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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549





FORM 10-Q







|x | Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|- | ---------------------------------------------------------------------------------------

For the Quarter Ended December 31, 2009



| ̈ | Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|- | ----------------------------------------------------------------------------------------

Commission File Number: 333-112591





APOLLO
INVESTMENT CORPORATION

(Exact name of registrant as specified in its charter)







|                                                               |  |                                     
|-------------------------------------------------------------- |  | ------------------------------------
|Maryland                                                       |  | 52-2439556                          
|(State or other jurisdiction of incorporation or organization) |  | (I.R.S. Employer Identification No.)
|                                                               | 
|9 West 57thStreet 37th Floor New York, N.Y.                    |  | 10019                               
|(Address of principal executive office)                        |  | (Zip Code)                          

(212)
515-3450

(Registrants telephone number, including area code)





Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the
Securities Exchange Act of 1934 during the preceding 12 months and (2) has been subject to such filing requirements for the past 90 days.    Yes  x    No   ̈

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the
preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes   ̈    No   ̈

Indicate by check mark whether the registrant is a large accelerated filer, an
accelerated filer, or a non-accelerated filer. See definition of accelerated filer and large accelerated filer in Rule 12b-2 of the Exchange Act. (Check one):



|                           |  |                      |  |                          |  |                             
|-------------------------- |  | -------------------- |  | ------------------------ |  | ----------------------------
|Large accelerated filer  x |  | Accelerated filer   ̈ |  | Non-accelerated filer   ̈ |  | Smaller Reporting Company   ̈

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange
Act).    Yes   ̈    No  x

The number of shares of the registrants Common Stock, $.001 par value, outstanding as of February 5, 2010 was 176,213,918.









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APOLLO INVESTMENT CORPORATION

FORM 10-Q FOR THE QUARTER ENDED DECEMBER 31, 2009

TABLE OF CONTENTS



|                               |  |                                                                                                                   |  |   
|------------------------------ |  | ----------------------------------------------------------------------------------------------------------------- |  | --
|                               |  | PAGE                                                                                                             
|PART I.  FINANCIAL INFORMATION |  |                                                                                                                  
|                               |  |                                                                                                                  
|Item 1.                        |  | FINANCIAL STATEMENTS                                                                                              |  | 3 
|                               |  | Statements of Assets and Liabilities as of December 31, 2009 and March 31, 2009                                   |  | 3 
|                               |  | Statements of Operations for the three and nine months ended December 31, 2009 and December 31, 2008              |  | 4 
|                               |  | Statements of Changes in Net Assets for the nine months ended December 31, 2009 andthe year ended March
 31, 2009 |  | 5 
|                               |  | Statements of Cash Flows for the nine months ended December 31, 2009 andDecember 31,
2008                         |  | 6 
|                               |  | Schedule of Investments as of December 31, 2009                                                                   |  | 7 
|                               |  | Schedule of Investments as of March 31, 2009                                                                      |  | 14
|                               |  | Notes to Financial Statements                                                                                     |  | 22
|                               |  | Report of Independent Registered Public Accounting Firm                                                           |  | 36
|Item 2.                        |  | Managements Discussion and Analysis of Financial Condition and Results of
Operations                             |  | 37
|Item 3.                        |  | Quantitative and Qualitative Disclosures About Market Risk                                                        |  | 46
|Item 4.                        |  | Controls and Procedures                                                                                           |  | 46
|                               | 
|PART II.  OTHER INFORMATION    |  |                                                                                                                  
|                               |  |                                                                                                                  
|Item 1.                        |  | Legal Proceedings                                                                                                 |  | 48
|Item 1A.                       |  | Risk Factors                                                                                                      |  | 48
|Item 2.                        |  | Unregistered Sales of Equity Securities and Use of Proceeds                                                       |  | 48
|Item 3.                        |  | Defaults upon Senior Securities                                                                                   |  | 48
|Item 4.                        |  | Submission of Matters to a Vote of Security Holders                                                               |  | 48
|Item 5.                        |  | Other Information                                                                                                 |  | 48
|Item 6.                        |  | Exhibits                                                                                                          |  | 49
|                               |  | Signatures                                                                                                        |  | 50



2



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PART I. FINANCIAL INFORMATION

In this Quarterly Report, Apollo Investment, Company, AIC, Fund, we,
us and our refer to Apollo Investment Corporation unless the context otherwise states.



|Item 1. | Financial Statements
|------- | --------------------

APOLLO INVESTMENT CORPORATION

STATEMENTS OF ASSETS AND LIABILITIES

(in thousands, except per share amounts)



|                                                                                                                                                                  |  |                              |           |   |                |   |           |  
|----------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ---------------------------- | --------- | - | -------------- | - | --------- | -
|                                                                                                                                                                  |  | December 31, 2009(unaudited) |           |   | March 31, 2009 |  
|Assets                                                                                                                                                            |  |                              |           |   |                |   |           |  
|Non-controlled/non-affiliated investments, at value (cost$3,018,015 and $3,082,364, respectively)                                                                |  | $                            | 2,681,370 |   |                | $ | 2,345,470 |  
|Controlled investments, at value (cost$342,655 and $342,115, respectively)                                                                                       |  |                              | 140,805   |   |                |   | 141,421   |  
|Cash equivalents, at value (cost$499,934 and $0, respectively)                                                                                                   |  |                              | 499,934   |   |                |   |          |  
|Cash                                                                                                                                                              |  |                              | 5,928     |   |                |   | 5,914     |  
|Foreign currency (cost$2,277 and $694, respectively)                                                                                                             |  |                              | 2,264     |   |                |   | 693       |  
|Interest receivable                                                                                                                                               |  |                              | 38,730    |   |                |   | 42,461    |  
|Dividends receivable (see note 2)                                                                                                                                 |  |                              | 2,109     |   |                |   | 7,302     |  
|Receivable for investments sold                                                                                                                                   |  |                              | 34,782    |   |                |   |          |  
|Miscellaneous income receivable                                                                                                                                   |  |                              |          |   |                |   | 51        |  
|Receivable from investment adviser                                                                                                                                |  |                              |          |   |                |   | 393       |  
|Prepaid expenses and other assets                                                                                                                                 |  |                              | 25,014    |   |                |   | 4,934     |  
|                                                                                                                                                                  |  |                              |           |   |                |   |           |  
|Total assets                                                                                                                                                      |  | $                            | 3,430,936 |   |                | $ | 2,548,639 |  
|                                                                                                                                                                  |  |                              |           |   |                |   |           |  
|Liabilities                                                                                                                                                       |  |                              |           |   |                |   |           |  
|Credit facility payable (see note 7 & 12)                                                                                                                         |  | $                            | 947,665   |   |                | $ | 1,057,601 |  
|Payable for investments purchased                                                                                                                                 |  |                              | 575,904   |   |                |   | 27,555    |  
|Dividends payable                                                                                                                                                 |  |                              | 49,201    |   |                |   | 36,978    |  
|Management and performance-based incentive fees payable (see note 3)                                                                                              |  |                              | 26,442    |   |                |   | 25,314    |  
|Interest payable                                                                                                                                                  |  |                              | 541       |   |                |   | 711       |  
|Accrued administrative expenses                                                                                                                                   |  |                              | 1,550     |   |                |   | 1,547     |  
|Other liabilities and accrued expenses                                                                                                                            |  |                              | 2,935     |   |                |   | 2,795     |  
|                                                                                                                                                                  |  |                              |           |   |                |   |           |  
|Total liabilities                                                                                                                                                 |  | $                            | 1,604,238 |   |                | $ | 1,152,501 |  
|                                                                                                                                                                  |  |                              |           |   |                |   |           |  
|Net Assets                                                                                                                                                        |  |                              |           |   |                |   |           |  
|Common stock, par value $.001 per share, 400,000 and 400,000 common shares authorized, respectively, and 175,719 and 142,221
issued and outstanding, respectively |  | $                            | 176       |   |                | $ | 142       |  
|Paid-in capital in excess of par (see note 2f)                                                                                                                    |  |                              | 2,641,594 |   |                |   | 2,352,205 |  
|Undistributed net investment income (see note 2f)                                                                                                                 |  |                              | 115,035   |   |                |   | 96,174    |  
|Accumulated net realized loss (see note 2f)                                                                                                                       |  |                              | (374,183  | ) |                |   | (120,811  | )
|Net unrealized depreciation                                                                                                                                       |  |                              | (555,924  | ) |                |   | (931,572  | )
|                                                                                                                                                                  |  |                              |           |   |                |   |           |  
|Total Net Assets                                                                                                                                                  |  | $                            | 1,826,698 |   |                | $ | 1,396,138 |  
|                                                                                                                                                                  |  |                              |           |   |                |   |           |  
|Total liabilities and net assets                                                                                                                                  |  | $                            | 3,430,936 |   |                | $ | 2,548,639 |  
|                                                                                                                                                                  |  |                              |           |   |                |   |           |  
|Net Asset Value Per Share                                                                                                                                         |  | $                            | 10.40     |   |                | $ | 9.82      |  
|                                                                                                                                                                  |  |                              |           |   |                |   |           |  

See notes to financial statements.



3



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APOLLO INVESTMENT CORPORATION

STATEMENTS OF OPERATIONS (unaudited)

(in thousands, except per share amounts)



|                                                                                                  |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|------------------------------------------------------------------------------------------------- |  | ------------------ | -------- | - | ----------------- | - | -------- | ---------------- |  | - | ---------------- | - |  | - | -------- | -
|                                                                                                  |  | Three months ended |          |   | Nine months ended |  
|                                                                                                  |  | December 31,2009   |          |   | December 31,2008  |   |          | December 31,2009 |  |   | December 31,2008 |  
|INVESTMENT INCOME:                                                                                |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|From non-controlled/non-affiliated investments:                                                   |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|Interest                                                                                          |  | $                  | 73,954   |   |                   | $ | 91,955   |                  |  | $ | 221,126          |   |  | $ | 267,155  |  
|Dividends                                                                                         |  |                    | 2,870    |   |                   |   | 1,615    |                  |  |   | 9,690            |   |  |   | 8,726    |  
|Other income                                                                                      |  |                    | 5,864    |   |                   |   | 1,353    |                  |  |   | 7,615            |   |  |   | 4,826    |  
|From controlled investments:                                                                      |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|Dividends                                                                                         |  |                    | 2,929    |   |                   |   | 2,602    |                  |  |   | 14,150           |   |  |   | 11,324   |  
|Other income                                                                                      |  |                    |         |   |                   |   |         |                  |  |   |                 |   |  |   |         |  
|                                                                                                  |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|Total Investment Income                                                                           |  |                    | 85,617   |   |                   |   | 97,525   |                  |  |   | 252,581          |   |  |   | 292,031  |  
|                                                                                                  |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|EXPENSES:                                                                                         |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|Management fees (see note 3)                                                                      |  | $                  | 13,903   |   |                   | $ | 14,681   |                  |  | $ | 39,839           |   |  | $ | 47,057   |  
|Performance-based incentive fees (see note 3)                                                     |  |                    | 12,539   |   |                   |   | 13,197   |                  |  |   | 37,719           |   |  |   | 38,898   |  
|Interest and other credit facility expenses                                                       |  |                    | 4,976    |   |                   |   | 13,659   |                  |  |   | 14,453           |   |  |   | 41,980   |  
|Administrative services expense                                                                   |  |                    | 1,260    |   |                   |   | 794      |                  |  |   | 3,767            |   |  |   | 3,517    |  
|Other general and administrative expenses                                                         |  |                    | 1,538    |   |                   |   | 1,648    |                  |  |   | 4,682            |   |  |   | 4,361    |  
|                                                                                                  |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|Total expenses                                                                                    |  |                    | 34,216   |   |                   |   | 43,979   |                  |  |   | 100,460          |   |  |   | 135,813  |  
|Expense offset arrangement (see note 8)                                                           |  |                    |         |   |                   |   | (95      | )                |  |   |                 |   |  |   | (227     | )
|                                                                                                  |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|Net expenses                                                                                      |  |                    | 34,216   |   |                   |   | 43,884   |                  |  |   | 100,460          |   |  |   | 135,586  |  
|                                                                                                  |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|Net investment income before excise taxes                                                         |  |                    | 51,401   |   |                   |   | 53,641   |                  |  |   | 152,121          |   |  |   | 156,445  |  
|Excise tax expense                                                                                |  |                    | (1,243   | ) |                   |   | (854     | )                |  |   | (1,243           | ) |  |   | (854     | )
|                                                                                                  |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|Net investment income                                                                             |  | $                  | 50,158   |   |                   | $ | 52,787   |                  |  | $ | 150,878          |   |  | $ | 155,591  |  
|                                                                                                  |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, CASH EQUIVALENTS AND FOREIGN CURRENCIES:      |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|Net realized gain (loss):                                                                         |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|Investments and cash equivalents                                                                  |  | $                  | (147,822 | ) |                   | $ | (40,912  | )                |  | $ | (249,221         | ) |  | $ | (103,313 | )
|Foreign currencies                                                                                |  |                    | (4,218   | ) |                   |   | 37,336   |                  |  |   | (4,151           | ) |  |   | 39,943   |  
|                                                                                                  |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|Net realized loss                                                                                 |  |                    | (152,040 | ) |                   |   | (3,576   | )                |  |   | (253,372         | ) |  |   | (63,370  | )
|                                                                                                  |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|Net change in unrealized gain (loss):                                                             |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|Investments and cash equivalents                                                                  |  |                    | 177,792  |   |                   |   | (525,904 | )                |  |   | 399,013          |   |  |   | (778,607 | )
|Foreign currencies                                                                                |  |                    | 3,613    |   |                   |   | 1,150    |                  |  |   | (23,365          | ) |  |   | 44,731   |  
|                                                                                                  |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|Net change in unrealized gain (loss)                                                              |  |                    | 181,405  |   |                   |   | (524,754 | )                |  |   | 375,648          |   |  |   | (733,876 | )
|                                                                                                  |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|Net realized and unrealized gain (loss) from investments, cash equivalents and foreign currencies |  |                    | 29,365   |   |                   |   | (528,330 | )                |  |   | 122,276          |   |  |   | (797,246 | )
|                                                                                                  |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS                                   |  | $                  | 79,523   |   |                   | $ | (475,543 | )                |  | $ | 273,154          |   |  | $ | (641,655 | )
|                                                                                                  |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  
|EARNINGS (LOSS) PER SHARE (see note 5)                                                            |  | $                  | 0.48     |   |                   | $ | (3.34    | )                |  | $ | 1.78             |   |  | $ | (4.63    | )
|                                                                                                  |  |                    |          |   |                   |   |          |                  |  |   |                  |   |  |   |          |  

