
| Kingway Inca Clymer Holdings, Inc.                                                                                                    |   | Building Products |   | Mezzanine Debt(6)(7) |   | 12.3 | % |   | 4/12 |   |   |   | 3.4 |  |   | — |  |   | 1.4 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Lifoam Holdings, Inc.                                                                                                                 |   | Leisure Equipment & Products |   | Mezzanine Debt(7) |   | 14.0 | % |   | 3/18 |   |   |   | 15.0 |  |   | 15.0 |  |   | 15.0 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 985 |  |   |   |   | 30.3 |  |   | 30.9 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 45.3 |  |   | 45.9 |  |
| LLSC Holdings Corporation                                                                                                             |   | Personal Products |   | Senior Debt(7) |   | 7.5 | % |   | 8/15 |   |   |   | 1.5 |  |   | 1.5 |  |   | 1.5 |  |
|                                                                                                                                  |   |   | Mezzanine Debt(7) |   | 12.0 | % |   | 8/16 |   |   |   | 5.5 |  |   | 5.5 |  |   | 5.5 |  |
|                                                                                                                                  |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 7,496 |  |   |   |   | 8.1 |  |   | 9.5 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 15.1 |  |   | 16.5 |  |
| LVI Holdings, LLC                                                                                                                     |   | Professional Services |   | Senior Debt(7) |   | 7.2 | % |   | 6/12 |   |   |   | 2.7 |  |   | 2.7 |  |   | 2.7 |  |
|                                                                                                                                  |   |   |   | Mezzanine Debt(6)(7) |   | 18.0 | % |   | 2/13 |   |   |   | 13.9 |  |   | 8.9 |  |   | 4.3 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 11.6 |  |   | 7.0 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

----

Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)March 31, 2012(unaudited)(in millions, except share data) |
|---------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                       |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (1)                                                                                                                           |   | Industry |   | Investments |   | InterestRate (2) |   |   Maturity    Date(2) |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| Medical Billings Holdings, Inc.                                                                                                       |   | IT Services |   | Senior Debt(7) |   | 6.3 | % |   | 9/12 |   |   |   | 1.5 |  |   | 1.5 |  |   | 1.5 |  |
|                                                                                                                                  |   |   | Mezzanine Debt(7) |   | 17.0 | % |   | 9/13 |   |   |   | 12.2 |  |   | 12.2 |  |   | 12.3 |  |
|                                                                                                                                  |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 13,199,000 |  |   |   |   | 13.2 |  |   | 5.4 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 3,299,582 |  |   |   |   | 3.3 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 30.2 |  |   | 19.2 |  |
| Mirion Technologies, Inc.                                                                                                             |   | Electrical Equipment |   | Convertible Preferred Stock(7) |   |   |   |   |   | 419,819 |  |   |   |   | 68.2 |  |   | 148.1 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 53,678 |  |   |   |   | 5.1 |  |   | 9.6 |  |
|                                                                                                                                  |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 222,156 |  |   |   |   | 18.6 |  |   | 39.9 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 91.9 |  |   | 197.6 |  |
| Montgomery Lane, LLC(9)                                                                                                               |   | Diversified Financial Services |   | Common Membership Units(4)(7) |   |   |   |   |   | 100 |  |   |   |   | 2.2 |  |   | 4.3 |  |
| MW Acquisition Corporation                                                                                                            |   | Health Care Providers & Services |   | Mezzanine Debt(7) |   | 16.4 | % |   | 2/13-2/14 |   |   |   | 31.6 |  |   | 31.5 |  |   | 31.6 |  |
|                                                                                                                                  |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 2,485 |  |   |   |   | 1.4 |  |   | 1.4 |  |
|                                                                                                                                  |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 38,326 |  |   |   |   | 13.7 |  |   | 8.9 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 46.6 |  |   | 41.9 |  |
| NECCO Holdings, Inc.                                                                                                                  |   | Food Products |   | Senior Debt(6)(7) |   | 6.5 | % |   | 8/13 |   |   |   | 12.3 |  |   | 11.5 |  |   | 9.6 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 860,189 |  |   |   |   | 0.1 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 11.6 |  |   | 9.6 |  |
| NECCO Realty Investments, LLC                                                                                                         |   | Real Estate |   | Senior Debt(6)(7) |   | 14.0 | % |   | 12/17 |   |   |   | 49.0 |  |   | 32.8 |  |   | 31.0 |  |
|                                                                                                                                  |   |   | Common Membership Units(4)(7) |   |   |   |   |   | 7,450 |  |   |   |   | 4.9 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 37.7 |  |   | 31.0 |  |
| Orchard Brands Corporation                                                                                                            |   | Internet & Catalog Retail |   | Senior Debt(7) |   | 14.0 | % |   | 4/16 |   |   |   | 15.3 |  |   | 15.3 |  |   | 14.1 |  |
|                                                                                                                                  |   |   | Senior Debt(6)(7) |   | 6.5 | % |   | 4/16 |   |   |   | 70.0 |  |   | 65.8 |  |   | 29.8 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 73,953 |  |   |   |   | 58.2 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |  |   |   |   |   |   |   |  |   | 139.3 |  |   | 43.9 |  |
| Paradigm Precision Holdings, LLC                                                                                                      |   | Aerospace & Defense |   | Mezzanine Debt(7) |   | 18.3 | % |   | 8/16-10/16 |   |   |   | 134.6 |  |   | 134.1 |  |   | 134.6 |  |
|                                                                                                                                  |   |   | Mezzanine Debt(6)(7) |   | 23.0 | % |   | 10/16 |   |   |   | 38.9 |  |   | 19.8 |  |   | 4.1 |  |
|                                                                                                                                  |   |   |   | Common Membership Units(4)(7) |   |   |   |   |   | 478,488 |  |   |   |   | 17.5 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 171.4 |  |   | 138.7 |  |
| PHC Sharp Holdings, Inc.                                                                                                              |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 10.7 | % |   | 12/12 |   |   |   | 6.5 |  |   | 6.5 |  |   | 6.5 |  |
|                                                                                                                                  |   |   |   | Mezzanine Debt(7) |   | 17.0 | % |   | 12/14 |   |   |   | 10.5 |  |   | 10.4 |  |   | 10.5 |  |
|                                                                                                                                  |   |   |   | Mezzanine Debt(6)(7) |   | 19.0 | % |   | 12/14 |   |   |   | 14.8 |  |   | 7.3 |  |   | 0.7 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 367,881 |  |   |   |   | 4.2 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 28.4 |  |   | 17.7 |  |
| PHI Acquisitions, Inc.                                                                                                                |   | Internet & Catalog Retail |   | Mezzanine Debt(7) |   | 15.3 | % |   | 3/16 |   |   |   | 29.0 |  |   | 28.8 |  |   | 29.0 |  |
|                                                                                                                                  |   |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 36,267 |  |   |   |   | 36.7 |  |   | 48.3 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 40,295 |  |   |   |   | 3.9 |  |   | 7.3 |  |
|                                                                                                                                  |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 116,065 |  |   |   |   | 11.6 |  |   | 20.9 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 81.0 |  |   | 105.5 |  |
| Plumbing Holding Corporation                                                                                                          |   | Building Products |   | Common Stock(4)(7) |   |   |   |   |   | 342,500 |  |   |   |   | 11.1 |  |   | — |  |
| Small Smiles Holding Company, LLC(10)                                                                                                 |   | Health Care Providers & Services |   | Senior Debt(6)(7) |   | 6.8 | % |   | 2/15 |   |   |   | 8.5 |  |   | 6.2 |  |   | — |  |
|                                                                                                                                  |   |   | Preferred Interest(4)(7) |   |   |   |   |   |   |   |   |   | 37.8 |  |   | — |  |
|                                                                                                                                  |   |   |   | Common Interest(4)(7) |   |   |   |   |   | 22.1 | % |   |   |   | 13.8 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 57.8 |  |   | — |  |
| SMG Holdings, Inc.                                                                                                                    |   | Hotels, Restaurants & Leisure |   | Senior Debt(7) |   | 3.5 | % |   | 7/14 |   |   |   | 5.6 |  |   | 5.6 |  |   | 5.6 |  |
|                                                                                                                                  |   |   |   | Mezzanine Debt(7) |   | 12.6 | % |   | 6/15 |   |   |   | 138.8 |  |   | 138.2 |  |   | 138.8 |  |
|                                                                                                                                  |   |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 1,101,673 |  |   |   |   | 151.7 |  |   | 159.3 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 275,419 |  |   |   |   | 27.5 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 323.0 |  |   | 303.7 |  |
| Specialty Brands of America, Inc.                                                                                                     |   | Food Products |   | Mezzanine Debt(7) |   | 14.0 | % |   | 5/14 |   |   |   | 36.5 |  |   | 36.3 |  |   | 36.5 |  |
|                                                                                                                                  |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 122,017 |  |   |   |   | 12.2 |  |   | 17.9 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 128,175 |  |   |   |   | 2.3 |  |   | 25.7 |  |
|                                                                                                                                  |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 56,819 |  |   |   |   | 1.4 |  |   | 11.4 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 52.2 |  |   | 91.5 |  |
| Spring Air International, LLC                                                                                                         |   | Household Durables |   | Common Membership Units(4) |   |   |   |   |   | 49 | % |   |   |   | 2.2 |  |   | — |  |
| TestAmerica Environmental Services, LLC                                                                                               |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 6.5 | % |   | 12/12 |   |   |   | 22.3 |  |   | 20.8 |  |   | 22.1 |  |
|                                                                                                                                  |   |   | Preferred Membership Units(7) |   |   |   |   |   | 20,000 |  |   |   |   | 25.0 |  |   | 15.4 |  |
|                                                                                                                                  |   |   | Common Units(4)(7) |   |   |   |   |   | 490,000 |  |   |   |   | 2.0 |  |   | 24.2 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 47.8 |  |   | 61.7 |  |
| UFG Real Estate Holdings, LLC                                                                                                         |   | Real Estate |   | Common Membership(4)(7) |   |   |   |   |   |   |   |   |   | — |  |   | 0.9 |  |
| Unique Fabricating Incorporated                                                                                                       |   | Auto Components |   | Senior Debt(7) |   | 14.0 | % |   | 2/15 |   |   |   | 5.6 |  |   | 5.6 |  |   | 5.6 |  |
|                                                                                                                                  |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 301,556 |  |   |   |   | 7.9 |  |   | 11.2 |  |
|                                                                                                                                  |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 6,862 |  |   |   |   | 0.2 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 13.7 |  |   | 16.8 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)March 31, 2012(unaudited)(in millions, except share data) |
|---------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                       |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (1)                                                                                                                           |   | Industry |   | Investments |   | InterestRate (2) |   |   Maturity    Date(2) |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| Unwired Holdings, Inc.                                                                                                                |   | Household Durables |   | Senior Debt(7) |   | 8.6 | % |   | 6/12 |   |   |   | 13.8 |  |   | 13.8 |  |   | 13.8 |  |
|                                                                                                                                  |   |   |   | Mezzanine Debt(7) |   | 14.5 | % |   | 6/12 |   |   |   | 24.3 |  |   | 14.0 |  |   | 29.0 |  |
|                                                                                                                                  |   |   |   | Redeemable Preferred Stock(4) |   |   |   |   |   | 1,890 |  |   |   |   | 1.9 |  |   | — |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 29.7 |  |   | 42.8 |  |
| 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 |  |   |   |   | 7.7 |  |   | 8.3 |  |
|                                                                                                                                  |   |   |   | Common Membership Units(4)(7) |   |   |   |   |   | 27,400 |  |   |   |   | 1.9 |  |   | 1.9 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 15.6 |  |   | 16.2 |  |
| WIS Holding Company, Inc.                                                                                                             |   | Commercial Services & Supplies |   | Mezzanine Debt(7) |   | 14.5 | % |   | 1/14 |   |   |   | 88.9 |  |   | 88.6 |  |   | 89.0 |  |
|                                                                                                                                  |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 703,406 |  |   |   |   | 107.0 |  |   | 177.3 |  |
|                                                                                                                                  |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 175,853 |  |   |   |   | 17.6 |  |   | 35.2 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   | 213.2 |  |   | 301.5 |  |
|                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| CDO / CLO INVESTMENTS                                                                                                                 |   |   |   |   |   |   |   |   |
| ACAS Wachovia Investments, L.P.(9)                                                                                                    |   | Diversified Financial Services |   | Partnership Interest |   |   |   |   |   | 90 | % |   |   |   | 14.7 |  |   | 6.9 |  |
| Subtotal Control Investments (65% of total investments at fair value)                                                                 |   |   |   |   |   | $ | 3,753.0 |  |   | $ | 3,496.9 |  |
| Total Investment Assets                                                                                                               |   |   |   |   |   | $ | 6,321.8 |  |   | $ | 5,378.6 |  |

|                                  |
|----------------------------------|
|                                  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Counterparty                     |   | Instrument |   | InterestRate (2) |   | ExpirationDate (2) |   | # 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 |  |   | $ | 27.4 |  |   | $ | — |  |   | $ | 10.1 |  |
| Subtotal Derivative Assets       |   |   |   |   |   |   |   |   |   | $ | — |  |   | $ | 10.1 |  |
|                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| BMO Financial Group              |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.3%/LIBOR |   | 2/13-8/17 |   | 5 |  |   | $ | 236.7 |  |   | $ | — |  |   | $ | (42.9 | ) |
| Wells Fargo Bank, N.A            |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.0%/LIBOR |   | 1/14-8/19 |   | 3 |  |   | 210.4 |  |   | — |  |   | (22.6 | ) |
| Citibank, N.A.                   |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.3%/LIBOR |   | 5/16-11/19 |   | 3 |  |   | 114.8 |  |   | — |  |   | (15.3 | ) |
| UniCredit Group                  |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.7%/LIBOR |   | 7/17 |   | 1 |  |   | 66.0 |  |   | — |  |   | (15.1 | ) |
| Citibank, N.A.                   |   | Balance Differential Swap - Pay Fixed/ Receive Floating(7) |   | 5.2%/LIBOR |   | 11/19 |   | 1 |  |   | 62.2 |  |   | — |  |   | (4.3 | ) |
| BNP Paribas                      |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.7%/LIBOR |   | 7/17 |   | 1 |  |   | 22.3 |  |   | — |  |   | (4.6 | ) |
| Subtotal Derivative Liabilities  |   |   |   |   |   |   |   |   |   | $ | — |  |   | $ | (104.8 | ) |
| Total Derivative Agreements, Net |   |   |   |   |   |   |   |   |   | $ | — |  |   | $ | (94.7 | ) |

|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |  |
| Funds                              |   | Cost |   | FairValue |
| MONEY MARKET FUNDS(3)(7)           |   |   |
| Invesco Stit Treasury Portfolio    |   | $ | 12.5 |  |   | $ | 12.5 |  |
| Fidelity Money Market Pt CI I      |   | 12.5 |  |   | 12.5 |  |
| Federated Tax-Free Obligation Fund |   | 12.0 |  |   | 12.0 |  |
| Morgan Stanley Liq Treas Srv       |   | 10.8 |  |   | 10.8 |  |
| Fidelity Governmental Fund 57      |   | 10.3 |  |   | 10.3 |  |
| Total Money Market Funds           |   | $ | 58.1 |  |   | $ | 58.1 |  |

|     |                                                                                       |
|-----|---------------------------------------------------------------------------------------|
| (1) | Certain of the securities are issued by affiliate(s) of the listed portfolio company. |

|     |                                                                                                                                                                                                                                                                                                                      |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | 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 and expiration dates represent the earliest and the latest dates in which the security matures or the instrument expires. |

|     |                                                                          |
|-----|--------------------------------------------------------------------------|
| (3) | Included in cash and cash equivalents on our consolidated balance sheet. |

|     |                                                         |
|-----|---------------------------------------------------------|
| (4) | Some or all of the securities are non-income producing. |

|     |                                                                           |
|-----|---------------------------------------------------------------------------|
| (5) | Publicly traded company or a consolidated subsidiary of a public company. |

|     |                                                                              |
|-----|------------------------------------------------------------------------------|
| (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) | Non-U.S. company or principal place of business outside the U.S. and as a result is not a qualifying asset under Section 55(a) of the Investment Company Act. Under the Investment Company Act, we may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of our total assets. |

|     |                                                                                                                                                                                                                                                                                                                                                                                            |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (9) | Excepted from the definition of investment company under Section 3(c) of the Investment Company Act and as a result is not a qualifying asset under Section 55(a) of the Investment Company Act. Under the Investment Company Act, we may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of our total assets. |

|      |                                                                                            |
|------|--------------------------------------------------------------------------------------------|
| (10) | Portfolio company has filed for reorganization under Chapter 11 of the United States Code. |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTSDecember 31, 2011(in millions, except share data) |
|------------------------------------------------------------------------------------------------------------------|
|                                                                                                                  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (1)                                                                                                      |   | Industry |   | Investments |   | InterestRate (2) |   |   Maturity    Date(2) |   | # 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 |   |   |   | $ | 70.8 |  |   | $ | 70.3 |  |   | $ | 70.8 |  |
|                                                                                                             |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 70,752 |  |   |   |   | 68.1 |  |   | 111.7 |  |
|                                                                                                             |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 17,687,156 |  |   |   |   | 15.8 |  |   | 26.7 |  |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 154.2 |  |   | 209.2 |  |
| Algoma Holding Company                                                                                           |   | Building Products |   | Mezzanine Debt(7) |   | 14.1 | % |   | 9/13 |   |   |   | 16.1 |  |   | 16.0 |  |   | 16.3 |  |
| American Acquisition, LLC(9)                                                                                     |   | Capital Markets |   | Senior Debt(7) |   | 14.3 | % |   | 12/12 |   |   |   | 13.7 |  |   | 13.6 |  |   | 13.5 |  |
| AmWins Group, Inc.                                                                                               |   | Insurance |   | Senior Debt(7) |   | 6.1 | % |   | 6/14 |   |   |   | 18.5 |  |   | 18.5 |  |   | 16.3 |  |
| Avalon Laboratories Holding Corp.                                                                                |   | Health Care Equipment & Supplies |   | Senior Debt(7) |   | 11.0 | % |   | 1/14 |   |   |   | 16.0 |  |   | 15.9 |  |   | 16.0 |  |
| Mezzanine Debt(7)                                                                                                |   | 18.6 | % |   | 1/15 |   |   |   | 30.3 |  |   | 30.1 |  |   | 30.3 |  |
|                                                                                                             |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 148,742 |  |   |   |   | 29.6 |  |   | 32.7 |  |
|                                                                                                             |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 7,829 |  |   |   |   | 1.3 |  |   | 1.7 |  |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 76.9 |  |   | 80.7 |  |
| 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.(9)                                                                               |   | Capital Markets |   | Limited Partnership Interest(4) |   |   |   |   |   |   |   |   |   | 4.8 |  |   | 4.3 |  |
| CAMP Systems International, Inc.                                                                                 |   | Air Freight & Logistics |   | Senior Debt(7) |   | 6.3 | % |   | 9/14 |   |   |   | 30.0 |  |   | 29.8 |  |   | 27.7 |  |
| CIBT Investment Holdings, LLC                                                                                    |   | Commercial Services & Supplies |   | Common Stock(4)(7) |   |   |   |   |   | 13,381 |  |   |   |   | 8.9 |  |   | 9.9 |  |
| Cinelease Holdings, LLC                                                                                          |   | Electronic Equipment, Instruments & Components |   | Senior Debt(7) |   | 11.0 | % |   | 4/13 |   |   |   | 51.6 |  |   | 51.5 |  |   | 52.2 |  |
|                                                                                                             |   |   | Common Stock(4) |   |   |   |   |   | 583 |  |   |   |   | 0.6 |  |   | 1.2 |  |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 52.1 |  |   | 53.4 |  |
| Contec, LLC                                                                                                      |   | Household Durables |   | Mezzanine Debt(6)(7) |   | 12.5 | % |   | 9/15 |   |   |   | 16.9 |  |   | 16.8 |  |   | — |  |
| Delsey Holding(8)                                                                                                |   | Textiles, Apparel & Luxury Goods |   | Senior Debt(7) |   | 7.6 | % |   | 2/14 |   |   |   | 20.5 |  |   | 20.5 |  |   | 13.9 |  |
| DelStar, Inc.                                                                                                    |   | Building Products |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 26,613 |  |   |   |   | 25.3 |  |   | 42.2 |  |
|                                                                                                             |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 29,569 |  |   |   |   | 3.0 |  |   | 3.8 |  |
|                                                                                                             |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 89,020 |  |   |   |   | 16.9 |  |   | 1.2 |  |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 45.2 |  |   | 47.2 |  |
| Easton Bell Sports, LLC                                                                                          |   | Leisure Equipment & Products |   | Redeemable Preferred Stock |   |   |   |   |   | 1,171 |  |   |   |   | 1.7 |  |   | 1.7 |  |
|                                                                                                             |   |   |   | Common Units(4) |   |   |   |   |   | 3,830,068 |  |   |   |   | 0.7 |  |   | 1.1 |  |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 2.4 |  |   | 2.8 |  |
| FAMS Acquisition, Inc.                                                                                           |   | Diversified Financial Services |   | Mezzanine Debt(7) |   | 14.0 | % |   | 11/13 |   |   |   | 17.7 |  |   | 17.6 |  |   | 17.7 |  |
|                                                                                                             |   |   |   | Mezzanine Debt(6)(7) |   | 15.5 | % |   | 11/14 |   |   |   | 19.1 |  |   | 11.8 |  |   | 9.2 |  |
|                                                                                                             |   |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 919 |  |   |   |   | 0.9 |  |   | — |  |
|                                                                                                             |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 861,364 |  |   |   |   | 20.9 |  |   | — |  |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 51.2 |  |   | 26.9 |  |
| Flexera Software, LLC                                                                                            |   | Software |   | Senior Debt(7) |   | 11.0 | % |   | 10/18 |   |   |   | 15.0 |  |   | 14.0 |  |   | 14.0 |  |
| FPI Holding Corporation                                                                                          |   | Food Products |   | Senior Debt(7) |   | 8.6 | % |   | 12/12-5/13 |   |   |   | 18.6 |  |   | 18.6 |  |   | 18.6 |  |
|                                                                                                             |   |   |   | Senior Debt(6)(7) |   | 15.8 | % |   | 6/14-6/15 |   |   |   | 18.9 |  |   | 13.3 |  |   | 8.3 |  |
|                                                                                                             |   |   |   | Mezzanine Debt(6)(7) |   | 20.0 | % |   | 6/15 |   |   |   | 17.3 |  |   | 8.9 |  |   | — |  |
|                                                                                                             |   |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 4,469 |  |   |   |   | 39.1 |  |   | — |  |
|                                                                                                             |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 21,715 |  |   |   |   | 23.3 |  |   | — |  |
|                                                                                                             |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 5,429 |  |   |   |   | 5.8 |  |   | — |  |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 109.0 |  |   | 26.9 |  |
| Groupe Unipex(8)                                                                                                 |   | Personal Products |   | Mezzanine Debt |   | 10.9 | % |   | 5/17 |   |   |   | 6.8 |  |   | 6.0 |  |   | 5.8 |  |
|                                                                                                             |   |   |   | Common Stock Warrants(4) |   |   |   |   |   | 840,001 |  |   |   |   | 0.9 |  |   | 0.8 |  |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 6.9 |  |   | 6.6 |  |
| HMSC Corporation                                                                                                 |   | Insurance |   | Senior Debt(6)(7) |   | 5.8 | % |   | 10/14 |   |   |   | 3.5 |  |   | 2.9 |  |   | 1.0 |  |
| IS Holdings I, Inc.                                                                                              |   | Software |   | Common Stock(7) |   |   |   |   |   | 1,165,930 |  |   |   |   | — |  |   | 9.3 |  |
| JHCI Acquisition, Inc.                                                                                           |   | Air Freight & Logistics |   | Senior Debt(7) |   | 5.8 | % |   | 12/14 |   |   |   | 19.0 |  |   | 19.1 |  |   | 15.6 |  |
| KIK Custom Products, Inc.(8)                                                                                     |   | Household Products |   | Senior Debt(6)(7) |   | 5.3 | % |   | 12/14 |   |   |   | 22.5 |  |   | 21.6 |  |   | 14.8 |  |
| LCW Holdings, LLC                                                                                                |   | Real Estate |   | Senior Debt(7) |   | 11.0 | % |   | 10/12 |   |   |   | 6.1 |  |   | 6.1 |  |   | 6.2 |  |
|                                                                                                             |   |   |   | Warrant(4) |   |   |   |   |   | 12.5 | % |   |   |   | 0.8 |  |   | 3.4 |  |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 6.9 |  |   | 9.6 |  |
| Mirion Technologies, Inc.                                                                                        |   | Electrical Equipment |   | Senior Debt(7) |   | 5.6 | % |   | 10/14 |   |   |   | 124.0 |  |   | 123.5 |  |   | 124.5 |  |
|                                                                                                             |   |   |   | Mezzanine Debt(7) |   | 14.1 | % |   | 4/15 |   |   |   | 57.3 |  |   | 56.9 |  |   | 57.3 |  |
|                                                                                                             |   |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 435,724 |  |   |   |   | 68.6 |  |   | 141.1 |  |
|                                                                                                             |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 24,503 |  |   |   |   | 2.8 |  |   | 4.1 |  |
|                                                                                                             |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 222,156 |  |   |   |   | 18.6 |  |   | 37.5 |  |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   | 270.4 |  |   | 364.5 |  |
| Mitchell International, Inc.                                                                                     |   | IT Services |   | Senior Debt(7) |   | 5.9 | % |   | 3/15 |   |   |   | 5.0 |  |   | 5.0 |  |   | 4.4 |  |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)December 31, 2011(in millions, except share data) |
|-------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (1)                                                                                                                   |   | Industry |   | Investments |   | InterestRate (2) |   |   Maturity    Date(2) |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| NBD Holdings Corp.                                                                                                            |   | Diversified Financial Services |   | Convertible Preferred Stock(4) |   |   |   |   |   | 84,174 |  |   |   |   | 8.7 |  |   | 3.4 |  |
|                                                                                                                          |   |   |   | Common Stock(4) |   |   |   |   |   | 633,408 |  |   |   |   | 0.1 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 8.8 |  |   | 3.4 |  |
| Net1 Las Colinas Manager, LLC                                                                                                 |   | Real Estate |   | Senior Debt(7) |   | 7.7 | % |   | 10/15 |   |   |   | 3.2 |  |   | 3.3 |  |   | 2.9 |  |
| Orion Foundry, Inc.(5)(8)                                                                                                     |   | Internet Software & Services |   | Senior Debt(7) |   | 7.8 | % |   | 12/15 |   |   |   | 13.6 |  |   | 13.3 |  |   | 6.5 |  |
|                                                                                                                          |   |   |   | Senior Debt(6)(7) |   | 8.5 | % |   | 12/15 |   |   |   | 5.5 |  |   | 4.5 |  |   | 2.7 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 17.8 |  |   | 9.2 |  |
| Pan Am International Flight Academy, Inc.                                                                                     |   | Professional Services |   | Mezzanine Debt(7) |   | 16.5 | % |   | 7/14 |   |   |   | 43.2 |  |   | 43.1 |  |   | 43.2 |  |
|                                                                                                                          |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 14,938 |  |   |   |   | 14.9 |  |   | 20.3 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 58.0 |  |   | 63.5 |  |
| PaR Systems, Inc.                                                                                                             |   | Machinery |   | Senior Debt(7) |   | 3.4 | % |   | 7/13 |   |   |   | 2.6 |  |   | 2.5 |  |   | 2.2 |  |
| Parts Holding Coörperatief U.A(8)                                                                                        |   | Distributors |   | Membership Entitlements(4)(7) |   |   |   |   |   | 173,060 |  |   |   |   | 6.4 |  |   | 0.4 |  |
| Phillips & Temro Industries, Inc.                                                                                    |   | Auto Components |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 5,000,000 |  |   |   |   | — |  |   | 8.2 |  |
| Qioptiq S.à r.l.(8)                                                                                                      |   | Electronic Equipment, Instruments & Components |   | Mezzanine Debt(7) |   | 10.0 | % |   | 3/18 |   |   |   | 34.4 |  |   | 34.3 |  |   | 32.7 |  |
| Qualium I(8)                                                                                                                  |   | Capital Markets |   | Common Stock(4)(7) |   |   |   |   |   | 241,879 |  |   |   |   | 2.0 |  |   | 1.9 |  |
| RDR Holdings, Inc.                                                                                                            |   | Household Durables |   | Mezzanine Debt(7) |   | 13.6 | % |   | 10/14 |   |   |   | 30.7 |  |   | 30.6 |  |   | 30.7 |  |
|                                                                                                                          |   |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 133 |  |   |   |   | 13.3 |  |   | — |  |
|                                                                                                                          |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 1,541 |  |   |   |   | 192.3 |  |   | — |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 15,414 |  |   |   |   | 32.7 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 268.9 |  |   | 30.7 |  |
| Renaissance Learning, Inc.                                                                                                    |   | Software |   | Senior Debt(7) |   | 12.0 | % |   | 10/18 |   |   |   | 10.0 |  |   | 9.6 |  |   | 9.6 |  |
| Roark - Money Mailer, LLC                                                                                                     |   | Media |   | Common Membership Units(4) |   |   |   |   |   | 3.5 | % |   |   |   | 0.9 |  |   | 1.0 |  |
| Scanner Holdings Corporation                                                                                                  |   | Computers & Peripherals |   | Mezzanine Debt(7) |   | 14.0 | % |   | 6/14 |   |   |   | 17.8 |  |   | 17.7 |  |   | 17.8 |  |
|                                                                                                                          |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 77,640,000 |  |   |   |   | 7.7 |  |   | 15.8 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 78,242 |  |   |   |   | 0.1 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 25.5 |  |   | 33.6 |  |
| Soil Safe Holdings, LLC                                                                                                       |   | Professional Services |   | Senior Debt(7) |   | 9.8 | % |   | 8/13-8/14 |   |   |   | 37.3 |  |   | 37.1 |  |   | 37.4 |  |
|                                                                                                                          |   |   |   | Mezzanine Debt(7) |   | 15.5 | % |   | 8/15-8/16 |   |   |   | 41.6 |  |   | 41.3 |  |   | 40.6 |  |
|                                                                                                                          |   |   |   | Mezzanine Debt(6)(7) |   | 17.5 | % |   | 8/17 |   |   |   | 33.8 |  |   | 18.5 |  |   | 23.7 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 96.9 |  |   | 101.7 |  |
| SPL Acquisition Corp.                                                                                                         |   | Pharmaceuticals |   | Senior Debt(7) |   | 11.0 | % |   | 6/14 |   |   |   | 47.0 |  |   | 46.8 |  |   | 47.1 |  |
|                                                                                                                          |   |   |   | Mezzanine Debt(7) |   | 15.3 | % |   | 6/15-6/16 |   |   |   | 55.1 |  |   | 54.8 |  |   | 55.2 |  |
|                                                                                                                          |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 84,043 |  |   |   |   | 40.7 |  |   | 27.2 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 142.3 |  |   | 129.5 |  |
| Survey Sampling International, LLC                                                                                            |   | Media |   | Mezzanine Debt(7) |   | 15.0 | % |   | 7/18 |   |   |   | 40.6 |  |   | 40.2 |  |   | 40.2 |  |
| Swank Audio Visuals, LLC                                                                                                      |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 9.5 | % |   | 8/15 |   |   |   | 58.0 |  |   | 57.8 |  |   | 45.6 |  |
| The Tensar Corporation                                                                                                        |   | Construction & Engineering |   | Senior Debt(7) |   | 13.0 | % |   | 5/13 |   |   |   | 83.1 |  |   | 82.7 |  |   | 83.2 |  |
|                                                                                                                          |   |   |   | Mezzanine Debt(7) |   | 20.0 | % |   | 11/15 |   |   |   | 35.5 |  |   | 35.5 |  |   | 36.0 |  |
|                                                                                                                          |   |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 8,263,171 |  |   |   |   | 10.8 |  |   | 22.7 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 129.0 |  |   | 141.9 |  |
| ThreeSixty Sourcing, Inc.(8)                                                                                                  |   | Commercial Services & Supplies |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 35 |  |   |   |   | 4.1 |  |   | — |  |
| TransFirst Holdings, Inc.                                                                                                     |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 6.3 | % |   | 6/15 |   |   |   | 54.0 |  |   | 53.7 |  |   | 44.2 |  |
| Tyden Cayman Holdings Corp.(8)                                                                                                |   | Electronic Equipment, Instruments & Components |   | Common Stock(4) |   |   |   |   |   | 3,218,667 |  |   |   |   | 3.8 |  |   | 4.1 |  |
| WRH, Inc.                                                                                                                     |   | Life Sciences Tools & Services |   | Senior Debt(7) |   | 4.3 | % |   | 9/13 |   |   |   | 3.9 |  |   | 3.9 |  |   | 3.9 |  |
|                                                                                                                          |   |   | Mezzanine Debt(7) |   | 14.6 | % |   | 7/14-9/15 |   |   |   | 99.0 |  |   | 98.6 |  |   | 94.9 |  |
|                                                                                                                          |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 2,008,575 |  |   |   |   | 229.3 |  |   | 81.8 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 502,144 |  |   |   |   | 49.8 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 381.6 |  |   | 180.6 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| CMBS INVESTMENTS                                                                                                              |   |   |   |   |   |   |   |   |
| Banc of America Commercial Mortgage Trust 2007-1(9)                                                                           |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(7) |   | 5.9 | % |   | 2/17-2/18 |   |   |   | 12.4 |  |   | 4.0 |  |   | 0.3 |  |
| CD 2007-CD4 Commercial Mortgage Trust(9)                                                                                      |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 5.9 | % |   | 4/17 |   |   |   | 14.0 |  |   | 8.7 |  |   | 0.1 |  |
| CD 2007-CD5 Mortgage Trust(9)                                                                                                 |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.3 | % |   | 12/17 |   |   |   | 14.8 |  |   | 9.3 |  |   | 1.4 |  |
| Citigroup Commercial Mortgage Securities Trust 2007-C6(9)                                                                     |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(7) |   | 5.9 | % |   | 7/17 |   |   |   | 67.5 |  |   | 33.9 |  |   | 11.0 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)December 31, 2011(in millions, except share data) |
|-------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (1)                                                                                                                   |   | Industry |   | Investments |   | InterestRate (2) |   |   Maturity    Date(2) |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| COBALT CMBS Commercial Mortgage Trust 2007-C3(9)                                                                              |   | Real Estate |   | Commercia1 Mortgage Pass-Through Certificates(4)(7) |   | 5.2 | % |   | 10/17 |   |   |   | 11.1 |  |   | 7.9 |  |   | 0.2 |  |
| Credit Suisse Commercial Mortgage Trust Series 2007-C4(9)                                                                     |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.0 | % |   | 8/17 |   |   |   | 20.8 |  |   | 11.3 |  |   | 2.2 |  |
| GE Commercial Mortgage Corporation, Series 2007-C1(9)                                                                         |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 5.9 | % |   | 12/19 |   |   |   | 4.4 |  |   | 4.0 |  |   | — |  |
| GS Mortgage Securities Trust 2006-GG10(9)                                                                                     |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.0 | % |   | 7/17 |   |   |   | 7.0 |  |   | 4.1 |  |   | — |  |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11(9)                                                          |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.0 | % |   | 7/17 |   |   |   | 52.3 |  |   | 9.2 |  |   | 1.0 |  |
| LB-UBS Commercial Mortgage Trust 2007-C6(9)                                                                                   |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.4 | % |   | 8/17 |   |   |   | 36.6 |  |   | 21.4 |  |   | 1.5 |  |
| LB-UBS Commercial Mortgage Trust 2008-C1(9)                                                                                   |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.3 | % |   | 7/23-7/24 |   |   |   | 19.4 |  |   | 7.4 |  |   | 0.3 |  |
| ML-CFC Commercial Mortgage Trust 2007-6(9)                                                                                    |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.0 | % |   | 4/17 |   |   |   | 9.8 |  |   | 3.1 |  |   | 0.1 |  |
| ML-CFC Commercial Mortgage Trust 2007-8(9)                                                                                    |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.2 | % |   | 8/17 |   |   |   | 32.8 |  |   | 18.7 |  |   | 1.1 |  |
| Wachovia Bank Commercial Mortgage Trust 2007-C31(9)                                                                           |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 7.0 | % |   | 5/17 |   |   |   | 20.0 |  |   | 10.8 |  |   | 1.0 |  |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C32(9)                                                                   |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 5.8 | % |   | 10/17 |   |   |   | 66.0 |  |   | 42.4 |  |   | 2.1 |  |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C34(9)                                                                   |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(7) |   | 5.7 | % |   | 10/17-9/24 |   |   |   | 96.2 |  |   | 39.6 |  |   | 5.3 |  |
| Wachovia Bank Commercial Trust 2006-C28(9)                                                                                    |   | Real Estate |   | Commercial Mortgage Pass-Through Certificates(4)(7) |   | 6.2 | % |   | 11/16 |   |   |   | 5.0 |  |   | 2.8 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| CLO INVESTMENTS                                                                                                               |   |   |   |   |   |   |   |   |
| ACAS CLO 2007-1, Ltd.(8)(9)                                                                                                   |   |   |   | Secured Notes(7) |   |   |   |   |   |   |   | 8.5 |  |   | 8.4 |  |   | 5.7 |  |
|                                                                                                                          |   |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 25.9 |  |   | 16.1 |  |   | 16.8 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 24.5 |  |   | 22.5 |  |