See notes to financial statements.



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APOLLO INVESTMENT CORPORATION

STATEMENTS OF CHANGES IN NET ASSETS

(in thousands, except shares)



|                                                                |  |                                               |            |   |                          |   |            |  
|--------------------------------------------------------------- |  | --------------------------------------------- | ---------- | - | ------------------------ | - | ---------- | -
|                                                                |  | Nine months endedDecember 31, 2009(unaudited) |            |   | Year endedMarch 31, 2009 |  
|Increase (Decrease) in net assets from operations:              |  |                                               |            |   |                          |   |            |  
|Net investment income                                           |  | $                                             | 150,878    |   |                          | $ | 206,331    |  
|Net realized loss                                               |  |                                               | (253,372   | ) |                          |   | (83,740    | )
|Net change in unrealized gain (loss)                            |  |                                               | 375,648    |   |                          |   | (734,470   | )
|                                                                |  |                                               |            |   |                          |   |            |  
|Net increase (decrease) in net assets resulting from operations |  |                                               | 273,154    |   |                          |   | (611,879   | )
|                                                                |  |                                               |            |   |                          |   |            |  
|Dividends and distributions to stockholders:                    |  |                                               | (132,017   | ) |                          |   | (258,843   | )
|                                                                |  |                                               |            |   |                          |   |            |  
|Capital share transactions:                                     |  |                                               |            |   |                          |   |            |  
|Net proceeds from shares sold                                   |  |                                               | 280,823    |   |                          |   | 369,589    |  
|Less offering costs                                             |  |                                               | (738       | ) |                          |   | (637       | )
|Reinvestment of dividends                                       |  |                                               | 9,338      |   |                          |   |           |  
|                                                                |  |                                               |            |   |                          |   |            |  
|Net increase in net assets from capital share transactions      |  |                                               | 289,423    |   |                          |   | 368,952    |  
|                                                                |  |                                               |            |   |                          |   |            |  
|Total increase (decrease) in net assets:                        |  |                                               | 430,560    |   |                          |   | (501,770   | )
|Net assets at beginning of period                               |  |                                               | 1,396,138  |   |                          |   | 1,897,908  |  
|                                                                |  |                                               |            |   |                          |   |            |  
|Net assets at end of period                                     |  | $                                             | 1,826,698  |   |                          | $ | 1,396,138  |  
|                                                                |  |                                               |            |   |                          |   |            |  
|Capital share activity:                                         |  |                                               |            |   |                          |   |            |  
|Shares sold                                                     |  |                                               | 32,200,000 |   |                          |   | 22,327,500 |  
|Shares issued from reinvestment of dividends                    |  |                                               | 1,297,204  |   |                          |   |           |  
|                                                                |  |                                               |            |   |                          |   |            |  
|Net increase in capital share activity                          |  |                                               | 33,497,204 |   |                          |   | 22,327,500 |  
|                                                                |  |                                               |            |   |                          |   |            |  





See notes to financial statements.



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APOLLO INVESTMENT CORPORATION

STATEMENTS OF CASH FLOWS (unaudited)

(in thousands)



|                                                                                                                                           |  |                               |          |   |      |   |            |  
|------------------------------------------------------------------------------------------------------------------------------------------ |  | ----------------------------- | -------- | - | ---- | - | ---------- | -
|                                                                                                                                           |  | Nine months endedDecember 31, |         
|                                                                                                                                           |  | 2009                          |          |   | 2008 |  
|Cash Flows from Operating Activities:                                                                                                      |  |                               |          |   |      |   |            |  
|Net Increase (Decrease) in Net Assets Resulting from Operations                                                                            |  | $                             | 273,154  |   |      | $ | (641,655   | )
|Adjustments to reconcile net increase (decrease):                                                                                          |  |                               |          |   |      |   |            |  
|Purchase of investments (including capitalized PIK)                                                                                        |  |                               | (405,556 | ) |      |   | (440,408   | )
|Proceeds from disposition of investments and cash equivalents                                                                              |  |                               | 220,064  |   |      |   | 255,155    |  
|Increase (decrease) from foreign currency transactions                                                                                     |  |                               | (4,095   | ) |      |   | 39,812     |  
|Decrease (increase) in interest and dividends receivable                                                                                   |  |                               | 8,924    |   |      |   | (13,995    | )
|Decrease in prepaid expenses and other assets                                                                                              |  |                               | 3,099    |   |      |   | 2,424      |  
|Increase in management and performance-based incentive fees payable                                                                        |  |                               | 1,128    |   |      |   | 909        |  
|Decrease in interest payable                                                                                                               |  |                               | (170     | ) |      |   | (1,748     | )
|Increase in accrued expenses and other liabilities                                                                                         |  |                               | 143      |   |      |   | 79         |  
|Increase (decrease) in payable for investments and cash equivalents purchased                                                              |  |                               | 548,349  |   |      |   | (115,939   | )
|Increase in receivable for investments sold                                                                                                |  |                               | (34,782  | ) |      |   |           |  
|Net change in unrealized depreciation (appreciation) on investments, cash equivalents, foreign currencies and other assets and
liabilities |  |                               | (375,648 | ) |      |   | 733,876    |  
|Net realized loss on investments and cash equivalents                                                                                      |  |                               | 253,372  |   |      |   | 63,370     |  
|                                                                                                                                           |  |                               |          |   |      |   |            |  
|Net Cash Provided (Used) by Operating Activities                                                                                           |  | $                             | 487,982  |   |      | $ | (118,120   | )
|                                                                                                                                           |  |                               |          |   |      |   |            |  
|Cash Flows from Financing Activities:                                                                                                      |  |                               |          |   |      |   |            |  
|Net proceeds from the issuance of common stock                                                                                             |  | $                             | 280,823  |   |      | $ | 369,589    |  
|Offering costs from the issuance of common stock                                                                                           |  |                               | (738     | ) |      |   | (479       | )
|Dividends paid in cash                                                                                                                     |  |                               | (110,455 | ) |      |   | (231,234   | )
|Borrowings under credit facility                                                                                                           |  |                               | 742,090  |   |      |   | 1,628,289  |  
|Payments under credit facility                                                                                                             |  |                               | (898,171 | ) |      |   | (2,059,822 | )
|                                                                                                                                           |  |                               |          |   |      |   |            |  
|Net Cash Provided (Used) by Financing Activities                                                                                           |  | $                             | 13,549   |   |      | $ | (293,657   | )
|                                                                                                                                           |  |                               |          |   |      |   |            |  
|NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS                                                                                       |  | $                             | 501,531  |   |      | $ | (411,777   | )
|Effect of exchange rates on cash balances                                                                                                  |  |                               | (12      | ) |      |   | 2          |  
|CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD                                                                                             |  | $                             | 6,607    |   |      | $ | 414,983    |  
|                                                                                                                                           |  |                               |          |   |      |   |            |  
|CASH AND CASH EQUIVALENTS, END OF PERIOD                                                                                                   |  | $                             | 508,126  |   |      | $ | 3,208      |  
|                                                                                                                                           |  |                               |          |   |      |   |            |  

Non-cash financing activities consist of the reinvestment of dividends totaling $9,338 and $0, respectively
(in thousands).

See notes to financial statements.



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APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited)

December 31, 2009

(in thousands)