| Ares IIIR/IVR CLO Ltd.(8)(9)                                                                                                  |   |   |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 20.0 |  |   | 17.1 |  |   | 13.5 |  |
| Ares VIII CLO, Ltd.(8)(9)                                                                                                     |   |   |   | Preference Shares(7) |   |   |   |   |   | 6,241 |  |   |   |   | 4.8 |  |   | 2.7 |  |
| Avalon Capital Ltd. 3(8)(9)                                                                                                   |   |   |   | Preferred Securities(7) |   |   |   |   |   | 13,796 |  |   |   |   | 5.0 |  |   | 6.5 |  |
| Babson CLO Ltd. 2006-II(8)(9)                                                                                                 |   |   |   | Income Notes(7) |   |   |   |   |   |   |   | 15.0 |  |   | 10.2 |  |   | 14.4 |  |
| BALLYROCK CLO 2006-2 LTD.(8)(9)                                                                                               |   |   |   | Deferrable Notes(7) |   |   |   |   |   |   |   | 2.0 |  |   | 1.6 |  |   | 1.5 |  |
| Cent CDO 12 Limited(8)(9)                                                                                                     |   |   |   | Income Notes(7) |   |   |   |   |   |   |   | 26.4 |  |   | 15.5 |  |   | 23.5 |  |
| Centurion CDO 8 Limited(8)(9)                                                                                                 |   |   |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 5.0 |  |   | 2.1 |  |   | 2.7 |  |
| Champlain CLO(8)(9)                                                                                                           |   |   |   | Preferred Securities(7) |   |   |   |   |   | 1,000,000 |  |   |   |   | 1.0 |  |   | 0.7 |  |
| CoLTs 2005-1 Ltd.(8)(9)                                                                                                       |   |   |   | Preference Shares(4)(7) |   |   |   |   |   | 360 |  |   |   |   | 2.0 |  |   | 0.4 |  |
| CoLTs 2005-2 Ltd.(8)(9)                                                                                                       |   |   |   | Preference Shares(7) |   |   |   |   |   | 34,170,000 |  |   |   |   | 22.4 |  |   | 8.7 |  |
| CREST Exeter Street Solar 2004-2(8)(9)                                                                                        |   |   |   | Preferred Securities(7) |   |   |   |   |   | 3,089,177 |  |   |   |   | 3.8 |  |   | 2.2 |  |
| Eaton Vance CDO X PLC(8)(9)                                                                                                   |   |   |   | Secured Subordinated Income Notes(7) |   |   |   |   |   |   |   | 15.0 |  |   | 12.6 |  |   | 9.8 |  |
| Essex Park CDO Ltd.(8)(9)                                                                                                     |   |   |   | Preferred Securities(7) |   |   |   |   |   | 5,750,000 |  |   |   |   | 2.4 |  |   | 2.6 |  |
| Flagship CLO V(8)(9)                                                                                                          |   |   |   | Deferrable Notes(7) |   |   |   |   |   |   |   | 1.7 |  |   | 1.4 |  |   | 1.2 |  |
|                                                                                                                          |   |   |   | Subordinated Securities(7) |   |   |   |   |   | 15,000 |  |   |   |   | 8.6 |  |   | 9.6 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 10.0 |  |   | 10.8 |  |
| Galaxy III CLO, Ltd(8)(9)                                                                                                     |   |   |   | Subordinated Notes(4)(7) |   |   |   |   |   |   |   | 4.0 |  |   | 1.6 |  |   | 0.8 |  |
| LightPoint CLO IV, LTD(8)(9)                                                                                                  |   |   |   | Income Notes(7) |   |   |   |   |   |   |   | 6.7 |  |   | 7.5 |  |   | 5.1 |  |
| LightPoint CLO VII, Ltd.(8)(9)                                                                                                |   |   |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 9.0 |  |   | 5.1 |  |   | 6.3 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)December 31, 2011(in millions, except share data) |
|-------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (1)                                                                                                                   |   | Industry |   | Investments |   | InterestRate (2) |   |   Maturity    Date(2) |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| LightPoint CLO VIII, Ltd.(8)(9)                                                                                               |   |   |   | Deferrable Notes(7) |   |   |   |   |   |   |   | 7.0 |  |   | 6.5 |  |   | 5.3 |  |
| Mayport CLO Ltd.(8)(9)                                                                                                        |   |   |   | Income Notes(7) |   |   |   |   |   |   |   | 14.0 |  |   | 10.2 |  |   | 9.2 |  |
| NYLIM Flatiron CLO 2006-1 LTD.(8)(9)                                                                                          |   |   |   | Subordinated Securities(7) |   |   |   |   |   | 10,000 |  |   |   |   | 5.3 |  |   | 6.9 |  |
| Octagon Investment Partners VII, Ltd.(8)(9)                                                                                   |   |   |   | Preferred Securities(7) |   |   |   |   |   | 5,000,000 |  |   |   |   | 1.6 |  |   | 2.5 |  |
| Sapphire Valley CDO I, Ltd.(8)(9)                                                                                             |   |   |   | Subordinated Notes(7) |   |   |   |   |   |   |   | 14.0 |  |   | 16.0 |  |   | 13.1 |  |
| Vitesse CLO, Ltd.(8)(9)                                                                                                       |   |   |   | Preferred Securities(7) |   |   |   |   |   | 20,000,000 |  |   |   |   | 13.7 |  |   | 12.8 |  |
| Subtotal Non-Control / Non-Affiliate Investments (41% of total investments at fair value)                                     |   |   |   | $ | 2,781.2 |  |   | $ | 2,113.3 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |
| AFFILIATE INVESTMENTS                                                                                                         |   |   |   |   |   |   |   |   |
| American Capital Mortgage Investment Corp,(5)(9)                                                                              |   | Real Estate |   | Common Stock(7) |   |   |   |   |   | 2,000,100 |  |   |   |   | $ | 40.0 |  |   | $ | 34.6 |  |
| Anchor Drilling Fluids USA, Inc.                                                                                              |   | Energy Equipment & Services |   | Senior Debt(7) |   | 11.3 | % |   | 12/13 |   |   |   | $ | 7.0 |  |   | 6.9 |  |   | 6.7 |  |
|                                                                                                                          |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 859 |  |   |   |   | 1.6 |  |   | 1.0 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 3,061 |  |   |   |   | 5.0 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |  |   |   |   | 13.5 |  |   | 7.7 |  |
| Comfort Co., Inc.                                                                                                             |   | Household Durables |   | Senior Debt(7) |   | 11.5 | % |   | 3/15 |   |   |   | 9.7 |  |   | 9.7 |  |   | 9.2 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 110,684 |  |   |   |   | 11.8 |  |   | 5.2 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 21.5 |  |   | 14.4 |  |
| Egenera, Inc.                                                                                                                 |   | Computers & Peripherals |   | Mezzanine Debt(6) |   | 15.0 | % |   | 2/11 |   |   |   | 4.9 |  |   | 3.2 |  |   | 4.7 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 8,569,905 |  |   |   |   | 25.4 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 28.6 |  |   | 4.7 |  |
| HALT Medical, Inc.                                                                                                            |   | Health Care Equipment & Supplies |   | Senior Debt(7) |   | — | % |   | 4/12 |   |   |   | 4.1 |  |   | 3.9 |  |   | 3.2 |  |
|                                                                                                                          |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 5,592,367 |  |   |   |   | 8.9 |  |   | 10.8 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 131,315 |  |   |   |   | 0.1 |  |   | 0.1 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 12.9 |  |   | 14.1 |  |
| IEE Holding 1 S.A.(8)                                                                                                         |   | Auto Components |   | Common Stock(4) |   |   |   |   |   | 250,000 |  |   |   |   | 4.5 |  |   | 6.9 |  |
| Neways Holdings, L.P.(8)                                                                                                      |   | Personal Products |   | Senior Debt(6)(7) |   | 17.3 | % |   | 2/12 |   |   |   | 29.1 |  |   | 18.4 |  |   | 15.8 |  |
| Primrose Holding Corporation                                                                                                  |   | Diversified Consumer Services |   | Common Stock(7) |   |   |   |   |   | 4,213 |  |   |   |   | 1.6 |  |   | 2.8 |  |
| Qualitor Component Holdings, LLC                                                                                              |   | Auto Components |   | Redeemable Preferred Units(4) |   |   |   |   |   | 3,150,000 |  |   |   |   | 3.1 |  |   | — |  |
|                                                                                                                          |   |   | Common Units(4) |   |   |   |   |   | 350,000 |  |   |   |   | 0.4 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 3.5 |  |   | — |  |
| Radar Detection Holdings Corp.                                                                                                |   | Household Durables |   | Convertible Preferred Stock(4) |   |   |   |   |   | 7,075 |  |   |   |   | 0.7 |  |   | 1.9 |  |
|                                                                                                                          |   |   | Common Stock(4) |   |   |   |   |   | 40,688 |  |   |   |   | 0.6 |  |   | 0.6 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 1.3 |  |   | 2.5 |  |
| WFS Holding, LLC                                                                                                              |   | Software |   | Preferred Interest |   |   |   |   |   | 20,403,772 |  |   |   |   | 2.3 |  |   | 3.0 |  |
| Subtotal Affiliate Investments (2% of total investments at fair value)                                                        |   |   |   | $ | 148.1 |  |   | $ | 106.5 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |
| CONTROL INVESTMENTS                                                                                                           |   |   |   |   |   |   |   |   |
| ACAS Equity Holdings Corp.                                                                                                    |   | Diversified Financial Services |   | Common Stock(4)(7) |   |   |   |   |   | 589 |  |   |   |   | $ | 14.5 |  |   | $ | 2.7 |  |
| ACAS Real Estate Holdings Corporation                                                                                         |   | Real Estate |   | Mezzanine Debt(6)(7) |   | 15.0 | % |   | 5/16 |   |   |   | $ | 5.5 |  |   | 3.7 |  |   | 0.6 |  |
|                                                                                                                          |   |   | Common Stock(7) |   |   |   |   |   | 100 | % |   |   |   | 11.3 |  |   | 15.1 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 15.0 |  |   | 15.7 |  |
| American Capital, LLC                                                                                                         |   | Capital Markets |   | Senior Debt(7) |   | 3.3 | % |   | 9/16 |   |   |   | 6.0 |  |   | 6.0 |  |   | 6.0 |  |
|                                                                                                                          |   |   |   | Common Membership Interest(7) |   |   |   |   |   | 100 | % |   |   |   | 39.6 |  |   | 390.1 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 45.6 |  |   | 396.1 |  |
| American Driveline Systems, Inc.                                                                                              |   | Diversified Consumer Services |   | Mezzanine Debt(7) |   | 14.0 | % |   | 12/14-12/15 |   |   |   | 43.6 |  |   | 43.3 |  |   | 43.6 |  |
|                                                                                                                          |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 403,357 |  |   |   |   | 40.4 |  |   | 56.1 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 128,681 |  |   |   |   | 10.8 |  |   | 0.8 |  |
|                                                                                                                          |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 204,663 |  |   |   |   | 17.3 |  |   | 1.2 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 111.8 |  |   | 101.7 |  |
| Aptara, Inc.                                                                                                                  |   | IT Services |   | Senior Debt(7) |   | 11.5 | % |   | 8/12 |   |   |   | 2.6 |  |   | 2.6 |  |   | 2.6 |  |
|                                                                                                                          |   |   |   | Mezzanine Debt(7) |   | 17.1 | % |   | 8/12 |   |   |   | 64.0 |  |   | 63.9 |  |   | 67.1 |  |
|                                                                                                                          |   |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 15,107 |  |   |   |   | 30.8 |  |   | 34.2 |  |
|                                                                                                                          |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 2,549,410 |  |   |   |   | 8.8 |  |   | — |  |
|                                                                                                                          |   |   |   | Preferred Stock Warrants(4)(7) |   |   |   |   |   | 230,681 |  |   |   |   | 1.0 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 107.1 |  |   | 103.9 |  |
| Auto Network Member Corp.                                                                                                     |   | Electronic Equipment, Instruments & Components |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 1,514 |  |   |   |   | 0.1 |  |   | 1.5 |  |
|                                                                                                                          |   | Common Stock(4)(7) |   |   |   |   |   | 65 |  |   |   |   | 0.7 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 0.8 |  |   | 1.5 |  |
| Capital.com, Inc.                                                                                                             |   | Diversified Financial Services |   | Common Stock(4)(7) |   |   |   |   |   | 8,500,100 |  |   |   |   | 0.9 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)December 31, 2011(in millions, except share data) |
|-------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (1)                                                                                                                   |   | Industry |   | Investments |   | InterestRate (2) |   |   Maturity    Date(2) |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| CH Holding Corp.                                                                                                              |   | Leisure Equipment & Products |   | Senior Debt(7) |   | 7.3 | % |   | 5/13 |   |   |   | 18.4 |  |   | 18.4 |  |   | 18.4 |  |
|                                                                                                                          |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 21,215 |  |   |   |   | 42.8 |  |   | 7.5 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 61.2 |  |   | 25.9 |  |
| CIBT Travel Solutions, LLC                                                                                                    |   | Commercial Services & Supplies |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 10,303 |  |   |   |   | 1.3 |  |   | 1.0 |  |
|                                                                                                                          |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 858,410 |  |   |   |   | — |  |   | 11.7 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 188,889 |  |   |   |   | — |  |   | 2.0 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 1.3 |  |   | 14.7 |  |
| CMX Inc.                                                                                                                      |   | Construction & Engineering |   | Senior Debt(6)(7) |   | 3.5 | % |   | 2/12 |   |   |   | 4.6 |  |   | 4.6 |  |   | 0.3 |  |
| Contour Semiconductor, Inc.                                                                                                   |   | Semiconductors & Semiconductor Equipment |   | Convertible Senior Debt(7) |   | 3.0 | % |   | 4/12-10/12 |   |   |   | 1.0 |  |   | 1.0 |  |   | 1.0 |  |
|                                                                                                                          |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 11,532,842 |  |   |   |   | 12.4 |  |   | 1.4 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 13.4 |  |   | 2.4 |  |
| Core Financial Holdings, LLC(9)                                                                                               |   | Diversified Financial Services |   | Common Units(4)(7) |   |   |   |   |   | 57,940,360 |  |   |   |   | 47.5 |  |   | 4.1 |  |
| Dyno Holding Corp.                                                                                                            |   | Auto Components |   | Senior Debt(7) |   | 11.6 | % |   | 11/15 |   |   |   | 40.5 |  |   | 40.3 |  |   | 40.5 |  |
|                                                                                                                          |   |   | Mezzanine Debt(6)(7) |   | 3.9 | % |   | 11/16 |   |   |   | 30.6 |  |   | 25.6 |  |   | 15.0 |  |
|                                                                                                                          |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 389,759 |  |   |   |   | 40.5 |  |   | — |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 97,440 |  |   |   |   | 10.1 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 116.5 |  |   | 55.5 |  |
| ECA Acquisition Holdings, Inc.                                                                                                |   | Health Care Equipment & Supplies |   | Mezzanine Debt(7) |   | 16.5 | % |   | 12/14 |   |   |   | 14.5 |  |   | 14.4 |  |   | 14.5 |  |
|                                                                                                                          |   | Common Stock(4)(7) |   |   |   |   |   | 583 |  |   |   |   | 11.1 |  |   | 11.1 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 25.5 |  |   | 25.6 |  |
| eLynx Holdings, Inc.                                                                                                          |   | IT Services |   | Senior Debt(7) |   | 7.8 | % |   | 7/13 |   |   |   | 7.5 |  |   | 7.5 |  |   | 7.5 |  |
|                                                                                                                          |   |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 21,113 |  |   |   |   | 8.9 |  |   | — |  |
|                                                                                                                          |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 11,728 |  |   |   |   | 20.7 |  |   | 6.8 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 11,261 |  |   |   |   | 1.1 |  |   | — |  |
|                                                                                                                          |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 1,078,792 |  |   |   |   | 13.1 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 51.3 |  |   | 14.3 |  |
| European Capital Limited(8)                                                                                                   |   | Diversified Financial Services |   | Subordinated Debt(7) |   | 7.8 | % |   | 12/13 |   |   |   | 73.4 |  |   | 73.3 |  |   | 73.4 |  |
| Ordinary Shares(4)(7)                                                                                                         |   |   |   |   |   | 431,895,528 |  |   |   |   | 1,267.3 |  |   | 547.3 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 1,340.6 |  |   | 620.7 |  |
| European Touch, Ltd. II                                                                                                       |   | Leisure Equipment & Products |   | Senior Debt(6)(7) |   | 9.0 | % |   | 1/12-2/12 |   |   |   | 0.4 |  |   | 0.4 |  |   | 0.1 |  |
| EXPL Pipeline Holdings LLC(9)                                                                                                 |   | Oil, Gas & Consumable Fuels |   | Senior Debt(7) |   | 8.0 | % |   | 1/17 |   |   |   | 45.2 |  |   | 44.9 |  |   | 45.2 |  |
|                                                                                                                          |   |   | Common Membership Units(4)(7) |   |   |   |   |   | 58,297 |  |   |   |   | 44.5 |  |   | 11.6 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 89.4 |  |   | 56.8 |  |
| 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 |   |   |   | 38.1 |  |   | 38.0 |  |   | 38.1 |  |
|                                                                                                                          |   |   |   | Mezzanine Debt(6)(7) |   | 22.5 | % |   | 10/14 |   |   |   | 21.6 |  |   | 8.2 |  |   | 2.5 |  |
|                                                                                                                          |   |   |   | Redeemable Preferred Stock(4) |   |   |   |   |   | 583,000 |  |   |   |   | 0.6 |  |   | — |  |
|                                                                                                                          |   |   |   | Common Stock(4) |   |   |   |   |   | 129,514 |  |   |   |   | 15.6 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 102.4 |  |   | 80.7 |  |
| Formed Fiber Technologies, Inc.                                                                                               |   | Auto Components |   | Common Stock(4)(7) |   |   |   |   |   | 31,250 |  |   |   |   | 8.1 |  |   | — |  |
| Fosbel Global Services (LUXCO) S.C.A.(8)                                                                                      |   | Commercial Services & Supplies |   | Mezzanine Debt(6)(7) |   | 18.7 | % |   | 12/13-12/14 |   |   |   | 64.7 |  |   | 37.9 |  |   | 14.7 |  |
|                                                                                                                          |   |   | Redeemable Preferred Stock(4) |   |   |   |   |   | 18,449,456 |  |   |   |   | 18.5 |  |   | — |  |
|                                                                                                                          |   |   |   | Convertible Preferred Stock(4) |   |   |   |   |   | 1,519,368 |  |   |   |   | 3.0 |  |   | — |  |
|                                                                                                                          |   |   |   | Common Stock(4) |   |   |   |   |   | 108,526 |  |   |   |   | 0.2 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 59.6 |  |   | 14.7 |  |
| FreeConference.com, Inc.                                                                                                      |   | Diversified Telecommunication Services |   | Senior Debt(6)(7) |   | 8.5 | % |   | 5/13 |   |   |   | 9.1 |  |   | 8.2 |  |   | 6.6 |  |
|                                                                                                                          |   |   | Mezzanine Debt(6)(7) |   | 15.0 | % |   | 5/14 |   |   |   | 11.7 |  |   | 8.8 |  |   | — |  |
|                                                                                                                          |   |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 14,042,095 |  |   |   |   | 12.8 |  |   | — |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 6,088,229 |  |   |   |   | 2.3 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 32.1 |  |   | 6.6 |  |
| Future Food, Inc.                                                                                                             |   | Food Products |   | Senior Debt(7) |   | 5.3 | % |   | 3/12 |   |   |   | 1.6 |  |   | 1.6 |  |   | 1.6 |  |
|                                                                                                                          |   |   |   | Senior Debt(6)(7) |   | 5.3 | % |   | 3/12 |   |   |   | 15.4 |  |   | 14.3 |  |   | 2.8 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 64,917 |  |   |   |   | 13.0 |  |   | — |  |
|                                                                                                                          |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 6,500 |  |   |   |   | 1.3 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 30.2 |  |   | 4.4 |  |
| Group Montana, Inc.                                                                                                           |   | Textiles, Apparel & Luxury Goods |   | Senior Debt(7) |   | 10.1 | % |   | 1/12 |   |   |   | 20.1 |  |   | 20.1 |  |   | 20.1 |  |
|                                                                                                                          |   |   |   | Senior Debt(6)(7) |   | 12.0 | % |   | 1/12 |   |   |   | 6.4 |  |   | 5.0 |  |   | 1.5 |  |
|                                                                                                                          |   |   |   | Mezzanine Debt(6)(7) |   | 24.5 | % |   | 10/12 |   |   |   | 21.9 |  |   | 6.6 |  |   | — |  |
|                                                                                                                          |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 4,000 |  |   |   |   | 1.0 |  |   | — |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 2.5 | % |   |   |   | 0.7 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 33.4 |  |   | 21.6 |  |
| Halex Holdings, Inc.                                                                                                          |   | Construction Materials |   | Senior Debt(6)(7) |   | 12.0 | % |   | 12/14 |   |   |   | 12.6 |  |   | 9.8 |  |   | 4.4 |  |
|                                                                                                                          |   |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 26,070,518 |  |   |   |   | 33.1 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 42.9 |  |   | 4.4 |  |
| Hard 8 Games, LLC                                                                                                             |   | Hotels, Restaurants & Leisure |   | Membership Unit(4)(7) |   |   |   |   |   | 1 |  |   |   |   | 1.5 |  |   | 1.5 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

----

Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)December 31, 2011(in millions, except share data) |
|-------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (1)                                                                                                                   |   | Industry |   | Investments |   | InterestRate (2) |   |   Maturity    Date(2) |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| Kingway Inca Clymer Holdings, Inc.                                                                                            |   | Building Products |   | Mezzanine Debt(6)(7) |   | 12.3 | % |   | 4/12 |   |   |   | 3.3 |  |   | — |  |   | 1.4 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 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 |   |   |   | 46.8 |  |   | 46.7 |  |   | 46.8 |  |
|                                                                                                                          |   |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 6,160 |  |   |   |   | 3.4 |  |   | — |  |
|                                                                                                                          |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 15,797 |  |   |   |   | 12.2 |  |   | 17.1 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 14,000 |  |   |   |   | 1.4 |  |   | — |  |
|                                                                                                                          |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 464,242 |  |   |   |   | 2.9 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 85.3 |  |   | 82.6 |  |
| LLSC Holdings Corporation                                                                                                     |   | Personal Products |   | Senior Debt(7) |   | 7.5 | % |   | 8/15 |   |   |   | 1.7 |  |   | 1.7 |  |   | 1.7 |  |
|                                                                                                                          |   |   | Mezzanine Debt(7) |   | 12.0 | % |   | 8/16 |   |   |   | 5.5 |  |   | 5.5 |  |   | 5.5 |  |
|                                                                                                                          |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 7,496 |  |   |   |   | 8.1 |  |   | 8.9 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 15.3 |  |   | 16.1 |  |
| LVI Holdings, LLC                                                                                                             |   | Professional Services |   | Senior Debt(7) |   | 7.3 | % |   | 6/12 |   |   |   | 2.7 |  |   | 2.7 |  |   | 3.2 |  |
|                                                                                                                          |   |   |   | Mezzanine Debt(6)(7) |   | 18.0 | % |   | 2/13 |   |   |   | 13.7 |  |   | 8.9 |  |   | 4.2 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 11.6 |  |   | 7.4 |  |
| Medical Billings Holdings, Inc.                                                                                               |   | IT Services |   | Senior Debt(7) |   | 6.3 | % |   | 9/12 |   |   |   | 1.0 |  |   | 1.0 |  |   | 1.0 |  |
|                                                                                                                          |   |   | Mezzanine Debt(7) |   | 17.0 | % |   | 9/13 |   |   |   | 12.1 |  |   | 12.0 |  |   | 12.1 |  |
|                                                                                                                          |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 13,199,000 |  |   |   |   | 13.2 |  |   | 5.4 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 3,299,582 |  |   |   |   | 3.3 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 29.5 |  |   | 18.5 |  |
| Montgomery Lane, LLC(9)                                                                                                       |   | Diversified Financial Services |   | Common Membership Units(4)(7) |   |   |   |   |   | 100 |  |   |   |   | 6.4 |  |   | 4.7 |  |
| Montgomery Lane, LTD(8)(9)                                                                                                    |   | Diversified Financial Services |   | Common Membership Units(4) |   |   |   |   |   | 50,000 |  |   |   |   | 6.2 |  |   | — |  |
| MW Acquisition Corporation                                                                                                    |   | Health Care Providers & Services |   | Mezzanine Debt(7) |   | 16.4 | % |   | 2/13-2/14 |   |   |   | 30.7 |  |   | 30.6 |  |   | 30.7 |  |
|                                                                                                                          |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 2,485 |  |   |   |   | 1.4 |  |   | 1.4 |  |
|                                                                                                                          |   |   |   | Convertible Preferred Stock(4)(7) |   |   |   |   |   | 38,326 |  |   |   |   | 13.6 |  |   | 8.9 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 45.6 |  |   | 41.0 |  |
| NECCO Holdings, Inc.                                                                                                          |   | Food Products |   | Senior Debt(6)(7) |   | 6.5 | % |   | 8/13 |   |   |   | 17.4 |  |   | 17.0 |  |   | 15.9 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 860,189 |  |   |   |   | 0.1 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 17.1 |  |   | 15.9 |  |
| NECCO Realty Investments, LLC                                                                                                 |   | Real Estate |   | Senior Debt(6)(7) |   | 14.0 | % |   | 12/17 |   |   |   | 47.7 |  |   | 32.8 |  |   | 31.0 |  |
|                                                                                                                          |   |   | Common Membership Units(4)(7) |   |   |   |   |   | 7,450 |  |   |   |   | 4.9 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 37.7 |  |   | 31.0 |  |
| Orchard Brands Corporation                                                                                                    |   | Internet & Catalog Retail |   | Senior Debt(7) |   | 14.0 | % |   | 4/16 |   |   |   | 14.8 |  |   | 14.7 |  |   | 13.6 |  |
|                                                                                                                          |   |   | Senior Debt(6)(7) |   | 6.5 | % |   | 4/16 |   |   |   | 68.9 |  |   | 65.9 |  |   | 22.1 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 73,953 |  |   |   |   | 58.2 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |  |   |   |   |   |   |   |  |   | 138.8 |  |   | 35.7 |  |
| Paradigm Precision Holdings, LLC                                                                                              |   | Aerospace & Defense |   | Mezzanine Debt(7) |   | 18.3 | % |   | 8/16 |   |   |   | 131.5 |  |   | 131.0 |  |   | 131.5 |  |
|                                                                                                                          |   |   | Mezzanine Debt(6)(7) |   | 23.0 | % |   | 10/16 |   |   |   | 37.1 |  |   | 19.8 |  |   | 4.1 |  |
|                                                                                                                          |   |   |   | Common Membership Units(4)(7) |   |   |   |   |   | 478,488 |  |   |   |   | 17.5 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 168.3 |  |   | 135.6 |  |
| PHC Sharp Holdings, Inc.                                                                                                      |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 10.6 | % |   | 12/12 |   |   |   | 6.8 |  |   | 6.8 |  |   | 6.8 |  |
|                                                                                                                          |   |   |   | Mezzanine Debt(6)(7) |   | 18.2 | % |   | 12/14 |   |   |   | 24.1 |  |   | 15.4 |  |   | 9.4 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 367,881 |  |   |   |   | 4.2 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 26.4 |  |   | 16.2 |  |
| PHI Acquisitions, Inc.                                                                                                        |   | Internet & Catalog Retail |   | Mezzanine Debt(7) |   | 15.3 | % |   | 3/16 |   |   |   | 28.8 |  |   | 28.6 |  |   | 28.8 |  |
|                                                                                                                          |   |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 36,267 |  |   |   |   | 35.7 |  |   | 47.3 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 40,295 |  |   |   |   | 3.9 |  |   | 4.6 |  |
|                                                                                                                          |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 116,065 |  |   |   |   | 11.6 |  |   | 13.3 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 79.8 |  |   | 94.0 |  |
| Plumbing Holding Corporation                                                                                                  |   | Building Products |   | Common Stock(4)(7) |   |   |   |   |   | 342,500 |  |   |   |   | 11.1 |  |   | — |  |
| Small Smiles Holding Company, LLC                                                                                             |   | Health Care Providers & Services |   | Senior Debt(6)(7) |   | 6.5 | % |   | 2/15 |   |   |   | 8.5 |  |   | 6.2 |  |   | 2.7 |  |
|                                                                                                                          |   |   | Preferred Interest(4)(7) |   |   |   |   |   |   |   |   |   | 37.8 |  |   | — |  |
|                                                                                                                          |   |   |   | Common Interest(4)(7) |   |   |   |   |   | 22.1 | % |   |   |   | 13.8 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 57.8 |  |   | 2.7 |  |
| SMG Holdings, Inc.                                                                                                            |   | Hotels, Restaurants & Leisure |   | Senior Debt(7) |   | 3.4 | % |   | 7/14 |   |   |   | 5.6 |  |   | 5.6 |  |   | 5.6 |  |
|                                                                                                                          |   |   |   | Mezzanine Debt(7) |   | 12.6 | % |   | 6/15 |   |   |   | 137.0 |  |   | 136.4 |  |   | 137.0 |  |
|                                                                                                                          |   |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 1,101,673 |  |   |   |   | 148.4 |  |   | 156.1 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 275,419 |  |   |   |   | 27.5 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 317.9 |  |   | 298.7 |  |
| Specialty Brands of America, Inc.                                                                                             |   | Food Products |   | Mezzanine Debt(7) |   | 14.0 | % |   | 5/14 |   |   |   | 36.3 |  |   | 36.1 |  |   | 36.3 |  |
|                                                                                                                          |   |   | Redeemable Preferred Stock(7) |   |   |   |   |   | 122,017 |  |   |   |   | 11.9 |  |   | 17.5 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 128,175 |  |   |   |   | 2.3 |  |   | 25.7 |  |
|                                                                                                                          |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 56,819 |  |   |   |   | 1.4 |  |   | 11.4 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 51.7 |  |   | 90.9 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