|                                                                       |  |                             |  |             |         |      |   |                |  |   |        
|---------------------------------------------------------------------- |  | --------------------------- |  | ----------- | ------- | ---- | - | -------------- |  | - | -------
|Investments in Non-controlled/Non Affiliated PortfolioCompanies146.8% |  | Industry                    |  | Par Amount* |         | Cost |   | Fair Value (1)
|CORPORATE DEBT131.8%                                                  |  |                             |  |             |         |      |   |                |  |   |        
|BANK DEBT/SENIOR SECURED LOANS (2)44.1%                               |  |                             |  |             |         |      |   |                |  |   |        
|1stLien Bank Debt/Senior Secured Loans1.2%                            |  |                             |  |             |         |      |   |                |  |   |        
|Fox Acquisition Sub LLC, 7/14/15                                       |  | Broadcasting &Entertainment |  | $           | 3,977   |      | $ | 3,543          |  | $ | 3,599  
|ATI Acquisition Company, 12/30/14                                      |  | Education                   |  |             | 19,250  |      |   | 18,480         |  |   | 18,817 
|                                                                       |  |                             |  |             |         |      |   |                |  |   |        
|Total 1stLien Bank Debt/Senior Secured Loans                           |  |                             |  |             |         |      | $ | 22,023         |  | $ | 22,416 
|                                                                       |  |                             |  |             |         |      |   |                |  |   |        
|2ndLien Bank Debt/Senior Secured Loans42.9%                           |  |                             |  |             |         |      |   |                |  |   |        
|AB Acquisitions UK Topco 2 Limited (Alliance Boots), 7/9/16           |  | Retail                      |  | £           | 11,400  |      | $ | 19,935         |  | $ | 15,777 
|AB Acquisitions UK Topco 2 Limited (Alliance Boots), 7/9/16           |  | Retail                      |  |            | 3,961   |      |   | 5,484          |  |   | 4,870  
|Asurion Corporation, 7/3/15                                            |  | Insurance                   |  | $           | 148,300 |      |   | 146,972        |  |   | 144,593
|BNY ConvergEx Group, LLC, 4/2/14                                       |  | Business Services           |  |             | 54,000  |      |   | 53,601         |  |   | 54,000 
|C.H.I. Overhead Doors, Inc., 13.00%, 10/22/11                          |  | Building Products           |  |             | 15,000  |      |   | 15,013         |  |   | 13,500 
|Clean Earth, Inc., 13.00%, 8/1/14                                      |  | Environmental               |  |             | 25,000  |      |   | 25,000         |  |   | 22,750 
|Datatel, Inc., 12/9/16                                                 |  | Education                   |  |             | 20,000  |      |   | 19,921         |  |   | 20,200 
|Dresser, Inc., 5/4/15                                                  |  | Industrial                  |  |             | 63,000  |      |   | 62,712         |  |   | 58,983 
|Educate, Inc., 6/14/14                                                 |  | Education                   |  |             | 10,000  |      |   | 10,000         |  |   | 9,250  
|Garden Fresh Restaurant Corp., 12/22/11                                |  | Retail                      |  |             | 26,000  |      |   | 25,894         |  |   | 25,610 
|Generics International, Inc., 4/30/15                                  |  | Healthcare                  |  |             | 20,000  |      |   | 19,927         |  |   | 19,675 
|Gray Wireline Service, Inc., 12.25%, 2/28/13                           |  | Oil & Gas                   |  |             | 77,500  |      |   | 77,049         |  |   | 43,167 
|Infor Enterprise Solutions Holdings, Inc., Tranche B-1, 3/2/14        |  | Business Services           |  |             | 5,000   |      |   | 5,000          |  |   | 3,550  
|Infor Enterprise Solutions Holdings, Inc., 3/2/14                     |  | Business Services           |  |             | 15,000  |      |   | 14,878         |  |   | 10,788 
|Infor Global Solutions European Finance S.á.R.L., 3/2/14               |  | Business Services           |  |            | 6,210   |      |   | 8,263          |  |   | 6,029  
|IPC Systems, Inc., 6/1/15                                              |  | Telecommunications          |  | $           | 44,250  |      |   | 41,055         |  |   | 32,303 
|Kronos, Inc., 6/11/15                                                  |  | Electronics                 |  |             | 60,000  |      |   | 60,000         |  |   | 55,860 
|Penton Media, Inc., 2/1/14                                             |  | Media                       |  |             | 14,000  |      |   | 11,028         |  |   | 2,310  
|Quality Home Brands Holdings LLC, 6/20/13 ***                          |  | Consumer Products           |  |             | 40,564  |      |   | 40,075         |  |   | 11,236 
|Ranpak Corp., 12/27/14 (3)                                            |  | Packaging                   |  |             | 43,550  |      |   | 37,341         |  |   | 41,259 
|Ranpak Corp., 12/27/14 (4)                                            |  | Packaging                   |  |            | 21,970  |      |   | 26,907         |  |   | 29,863 
|RSA Holdings Corp. of Delaware (American Safety Razor), 1/30/14        |  | Consumer Products           |  | $           | 1,000   |      |   | 764            |  |   | 715    
|Sheridan Holdings, Inc., 6/15/15                                       |  | Healthcare                  |  |             | 67,847  |      |   | 66,914         |  |   | 62,148 
|Sorenson Communications, Inc., 2/18/14                                 |  | Consumer Services           |  |             | 63,603  |      |   | 63,458         |  |   | 61,504 
|TransFirst Holdings, Inc., 6/15/15                                     |  | Financial Services          |  |             | 36,001  |      |   | 35,024         |  |   | 33,013 
|                                                                       |  |                             |  |             |         |      |   |                |  |   |        
|Total 2ndLien Bank Debt/Senior Secured Loans                           |  |                             |  |             |         |      | $ | 892,215        |  | $ | 782,953
|                                                                       |  |                             |  |             |         |      |   |                |  |   |        
|TOTAL BANK DEBT/SENIOR SECURED LOANS                                   |  |                             |  |             |         |      | $ | 914,238        |  | $ | 805,369
|                                                                       |  |                             |  |             |         |      |   |                |  |   |        

See notes to financial statements.



7



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited) (continued)

December 31, 2009

(in thousands)



|                                                                                   |  |                             |  |             |        |      |   |                |  |   |       
|---------------------------------------------------------------------------------- |  | --------------------------- |  | ----------- | ------ | ---- | - | -------------- |  | - | ------
|                                                                                   |  | Industry                    |  | Par Amount* |        | Cost |   | Fair Value (1)
|Subordinated Debt/Corporate Notes87.7%                                            |  |                             |  |             |        |      |   |                |  |   |       
|AB Acquisitions UK Topco 2 Limited (Alliance Boots), GBP L+650, 7/9/17             |  | Retail                      |  | £           | 40,554 |      | $ | 78,646         |  | $ | 56,779
|Advantage Sales & Marketing, Inc., 12.00%, 3/29/14                                 |  | Grocery                     |  | $           | 32,373 |      |   | 31,984         |  |   | 32,697
|Allied Security Holdings LLC, 13.75%, 8/21/15                                      |  | Business Services           |  |             | 20,000 |      |   | 19,651         |  |   | 20,500
|Altegrity Inc., 11.75%, 5/1/16 ¿                                                  |  | Diversified Service         |  |             | 14,639 |      |   | 9,555          |  |   | 13,380
|Altegrity Inc., 10.50%, 11/1/15 ¿                                                 |  | Diversified Service         |  |             | 9,500  |      |   | 8,143          |  |   | 8,806 
|AMH Holdings II, Inc. (Associated Materials), 20.00%, 12/01/14                     |  | Building Products           |  |             | 8,515  |      |   | 1,411          |  |   | 3,872 
|Angelica Corporation, 15.00%, 2/4/14                                               |  | Healthcare                  |  |             | 60,000 |      |   | 60,000         |  |   | 63,600
|Arbonne Intermediate Holdco Inc. (Natural Products Group LLC), 13.50%, 6/19/14 *** |  | Direct Marketing            |  |             | 87,857 |      |   | 76,803         |  |   | 2,196 
|ATI Acquisition Company, L+1100, 12/30/15                                          |  | Education                   |  |             | 38,500 |      |   | 37,730         |  |   | 38,019
|BNY ConvergEx Group, LLC, 14.00%, 10/2/14                                          |  | Business Services           |  |             | 42,521 |      |   | 35,492         |  |   | 43,371
|Booz Allen Hamilton Inc., 13.00%, 7/31/16                                          |  | Consulting Services         |  |             | 23,435 |      |   | 23,100         |  |   | 23,845
|Brenntag Holding GmbH & Co. KG, E+700, 01/18/16                                    |  | Chemicals                   |  |            | 20,024 |      |   | 24,842         |  |   | 28,155
|Catalina Marketing Corporation, 11.625%,10/1/17 ¿                                 |  | Grocery                     |  | $           | 42,175 |      |   | 39,622         |  |   | 44,600
|Catalina Marketing Corporation, 10.50%, 10/1/15 ¿                                 |  | Grocery                     |  |             | 5,000  |      |   | 5,085          |  |   | 5,281 
|Ceridian Corp., 13.00%, 11/15/15                                                  |  | Diversified Service         |  |             | 53,250 |      |   | 53,250         |  |   | 52,185
|Ceridian Corp., 11.25%, 11/15/15                                                  |  | Diversified Service         |  |             | 36,000 |      |   | 35,219         |  |   | 36,180
|Cidron Healthcare C S.á.R.L. (Convatec) E+950, 8/1/17                              |  | Healthcare                  |  |            | 7,933  |      |   | 12,408         |  |   | 10,699
|Collect America, Ltd., 16.00%, 8/5/12 ¿                                            |  | Consumer Finance            |  | $           | 40,843 |      |   | 40,451         |  |   | 40,843
|Delta Educational Systems, Inc., 14.20%, 5/12/13                                   |  | Education                   |  |             | 19,459 |      |   | 19,037         |  |   | 19,653
|DSI Renal Inc., 16.00%, 4/7/14                                                     |  | Healthcare                  |  |             | 12,775 |      |   | 12,775         |  |   | 12,775
|Dura-Line Merger Sub, Inc., 14.00%, 9/22/14                                        |  | Telecommunications          |  |             | 42,074 |      |   | 41,480         |  |   | 42,074
|European Directories (DH5) B.V., 15.735%, 7/1/16                                  |  | Publishing                  |  |            | 3,452  |      |   | 4,475          |  |   | 2,786 
|European Directories (DH7) B.V., E+950, 7/1/15                                    |  | Publishing                  |  |             | 17,454 |      |   | 21,846         |  |   | 18,118
|First Data Corporation, 11.25%, 3/31/16                                           |  | Financial Services          |  | $           | 40,000 |      |   | 33,645         |  |   | 36,160
|First Data Corporation, 9.875%, 9/24/15                                           |  | Financial Services          |  |             | 45,500 |      |   | 39,963         |  |   | 42,315
|FleetPride Corporation, 11.50%, 10/1/14 ¿                                         |  | Transportation              |  |             | 47,500 |      |   | 47,500         |  |   | 45,125
|Fox Acquisition Sub LLC, 13.375%, 7/15/16 ¿                                        |  | Broadcasting &Entertainment |  |             | 25,000 |      |   | 24,799         |  |   | 21,070
|FPC Holdings, Inc. (FleetPride Corporation), 0% / 14.00%, 6/30/15 ¿
              |  | Transportation              |  |             | 37,846 |      |   | 38,559         |  |   | 34,439
|General Nutrition Centers, Inc., L+450, 3/15/14                                   |  | Retail                      |  |             | 12,275 |      |   | 12,126         |  |   | 11,477
|General Nutrition Centers, Inc., 10.75%, 3/15/15                                  |  | Retail                      |  |             | 24,500 |      |   | 24,922         |  |   | 25,358
|Goodman Global Inc., 13.50%, 2/15/16                                               |  | Manufacturing               |  |             | 25,000 |      |   | 25,000         |  |   | 27,625
|Hub International Holdings, 10.25%, 6/15/15 ¿                                      |  | Insurance                   |  |             | 25,000 |      |   | 24,228         |  |   | 22,750
|Infor Lux Bond Company (Infor Global), L+800, 9/2/14                               |  | Business Services           |  |             | 10,209 |      |   | 10,209         |  |   | 4,866 
|KAR Holdings, Inc., 10.00%, 5/1/15                                                 |  | Transportation              |  |             | 794    |      |   | 683            |  |   | 854   

See notes to financial statements.



8



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited) (continued)

December 31, 2009

(in thousands)