----

Table of Contents

| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)December 31, 2011(in millions, except share data) |
|-------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company (1)                                                                                                                   |   | Industry |   | Investments |   | InterestRate (2) |   |   Maturity    Date(2) |   | # ofshares/unitsowned |   | Principal |   | Cost |   | FairValue |
| Spring Air International, LLC                                                                                                 |   | Household Durables |   | Common Membership Units(4) |   |   |   |   |   | 49 | % |   |   |   | 2.2 |  |   | — |  |
| TestAmerica Environmental Services, LLC                                                                                       |   | Commercial Services & Supplies |   | Senior Debt(7) |   | 6.5 | % |   | 12/12 |   |   |   | 22.4 |  |   | 20.4 |  |   | 21.7 |  |
|                                                                                                                          |   |   | Preferred Membership Units(7) |   |   |   |   |   | 20,000 |  |   |   |   | 24.3 |  |   | 14.6 |  |
|                                                                                                                          |   |   | Common Units(4)(7) |   |   |   |   |   | 490,000 |  |   |   |   | 2.0 |  |   | 24.2 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 46.7 |  |   | 60.5 |  |
| UFG Real Estate Holdings, LLC                                                                                                 |   | Real Estate |   | Common Membership(4)(7) |   |   |   |   |   |   |   |   |   | — |  |   | 0.9 |  |
| Unique Fabricating Incorporated                                                                                               |   | Auto Components |   | Senior Debt(7) |   | 14.0 | % |   | 2/15 |   |   |   | 5.7 |  |   | 5.6 |  |   | 5.7 |  |
|                                                                                                                          |   |   | Redeemable Preferred Stock(4)(7) |   |   |   |   |   | 301,556 |  |   |   |   | 7.9 |  |   | 9.0 |  |
|                                                                                                                          |   |   |   | Common Stock Warrants(4)(7) |   |   |   |   |   | 6,862 |  |   |   |   | 0.2 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 13.7 |  |   | 14.7 |  |
| Unwired Holdings, Inc.                                                                                                        |   | Household Durables |   | Senior Debt(7) |   | 8.5 | % |   | 6/12 |   |   |   | 13.5 |  |   | 13.5 |  |   | 13.5 |  |
|                                                                                                                          |   |   |   | Mezzanine Debt(7) |   | 14.5 | % |   | 6/12 |   |   |   | 23.5 |  |   | 13.1 |  |   | 24.6 |  |
|                                                                                                                          |   |   |   | Redeemable Preferred Stock(4) |   |   |   |   |   | 14,630 |  |   |   |   | 14.6 |  |   | — |  |
|                                                                                                                          |   |   |   | Common Stock(4) |   |   |   |   |   | 126,001 |  |   |   |   | 1.3 |  |   | — |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 42.5 |  |   | 38.1 |  |
| 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 |  |   |   |   | 7.4 |  |   | 8.0 |  |
|                                                                                                                          |   |   |   | Common Membership Units(4)(7) |   |   |   |   |   | 27,400 |  |   |   |   | 1.9 |  |   | 9.0 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 15.3 |  |   | 23.0 |  |
| WIS Holding Company, Inc.                                                                                                     |   | Commercial Services & Supplies |   | Mezzanine Debt(7) |   | 14.5 | % |   | 1/14 |   |   |   | 88.5 |  |   | 88.1 |  |   | 88.5 |  |
|                                                                                                                          |   |   | Convertible Preferred Stock(7) |   |   |   |   |   | 703,406 |  |   |   |   | 104.9 |  |   | 175.2 |  |
|                                                                                                                          |   |   |   | Common Stock(4)(7) |   |   |   |   |   | 175,853 |  |   |   |   | 17.6 |  |   | 35.2 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   | 210.6 |  |   | 298.9 |  |
|                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| CDO / CLO INVESTMENTS                                                                                                         |   |   |   |   |   |   |   |   |
| ACAS Wachovia Investments, L.P.(9)                                                                                            |   | Diversified Financial Services |   | Partnership Interest |   |   |   |   |   | 90 | % |   |   |   | 14.4 |  |   | 6.0 |  |
| Subtotal Control Investments (57% of total investments at fair value)                                                         |   |   |   |   |   | $ | 3,809.5 |  |   | $ | 2,910.4 |  |
| Total Investment Assets                                                                                                       |   |   |   |   |   | $ | 6,738.8 |  |   | $ | 5,130.2 |  |

|                                  |
|----------------------------------|
|                                  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Counterparty                     |   | Instrument |   | InterestRate (2) |   | ExpirationDate (2) |   | # 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 |  |   | $ | 20.6 |  |   | $ | — |  |   | $ | 9.7 |  |
| Subtotal Derivative Assets       |   |   |   |   |   |   |   |   |   | $ | — |  |   | $ | 9.7 |  |
|                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| BMO Financial Group              |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.3%/LIBOR |   | 2/13-8/17 |   | 5 |  |   | $ | 251.5 |  |   | $ | — |  |   | $ | (36.0 | ) |
| Wells Fargo Bank, N.A            |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 4.9%/LIBOR |   | 1/14-8/19 |   | 3 |  |   | 216.7 |  |   | — |  |   | (23.3 | ) |
| Citibank, N.A.                   |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.3%/LIBOR |   | 5/16-11/19 |   | 3 |  |   | 116.5 |  |   | — |  |   | (15.7 | ) |
| UniCredit Group                  |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.7%/LIBOR |   | 7/17 |   | 1 |  |   | 66.0 |  |   | — |  |   | (14.1 | ) |
| Citibank, N.A.                   |   | Balance Differential Swap - Pay Fixed/ Receive Floating(7) |   | 5.2%/LIBOR |   | 11/19 |   | 1 |  |   | 62.9 |  |   | — |  |   | (4.7 | ) |
| BNP Paribas                      |   | Interest Rate Swap - Pay Fixed/ Receive Floating(7) |   | 5.7%/LIBOR |   | 7/17 |   | 1 |  |   | 22.3 |  |   | — |  |   | (4.8 | ) |
| Subtotal Derivative Liabilities  |   |   |   |   |   |   |   |   |   | $ | — |  |   | $ | (98.6 | ) |
| Total Derivative Agreements, Net |   |   |   |   |   |   |   |   |   | $ | — |  |   | $ | (88.9 | ) |

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| AMERICAN CAPITAL, LTD.CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)December 31, 2011(in millions, except share data) |
|-------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                               |  |  |  |  |  |  |  |  |
| Funds                                                                                                                         |   | Cost |   | FairValue |
| MONEY MARKET FUNDS(3)(7)                                                                                                      |   |   |
| Federated Tax-Free Obligation Fund                                                                                            |   | $ | 7.0 |  |   | $ | 7.0 |  |
| Morgan Stanley Liq Treas Srv                                                                                                  |   | 5.8 |  |   | 5.8 |  |
| Federated Governmental Fund 57                                                                                                |   | 5.3 |  |   | 5.3 |  |
| Fidelity Money Market Pt CI I                                                                                                 |   | 5.0 |  |   | 5.0 |  |
| Invesco Stit Treasury Portfolio                                                                                               |   | 5.0 |  |   | 5.0 |  |
| Total Money Market Funds                                                                                                      |   | $ | 28.1 |  |   | $ | 28.1 |  |

|     |                                                                                       |
|-----|---------------------------------------------------------------------------------------|
| (1) | Certain of the securities are issued by affiliate(s) of the listed portfolio company. |

|     |                                                                                                                                                                                                                                                                                                                      |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | 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 and expiration dates represent the earliest and the latest dates in which the security matures or the instrument expires. |

|     |                                                                          |
|-----|--------------------------------------------------------------------------|
| (3) | Included in cash and cash equivalents on our consolidated balance sheet. |

|     |                                                         |
|-----|---------------------------------------------------------|
| (4) | Some or all of the securities are non-income producing. |

|     |                                                                           |
|-----|---------------------------------------------------------------------------|
| (5) | Publicly traded company or a consolidated subsidiary of a public company. |

|     |                                                                              |
|-----|------------------------------------------------------------------------------|
| (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) | Non-U.S. company or principal place of business outside the U.S. and as a result is not a qualifying asset under Section 55(a) of the Investment Company Act. Under the Investment Company Act, we may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of our total assets. |

|     |                                                                                                                                                                                                                                                                                                                                                                                            |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (9) | Excepted from the definition of investment company under Section 3(c) of the Investment Company Act and as a result is not a qualifying asset under Section 55(a) of the Investment Company Act. Under the Investment Company Act, we may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of our total assets. |

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

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

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|         |                                                                                                                                                                                                                                                                                                                                       |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | 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. We use Level 2 inputs for investments in restricted securities of publicly traded companies. Such investments are valued at the closing price on the measurement date adjusted for the fair value of the restriction. |

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

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|                            |
|----------------------------|
|                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                       | March 31, 2012 |
|                       | Level 1 |   | Level 2 |   | Level 3 |   | Total |
| Senior Debt                | $ | — |  |   | $ | — |  |   | $ | 847 |  |   | $ | 847 |  |
| Mezzanine Debt             | — |  |   | — |  |   | 1,343 |  |   | 1,343 |  |
| Preferred Equity           | — |  |   | — |  |   | 1,116 |  |   | 1,116 |  |
| Common Equity              | — |  |   | 42 |  |   | 1,715 |  |   | 1,757 |  |
| Equity Warrants            | — |  |   | — |  |   | 85 |  |   | 85 |  |
| Structured Products        | — |  |   | — |  |   | 231 |  |   | 231 |  |
| Derivative Agreements, Net | — |  |   | — |  |   | (95 | ) |   | (95 | ) |
| Total                      | $ | — |  |   | $ | 42 |  |   | $ | 5,242 |  |   | $ | 5,284 |  |
|                       |   |   |   |   |   |   |   |
|                       | December 31, 2011 |
|                       | Level 1 |   | Level 2 |   | Level 3 |   | Total |
| Senior Debt                | $ | — |  |   | $ | — |  |   | $ | 1,054 |  |   | $ | 1,054 |  |
| Mezzanine Debt             | — |  |   | — |  |   | 1,464 |  |   | 1,464 |  |
| Preferred Equity           | — |  |   | — |  |   | 1,110 |  |   | 1,110 |  |
| Common Equity              | — |  |   | 35 |  |   | 1,172 |  |   | 1,207 |  |
| Equity Warrants            | — |  |   | — |  |   | 77 |  |   | 77 |  |
| Structured Products        | — |  |   | — |  |   | 218 |  |   | 218 |  |
| Derivative Agreements, Net | — |  |   | — |  |   | (89 | ) |   | (89 | ) |
| Total                      | $ | — |  |   | $ | 35 |  |   | $ | 5,006 |  |   | $ | 5,041 |  |

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|                                                                            |
|----------------------------------------------------------------------------|
|                                                                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                       | Senior Debt |   | Mezzanine Debt |   | Preferred Equity |   | Common Equity |   | Equity Warrants |   | Structured Products |   | Derivative Agreements, Net |   | Total |
| Balances, January 1, 2012                                                  | $ | 1,054 |  |   | $ | 1,464 |  |   | $ | 1,110 |  |   | $ | 1,172 |  |   | $ | 77 |  |   | $ | 218 |  |   | $ | (89 | ) |   | $ | 5,006 |  |
| Net realized gain (loss)(1)                                                | (13 | ) |   | (25 | ) |   | (71 | ) |   | (14 | ) |   | 7 |  |   | (9 | ) |   | (8 | ) |   | (133 | ) |
| Reversal of prior period net depreciation (appreciation) on realization(2) | 12 |  |   | 21 |  |   | 70 |  |   | 12 |  |   | (7 | ) |   | 9 |  |   | 8 |  |   | 125 |  |
| Net unrealized appreciation (depreciation)(2)(3)                           | 5 |  |   | (1 | ) |   | 37 |  |   | 466 |  |   | 16 |  |   | 18 |  |   | (14 | ) |   | 527 |  |
| Purchases(4)                                                               | 16 |  |   | 49 |  |   | 25 |  |   | 53 |  |   | — |  |   | — |  |   | — |  |   | 143 |  |
| Sales(5)                                                                   | — |  |   | — |  |   | (33 | ) |   | (13 | ) |   | (8 | ) |   | — |  |   | — |  |   | (54 | ) |
| Settlements, net(6)                                                        | (227 | ) |   | (165 | ) |   | (22 | ) |   | 39 |  |   | — |  |   | (5 | ) |   | 8 |  |   | (372 | ) |
| Balances, March 31, 2012                                                   | $ | 847 |  |   | $ | 1,343 |  |   | $ | 1,116 |  |   | $ | 1,715 |  |   | $ | 85 |  |   | $ | 231 |  |   | $ | (95 | ) |   | $ | 5,242 |  |

|                                                                                              |
|----------------------------------------------------------------------------------------------|
|                                                                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                         | 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 |  |
|    Realized gains (losses)(1)                                                 | 1 |  |   | — |  |   | 6 |  |   | (2 | ) |   | — |  |   | — |  |   | (13 | ) |   | (8 | ) |
|    Reversal of prior period net depreciation (appreciation) on realization(2) | 2 |  |   | — |  |   | (10 | ) |   | — |  |   | (1 | ) |   | — |  |   | 11 |  |   | 2 |  |
|    Unrealized appreciation(2)(3)                                              | 14 |  |   | 16 |  |   | 5 |  |   | 271 |  |   | 5 |  |   | 39 |  |   | 2 |  |   | 352 |  |
|    Purchases(4)                                                               | 33 |  |   | 52 |  |   | 32 |  |   | 3 |  |   | — |  |   | — |  |   | — |  |   | 120 |  |
|    Sales(5)                                                                   | (8 | ) |   | — |  |   | (78 | ) |   | (17 | ) |   | — |  |   | — |  |   | — |  |   | (103 | ) |
|    Settlements(6)                                                             | (136 | ) |   | (80 | ) |   | 38 |  |   | — |  |   | — |  |   | (8 | ) |   | 12 |  |   | (174 | ) |
| Balances, March 31, 2011                                                                     | $ | 1,188 |  |   | $ | 1,771 |  |   | $ | 1,127 |  |   | $ | 1,253 |  |   | $ | 83 |  |   | $ | 230 |  |   | $ | (90 | ) |   | $ | 5,562 |  |

|     |                                                                                                                                                                                                                                                                                                                                                    |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Included in net realized 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 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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|                            |
|----------------------------|
|                            |  |  |  |  |  |  |  |  |  |  |
|                       |   |   |   |   |   |   | Range |
|                       | Fair Value |   | Valuation Techniques |   | Unobservable Inputs |   | Minimum | Maximum |
|                       |   |   |   |
| Senior Debt                | $ | 847 |  |   | Enterprise discounted cash flow |   | Discount rate |   | 10% | 76% |
|                       |   |   |   |   | Terminal value growth rate |   | —% | 5% |
|                       |   |   | Public comparable companies |   | Premium or (discount) to multiples of comparable companies |   | (50)% | 15% |
|                       |   |   |   |   | Control premium |   | 8% | 24% |
|                       |   |   | Sales of comparable companies |   | Premium or (discount) to multiples of comparable companies |   | (30)% | 5% |
|                       |   |   | Market yield |   | Market yield |   | 7% | 45% |
|                       |   |   |   |   | Estimated remaining life |   | 0 yrs | 4 yrs |
| Mezzanine Debt             | $ | 1,343 |  |   | Enterprise discounted cash flow |   | Discount rate |   | 10% | 40% |
|                       |   |   |   |   | Terminal value growth rate |   | 3% | 5% |
|                       |   |   | Public comparable companies |   | Premium or (discount) to multiples of comparable companies |   | (55)% | 15% |
|                       |   |   |   |   | Control premium |   | —% | 24% |
|                       |   |   | Sales of comparable companies |   | Premium or (discount) to multiples of comparable companies |   | (45)% | 20% |
|                       |   |   | Market yield |   | Market yield |   | 12% | 20% |
|                       |   |   |   |   | Estimated remaining life |   | 2 yrs | 4 yrs |
| Preferred Equity           | $ | 1,116 |  |   | Enterprise discounted cash flow |   | Discount rate |   | 10% | 68% |
|                       |   |   |   |   | Terminal value growth rate |   | —% | 8% |
|                       |   |   | Public comparable companies |   | Premium or (discount) to multiples of comparable companies |   | (55)% | 15% |
|                       |   |   |   |   | Control premium |   | 8% | 24% |
|                       |   |   | Sales of comparable companies |   | Premium or (discount) to multiples of comparable companies |   | (40)% | 20% |
|                       |   |   | Market yield |   | Market yield |   | 18% | 20% |
|                       |   |   |   |   | Estimated remaining life |   | 4 yrs | 4 yrs |
| Common Equity              | $ | 1,715 |  |   | Enterprise discounted cash flow |   | Discount rate |   | 10% | 76% |
|                       |   |   |   |   | Terminal value growth rate |   | —% | 8% |
|                       |   |   | Public comparable companies |   | Premium or (discount) to multiples of comparable companies |   | (60)% | 20% |
|                       |   |   |   |   | Control premium |   | —% | 24% |
|                       |   |   | Sales of comparable companies |   | Premium or (discount) to multiples of comparable companies |   | (45)% | 20% |
| Equity Warrants            | $ | 85 |  |   | Enterprise discounted cash flow |   | Discount rate |   | 10% | 76% |
|                       |   |   |   |   | Terminal value growth rate |   | —% | 5% |
|                       |   |   | Public comparable companies |   | Premium or (discount) to multiples of comparable companies |   | (45)% | (10)% |
|                       |   |   |   |   | Control premium |   | 9% | 24% |
|                       |   |   | Sales of comparable companies |   | Premium or (discount) to multiples of comparable companies |   | (15)% | 20% |
| Structured Products        | $ | 231 |  |   | Discounted cash flow |   | Discount rate |   | 10% | 41% |
|                       |   |   |   |   | Constant prepayment rate |   | 30% | 30% |
|                       |   |   |   |   | Constant default rate |   | 2% | 4% |
|                       |   |   | Sales of comparable securities |   | Premium or (discount) to comparable transactions |   | (10)% | 10% |
| Derivative Agreements, Net | $ | (95 | ) |   | Discounted cash flow |   | Credit valuation adjustment |   | 1% | 6% |

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|                     |
|---------------------|
|                     |  |  |  |  |  |
|                | March 31, 2012 |   | December 31, 2011 |
| Cost                |   |   |   |
| Senior debt         | 15.3 | % |   | 17.7 | % |
| Mezzanine debt      | 22.4 | % |   | 23.0 | % |
| Preferred equity    | 22.7 | % |   | 22.9 | % |
| Common equity       | 31.3 | % |   | 28.3 | % |
| Equity warrants     | 1.4 | % |   | 1.3 | % |
| Structured Products | 6.9 | % |   | 6.8 | % |
| Total               | 100.0 | % |   | 100.0 | % |
|                |   |   |   |
| Fair Value          |   |   |   |
| Senior debt         | 15.7 | % |   | 20.6 | % |
| Mezzanine debt      | 25.0 | % |   | 28.5 | % |
| Preferred equity    | 20.7 | % |   | 21.6 | % |
| Common equity       | 32.7 | % |   | 23.5 | % |
| Equity warrants     | 1.6 | % |   | 1.5 | % |
| Structured Products | 4.3 | % |   | 4.3 | % |
| Total               | 100.0 | % |   | 100.0 | % |

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|                                               |
|-----------------------------------------------|
|                                               |  |  |  |  |  |
|                                          | March 31, 2012 |   | December 31, 2011 |
| Cost                                          |   |   |   |
| Commercial Services and Supplies              | 10.0 | % |   | 9.1 | % |
| Life Sciences Tools and Services              | 8.1 | % |   | 7.4 | % |
| Household Durables                            | 6.8 | % |   | 6.8 | % |
| Hotels, Restaurants and Leisure               | 6.8 | % |   | 6.2 | % |
| Real Estate and Real Estate Investment Trusts | 6.7 | % |   | 6.7 | % |
| Health Care Providers and Services            | 5.7 | % |   | 5.1 | % |
| Internet and Catalog Retail                   | 4.6 | % |   | 4.2 | % |
| Professional Services                         | 3.9 | % |   | 3.3 | % |
| Aerospace and Defense                         | 3.6 | % |   | 3.3 | % |
| Auto Components                               | 3.6 | % |   | 3.2 | % |
| Food Products                                 | 3.4 | % |   | 4.0 | % |
| Computers and Peripherals                     | 3.3 | % |   | 3.0 | % |
| Pharmaceuticals                               | 3.0 | % |   | 2.7 | % |
| Construction and Engineering                  | 2.9 | % |   | 2.6 | % |
| Health Care Equipment and Supplies            | 2.6 | % |   | 2.2 | % |
| Capital Markets                               | 2.4 | % |   | 1.3 | % |
| Diversified Financial Services                | 2.3 | % |   | 2.3 | % |
| Leisure Equipment and Products                | 2.3 | % |   | 2.9 | % |
| Electrical Equipment                          | 2.3 | % |   | 5.5 | % |
| Diversified Consumer Services                 | 2.2 | % |   | 2.2 | % |
| Oil, Gas and Consumable Fuels                 | 1.9 | % |   | 1.7 | % |
| IT Services                                   | 1.8 | % |   | 3.7 | % |
| Other                                         | 9.8 | % |   | 10.6 | % |
| Total                                         | 100.0 | % |   | 100.0 | % |

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|                                               |
|-----------------------------------------------|
|                                               |  |  |  |  |  |
|                                          | March 31, 2012 |   | December 31, 2011 |
| Fair Value                                    |   |   |   |
| Capital Markets                               | 17.2 | % |   | 9.6 | % |
| Commercial Services and Supplies              | 11.8 | % |   | 11.7 | % |
| Hotels, Restaurants and Leisure               | 7.0 | % |   | 7.0 | % |
| Health Care Providers and Services            | 5.9 | % |   | 5.8 | % |
| Electrical Equipment                          | 4.9 | % |   | 9.0 | % |
| Life Sciences Tools and Services              | 4.7 | % |   | 4.2 | % |
| Professional Services                         | 3.9 | % |   | 4.0 | % |
| Internet and Catalog Retail                   | 3.4 | % |   | 3.0 | % |
| Construction and Engineering                  | 3.3 | % |   | 3.3 | % |
| Aerospace and Defense                         | 3.2 | % |   | 3.1 | % |
| Health Care Equipment and Supplies            | 3.1 | % |   | 2.8 | % |
| Pharmaceuticals                               | 3.0 | % |   | 3.0 | % |
| Food Products                                 | 2.9 | % |   | 3.2 | % |
| Real Estate and Real Estate Investment Trusts | 2.7 | % |   | 2.9 | % |
| Computers and Peripherals                     | 2.7 | % |   | 2.8 | % |
| Diversified Consumer Services                 | 2.4 | % |   | 2.4 | % |
| Auto Components                               | 2.4 | % |   | 2.4 | % |
| Household Durables                            | 2.2 | % |   | 2.0 | % |
| Leisure Equipment and Products                | 1.7 | % |   | 2.6 | % |
| Building Products                             | 1.6 | % |   | 1.5 | % |
| Other                                         | 10.0 | % |   | 13.7 | % |
| Total                                         | 100.0 | % |   | 100.0 | % |

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|               |
|---------------|
|               |  |  |  |  |  |
|          | March 31, 2012 |   | December 31, 2011 |
| Cost          |   |   |   |
| International | 26.2 | % |   | 24.3 | % |
| Mid-Atlantic  | 19.8 | % |   | 18.2 | % |
| Southwest     | 19.6 | % |   | 22.7 | % |
| Northeast     | 10.5 | % |   | 10.5 | % |
| Southeast     | 9.5 | % |   | 10.5 | % |
| South-Central | 9.4 | % |   | 9.0 | % |
| North-Central | 4.5 | % |   | 4.2 | % |
| Northwest     | 0.5 | % |   | 0.6 | % |
| Total         | 100.0 | % |   | 100.0 | % |
|          |   |   |   |
| Fair Value    |   |   |   |
| Mid-Atlantic  | 30.6 | % |   | 25.1 | % |
| Southwest     | 20.8 | % |   | 25.9 | % |
| International | 17.7 | % |   | 14.8 | % |
| Southeast     | 11.3 | % |   | 13.7 | % |
| Northeast     | 10.7 | % |   | 10.8 | % |
| North-Central | 4.7 | % |   | 5.0 | % |
| South-Central | 3.9 | % |   | 4.2 | % |
| Northwest     | 0.3 | % |   | 0.5 | % |
| Total         | 100.0 | % |   | 100.0 | % |

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

|                                                              |
|--------------------------------------------------------------|
|                                                              |  |  |  |  |  |  |  |
|                                                         | March 31, 2012 |   | December 31, 2011 |
| Fixed rate private secured notes due December 2013           | $ | 30 |  |   | $ | 30 |  |
| Floating rate private secured loans due December 2013        | 16 |  |   | 17 |  |
| Fixed rate non-amortizing secured notes due December 2013    | 524 |  |   | 524 |  |
| Floating rate non-amortizing secured notes due December 2013 | 4 |  |   | 4 |  |
| Unsecured public notes due August 2012                       | 11 |  |   | 11 |  |
| ACAS Business Loan Trust 2004-1 asset securitization         | 12 |  |   | 21 |  |
| ACAS Business Loan Trust 2005-1 asset securitization         | 183 |  |   | 227 |  |
| ACAS Business Loan Trust 2006-1 asset securitization         | 150 |  |   | 180 |  |
| ACAS Business Loan Trust 2007-1 asset securitization         | 121 |  |   | 140 |  |
| ACAS Business Loan Trust 2007-2 asset securitization         | 81 |  |   | 97 |  |
| Total                                                        | $ | 1,132 |  |   | $ | 1,251 |  |

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

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

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|          |                                                             |
|----------|-------------------------------------------------------------|
| Note  6. |  Net Operating Income and Net Earnings Per Common Share |

|                                                                       |
|-----------------------------------------------------------------------|
|                                                                       |  |  |  |  |  |  |  |  |
|                                                                  |   | Three Months Ended March 31, |
|                                                                  |   | 2012 |   | 2011 |
| Numerator for basic and diluted net operating income per common share |   | $ | 49 |  |   | $ | 83 |  |
| Numerator for basic and diluted net earnings per common share         |   | $ | 580 |  |   | $ | 434 |  |
| Denominator for basic weighted average common shares                  |   | 330.9 |  |   | 346.1 |  |
| Employee stock options and awards                                     |   | 8.7 |  |   | 12.3 |  |
| Denominator for diluted weighted average common shares                |   | 339.6 |  |   | 358.4 |  |
| Basic net operating income per common share                           |   | $ | 0.15 |  |   | $ | 0.24 |  |
| Diluted net operating income per common share                         |   | $ | 0.14 |  |   | $ | 0.23 |  |
| Basic net earnings per common share                                   |   | $ | 1.75 |  |   | $ | 1.25 |  |
| Diluted net earnings per common share                                 |   | $ | 1.71 |  |   | $ | 1.21 |  |

|         |                               |
|---------|-------------------------------|
| Note 7. | Commitments and Contingencies |

|         |                      |
|---------|----------------------|
| Note 8. | Shareholders' Equity |

|                                                                  |
|------------------------------------------------------------------|
|                                                                  |  |  |  |  |  |
|                                                             | Three Months Ended March 31, |
|                                                             | 2012 |   | 2011 |
| Common stock outstanding at beginning of period                  | 329.1 |  |   | 342.4 |  |
| Issuance of common stock under stock option plans                | 1.6 |  |   | 1.0 |  |
| Repurchase of common stock                                       | (5.5 | ) |   | — |  |
| Distribution of common stock held in deferred compensation trust | 0.4 |  |   | 0.5 |  |
| Common stock outstanding at end of period                        | 325.6 |  |   | 343.9 |  |

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|         |              |
|---------|--------------|
| Note 9. | Income Taxes |

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|                                                     |
|-----------------------------------------------------|
|                                                     |  |  |  |  |  |  |  |
|                                                | March 31, 2012 |   | December 31, 2011 |
| Deferred tax assets                                 |   |   |   |
| Net operating loss carryforwards                    | $ | 116 |  |   | $ | 86 |  |
| Net unrealized depreciation of ordinary investments | 158 |  |   | 203 |  |
| Basis differences in ordinary investments           | 72 |  |   | 89 |  |
| Stock-based compensation                            | 51 |  |   | 51 |  |
| Other                                               | 8 |  |   | 7 |  |
| Total ordinary deferred tax assets                  | 405 |  |   | 436 |  |
| Net capital loss carryforwards                      | 155 |  |   | 180 |  |
| Net unrealized depreciation of capital investments  | 234 |  |   | 457 |  |
| Basis differences in capital investments            | 235 |  |   | 204 |  |
| Total capital deferred tax assets                   | 624 |  |   | 841 |  |
| Total deferred tax assets                           | 1,029 |  |   | 1,277 |  |
| Less valuation allowance                            | (624 | ) |   | (841 | ) |
| Total deferred tax assets less valuation allowance  | 405 |  |   | 436 |  |
|                                                |   |   |   |
| Deferred tax liabilities                            |   |   |   |
| Other                                               | (9 | ) |   | (8 | ) |
| Total deferred tax liabilities                      | (9 | ) |   | (8 | ) |
| Total net deferred tax assets                       | $ | 396 |  |   | $ | 428 |  |

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|                                                      |
|------------------------------------------------------|
|                                                      |  |  |  |  |  |  |  |
|                                                 | Three Months Ended March 31, |
|                                                 | 2012 |   | 2011 |
| Tax on income computed at federal statutory tax rate | $ | 214 |  |   | $ | — |  |
| State taxes, net of federal tax benefit              | 24 |  |   | — |  |
| Valuation allowance                                  | (217 | ) |   | — |  |
| Other                                                | 10 |  |   | — |  |
| Total tax provision                                  | $ | 31 |  |   | $ | — |  |

|          |                  |
|----------|------------------|
| Note 10. | Subsequent Event |

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

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|                                  |
|----------------------------------|
|                                  |  |  |  |  |  |  |  |  |  |  |  |  |
| Company                     |   | Product Line |   | Industry |   | Fair Value |   | Cost Basis |
| European Capital Limited         |   | European Capital |   | Diversified Financial Services |   | $ | 800 |  |   | $ | 1,356 |  |
| American Capital, LLC            |   | Asset Management |   | Capital Markets |   | 736 |  |   | 99 |  |
| SMG Holdings, Inc.               |   | One Stop Buyouts® |   | Hotels, Restaurants & Leisure |   | 304 |  |   | 323 |  |
| WIS Holding Company, Inc.        |   | One Stop Buyouts® |   | Commercial Services & Supplies |   | 302 |  |   | 213 |  |
| Affordable Care Holding Corp.    |   | One Stop Buyouts® |   | Health Care Providers & Services |   | 217 |  |   | 156 |  |
| WRH, Inc.                        |   | One Stop Buyouts® |   | Life Sciences Tools & Services |   | 206 |  |   | 385 |  |
| Mirion Technologies, Inc.        |   | One Stop Buyouts® |   | Electrical Equipment |   | 198 |  |   | 92 |  |
| The Tensar Corporation           |   | Private Equity Buyouts |   | Construction & Engineering |   | 145 |  |   | 132 |  |
| Paradigm Precision Holdings, LLC |   | One Stop Buyouts® |   | Aerospace & Defense |   | 139 |  |   | 171 |  |
| SPL Acquisition Corp.            |   | One Stop Buyouts® |   | Pharmaceuticals |   | 130 |  |   | 143 |  |
| Total                            |   |   |   |   |   | $ | 3,177 |  |   | $ | 3,070 |  |
|                             |   |   |   |   |   |   |   |   |

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|                                                                              |
|------------------------------------------------------------------------------|
|                                                                              |  |  |  |  |  |  |  |
|                                                                         | Three Months Ended March 31, |
|                                                                         | 2012 |   | 2011 |
| Direct and other investments                                                 | $ | — |  |   | $ | 14 |  |
| Add-on financing for acquisitions                                            | 56 |  |   | — |  |
| Add-on financing for working capital in distressed situations                | 15 |  |   | 16 |  |
| Add-on financing for growth and working capital                              | 12 |  |   | 97 |  |
| Add-on financing for recapitalizations, not including distressed investments | — |  |   | 25 |  |
|        Total                              | $ | 83 |  |   | $ | 152 |  |

|                                                                                 |
|---------------------------------------------------------------------------------|
|                                                                                 |  |  |  |  |  |  |  |
|                                                                            | Three Months Ended March 31, |
|                                                                            | 2012 |   | 2011 |
| Principal prepayments                                                           | $ | 288 |  |   | $ | 149 |  |
| Sale of equity investments                                                      | 47 |  |   | 63 |  |
| Payment of accrued PIK notes and dividend and accreted original issue discounts | 51 |  |   | 43 |  |
| Loan syndications and sales                                                     | — |  |   | 6 |  |
| Scheduled principal amortization                                                | 10 |  |   | 8 |  |
| Total                                                                           | $ | 396 |  |   | $ | 269 |  |