|                                                                          |  |                         |  |             |        |      |   |                |  |   |          
|------------------------------------------------------------------------- |  | ----------------------- |  | ----------- | ------ | ---- | - | -------------- |  | - | ---------
|                                                                          |  | Industry                |  | Par Amount* |        | Cost |   | Fair Value (1)
|Subordinated Debt/Corporate Notes(continued)                             |  |                         |  |             |        |      |   |                |  |   |          
|Laureate Education, Inc., 11.75%, 8/15/17 ¿                               |  | Education               |  | $           | 53,540 |      | $ | 49,827         |  | $ | 55,682   
|LVI Services, Inc., 15.25%, 11/16/12                                      |  | Environmental           |  |             | 49,000 |      |   | 49,000         |  |   | 30,000   
|MW Industries, Inc., 14.50%, 5/1/14                                       |  | Manufacturing           |  |             | 60,678 |      |   | 59,831         |  |   | 59,585   
|NCO Group Inc., 11.875%, 11/15/14                                         |  | Consumer Finance        |  |             | 22,630 |      |   | 18,846         |  |   | 21,339   
|Nielsen Finance LLC, 0% / 12.50%, 8/1/16                                  |  | Market Research         |  |             | 61,000 |      |   | 52,511         |  |   | 55,510   
|OTC Investors Corporation (Oriental Trading Company), 13.50%, 1/31/15 *** |  | Direct Marketing        |  |             | 29,763 |      |   | 29,763         |  |   | 10,417   
|Pacific Crane Maintenance Company, L.P., 15.00%, 2/15/14 ***              |  | Machinery               |  |             | 38,237 |      |   | 36,825         |  |   | 8,030    
|PBM Holdings, Inc., 13.50%, 9/29/13                                       |  | Beverage,Food & Tobacco |  |             | 17,723 |      |   | 17,723         |  |   | 17,745   
|Playpower Holdings Inc., 15.50%, 12/31/12 ¿                               |  | Leisure Equipment       |  |             | 97,184 |      |   | 97,184         |  |   | 81,149   
|QHB Holdings LLC (Quality Home Brands), 14.50%, 12/20/13 ***              |  | Consumer Products       |  |             | 56,680 |      |   | 52,154         |  |   | 2,267    
|Ranpak Holdings, Inc., 15.00%, 12/27/15                                   |  | Packaging               |  |             | 65,068 |      |   | 65,068         |  |   | 61,424   
|RSA Holdings Corp. of Delaware (American Safety Razor), 13.50%, 1/30/15   |  | Consumer Products       |  |             | 55,479 |      |   | 55,479         |  |   | 36,339   
|The Servicemaster Company, 10.75%, 7/15/15 ¿                              |  | Diversified Service     |  |             | 52,173 |      |   | 47,653         |  |   | 54,781   
|TL Acquisitions, Inc. (Thomson Learning), 0% / 13.25%, 7/15/15 ¿
        |  | Education               |  |             | 72,500 |      |   | 72,245         |  |   | 71,050   
|TL Acquisitions, Inc. (Thomson Learning), 10.50%, 1/15/15 ¿
             |  | Education               |  |             | 22,000 |      |   | 20,617         |  |   | 21,258   
|TP Financing 2, Ltd. (Travelex), GBP L+725, 4/1/15                        |  | Financial Services      |  | £           | 15,079 |      |   | 28,535         |  |   | 20,211   
|US Foodservice, 10.25%, 6/30/15 ¿                                         |  | Beverage,Food &
Tobacco |  | $           | 81,543 |      |   | 61,472         |  |   | 82,766   
|Varietal Distribution, 10.75%, 6/30/17                                    |  | Distribution            |  |             | 22,204 |      |   | 21,652         |  |   | 20,492   
|                                                                          |  |                         |  |             |        |      |   |                |  |   |          
|Total Subordinated Debt/Corporate Notes                                   |  |                         |  |             |        |      | $ | 1,811,024      |  | $ | 1,602,498
|                                                                          |  |                         |  |             |        |      |   |                |  |   |          
|TOTAL CORPORATE DEBT                                                      |  |                         |  |             |        |      | $ | 2,725,262      |  | $ | 2,407,867
|                                                                          |  |                         |  |             |        |      |   |                |  |   |          
|COLLATERALIZED LOAN OBLIGATIONS1.3%                                      |  |                         |  |             |        |      |   |                |  |   |          
|Babson CLO Ltd., Series 2008-2A Class E, L+975, 7/15/18 ¿                 |  | Asset Management        |  | $           | 11,539 |      | $ | 10,578         |  | $ | 10,464   
|Babson CLO Ltd., Series 2008-1A Class E, L+550, 7/20/18 ¿                 |  | Asset Management        |  |             | 10,652 |      |   | 7,844          |  |   | 7,182    
|Westbrook CLO Ltd., Series 2006-1A, L+370,12/20/20 ¿                      |  | Asset Management        |  |             | 11,000 |      |   | 6,638          |  |   | 6,843    
|                                                                          |  |                         |  |             |        |      |   |                |  |   |          
|TOTAL COLLATERALIZED LOAN OBLIGATIONS                                     |  |                         |  |             |        |      | $ | 25,060         |  | $ | 24,489   
|                                                                          |  |                         |  |             |        |      |   |                |  |   |          



See notes
to financial statements.



9



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited) (continued)

December 31, 2009

(in thousands, except shares)



|                                                                                     |  |                     |  |            |  |      |         |                |   |        
|------------------------------------------------------------------------------------ |  | ------------------- |  | ---------- |  | ---- | ------- | -------------- | - | -------
|                                                                                     |  | Industry            |  | Shares     |  | Cost |         | Fair Value (1)
|PREFERRED EQUITY2.0%                                                                |  |                     |  |            |  |      |         |                |   |        
|AHC Mezzanine LLC (Advanstar) **                                                     |  | Media               |  | 1          |  | $    | 1,063   |                | $ | 298    
|CA Holding, Inc. (Collect America, Ltd.) Series A                                    |  | Consumer Finance    |  | 7,961      |  |      | 788     |                |   | 1,592  
|DSI Holding Company, Inc. (DSI Renal Inc.), 19.00%, 10/7/14 ***                      |  | Healthcare          |  | 32,500     |  |      | 52,962  |                |   | 8,511  
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), 13.50%, 5/12/14      |  | Education           |  | 12,360     |  |      | 18,592  |                |   | 19,443 
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), 12.50% (Convertible) |  | Education           |  | 332,500    |  |      | 5,204   |                |   | 5,204  
|Varietal Distribution Holdings, LLC, 8.00%                                           |  | Distribution        |  | 3,097      |  |      | 3,777   |                |   | 1,336  
|                                                                                     |  |                     |  |            |  |      |         |                |   |        
|TOTAL PREFERRED EQUITY                                                               |  |                     |  |            |  | $    | 82,386  |                | $ | 36,384 
|                                                                                     |  |                     |  |            |  |      |         |                |   |        
|EQUITY11.7%                                                                         |  |                     |  |            |  |      |         |                |   |        
|Common Equity/Interests11.3%                                                        |  |                     |  |            |  |      |         |                |   |        
|AB Capital Holdings LLC (Allied Security) **                                         |  | Business Services   |  | 2,000,000  |  | $    | 2,000   |                | $ | 3,095  
|A-D Conduit Holdings, LLC (Duraline) **                                              |  | Telecommunications  |  | 2,778      |  |      | 2,778   |                |   | 6,370  
|CA Holding, Inc. (Collect America, Ltd.) Series A **                                 |  | Consumer Finance    |  | 25,000     |  |      | 2,500   |                |   | 2,935  
|CA Holding, Inc. (Collect America, Ltd.)Series AA **                                 |  | Consumer Finance    |  | 4,294      |  |      | 429     |                |   | 859    
|Clothesline Holdings, Inc. (Angelica) **                                             |  | Healthcare          |  | 6,000      |  |      | 6,000   |                |   | 8,838  
|Explorer Coinvest LLC (Booz Allen)                                                   |  | Consulting Services |  | 430        |  |      | 4,300   |                |   | 7,370  
|FSC Holdings Inc. (Hanley Wood LLC) **                                               |  | Media               |  | 10,000     |  |      | 10,000  |                |   | 164    
|Garden Fresh Restaurant Holding, LLC **                                              |  | Retail              |  | 50,000     |  |      | 5,000   |                |   | 10,995 
|Gray Energy Services, LLC Class H (Gray Wireline) **                                 |  | Oil & Gas           |  | 1,081      |  |      | 2,000   |                |   |       
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.) **                    |  | Education           |  | 17,500     |  |      | 175     |                |   | 2,691  
|GS Prysmian Co-Invest L.P. (Prysmian Cables & Systems) (5,6)                         |  | Industrial          |  | 1          |  |      |        |                |   | 40,991 
|LVI Acquisition Corp. (LVI Services, Inc.) **                                        |  | Environmental       |  | 6,250      |  |      | 2,500   |                |   |       
|MEG Energy Corp. (7)                                                                 |  | Oil & Gas           |  | 2,176,722  |  |      | 55,006  |                |   | 67,522 
|New Omaha Holdings Co-Invest LP (First Data) **                                      |  | Financial Services  |  | 13,000,000 |  |      | 65,000  |                |   | 39,000 
|PCMC Holdings, LLC (Pacific Crane) **                                                |  | Machinery           |  | 40,000     |  |      | 4,000   |                |   |       
|Prism Business Media Holdings, LLC (Penton Media, Inc.) **                           |  | Media               |  | 68         |  |      | 14,947  |                |   | 516    
|Pro Mach Co-Investment, LLC **                                                       |  | Machinery           |  | 150,000    |  |      | 1,500   |                |   | 3,356  
|RC Coinvestment, LLC (Ranpak Corp.) **                                               |  | Packaging           |  | 50,000     |  |      | 5,000   |                |   | 4,549  
|Sorenson Communications Holdings, LLC Class A **                                     |  | Consumer Services   |  | 454,828    |  |      | 45      |                |   | 6,578  
|Varietal Distribution Holdings, LLC Class A **                                       |  | Distribution        |  | 28,028     |  |      | 28      |                |   |       
|                                                                                     |  |                     |  |            |  |      |         |                |   |        
|Total Common Equity/Interests                                                        |  |                     |  |            |  | $    | 183,208 |                | $ | 205,829
|                                                                                     |  |                     |  |            |  |      |         |                |   |        



See notes
to financial statements.



10



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited) (continued)

December 31, 2009

(in thousands, except shares and warrants)



|                                                                                       |  |                              |  |            |  |      |           |                |   |          
|-------------------------------------------------------------------------------------- |  | ---------------------------- |  | ---------- |  | ---- | --------- | -------------- | - | ---------
|                                                                                       |  | Industry                     |  | Warrants   |  | Cost |           | Fair Value (1)
|Warrants0.4%                                                                          |  |                              |  |            |  |      |           |                |   |          
|CA Holding, Inc. (Collect America, Ltd.), Common                                       |  | Consumer Finance             |  | 7,961      |  | $    | 8         |                |   |         
|DSI Holding Company, Inc. (DSI Renal Inc.), Common **                                  |  | Healthcare                   |  | 5,011,327  |  |      |          |                |   |         
|Fidji Luxco (BC) S.C.A., Common (FCI) (5) **                                           |  | Electronics                  |  | 48,769     |  |      | 491       |                | $ | 2,941    
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), Common **              |  | Education                    |  | 9,820      |  |      | 98        |                |   | 1,510    
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), Class A-1 Preferred ** |  | Education                    |  | 45,947     |  |      | 459       |                |   | 719      
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), Class B-1 Preferred ** |  | Education                    |  | 104,314    |  |      | 1,043     |                |   | 1,631    
|                                                                                       |  |                              |  |            |  |      |           |                |   |          
|Total Warrants                                                                         |  |                              |  |            |  | $    | 2,099     |                | $ | 6,801    
|                                                                                       |  |                              |  |            |  |      |           |                |   |          
|TOTAL EQUITY                                                                           |  |                              |  |            |  | $    | 185,307   |                | $ | 212,630  
|                                                                                       |  |                              |  |            |  |      |           |                |   |          
|Total Investments in Non-Controlled/ Non-Affiliated Portfolio Companies                |  |                              |  |            |  | $    | 3,018,015 |                | $ | 2,681,370
|                                                                                       |  |                              |  |            |  |      |           |                |   |          
|                                                                                       |  |                              |  |           
|Investments in Controlled Portfolio Companies7.7%                                     |  |                              |  | Shares     |  |      |           |               
|PREFERRED EQUITY2.8%                                                                  |  |                              |  |            |  |      |           |                |   |          
|Grand Prix Holdings, LLC Series A, 12.00% (Innkeepers USA)                             |  | Hotels, Motels, Inns& Gaming |  | 2,989,431  |  | $    | 98,426    |                | $ | 50,958   
|                                                                                       |  |                              |  |            |  |      |           |                |   |          
|EQUITY                                                                                 |  |                              |  |            |  |      |           |                |   |          
|Common Equity/Interests4.9%                                                           |  |                              |  |            |  |      |           |                |   |          
|AIC Credit Opportunity Fund LLC (8)                                                    |  | Asset Management             |  |            |  | $    | 71,565    |                | $ | 81,354   
|Grand Prix Holdings, LLC (Innkeepers USA) **                                           |  | Hotels, Motels, Inns& Gaming |  | 17,335,834 |  |      | 172,664   |                |   | 8,493    
|                                                                                       |  |                              |  |            |  |      |           |                |   |          
|Total Common Equity/Interests                                                          |  |                              |  |            |  | $    | 244,229   |                | $ | 89,847   
|                                                                                       |  |                              |  |            |  |      |           |                |   |          
|TOTAL EQUITY                                                                           |  |                              |  |            |  | $    | 244,229   |                | $ | 89,847   
|                                                                                       |  |                              |  |            |  |      |           |                |   |          
|Total Investments in Controlled Portfolio Companies                                    |  |                              |  |            |  | $    | 342,655   |                | $ | 140,805  
|                                                                                       |  |                              |  |            |  |      |           |                |   |          
|Total Investments154.5% (9)                                                           |  |                              |  |            |  | $    | 3,360,670 |                | $ | 2,822,175
|                                                                                       |  |                              |  |            |  |      |           |                |   |          



See notes
to financial statements.