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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 |   | $88.4 Billion |   | $4.3 Billion |   | $0.6 Billion |   | $0.3 Billion |   | $0.4 Billion |
| Investment types        |   | Senior & Mezzanine Debt,Equity, Structured Products |   | Agency Securities |   | Mortgage Investments |   | Equity |   | Equity |   | Senior Debt |
| Capital type            |   | Permanent |   | Permanent |   | Permanent |   | Finite Life |   | Finite Life |   | Finite Life |

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|         |                                                                                                                                                                                                                                                                                                                                                                  |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | The first element is “Net operating income” (“NOI”), 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 tax provision. |

|         |                                                                                                                                                                                                                                                                                                                                                                                                                              |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | 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 taxes on realized gains or losses. |

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|         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | 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, and taxes on unrealized gains or losses. 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 March 31, |
|                         | 2012 |   | 2011 |
| Operating income             | $ | 149 |  |   | $ | 159 |  |
| Operating expenses           | 68 |  |   | 76 |  |
| NOI before income taxes      | 81 |  |   | 83 |  |
| Tax provision                | (32 | ) |   | — |  |
| NOI                          | 49 |  |   | 83 |  |
| Net realized loss            | (107 | ) |   | (3 | ) |
| Net realized (loss) earnings | (58 | ) |   | 80 |  |
| Net unrealized appreciation  | 638 |  |   | 354 |  |
| Net earnings                 | $ | 580 |  |   | $ | 434 |  |

|                                                                                    |
|------------------------------------------------------------------------------------|
|                                                                                    |  |  |  |  |  |  |  |
|                                                                               | Three Months Ended March 31, |
|                                                                               | 2012 |   | 2011 |
| Interest income on debt investments                                                | $ | 84 |  |   | $ | 93 |  |
| Interest income on Structured Products investments                                 | 15 |  |   | 13 |  |
| Dividend income on private finance portfolio investments                           | 22 |  |   | 36 |  |
| Dividend income from American Capital, LLC                                         | 15 |  |   | 4 |  |
| Interest and dividend income                                                       | 136 |  |   | 146 |  |
| Portfolio company advisory and administrative fees                                 | 3 |  |   | 4 |  |
| Advisory and administrative services - American Capital, LLC                       | 6 |  |   | 4 |  |
| Other fees                                                                         | 4 |  |   | 5 |  |
| Fee income                                                                         | 13 |  |   | 13 |  |
|           Total operating income | $ | 149 |  |   | $ | 159 |  |

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|                                                                                  |
|----------------------------------------------------------------------------------|
|                                                                                  |  |  |  |  |  |  |  |
|                                                                             | Three Months Ended March 31, |
|                                                                             | 2012 |   | 2011 |
| Debt investments(1)                                                              | $ | 2,613 |  |   | $ | 3,518 |  |
| Effective interest rate on debt investments(1)                                   | 12.9 | % |   | 10.6 | % |
| Average non-accrual debt investments at cost(2)                                  | $ | 387 |  |   | $ | 682 |  |
| Structured Products investments(1)                                               | $ | 450 |  |   | $ | 596 |  |
| Effective interest rate on Structured Products investments(1)                    | 13.1 | % |   | 8.8 | % |
| Debt and Structured Products investments(1)                                      | $ | 3,063 |  |   | $ | 4,114 |  |
| Effective interest rate on debt and Structured Products investments(1)           | 13.0 | % |   | 10.3 | % |
| Average monthly one-month LIBOR                                                  | 0.3 | % |   | 0.3 | % |
| Equity investments - private finance portfolio(1)(3)                             | $ | 2,206 |  |   | $ | 2,162 |  |
| Effective dividend yield on equity investments - private finance portfolio(1)(3) | 4.0 | % |   | 6.8 | % |
| Debt, Structured Products and equity investments(1)(3)                           | $ | 6,536 |  |   | $ | 7,544 |  |
| Effective yield on debt, Structured Products and equity investments(1)(3)        | 7.4 | % |   | 7.6 | % |

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

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

|     |                                                          |
|-----|----------------------------------------------------------|
| (3) | Excludes our equity investment in American Capital, LLC. |

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|                                                 |
|-------------------------------------------------|
|                                                 |  |  |  |  |  |  |  |
|                                            | Three Months Ended March 31, |
|                                            | 2012 |   | 2011 |
| Interest                                        | $ | 16 |  |   | $ | 29 |  |
| Salaries, benefits and stock-based compensation | 37 |  |   | 36 |  |
| General and administrative                      | 15 |  |   | 11 |  |
| Total operating expenses                        | $ | 68 |  |   | $ | 76 |  |

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|                                                                                    |
|------------------------------------------------------------------------------------|
|                                                                                    |  |  |  |  |  |  |  |
|                                                                               | Three Months Ended March 31, |
|                                                                               | 2012 |   | 2011 |
| Asset Securitizations:                                                             |   |   |   |
| Cash interest expense                                                              | $ | 1 |  |   | $ | 3 |  |
| Amortization of deferred financing costs                                           | 1 |  |   | 1 |  |
| Total interest expense                                                             | $ | 2 |  |   | $ | 4 |  |
|                                                                               |   |   |   |
| Weighted average interest rate, including amortization of deferred financing costs | 1.7 | % |   | 1.2 | % |
| Weighted average interest rate, excluding amortization of deferred financing costs | 1.2 | % |   | 0.8 | % |
| Weighted average balance outstanding                                               | $ | 598 |  |   | $ | 1,119 |  |
|                                                                               |   |   |   |
| Public and Private Secured and Unsecured Borrowings:                               |   |   |   |
| Cash interest expense                                                              | $ | 12 |  |   | $ | 17 |  |
| Amortization of deferred financing costs                                           | 2 |  |   | 8 |  |
| Total interest expense                                                             | $ | 14 |  |   | $ | 25 |  |
|                                                                               |   |   |   |
| Weighted average interest rate, including amortization of deferred financing costs | 9.5 | % |   | 11.4 | % |
| Weighted average interest rate, excluding amortization of deferred financing costs | 8.0 | % |   | 7.8 | % |
| Weighted average balance outstanding                                               | $ | 585 |  |   | $ | 882 |  |
|                                                                               |   |   |   |
| Total Borrowings:                                                                  |   |   |   |
| Cash interest expense                                                              | $ | 13 |  |   | $ | 20 |  |
| Amortization of deferred financing costs                                           | 3 |  |   | 9 |  |
| Total interest expense                                                             | $ | 16 |  |   | $ | 29 |  |
|                                                                               |   |   |   |
| Weighted average interest rate, including amortization of deferred financing costs | 5.5 | % |   | 5.7 | % |
| Weighted average interest rate, excluding amortization of deferred financing costs | 4.6 | % |   | 3.9 | % |
| Weighted average balance outstanding                                               | $ | 1,183 |  |   | $ | 2,001 |  |

|                                                       |
|-------------------------------------------------------|
|                                                       |  |  |  |  |  |  |  |
|                                                  | Three Months Ended March 31, |
|                                                  | 2012 |   | 2011 |
| Base salaries                                         | $ | 14 |  |   | $ | 13 |  |
| Incentive compensation                                | 8 |  |   | 10 |  |
| Benefits                                              | 4 |  |   | 3 |  |
| Stock-based compensation                              | 11 |  |   | 10 |  |
| Total salaries, benefits and stock-based compensation | $ | 37 |  |   | $ | 36 |  |

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|                                             |
|---------------------------------------------|
|                                             |  |  |  |  |  |  |  |
|                                        | Three Months Ended March 31, |
|                                        | 2012 |   | 2011 |
| Tax provision - net operating income        | $ | (32 | ) |   | $ | — |  |
| Tax benefit - net realized loss             | 22 |  |   | — |  |
| Tax provision - net unrealized appreciation | (21 | ) |   | — |  |
| Total tax provision                         | $ | (31 | ) |   | $ | — |  |

|                                                          |
|----------------------------------------------------------|
|                                                          |  |  |  |  |  |  |  |
|                                                     | Three Months Ended March 31, |
|                                                     | 2012 |   | 2011 |
| Other, net                                               | $ | 15 |  |   | $ | 14 |  |
| Total gross realized portfolio gain                      | 15 |  |   | 14 |  |
|                                                     |   |   |   |
| FPI Holding Corporation                                  | (29 | ) |   | — |  |
| Halex Holdings Inc.                                      | (27 | ) |   | — |  |
| Contec, LLC                                              | (17 | ) |   | — |  |
| Other, net                                               | (64 | ) |   | (4 | ) |
| Total gross realized portfolio loss                      | (137 | ) |   | (4 | ) |
| Total net realized portfolio (loss) gain                 | (122 | ) |   | 10 |  |
| Tax benefit                                              | 22 |  |   | — |  |
| Interest rate derivative periodic interest payments, net | (8 | ) |   | (12 | ) |
| Interest rate derivative termination payments            | — |  |   | (1 | ) |
| Foreign currency transactions                            | 1 |  |   | — |  |
| Total net realized loss                                  | $ | (107 | ) |   | $ | (3 | ) |

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|                                                                                      |
|--------------------------------------------------------------------------------------|
|                                                                                      |  |  |  |  |  |  |  |
|                                                                                 | Three Months Ended March 31, |
|                                                                                 | 2012 |   | 2011 |
| Gross unrealized appreciation of private finance portfolio investments               | $ | 134 |  |   | $ | 162 |  |
| Gross unrealized depreciation of private finance portfolio investments               | (56 | ) |   | (87 | ) |
| Net unrealized appreciation of private finance portfolio investments                 | 78 |  |   | 75 |  |
| Net unrealized appreciation of European Capital investment                           | 148 |  |   | 133 |  |
| Net unrealized depreciation of European Capital foreign currency translation         | (21 | ) |   | (43 | ) |
| Net unrealized appreciation of American Capital, LLC                                 | 287 |  |   | 60 |  |
| Net unrealized appreciation of Structured Products investments                       | 18 |  |   | 39 |  |
| Reversal of prior period net unrealized depreciation (appreciation) upon realization | 117 |  |   | (8 | ) |
| Net unrealized appreciation of portfolio investments                                 | 627 |  |   | 256 |  |
| Foreign currency translation - European Capital                                      | 37 |  |   | 82 |  |
| Foreign currency translation - other                                                 | 1 |  |   | 3 |  |
| Derivative agreements                                                                | (6 | ) |   | 13 |  |
| Net unrealized appreciation of investments                                           | 659 |  |   | 354 |  |
| Tax provision                                                                        | (21 | ) |   | — |  |
| Net unrealized appreciation                                                          | $ | 638 |  |   | $ | 354 |  |

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|                                                  |
|--------------------------------------------------|
|                                                  |  |  |  |  |  |  |  |
|                                             | March 31, 2012 |   | December 31, 2011 |
| Debt investments at fair value                   | € | 719 |  |   | € | 712 |  |
| Equity investments at fair value                 | 258 |  |   | 262 |  |
| Other assets and liabilities, net                | 142 |  |   | 92 |  |
| Secured debt at cost                             | (290 | ) |   | (271 | ) |
| Unsecured debt at cost                           | (110 | ) |   | (111 | ) |
| Unsecured debt from American Capital at cost     | (66 | ) |   | (57 | ) |
| NAV (Euros)                                      | € | 653 |  |   | € | 627 |  |
| Exchange rate                                    | 1.33 |  |   | 1.30 |  |
| NAV (US dollars)                                 | $ | 868 |  |   | $ | 815 |  |
| Fair value of American Capital equity investment | $ | 711 |  |   | $ | 547 |  |
| Implied discount to NAV                          | 18.1 | % |   | 32.9 | % |

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|                                                                                          |
|------------------------------------------------------------------------------------------|
|                                                                                          |  |  |  |  |  |
|                                                                                     | Period Ended March 31, |
|                                                                                     | 2012 |   | 2011 |
| LTM NOI return on average equity at cost                                                 | 6.9 |  % |   | 4.0 |  % |
| LTM net realized earnings (loss) return on average equity at cost                        | — |  % |   | (3.6 | )% |
| LTM net earnings return on average equity at fair value                                  | 25.1 |  % |   | 37.3 |  % |
| Current quarter annualized NOI return on average equity at cost                          | 3.3 |  % |   | 5.5 |  % |
| Current quarter annualized net realized (loss) earnings return on average equity at cost | (3.9 | )% |   | 5.3 |  % |
| Current quarter annualized net earnings return on average equity at fair value           | 47.9 |  % |   | 44.6 |  % |

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|                                                              |
|--------------------------------------------------------------|
|                                                              |  |  |  |  |  |  |  |
|                                                         | March 31, 2012 |   | December 31, 2011 |
| Fixed rate private secured notes due December 2013           | $ | 30 |  |   | $ | 30 |  |
| Floating rate private secured loans due December 2013        | 16 |  |   | 17 |  |
| Fixed rate non-amortizing secured notes due December 2013    | 524 |  |   | 524 |  |
| Floating rate non-amortizing secured notes due December 2013 | 4 |  |   | 4 |  |
| Unsecured public notes due August 2012                       | 11 |  |   | 11 |  |
| ACAS Business Loan Trust 2004-1 asset securitization         | 12 |  |   | 21 |  |
| ACAS Business Loan Trust 2005-1 asset securitization         | 183 |  |   | 227 |  |
| ACAS Business Loan Trust 2006-1 asset securitization         | 150 |  |   | 180 |  |
| ACAS Business Loan Trust 2007-1 asset securitization         | 121 |  |   | 140 |  |
| ACAS Business Loan Trust 2007-2 asset securitization         | 81 |  |   | 97 |  |
| Total                                                        | $ | 1,132 |  |   | $ | 1,251 |  |

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|                                                              |
|--------------------------------------------------------------|
|                                                              |  |
| 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% |

|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |
|                               | Cost Basis |   | Fair Value |
| Senior debt                        | $ | 537 |  |   | $ | 457 |  |
| Mezzanine debt                     | 675 |  |   | 619 |  |
| Preferred equity                   | 1,398 |  |   | 1,104 |  |
| Common equity                      | 1,917 |  |   | 1,729 |  |
| Equity warrants                    | 84 |  |   | 82 |  |
| Structured Products                | 426 |  |   | 224 |  |
| Total investment collateral        | 5,037 |  |   | 4,215 |  |
| Total investment non-collateral(1) | 1,285 |  |   | 1,164 |  |
| Total investments                  | $ | 6,322 |  |   | $ | 5,379 |  |

|     |                                                                                                                                                                                                                                                                                                              |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Includes investments in our asset securitizations for which the notes issued by the asset securitizations have a security interest. We hold the subordinated notes in the asset securitizations. The Secured Debt has a first priority lien on our retained subordinated notes in the asset securitizations. |

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|                                                                             |
|-----------------------------------------------------------------------------|
|                                                                             |  |  |  |  |  |  |  |
|                                                                        | March 31, 2012 |   | December 31, 2011 |
| Current                                                                     | $ | 2,001 |  |   | $ | 2,304 |  |
| 0 - 30 days past due                                                        | 5 |  |   | 16 |  |
| 31 - 60 days past due                                                       | 14 |  |   | 3 |  |
| 61 - 90 days past due                                                       | — |  |   | — |  |
| Greater than 90 days past due                                               | 3 |  |   | 3 |  |
| Total past due accruing loans at cost                                       | 22 |  |   | 22 |  |
| Non-accruing loans at cost                                                  | 356 |  |   | 419 |  |
| Total loans at cost                                                         | $ | 2,379 |  |   | $ | 2,745 |  |
| Non-accruing loans at fair value                                            | $ | 178 |  |   | $ | 219 |  |
| Total loans at fair value                                                   | $ | 2,190 |  |   | $ | 2,518 |  |
| Non-accruing loans at cost as a percent of total loans at cost              | 15.0 | % |   | 15.3 | % |
| Non-accruing loans at fair value as a percent of total loans at fair value  | 8.1 | % |   | 8.7 | % |
| Non-accruing loans at fair value as a percent of non-accruing loans at cost | 50.0 | % |   | 52.3 | % |