11



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited) (continued)

December 31, 2009

(in thousands)



|                                              |  |            |  |             |         |      |   |                |  |   |            |  
|--------------------------------------------- |  | ---------- |  | ----------- | ------- | ---- | - | -------------- |  | - | ---------- | -
|CASH EQUIVALENTS27.4%                        |  | Industry   |  | Par Amount* |         | Cost |   | Fair Value (1) | 
|U.S. Treasury Bill, .055%, 4/1/10             |  | Government |  | $           | 500,000 |      | $ | 499,934        |  | $ | 499,934    |  
|                                              |  |            |  |             |         |      |   |                |  |   |            |  
|Total Investments and Cash Equivalents181.9% |  |            |  |             |         |      | $ | 3,860,604      |  | $ | 3,322,109  |  
|Liabilities in Excess of Other Assets(81.9%) |  |            |  |             |         |      |   |                |  |   | (1,495,411 | )
|                                              |  |            |  |             |         |      |   |                |  |   |            |  
|Net Assets100.0%                             |  |            |  |             |         |      |   |                |  | $ | 1,826,698  |  
|                                              |  |            |  |             |         |      |   |                |  |   |            |  



|(1) | Fair value is determined in good faith by or under the direction of the Board of Directors of the Company (see Note 2).
|--- | -----------------------------------------------------------------------------------------------------------------------

|(2) | Includes floating rate instruments that accrue interest at a predetermined spread relative to an index, typically the LIBOR (London Inter-bank Offered Rate), EURIBOR
(Euro Inter-bank Offered Rate), GBP LIBOR (London Inter-bank Offered Rate for British Pounds), or the prime rate. At December 31, 2009, the range of interest rates on floating rate bank debt was 4.68% to 10.50%.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(3) | Position is held across five US Dollar-denominated tranches with varying yields.
|--- | --------------------------------------------------------------------------------

|(4) | Position is held across three Euro-denominated tranches with varying yields.
|--- | ----------------------------------------------------------------------------

|(5) | Denominated in Euro ().
|--- | ------------------------

|(6) | The Company is the sole Limited Partner in GS Prysmian Co-Invest L.P.
|--- | ---------------------------------------------------------------------

|(7) | Denominated in Canadian dollars.
|--- | --------------------------------

|(8) | See Note 6.
|--- | -----------

|(9) | Aggregate gross unrealized appreciation for federal income tax purposes is $184,535; aggregate gross unrealized depreciation for federal income tax purposes is
$728,137. Net unrealized depreciation is $543,602 based on a tax cost of $3,865,711.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|¿ | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
|- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|* | Denominated in USD unless otherwise noted.
|- | ------------------------------------------

|** | Non-income producing security
|-- | -----------------------------

|*** | Non-accrual status (see note 2m)
|--- | --------------------------------

| | Denote securities where the Company owns multiple tranches of the same broad asset type but whose security characteristics differ. Such differences may include level of
subordination, call protection and pricing, differing interest rate characteristics, among other factors. Such factors are usually considered in the determination of fair values.
|- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



See notes to financial statements.



12



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APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited) (continued)



|                              |  |                                                                      |  
|----------------------------- |  | -------------------------------------------------------------------- | -
|Industry Classification       |  | Percentage of TotalInvestments (at fairvalue) as ofDecember 31,
2009 |  
|Education                     |  | 10.1                                                                 | %
|Healthcare                    |  | 6.6                                                                  | %
|Financial Services            |  | 6.0                                                                  | %
|Insurance                     |  | 5.9                                                                  | %
|Diversified Service           |  | 5.9                                                                  | %
|Retail                        |  | 5.3                                                                  | %
|Business Services             |  | 5.2                                                                  | %
|Packaging                     |  | 4.9                                                                  | %
|Oil & Gas                     |  | 3.9                                                                  | %
|Asset Management              |  | 3.8                                                                  | %
|Beverage, Food & Tobacco      |  | 3.6                                                                  | %
|Industrial                    |  | 3.5                                                                  | %
|Manufacturing                 |  | 3.1                                                                  | %
|Grocery                       |  | 2.9                                                                  | %
|Leisure Equipment             |  | 2.9                                                                  | %
|Telecommunications            |  | 2.9                                                                  | %
|Transportation                |  | 2.8                                                                  | %
|Consumer Services             |  | 2.4                                                                  | %
|Consumer Finance              |  | 2.4                                                                  | %
|Hotels, Motels, Inns & Gaming |  | 2.1                                                                  | %
|Electronics                   |  | 2.1                                                                  | %
|Market Research               |  | 2.0                                                                  | %
|Environmental                 |  | 1.9                                                                  | %
|Consumer Products             |  | 1.8                                                                  | %
|Consulting Services           |  | 1.1                                                                  | %
|Chemicals                     |  | 1.0                                                                  | %
|Broadcasting & Entertainment  |  | 0.9                                                                  | %
|Distribution                  |  | 0.8                                                                  | %
|Publishing                    |  | 0.7                                                                  | %
|Building Products             |  | 0.6                                                                  | %
|Direct Marketing              |  | 0.4                                                                  | %
|Machinery                     |  | 0.4                                                                  | %
|Media                         |  | 0.1                                                                  | %
|                              |  |                                                                      |  
|Total Investments             |  | 100.0                                                                | %
|                              |  |                                                                      |  



See notes to financial
statements.



13



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS

March 31, 2009

(in thousands)



|                                                                        |  |                    |  |             |         |      |   |                |  |   |        
|----------------------------------------------------------------------- |  | ------------------ |  | ----------- | ------- | ---- | - | -------------- |  | - | -------
|Investments in Non-Controlled/Non-Affiliated Portfolio Companies168.0% |  | Industry           |  | Par Amount* |         | Cost |   | Fair Value (1)
|CORPORATE DEBT148.5%                                                   |  |                    |  |             |         |      |   |                |  |   |        
|Bank Debt/Senior Secured Loans (2)47.0%                                |  |                    |  |             |         |      |   |                |  |   |        
|1stLien Bank Debt/Senior Secured Loans0.1%                             |  |                    |  |             |         |      |   |                |  |   |        
|OTC Investors Corporation (Oriental Trading Company), 7/31/13           |  | Direct Marketing   |  | $           | 2,226   |      | $ | 1,155          |  | $ | 1,124  
|                                                                        |  |                    |  |             |         |      |   |                |  |   |        
|2ndLien Bank Debt/Senior Secured Loans46.9%                            |  |                    |  |             |         |      |   |                |  |   |        
|AB Acquisitions UK Topco 2 Limited (Alliance Boots), 7/9/16            |  | Retail             |  | £           | 11,400  |      | $ | 19,792         |  | $ | 11,961 
|AB Acquisitions UK Topco 2 Limited (Alliance Boots), 7/9/16            |  | Retail             |  |            | 3,961   |      |   | 5,439          |  |   | 3,850  
|Advanstar Communications, Inc., 11/30/14                                |  | Media              |  | $           | 20,000  |      |   | 20,000         |  |   | 6,680  
|Asurion Corporation, 7/3/15                                             |  | Insurance          |  |             | 150,300 |      |   | 148,798        |  |   | 122,795
|BNY ConvergEx Group, LLC, 4/2/14                                        |  | Business Services  |  |             | 50,000  |      |   | 49,818         |  |   | 43,850 
|C.H.I. Overhead Doors, Inc., 13.00%, 10/22/11                           |  | Building Products  |  |             | 15,000  |      |   | 15,018         |  |   | 11,250 
|Clean Earth, Inc., 13.00%, 8/1/14                                       |  | Environmental      |  |             | 25,000  |      |   | 25,000         |  |   | 22,750 
|Dresser, Inc., 5/4/15                                                   |  | Industrial         |  |             | 61,000  |      |   | 60,924         |  |   | 47,266 
|Educate, Inc., 6/14/14                                                  |  | Education          |  |             | 10,000  |      |   | 10,000         |  |   | 7,728  
|Garden Fresh Restaurant Corp., 12/22/11                                 |  | Retail             |  |             | 26,000  |      |   | 25,861         |  |   | 22,386 
|Generics International, Inc., 4/30/15                                   |  | Healthcare         |  |             | 20,000  |      |   | 19,917         |  |   | 16,343 
|Gray Wireline Service, Inc., 12.25%, 2/28/13                            |  | Oil & Gas          |  |             | 77,500  |      |   | 76,966         |  |   | 77,500 
|Infor Enterprise Solutions Holdings, Inc., Tranche B-1, 3/2/14         |  | Business Services  |  |             | 5,000   |      |   | 5,000          |  |   | 950    
|Infor Enterprise Solutions Holdings, Inc., 3/2/14                      |  | Business Services  |  |             | 15,000  |      |   | 14,859         |  |   | 3,375  
|Infor Global Solutions European Finance S.á.R.L., 3/2/14                |  | Business Services  |  |            | 6,210   |      |   | 8,263          |  |   | 1,484  
|IPC Systems, Inc., 6/1/15                                               |  | Telecommunications |  | $           | 37,250  |      |   | 36,312         |  |   | 19,544 
|Kronos, Inc., 6/11/15                                                   |  | Electronics        |  |             | 60,000  |      |   | 60,000         |  |   | 44,460 
|Penton Media, Inc., 2/1/14                                              |  | Media              |  |             | 14,000  |      |   | 10,650         |  |   | 9,884  
|Quality Home Brands Holdings LLC, 6/20/13                               |  | Consumer Products  |  |             | 40,256  |      |   | 39,830         |  |   | 30,252 
|Ranpak Corp., 12/27/14 (3)                                             |  | Packaging          |  |             | 12,500  |      |   | 12,500         |  |   | 11,108 
|Ranpak Corp., 12/27/14 (4)                                             |  | Packaging          |  |            | 5,206   |      |   | 7,585          |  |   | 6,098  
|Sheridan Holdings, Inc., 6/15/15                                        |  | Healthcare         |  | $           | 60,000  |      |   | 60,000         |  |   | 49,860 
|Sorenson Communications, Inc., 2/18/14                                  |  | Consumer Services  |  |             | 62,103  |      |   | 62,103         |  |   | 54,443 
|TransFirst Holdings, Inc., 6/15/15                                      |  | Financial Services |  |             | 34,750  |      |   | 33,683         |  |   | 28,669 
|                                                                        |  |                    |  |             |         |      |   |                |  |   |        
|Total 2ndLien Bank Debt/Senior Secured Loans                            |  |                    |  |             |         |      | $ | 828,318        |  | $ | 654,486
|                                                                        |  |                    |  |             |         |      |   |                |  |   |        
|Total Bank Debt/Senior Secured Loans                                    |  |                    |  |             |         |      | $ | 829,473        |  | $ | 655,610
|                                                                        |  |                    |  |             |         |      |   |                |  |   |        

See notes to financial statements.