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|                                                                             |
|-----------------------------------------------------------------------------|
|                                                                             |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        | Static Pool (1) |
| Portfolio Statistics($ in millions, unaudited) Aggregate                    | Pre-2001 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2011 | Pre-2001 - 2012 Static Pools Aggregate |
| IRR at Fair Value of All Investments(2)                                     | 8.3 | % | 18.1 | % | 8.2 | % | 20.3 | % | 13.5 | % | 12.7 | % | 10.3 | % | (5.3%) |  | 6.5 | % | 19.9 | % | 8.3 | % |
| IRR of Exited Investments(3)                                                | 9.1 | % | 18.6 | % | 9.7 | % | 20.0 | % | 17.1 | % | 22.0 | % | 10.4 | % | (9.6%) |  | 3.5 | % | N/A |  | 10.7 | % |
| IRR at Fair Value of Equity Investments Only(2)(4)(5)                       | 6.7 | % | 46.4 | % | 11.1 | % | 27.7 | % | 26.5 | % | 11.2 | % | 14.6 | % | (9.5%) |  | 18.6 | % | 20.7 | % | 10.7 | % |
| IRR of Exited Equity Investments Only(3)(4)(5)                              | 10.9 | % | 46.4 | % | 21.4 | % | 36.7 | % | 49.0 | % | 51.0 | % | 18.1 | % | 9.5 | % | 35.5 | % | N/A |  | 28.3 | % |
| IRR at Fair Value of All One Stop Buyout® Investments(2)               | 2.3 | % | 17.1 | % | 10.8 | % | 18.8 | % | 16.0 | % | 28.7 | % | 12.6 | % | 1.4 | % | 15.1 | % | — | % | 13.5 | % |
| IRR at Fair Value of Current One Stop Buyout® Investments(2)           | 14.1 | % | N/A |  | (0.1%) |  | 17.3 | % | 6.8 | % | 23.9 | % | 11.4 | % | (1.4%) |  | 15.1 | % | — | % | 10.8 | % |
| IRR of Exited One Stop Buyout® Investments(3)                          | 1.3 | % | 17.1 | % | 14.7 | % | 16.3 | % | 27.5 | % | 30.6 | % | 14.9 | % | 15.5 | % | 14.2 | % | N/A |  | 16.2 | % |
| Committed Investments(7)                                                    | $ | 1,065 |  | $ | 376 |  | $ | 966 |  | $ | 1,436 |  | $ | 2,267 |  | $ | 4,811 |  | $ | 5,239 |  | $ | 7,481 |  | $ | 1,039 |  | $ | 137 |  | $ | 24,817 |  |
| Total Exits and Prepayments of Committed Investments(7)                     | $ | 995 |  | $ | 367 |  | $ | 836 |  | $ | 1,266 |  | $ | 1,971 |  | $ | 2,597 |  | $ | 3,877 |  | $ | 4,717 |  | $ | 496 |  | $ | — |  | $ | 17,122 |  |
| Total Interest, Dividends and Fees Collected                                | $ | 407 |  | $ | 148 |  | $ | 347 |  | $ | 455 |  | $ | 695 |  | $ | 1,187 |  | $ | 1,228 |  | $ | 1,175 |  | $ | 335 |  | $ | 7 |  | $ | 5,984 |  |
| Total Net Realized (Loss) Gain on Investments                               | $ | (137 | ) | $ | (23 | ) | $ | (118 | ) | $ | 143 |  | $ | 16 |  | $ | 375 |  | $ | (170 | ) | $ | (1,097 | ) | $ | (116 | ) | $ | — |  | $ | (1,127 | ) |
| Current Cost of Investments                                                 | $ | 78 |  | $ | 4 |  | $ | 120 |  | $ | 157 |  | $ | 276 |  | $ | 1,921 |  | $ | 1,075 |  | $ | 2,211 |  | $ | 372 |  | $ | 108 |  | $ | 6,322 |  |
| Current Fair Value of Investments                                           | $ | 44 |  | $ | — |  | $ | 86 |  | $ | 296 |  | $ | 195 |  | $ | 1,981 |  | $ | 1,048 |  | $ | 1,305 |  | $ | 313 |  | $ | 111 |  | $ | 5,379 |  |
| Current Fair Value of Investments as a % of Total Investments at Fair Value | 0.8 | % | — | % | 1.6 | % | 5.5 | % | 3.6 | % | 36.8 | % | 19.5 | % | 24.3 | % | 5.8 | % | 2.1 | % | 100.0 | % |
| Net Unrealized (Depreciation) Appreciation                                  | $ | (34 | ) | $ | (4 | ) | $ | (34 | ) | $ | 139 |  | $ | (81 | ) | $ | 60 |  | $ | (27 | ) | $ | (906 | ) | $ | (59 | ) | $ | 3 |  | $ | (943 | ) |
| Non-Accruing Loans at Cost                                                  | $ | — |  | $ | — |  | $ | 18 |  | $ | — |  | $ | 31 |  | $ | 58 |  | $ | 43 |  | $ | 174 |  | $ | 32 |  | $ | — |  | $ | 356 |  |
| Non-Accruing Loans at Fair Value                                            | $ | 1 |  | $ | — |  | $ | 7 |  | $ | — |  | $ | 11 |  | $ | 30 |  | $ | 7 |  | $ | 96 |  | $ | 26 |  | $ | — |  | $ | 178 |  |
| Equity Interest at Fair Value(4)                                            | $ | 18 |  | $ | — |  | $ | — |  | $ | 259 |  | $ | 110 |  | $ | 1,623 |  | $ | 484 |  | $ | 326 |  | $ | 93 |  | $ | 45 |  | $ | 2,958 |  |
| Debt to Adjusted EBITDA(8)(9)(10)(11)(14)                                   | 4.3 |  | NM |  | 10.3 |  | 2.8 |  | 5.2 |  | 1.9 |  | 4.4 |  | 6.1 |  | 5.8 |  | 5.7 |  | 4.4 |  |
| Interest Coverage(10)(11)(14)                                               | 4.2 |  | NM |  | 1.5 |  | 4.3 |  | 2.4 |  | 2.1 |  | 2.7 |  | 2.1 |  | 2.3 |  | 2.1 |  | 2.3 |  |
| Debt Service Coverage(10)(11)(14)                                           | 3.8 |  | NM |  | 1.5 |  | 3.8 |  | 2.1 |  | 0.6 |  | 2.4 |  | 1.8 |  | 1.9 |  | 2.0 |  | 1.7 |  |
| Average Age of Companies(11)(14)                                            | 46 |  | 0 |  | 29 |  | 39 |  | 53 |  | 15 |  | 39 |  | 31 |  | 20 |  | 25 |  | 29 |  |
| Diluted Ownership Percentage(4)(15)                                         | 62 | % | — | % | 43 | % | 55 | % | 71 | % | 87 | % | 47 | % | 51 | % | 33 | % | 9 | % | 63 | % |
| Average Revenue(11)(12)(14)                                                 | $ | 47 |  | $ | — |  | $ | 43 |  | $ | 211 |  | $ | 65 |  | $ | 158 |  | $ | 170 |  | $ | 179 |  | $ | 91 |  | $ | 159 |  | $ | 158 |  |
| Average Adjusted EBITDA(8)(11)(14)                                          | $ | 6 |  | $ | — |  | $ | 10 |  | $ | 44 |  | $ | 16 |  | $ | 67 |  | $ | 41 |  | $ | 38 |  | $ | 21 |  | $ | 42 |  | $ | 44 |  |
| Total Revenue(11)(12)                                                       | $ | 95 |  | $ | 238 |  | $ | 73 |  | $ | 1,458 |  | $ | 349 |  | $ | 1,245 |  | $ | 3,391 |  | $ | 4,882 |  | $ | 1,543 |  | $ | 478 |  | $ | 13,752 |  |
| Total Adjusted EBITDA(8)(11)                                                | $ | 13 |  | $ | 6 |  | $ | 10 |  | $ | 202 |  | $ | 55 |  | $ | 287 |  | $ | 448 |  | $ | 846 |  | $ | 250 |  | $ | 142 |  | $ | 2,259 |  |
| % of Senior Loans(10)(11)(13)                                               | 72 | % | — | % | 52 | % | — | % | 33 | % | 31 | % | 26 | % | 50 | % | 31 | % | 38 | % | 39 | % |
| % of Loans with Lien(10)(11)(13)                                            | 100 | % | — | % | 100 | % | 100 | % | 100 | % | 84 | % | 99 | % | 87 | % | 69 | % | 38 | % | 73 | % |
|                                                                        |   |   |   |   |   |   |   |   |   |   |   |
| Majority Owned Portfolio Companies (“MOPC”)(6)                  | Pre-2001 - 2012 Static Pools Aggregate |   |   |   |   |   |   |   |   |   |
| Total Revenue(12)                                                           | $ | 3,116 |   |   |   |   |   |   |   |   |   |   |
| Total Gross Profit(12)                                                      | $ | 1,561 |   |   |   |   |   |   |   |   |   |   |
| Total Adjusted EBITDA(8)                                                    | $ | 703 |   |   |   |   |   |   |   |   |   |   |
|                                                                        |   |   |   |   |   |   |   |   |   |   |
| Total Capital Expenditures(12)                                              | $ | 95 |   |   |   |   |   |   |   |   |   |   |
| Total Current ACAS Investment in MOPC at Fair Value                         | $ | 3,429 |   |   |   |   |   |   |   |   |   |   |
| Diluted Ownership Percentage of ACAS in MOPC(15)                            | 69 | % |   |   |   |   |   |   |   |   |   |
|                                                                        |   |   |   |   |   |   |   |   |   |   |
| Total Cash                                                                  | $ | 197 |   |   |   |   |   |   |   |   |   |   |
| Total Assets                                                                | $ | 4,571 |   |   |   |   |   |   |   |   |   |   |
| Total Debt                                                                  | $ | 3,347 |   |   |   |   |   |   |   |   |   |   |
| Total Third-party Debt at Cost                                              | $ | 1,486 |   |   |   |   |   |   |   |   |   |   |
| Total Shareholders' Equity(16)                                              | $ | 2,984 |   |   |   |   |   |   |   |   |   |   |

|    |                                                                                                                                                                                                                                                          |
|----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 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, 2010 and 2012 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) | MOPC investments represent portfolio company investments in which American Capital, or its affiliates, have a fully diluted ownership percentage of 50% or more or have over 50% board representation at the portfolio company. Excludes our investment in European 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) | For 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. |

|     |                                                             |
|-----|-------------------------------------------------------------|
| 15) | Weighted average based on fair value of equity investments. |

|     |                                                                                                                       |
|-----|-----------------------------------------------------------------------------------------------------------------------|
| 16) | Calculated as the estimated enterprise value of the MOPC's less the cost basis of any outstanding debt of the MOPC's. |

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

|                                             |
|---------------------------------------------|
|                                             |  |  |  |  |  |  |  |  |  |  |  |
|                                        | Total Number of Shares Purchased(1) |   | Average Price Paid Per Share |   | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs(2) |   | Maximum Number of Shares That May Yet Be Purchased Under the Publicly Announced Plans or Programs |
| February 16, 2012 through February 29, 2012 | 2.9 |  |   | $ | 8.81 |  |   | 2.9 |  |   | N/A |
| March 1, 2012 through March 9, 2012         | 2.6 |  |   | $ | 8.76 |  |   | 2.6 |  |   | N/A |
| First Quarter 2012                          | 5.5 |  |   | $ | 8.79 |  |   | 5.5 |  |   | N/A |

|     |                                                                                                                      |
|-----|----------------------------------------------------------------------------------------------------------------------|
| (1) | All shares were purchased by us pursuant to the stock repurchase and dividend program described in footnote 2 below. |

|     |                                                                                                                                                                                                                                                                                                                                                                                 |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | During the third quarter of 2011, we announced a program that may provide for additional repurchases of shares or dividend payments. On April 26, 2012, our Board of Directors extended the stock repurchase and dividend program through December 31, 2013. Under the program, we will consider quarterly setting an amount to be utilized for stock repurchases or dividends. |

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

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Table of Contents

|                              |
|------------------------------|
|                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Basis Point Change |   | InterestIncome |   | InterestExpense |   | NetOperating Income |   | Net Realized Gain (Loss) on Derivative Agreements(1) |   | Net Earnings |
| Up 400 basis points          |   | $ | 22 |  |   | $ | 22 |  |   | $ | — |  |   | $ | 15 |  |   | $ | 15 |  |
| Up 300 basis points          |   | $ | 14 |  |   | $ | 17 |  |   | $ | (3 | ) |   | $ | 13 |  |   | $ | 10 |  |
| Up 200 basis points          |   | $ | 8 |  |   | $ | 11 |  |   | $ | (3 | ) |   | $ | 8 |  |   | $ | 5 |  |
| Up 100 basis points          |   | $ | 3 |  |   | $ | 5 |  |   | $ | (2 | ) |   | $ | 4 |  |   | $ | 2 |  |
| Down 100 basis points        |   | $ | (1 | ) |   | $ | (1 | ) |   | $ | — |  |   | $ | (2 | ) |   | $ | (2 | ) |
| Down 200 basis points        |   | $ | (1 | ) |   | $ | (1 | ) |   | $ | — |  |   | $ | (2 | ) |   | $ | (2 | ) |
| Down 300 basis points        |   | $ | (1 | ) |   | $ | (1 | ) |   | $ | — |  |   | $ | (2 | ) |   | $ | (2 | ) |
| Down 400 basis points        |   | $ | (1 | ) |   | $ | (1 | ) |   | $ | — |  |   | $ | (2 | ) |   | $ | (2 | ) |

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

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Table of Contents

|         |                         |
|---------|-------------------------|
| 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. | Mine Safety Disclosures |

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

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Table of Contents

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

|        |
|--------|
|        |  |
| 3.1.   | American Capital, Ltd. (f/k/a American Capital Strategies, Ltd.) Third Amended and Restated Certificate of Incorporation, as amended, filed herewith. |
|   |   |
| *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 to Form 10-Q for the quarter ended June 30, 2008 (File No. 814-00149), filed 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, as amended, filed herewith as Exhibit 3.1. |
|   |   |
| *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 3.2 to Form 10-Q for the quarter ended June 30, 2008 (File No. 814-00149), filed August 11, 2008. |
|   |   |
| *4.3.  | Indenture by and between American Capital, Ltd. (f/k/a American Capital Strategies, 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 April 26, 2007. |
|   |   |
| *4.4.  | First Supplemental Indenture by and between American Capital, Ltd. (f/k/a American Capital Strategies, Ltd.) and Wilmington Trust Company, as successor trustee, dated as of July 17, 2007, incorporated herein by reference to Exhibit 4.4 to Form 10-Q for the quarter ended June 30, 2010 (File No. 814-00149), filed August 6, 2010. |
|   |   |
| *4.5.  | Second Supplemental Indenture by and between American Capital, Ltd. and Wilmington Trust Company, as successor trustee, dated as of June 28, 2010, incorporated herein by reference to Exhibit 4.6 to Form 10-Q for the quarter ended June 30, 2010 (File No. 814-00149), filed August 6, 2010. |
|   |   |
| *4.6.  | Indenture by and between American Capital, Ltd. and Wilmington Trust, National Association, as successor trustee, dated as of June 28, 2010, incorporated herein by reference to Exhibit 4.7 to Form 10-Q for the quarter ended June 30, 2010 (File No. 814-00149), filed 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 original principal amount of $500,000,000, incorporated herein by reference to Exhibit 4.8 to Form 10-Q for the quarter ended June 30, 2010 (File No. 814-00149), filed 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 original principal amount of $24,098,000, incorporated herein by reference to Exhibit 4.9 to Form 10-Q for the quarter ended June 30, 2010 (File No. 814-00149), filed 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 original principal amount of $4,300,000, incorporated herein by reference to Exhibit 4.10 to Form 10-Q for the quarter ended June 30, 2010 (File No. 814-00149), filed 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 original principal amount of $500,000,000, incorporated herein by reference to Exhibit 4.11 to Form 10-Q for the quarter ended June 30, 2010 (File No. 814-00149), filed 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 original principal amount of $2,431,467, incorporated herein by reference to Exhibit 4.12 to Form 10-Q for the quarter ended June 30, 2010 (File No. 814-00149), filed August 6, 2010. |
|   |   |
| *4.12. | Series 6.85% Senior Notes Due 2012, No. 1, CUSIP No. 024937AA2, payable to Cede & Co., in the original principal amount of $500,000,000, incorporated herein by reference to Exhibit 4.13 to Form 10-Q for the quarter ended June 30, 2010 (File No. 814-00149), filed August 6, 2010. |
|   |   |
| *4.13. | Series 6.85% Senior Notes Due 2012, No. 2, CUSIP No. 024937AA2, payable to Cede & Co., in the original principal amount of $50,000,000, incorporated herein by reference to Exhibit 4.14 to Form 10-Q for the quarter ended June 30, 2010 (File No. 814-00149), filed August 6, 2010. |
|   |   |
| *4.14. | Form of Senior Secured Amortizing Adjustable Fixed Rate Dollar Note Due 2013, No. A-1, CUSIP No. 02503YAA1, in the original principal amount of $0.00, incorporated herein by reference to Exhibit 4.14 to Form 10-K for the year ended December 31, 2011 (File No.814-00149), filed February 27, 2012. |
|   |   |

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