14



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (continued)

March 31, 2009

(in thousands)



|                                                                                   |  |                             |  |             |        |      |   |                |  |   |       
|---------------------------------------------------------------------------------- |  | --------------------------- |  | ----------- | ------ | ---- | - | -------------- |  | - | ------
|                                                                                   |  | Industry                    |  | Par Amount* |        | Cost |   | Fair Value (1)
|Subordinated Debt/Corporate Notes101.5%                                           |  |                             |  |             |        |      |   |                |  |   |       
|AB Acquisitions UK Topco 2 Limited (Alliance Boots), GBP L+650, 7/9/17             |  | Retail                      |  | £           | 39,526 |      | $ | 76,758         |  | $ | 39,942
|Advanstar, Inc., L+700, 11/30/15                                                   |  | Media                       |  | $           | 24,385 |      |   | 24,385         |  |   | 1,341 
|Advantage Sales & Marketing, Inc., 12.00%, 3/29/14                                 |  | Grocery                     |  |             | 31,884 |      |   | 31,445         |  |   | 29,536
|Allied Security Holdings LLC, 13.75%, 8/21/15                                      |  | Business Services           |  |             | 20,000 |      |   | 19,621         |  |   | 17,500
|AMH Holdings II, Inc. (Associated Materials), 13.625%, 12/1/14 ¿                   |  | Building Products           |  |             | 52,155 |      |   | 51,422         |  |   | 14,655
|Angelica Corporation, 15.00%, 2/4/14                                               |  | Healthcare                  |  |             | 60,000 |      |   | 60,000         |  |   | 60,000
|Arbonne Intermediate Holdco Inc. (Natural Products Group LLC), 13.50%, 6/19/14 *** |  | Direct Marketing            |  |             | 76,962 |      |   | 76,803         |  |   | 4,233 
|BNY ConvergEx Group, LLC, 14.00%, 10/2/14                                          |  | Business Services           |  |             | 15,611 |      |   | 15,611         |  |   | 13,879
|Booz Allen Hamilton Inc., 13.00%, 7/31/16                                          |  | Consulting Services         |  |             | 23,435 |      |   | 23,073         |  |   | 20,857
|Brenntag Holding GmbH & Co. KG, E+700, 12/23/15                                    |  | Chemicals                   |  |            | 19,725 |      |   | 24,412         |  |   | 21,396
|Catalina Marketing Corporation, 11.625%, 10/1/17 ¿                                 |  | Grocery                     |  | $           | 31,959 |      |   | 30,327         |  |   | 27,165
|Ceridian Corp., 12.25%, 11/15/15                                                  |  | Diversified Service         |  |             | 50,000 |      |   | 50,000         |  |   | 42,750
|Ceridian Corp., 11.25%, 11/15/15                                                  |  | Diversified Service         |  |             | 36,000 |      |   | 35,140         |  |   | 31,788
|Cidron Healthcare C S.á.R.L. (Convatec) E+950, 8/1/17                              |  | Healthcare                  |  |            | 7,668  |      |   | 12,028         |  |   | 8,603 
|Collect America, Ltd., 16.00%, 8/5/12 ¿                                            |  | Consumer Finance            |  | $           | 38,136 |      |   | 37,658         |  |   | 36,647
|Delta Educational Systems, Inc., 14.20%, 5/12/13                                   |  | Education                   |  |             | 19,271 |      |   | 18,777         |  |   | 19,126
|DSI Renal Inc., 16.00%, 4/7/14                                                     |  | Healthcare                  |  |             | 11,357 |      |   | 11,357         |  |   | 9,647 
|Dura-Line Merger Sub, Inc., 14.00%, 9/22/14                                        |  | Telecommunications          |  |             | 41,218 |      |   | 40,561         |  |   | 39,033
|Eurofresh, Inc., 0% / 14.50%, 1/15/14 ¿ ***                                       |  | Agriculture                 |  |             | 26,504 |      |   | 24,303         |  |   | 199   
|Eurofresh, Inc., 11.50%, 1/15/13 ¿ ***                                            |  | Agriculture                 |  |             | 50,000 |      |   | 50,000         |  |   | 11,250
|European Directories (DH5) B.V., 15.735%, 7/1/16                                  |  | Publishing                  |  |            | 2,961  |      |   | 3,777          |  |   | 3,356 
|European Directories (DH7) B.V., E+950, 7/1/15                                    |  | Publishing                  |  |             | 16,643 |      |   | 20,695         |  |   | 19,114
|First Data Corporation, 11.25%, 3/31/16 ¿                                         |  | Financial Services          |  | $           | 40,000 |      |   | 33,203         |  |   | 32,080
|First Data Corporation, 9.875%, 9/24/15                                           |  | Financial Services          |  |             | 45,500 |      |   | 39,489         |  |   | 35,945
|FleetPride Corporation, 11.50%, 10/1/14 ¿                                         |  | Transportation              |  |             | 47,500 |      |   | 47,500         |  |   | 40,375
|Fox Acquisition Sub LLC, 13.375%, 7/15/16 ¿                                        |  | Broadcasting &Entertainment |  |             | 25,000 |      |   | 24,785         |  |   | 20,825
|FPC Holdings, Inc. (FleetPride Corporation), 0% / 14.00%, 6/30/15 ¿               |  | Transportation              |  |             | 37,846 |      |   | 36,826         |  |   | 30,276
|General Nutrition Centers, Inc., L+450, 3/15/14                                    |  | Retail                      |  |             | 15,275 |      |   | 15,070         |  |   | 9,375 
|Goodman Global Inc., 13.50%, 2/15/16                                               |  | Manufacturing               |  |             | 25,000 |      |   | 25,000         |  |   | 24,025



See notes
to financial statements.



15



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (continued)

March 31, 2009

(in thousands)



|                                                                        |  |                         |  |             |        |      |   |                |  |   |          
|----------------------------------------------------------------------- |  | ----------------------- |  | ----------- | ------ | ---- | - | -------------- |  | - | ---------
|                                                                        |  | Industry                |  | Par Amount* |        | Cost |   | Fair Value (1)
|Subordinated Debt/Corporate Notes(continued)                           |  |                         |  |             |        |      |   |                |  |   |          
|Hub International Holdings, 10.25%, 6/15/15 ¿                           |  | Insurance               |  | $           | 25,000 |      | $ | 24,160         |  | $ | 19,666   
|Infor Lux Bond Company (Infor Global), L+800, 9/2/14                    |  | Business Services       |  |             | 9,582  |      |   | 9,582          |  |   | 719      
|KAR Holdings, Inc., 10.00%, 5/1/15                                      |  | Transportation          |  |             | 48,225 |      |   | 44,404         |  |   | 27,488   
|Latham Manufacturing Corp., 20.00%, 12/30/12 ***                        |  | Leisure Equipment       |  |             | 37,920 |      |   | 34,190         |  |   | 15,168   
|Laureate Education, Inc., 11.75%, 8/15/17 ¿                             |  | Education               |  |             | 53,540 |      |   | 49,621         |  |   | 46,794   
|LVI Services, Inc., 14.75%, 11/16/12                                    |  | Environmental           |  |             | 47,523 |      |   | 47,523         |  |   | 44,790   
|MW Industries, Inc., 13.00%, 5/1/14                                     |  | Manufacturing           |  |             | 60,000 |      |   | 59,067         |  |   | 56,220   
|NCO Group Inc., 11.875%, 11/15/14                                       |  | Consumer Finance        |  |             | 22,630 |      |   | 18,487         |  |   | 19,427   
|Neff Corp., 10.00%, 6/1/15                                              |  | Rental Equipment        |  |             | 5,000  |      |   | 5,000          |  |   | 725      
|Nielsen Finance LLC, 0% / 12.50%, 8/1/16                                |  | Market Research         |  |             | 61,000 |      |   | 47,500         |  |   | 37,430   
|OTC Investors Corporation (Oriental Trading Company), 13.50%, 1/31/15   |  | Direct Marketing        |  |             | 27,861 |      |   | 27,862         |  |   | 9,752    
|Pacific Crane Maintenance Company, L.P., 13.00%, 2/15/14                |  | Machinery               |  |             | 34,170 |      |   | 34,170         |  |   | 22,210   
|PBM Holdings, Inc., 13.50%, 9/29/13                                     |  | Beverage, Food &Tobacco |  |             | 17,723 |      |   | 17,723         |  |   | 16,128   
|Playpower Holdings Inc., 15.50%, 12/31/12 ¿                             |  | Leisure Equipment       |  |             | 83,707 |      |   | 83,707         |  |   | 70,732   
|Pro Mach Merger Sub, Inc., 12.50%, 6/15/12                              |  | Machinery               |  |             | 14,616 |      |   | 14,464         |  |   | 13,626   
|QHB Holdings LLC (Quality Home Brands), 14.50%, 12/20/13                |  | Consumer Products       |  |             | 50,938 |      |   | 50,273         |  |   | 36,293   
|Ranpak Holdings, Inc., 15.00%, 12/27/15                                 |  | Packaging               |  |             | 58,217 |      |   | 58,217         |  |   | 50,300   
|RSA Holdings Corp. of Delaware (American Safety Razor), 13.50%, 1/30/15 |  | Consumer Products       |  |             | 50,129 |      |   | 50,130         |  |   | 38,976   
|The Servicemaster Company, 10.75%, 7/15/15 ¿                            |  | Diversified Service     |  |             | 67,173 |      |   | 60,832         |  |   | 54,343   
|TL Acquisitions, Inc. (Thomson Learning), 0% / 13.25%, 7/15/15¿        |  | Education               |  |             | 72,500 |      |   | 69,587         |  |   | 57,347   
|TL Acquisitions, Inc. (Thomson Learning), 10.50%, 1/15/15 ¿            |  | Education               |  |             | 47,500 |      |   | 46,777         |  |   | 40,185   
|TP Financing 2, Ltd. (Travelex), GBP L+725, 4/1/15                      |  | Financial Services      |  | £           | 13,505 |      |   | 26,128         |  |   | 12,499   
|US Foodservice, 10.25%, 6/30/15 ¿                                       |  | Beverage, Food &Tobacco |  | $           | 30,000 |      |   | 23,812         |  |   | 25,710   
|US Investigations Services, Inc., 11.75%, 5/1/16 ¿                     |  | Diversified Service     |  |             | 14,639 |      |   | 9,085          |  |   | 11,901   
|US Investigations Services, Inc., 10.50%, 11/1/15 ¿                    |  | Diversified Service     |  |             | 9,500  |      |   | 7,991          |  |   | 8,075    
|Varietal Distribution, 10.75%, 6/30/17                                  |  | Distribution            |  |             | 21,875 |      |   | 21,288         |  |   | 15,269   
|WDAC Intermediate Corp., E+600, 11/29/15                                |  | Publishing              |  |            | 46,320 |      |   | 62,591         |  |   | 379      
|                                                                        |  |                         |  |             |        |      |   |                |  |   |          
|Total Subordinated Debt/Corporate Notes                                 |  |                         |  |             |        |      | $ | 1,964,197      |  | $ | 1,417,070
|                                                                        |  |                         |  |             |        |      |   |                |  |   |          
|TOTAL CORPORATE DEBT                                                    |  |                         |  |             |        |      | $ | 2,793,670      |  | $ | 2,072,680
|                                                                        |  |                         |  |             |        |      |   |                |  |   |          



See notes
to financial statements.



16



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (continued)

March 31, 2009

(in thousands, except shares)



|                                                                                     |  |                     |  |             |           |      |   |                |  |   |       
|------------------------------------------------------------------------------------ |  | ------------------- |  | ----------- | --------- | ---- | - | -------------- |  | - | ------
|                                                                                     |  | Industry            |  | Shares      |           | Cost |   | Fair Value (1)
|PREFERRED EQUITY4.0%                                                                |  |                     |  |             |           |      |   |                |  |   |       
|AHC Mezzanine LLC (Advanstar) **                                                     |  | Media               |  |             | 1         |      | $ | 1,063          |  |   |      
|DSI Holding Company, Inc. (DSI Renal Inc.), 19.00%, 10/7/14                          |  | Healthcare          |  |             | 32,500    |      |   | 50,514         |  | $ | 33,051
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), 13.50%, 5/12/14      |  | Education           |  |             | 12,360    |      |   | 16,599         |  |   | 17,592
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), 12.50% (Convertible) |  | Education           |  |             | 332,500   |      |   | 4,743          |  |   | 4,743 
|Varietal Distribution Holdings, LLC, 8.00%                                           |  | Distribution        |  |             | 3,097     |      |   | 3,558          |  |   | 583   
|                                                                                     |  |                     |  |             |           |      |   |                |  |   |       
|TOTAL PREFERRED EQUITY                                                               |  |                     |  |             |           |      | $ | 76,477         |  | $ | 55,969
|                                                                                     |  |                     |  |             |           |      |   |                |  |   |       
|                                                                                     |  |                     |  |            
|                                                                                     |  |                     |  | Par Amount* |           |      |   |               
|COLLATERALIZED LOAN OBLIGATIONS1.4%                                                 |  |                     |  |             |           |      |   |                |  |   |       
|Babson CLO Ltd., Series 2008-2A Class E, L+975, 7/15/18 ¿                            |  | Asset Management    |  | $           | 11,000    |      | $ | 9,993          |  | $ | 8,104 
|Babson CLO Ltd., Series 2008-1A Class E, L+550, 7/20/18 ¿                            |  | Asset Management    |  |             | 10,150    |      |   | 7,220          |  |   | 5,485 
|Westbrook CLO Ltd., Series 2006-1A, L+370, 12/20/20 ¿                                |  | Asset Management    |  |             | 11,000    |      |   | 6,509          |  |   | 5,389 
|                                                                                     |  |                     |  |             |           |      |   |                |  |   |       
|TOTAL COLLATERALIZED LOAN OBLIGATIONS                                                |  |                     |  |             |           |      | $ | 23,722         |  | $ | 18,978
|                                                                                     |  |                     |  |             |           |      |   |                |  |   |       
|                                                                                     |  |                     |  |             |           |      |   |                |  |   |       
|                                                                                     |  |                     |  | Shares      |           |      |   |               
|EQUITY14.1%                                                                         |  |                     |  |             |           |      |   |                |  |   |       
|Common Equity/Interests13.8%                                                        |  |                     |  |             |           |      |   |                |  |   |       
|AB Capital Holdings LLC (Allied Security)                                            |  | Business Services   |  |             | 2,000,000 |      | $ | 2,000          |  | $ | 2,000 
|A-D Conduit Holdings, LLC (Duraline) **                                              |  | Telecommunications  |  |             | 2,778     |      |   | 2,778          |  |   | 3,760 
|AHC Mezzanine LLC (Advanstar) **                                                     |  | Media               |  |             | 10,000    |      |   | 10,000         |  |   |      
|CA Holding, Inc. (Collect America, Ltd.) Series A                                    |  | Consumer Finance    |  |             | 25,000    |      |   | 2,500          |  |   | 4,162 
|CA Holding, Inc. (Collect America, Ltd.) Series AA                                   |  | Consumer Finance    |  |             | 4,294     |      |   | 429            |  |   | 859   
|Clothesline Holdings, Inc. (Angelica)                                                |  | Healthcare          |  |             | 6,000     |      |   | 6,000          |  |   | 5,770 
|Explorer Coinvest LLC (Booz Allen)                                                   |  | Consulting Services |  |             | 430       |      |   | 4,300          |  |   | 7,376 
|FSC Holdings Inc. (Hanley Wood LLC) **                                               |  | Media               |  |             | 10,000    |      |   | 10,000         |  |   | 3,520 



See notes
to financial statements.



17



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS(continued)

March 31, 2009

(in thousands, except shares and warrants)



|                                                                                       |  |                    |  |            |  |      |           |                |   |          
|-------------------------------------------------------------------------------------- |  | ------------------ |  | ---------- |  | ---- | --------- | -------------- | - | ---------
|                                                                                       |  | Industry           |  | Shares     |  | Cost |           | Fair Value (1)
|Common Equity/Interests(continued)                                                    |  |                    |  |            |  |      |           |                |   |          
|Garden Fresh Restaurant Holding, LLC **                                                |  | Retail             |  | 50,000     |  | $    | 5,000     |                | $ | 8,463    
|Gray Energy Services, LLC Class H (GrayWireline) **                                    |  | Oil & Gas          |  | 1,081      |  |      | 2,000     |                |   | 3,590    
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.) **                      |  | Education          |  | 17,500     |  |      | 175       |                |   |         
|GS Prysmian Co-Invest L.P. (Prysmian Cables & Systems) (5,6)                           |  | Industrial         |  | 1          |  |      |          |                |   | 43,264   
|Latham International, Inc. (fka Latham Acquisition Corp.) **                           |  | Leisure Equipment  |  | 33,091     |  |      | 3,309     |                |   |         
|LVI Acquisition Corp. (LVI Services, Inc.) **                                          |  | Environmental      |  | 6,250      |  |      | 2,500     |                |   |         
|MEG Energy Corp. (7) **                                                                |  | Oil & Gas          |  | 1,718,388  |  |      | 44,718    |                |   | 43,706   
|New Omaha Holdings Co-Invest LP (First Data) **                                        |  | Financial Services |  | 13,000,000 |  |      | 65,000    |                |   | 47,893   
|PCMC Holdings, LLC (Pacific Crane) **                                                  |  | Machinery          |  | 40,000     |  |      | 4,000     |                |   | 847      
|Prism Business Media Holdings, LLC (Penton Media, Inc.) **                             |  | Media              |  | 68         |  |      | 14,947    |                |   | 3,443    
|Pro Mach Co-Investment, LLC **                                                         |  | Machinery          |  | 150,000    |  |      | 1,500     |                |   | 3,158    
|RC Coinvestment, LLC (Ranpak Corp.) **                                                 |  | Packaging          |  | 50,000     |  |      | 5,000     |                |   | 5,535    
|Sorenson Communications Holdings, LLC Class A                                          |  | Consumer Services  |  | 454,828    |  |      | 45        |                |   | 5,943    
|Varietal Distribution Holdings, LLC Class A **                                         |  | Distribution       |  | 28,028     |  |      | 28        |                |   |         
|                                                                                       |  |                    |  |            |  |      |           |                |   |          
|Total Common Equity/Interests                                                          |  |                    |  |            |  | $    | 186,229   |                | $ | 193,289  
|                                                                                       |  |                    |  |            |  |      |           |                |   |          
|                                                                                       |  |                    |  |           
|                                                                                       |  |                    |  | Warrants   |  |      |           |               
|Warrants0.3%                                                                          |  |                    |  |            |  |      |           |                |   |          
|DSI Holding Company, Inc. (DSI Renal Inc.),Common **                                   |  | Healthcare         |  | 5,011,327  |  |      |          |                |   |         
|Fidji Luxco (BC) S.C.A., Common (FCI) (5) **                                           |  | Electronics        |  | 48,769     |  | $    | 491       |                | $ | 2,591    
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), Common **              |  | Education          |  | 9,820      |  |      | 98        |                |   |         
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), Class A-1 Preferred ** |  | Education          |  | 45,947     |  |      | 460       |                |   | 655      
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), Class B-1 Preferred ** |  | Education          |  | 104,314    |  |      | 1,043     |                |   | 1,308    
|Latham International, Inc., Common                                                     |  | Leisure Equipment  |  | 347,698    |  |      | 174       |                |   |         
|                                                                                       |  |                    |  |            |  |      |           |                |   |          
|Total Warrants                                                                         |  |                    |  |            |  | $    | 2,266     |                | $ | 4,554    
|                                                                                       |  |                    |  |            |  |      |           |                |   |          
|TOTAL EQUITY                                                                           |  |                    |  |            |  | $    | 188,495   |                | $ | 197,843  
|                                                                                       |  |                    |  |            |  |      |           |                |   |          
|TOTAL INVESTMENTS INNON-CONTROLLED /NON-AFFILIATED PORTFOLIO COMPANIES                 |  |                    |  |            |  | $    | 3,082,364 |                | $ | 2,345,470
|                                                                                       |  |                    |  |            |  |      |           |                |   |          



See notes
to financial statements.



18



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (continued)

March 31, 2009

(in thousands, except shares)



|                                                           |  |                              |  |            |  |      |           |                |   |            |  
|---------------------------------------------------------- |  | ---------------------------- |  | ---------- |  | ---- | --------- | -------------- | - | ---------- | -
|Investments in Controlled Portfolio Companies10.1%        |  | Industry                     |  | Shares     |  | Cost |           | Fair Value (1) |  
|PREFERRED EQUITY5.5%                                      |  |                              |  |            |  |      |           |                |   |            |  
|Grand Prix Holdings, LLC Series A, 12.00% (Innkeepers USA) |  | Hotels, Motels, Inns& Gaming |  | 2,989,431  |  | $    | 90,074    |                | $ | 76,557     |  
|                                                           |  |                              |  |            |  |      |           |                |   |            |  
|EQUITY                                                     |  |                              |  |            |  |      |           |                |   |            |  
|Common Equity/Interests4.6%                               |  |                              |  |            |  |      |           |                |   |            |  
|AIC Credit Opportunity Fund LLC (8)                        |  | Asset Management             |  |            |  | $    | 79,377    |                | $ | 57,294     |  
|Grand Prix Holdings, LLC (Innkeepers USA) **               |  | Hotels, Motels, Inns& Gaming |  | 17,335,834 |  |      | 172,664   |                |   | 7,570      |  
|                                                           |  |                              |  |            |  |      |           |                |   |            |  
|Total Common Equity/Interests                              |  |                              |  |            |  | $    | 252,041   |                | $ | 64,864     |  
|                                                           |  |                              |  |            |  |      |           |                |   |            |  
|TOTAL EQUITY                                               |  |                              |  |            |  | $    | 252,041   |                | $ | 64,864     |  
|                                                           |  |                              |  |            |  |      |           |                |   |            |  
|TOTAL INVESTMENTS IN CONTROLLED PORTFOLIO COMPANIES        |  |                              |  |            |  | $    | 342,115   |                | $ | 141,421    |  
|                                                           |  |                              |  |            |  |      |           |                |   |            |  
|TOTAL INVESTMENTS178.1% (9)                               |  |                              |  |            |  | $    | 3,424,479 |                | $ | 2,486,891  |  
|                                                           |  |                              |  |            |  |      |           |                |   |            |  
|LIABILITIES IN EXCESS OF OTHERASSETS(78.1%)               |  |                              |  |            |  |      |           |                |   | (1,090,753 | )
|                                                           |  |                              |  |            |  |      |           |                |   |            |  
|NET ASSETS100.0%                                          |  |                              |  |            |  |      |           |                | $ | 1,396,138  |  
|                                                           |  |                              |  |            |  |      |           |                |   |            |  



|(1) | Fair value is determined in good faith by or under the direction of the Board of Directors of the Company (see Note 2).
|--- | -----------------------------------------------------------------------------------------------------------------------

|(2) | Includes floating rate instruments that accrue interest at a predetermined spread relative to an index, typically the LIBOR (London Inter-bank Offered Rate), EURIBOR
(Euro Inter-bank Offered Rate), GBP LIBOR (London Inter-bank Offered Rate for British Pounds), or the prime rate. At March 31, 2009, the range of interest rates on floating rate bank debt was 4.92% to 9.16%.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(3) | Position is held across five US Dollar-denominated tranches with varying yields.
|--- | --------------------------------------------------------------------------------

|(4) | Position is held across three Euro-denominated tranches with varying yields.
|--- | ----------------------------------------------------------------------------

|(5) | Denominated in Euro ().
|--- | ------------------------

|(6) | The Company is the sole Limited Partner in GS Prysmian Co-Invest L.P.
|--- | ---------------------------------------------------------------------

|(7) | Denominated in Canadian dollars.
|--- | --------------------------------

|(8) | See Note 6.
|--- | -----------

|(9) | Aggregate gross unrealized appreciation for federal income tax purposes is $72,338; aggregate gross unrealized depreciation for federal income tax purposes is
$1,016,662. Net unrealized depreciation is $944,324 based on a tax cost of $3,431,215.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|¿ | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
|- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|* | Denominated in USD unless otherwise noted.
|- | ------------------------------------------

|** | Non-income producing security
|-- | -----------------------------

|*** | Non-accrual status (see note 2m)
|--- | --------------------------------



See notes to financial statements.



19



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (continued)

March 31, 2009

(in thousands)



| | Denote securities where the Company owns multiple tranches of the same broad asset type but whose security characteristics differ. Such differences may include level of
subordination, call protection and pricing, differing interest rate characteristics, among other factors. Such factors are usually considered in the determination of fair values.
|- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | With the adoption of Accounting Standards Codification (ASC) 820, Fair Value Measurements and Disclosures, the Company has reclassified the Schedule of
Investments dated March 31, 2009 to conform to the current periods presentation.
|- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



See notes to financial statements.



20



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (continued)



|                                |  |                                                                   |  
|------------------------------- |  | ----------------------------------------------------------------- | -
|Industry Classification         |  | Percentage of TotalInvestments (atfair value) as ofMarch 31, 2009 |  
|Education                       |  | 7.9                                                               | %
|Healthcare                      |  | 7.4                                                               | %
|Financial Services              |  | 6.3                                                               | %
|Diversified Service             |  | 6.0                                                               | %
|Insurance                       |  | 5.7                                                               | %
|Oil & Gas                       |  | 5.0                                                               | %
|Consumer Products               |  | 4.2                                                               | %
|Transportation                  |  | 4.0                                                               | %
|Retail                          |  | 3.9                                                               | %
|Industrial                      |  | 3.6                                                               | %
|Leisure Equipment               |  | 3.5                                                               | %
|Hotels, Motels, Inns and Gaming |  | 3.4                                                               | %
|Business Services               |  | 3.4                                                               | %
|Manufacturing                   |  | 3.2                                                               | %
|Asset Management                |  | 3.1                                                               | %
|Packaging                       |  | 2.9                                                               | %
|Environmental                   |  | 2.7                                                               | %
|Telecommunications              |  | 2.5                                                               | %
|Consumer Finance                |  | 2.5                                                               | %
|Consumer Services               |  | 2.4                                                               | %
|Grocery                         |  | 2.3                                                               | %
|Electronics                     |  | 1.9                                                               | %
|Beverage, Food, & Tobacco       |  | 1.7                                                               | %
|Machinery                       |  | 1.6                                                               | %
|Market Research                 |  | 1.5                                                               | %
|Consulting Services             |  | 1.1                                                               | %
|Building Products               |  | 1.0                                                               | %
|Media                           |  | 1.0                                                               | %
|Publishing                      |  | 0.9                                                               | %
|Chemicals                       |  | 0.9                                                               | %
|Broadcasting & Entertainment    |  | 0.8                                                               | %
|Distribution                    |  | 0.6                                                               | %
|Direct Marketing                |  | 0.6                                                               | %
|Agriculture                     |  | 0.5                                                               | %
|Rental Equipment                |  | 0.0                                                               | %
|                                |  |                                                                   |  
|Total Investments               |  | 100.0                                                             | %
|                                |  |                                                                   |  



See notes
to financial statements.



21



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited)

(in thousands except share and per share amounts)

Note 1. Organization

Apollo Investment Corporation, a Maryland corporation organized on February 2, 2004, is a closed-end, non-diversified management
investment company that has elected to be treated as a business development company (BDC) under the Investment Company Act of 1940. In addition, for tax purposes we have elected to be treated as a regulated investment company
(RIC), under the Internal Revenue Code of 1986, as amended. Our investment objective is to generate both current income and capital appreciation through debt and equity investments. We invest primarily in middle-market companies in the
form of mezzanine and senior secured loans, each of which may include an equity component, and, to a lesser extent, by making equity investments in such companies.

Apollo Investment commenced operations on April 8, 2004 receiving net proceeds of $870,000 from its initial public offering selling 62 million shares of common stock at a price of $15.00 per
share.

Note 2. Significant Accounting Policies

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (GAAP) requires management to make estimates and assumptions
that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reported periods. Changes in the economic environment, financial markets and any other
parameters used in determining these estimates could cause actual results to differ materially.

Interim financial statements
are prepared in accordance with GAAP for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 6 or 10 of Regulation S-X, as appropriate. In the opinion of management, all adjustments, which are of a
normal recurring nature, considered necessary for the fair presentation of financial statements for the interim period, have been included.

Certain amounts were reclassified on the balance sheet for the year ended March 31, 2009 to conform to the current periods presentation. Dividends receivable totaling $40,993 was reclassified
into Investments (at value) as of March 31, 2009.

In June 2009, the FASB issued SFAS No. 168, The FASB
Accounting Standards Codification (ASC) and the Hierarchy of Generally Accepted Accounting Principles, which has become the source of authoritative U.S. GAAP recognized by the FASB to be applied to nongovernmental entities. This
supersedes non-SEC accounting and reporting standards and was effective for financial statements issued for interim and annual periods ending after September 15, 2009. This adoption by the Company changed the Companys references to U.S.
GAAP accounting standards but did not impact the Companys results of operations or financial position.

The significant
accounting policies consistently followed by Apollo Investment are:



| | (a) | Security transactions are accounted for on the trade date;
| | --- | ----------------------------------------------------------



| | (b) | Under procedures established by our Board of Directors, we value investments, including certain subordinated debt, senior secured debt and other debt
securities with maturities greater than 60 days, for which market quotations are readily available, at such market quotations (unless they are deemed not to represent fair value). We attempt to obtain market quotations from at least two brokers or
dealers (if available, otherwise from a principal market maker or a primary market dealer or other independent pricing service). We utilize mid-market pricing as a practical expedient for fair value unless a different point within the range is more
representative. If and when market quotations are deemed not to
| | --- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



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APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



| | represent fair value, we typically utilize independent third party valuation firms to assist us in determining fair value. Investments maturing in 60 days or less are valued at cost plus accreted
discount, or minus amortized premium, which approximates fair value. Debt and equity securities that are not publicly traded or whose market quotations are not readily available are valued at fair value as determined in good faith by or under the
direction of our Board of Directors. Such determination of fair values may involve subjective judgments and estimates.
| | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

With respect to investments for which market quotations are not readily available or when such market quotations are deemed not to represent fair value, our board of directors has approved a multi-step
valuation process each quarter, as described below:



| | (1) | our quarterly valuation process begins with each portfolio company or investment being initially valued by the investment professionals of our investment adviser
responsible for the portfolio investment;
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (2) | preliminary valuation conclusions are then documented and discussed with senior management of our investment adviser;
| | --- | ---------------------------------------------------------------------------------------------------------------------



| | (3) | independent valuation firms engaged by our board of directors conduct independent appraisals and review our investment advisers preliminary valuations and make
their own independent assessment;
| | --- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (4) | the audit committee of the board of directors reviews the preliminary valuation of our investment adviser and that of the independent valuation firm and responds to the
valuation recommendation of the independent valuation firm to reflect any comments; and
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (5) | the board of directors discusses valuations and determines the fair value of each investment in our portfolio in good faith based on the input of our investment
adviser, the respective independent valuation firm and the audit committee.
| | --- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Investments in all asset classes are
valued utilizing a market approach, an income approach, or both approaches, as appropriate. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities
(including a business). The income approach uses valuation techniques to convert future amounts (for example, cash flows or earnings) to a single present amount (discounted). The measurement is based on the value indicated by current market
expectations about those future amounts. In following these approaches, the types of factors that we may take into account in fair value pricing our investments include, as relevant: available current market data, including relevant and applicable
market trading and transaction comparables, applicable market yields and multiples, security covenants, call protection provisions, information rights, the nature and realizable value of any collateral, the portfolio companys ability to make
payments, its earnings and discounted cash flows, the markets in which the portfolio company does business, comparisons of financial ratios of peer companies that are public, M&A comparables, our principal market (as the reporting entity) and
enterprise values, among other factors. When available, broker quotations and/or quotations provided by pricing services are considered in the valuation process of independent valuation firms. For the fiscal quarter ended December 31, 2009,
there has been no change to the Companys valuation techniques and related inputs considered in the valuation process.

In
September 2006, the Financial Accounting Standards Board issued guidance related to Fair Value Measurements. This guidance defines fair value, establishes a framework for measuring fair value in GAAP, and expands disclosures about fair value
measurements. This guidance was effective for



23



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APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those years. We adopted this guidance for our first fiscal quarter ended
June 30, 2008.

Accounting Standards Codification (ASC) 820 classifies the inputs used to
measure these fair values into the following hierarchy:

Level 1: Quoted prices in active markets for identical
assets or liabilities, accessible by the Company at the measurement date.

Level 2: Quoted prices for similar
assets or liabilities in active markets, or quoted prices for identical or similar assets or liabilities in markets that are not active, or other observable inputs other than quoted prices.

Level 3: Unobservable inputs for the asset or liability.

In all cases, the level in the fair value hierarchy within which the fair value measurement in its entirety falls has been determined based
on the lowest level of input that is significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each
investment.

On October 10, 2008, revised guidance was issued which provides examples of how to determine fair value in a
market that is not active. It did not change the fair value measurement principles set forth in ASC 820. Furthermore, on April 9, 2009, the FASB issued additional revised guidance which provides information on estimating fair value when the
volume and level of activity for the asset or liability have significantly decreased. It also includes guidance on identifying circumstances that indicate a transaction is not orderly. According to this guidance in the above circumstances, more
analysis and significant adjustments to transaction or quoted prices may be necessary to estimate fair value. In addition, it requires disclosure of any changes in valuation techniques and related inputs resulting from the application. The total
effect of the change in valuation techniques and related inputs must also be disclosed by major asset category. This revised guidance was effective for periods ending after June 15, 2009. The adoption did not have a material effect on the
Companys financial position or results of operations. Accounting Standards Update No. 2010-06, Improving Disclosure about Fair Value Measurements was released in January 2010 and is effective for periods beginning after December 15,
2009. This update improves financial statement disclosure around transfers in and out of level 1 and 2 fair value measurements, around valuation techniques and inputs and around other related disclosures. Transfers between levels, if any, are
recognized at the end of the reporting period. See certain additional disclosures in Note 6.



| | (c) | Gains or losses on the sale of investments are calculated by using the specific identification method.
| | --- | ------------------------------------------------------------------------------------------------------



| | (d) | The Company records interest and dividend income, adjusted for amortization of premium and accretion of discount, on an accrual basis. Some of our loans and other
investments, including certain preferred equity investments may have contractual payment-in-kind (PIK) interest or dividends. PIK represents contractual interest or dividends accrued and is added to the cost of the investment on the
respective capitalization dates and generally becomes due at maturity. Loan origination fees, original issue discount, and market discounts are capitalized and we amortize such amounts into income. Upon the prepayment of a loan, any unamortized loan
origination fees are recorded as interest income. We record prepayment premiums on loans and other investments as interest income when we receive such amounts. Structuring fees are recorded as other income when earned.
| | --- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (e) | The Company intends to comply with the applicable provisions of the Internal Revenue Code of 1986, as amended, pertaining to regulated investment
companies to make distributions of taxable income
| | --- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



24



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APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



| | sufficient to relieve it of substantially all Federal income taxes. The Company, at its discretion, may carry forward taxable income in excess of calendar year distributions and pay a 4% excise
tax on this income. The Company will accrue excise tax on estimated excess taxable income as required.
| | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (f) | Book and tax basis differences relating to stockholder dividends and distributions and other permanent book and tax differences are reclassified among the
Companys capital accounts, as appropriate. In addition, the character of income and gains to be distributed is determined in accordance with income tax regulations that may differ from accounting principles generally accepted in the United
States of America.
| | --- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (g) | Dividends and distributions to common stockholders are recorded as of the record date. The amount to be paid out as a dividend is determined by the Board of Directors
each quarter. Net realized capital gains, if any, are distributed or deemed distributed at least annually.
| | --- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (h) | In accordance with Regulation S-X and the AICPA Audit and Accounting Guide for Investment Companies and ASC 810Consolidation, the Company does not
consolidate its interest in any company other than in investment company subsidiaries and controlled operating companies substantially all of whose business consists of providing services to the Company. Consequently, the Company does not
consolidate special purpose entities through which it holds investments subject to financing with third parties. At December 31, 2009, there were no such investment company subsidiaries and controlled operating companies substantially all of
whose business consists of providing services to the Company. Also see note 6.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (i) | The accounting records of the Company are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars
based on the rate of exchange of such currencies against U.S. dollars on the date of valuation. The Company does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the
fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. The Companys investments in foreign securities may involve certain risks
such as foreign exchange restrictions, expropriation, taxation or other political, social or economic risks, all of which could affect the market and/or credit risk of the investment. In addition, changes in the relationship of foreign currencies to
the U.S. dollar can significantly affect the value of these investments and therefore the earnings of the Company.
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (j) | The Company may enter into forward exchange contracts in order to hedge against foreign currency risk. These contracts are marked-to-market by recognizing the
difference between the contract exchange rate and the current market rate as unrealized appreciation or depreciation. Realized gains or losses are recognized when contracts are settled.
| | --- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (k) | The Company records origination expenses related to its multi-currency revolving credit facility as prepaid assets. These expenses are deferred and amortized using the
straight-line method over the stated life of the facility.
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (l) | The Company records expenses related to shelf filings and other applicable offering costs as prepaid assets. These expenses are charged as a reduction of capital upon
utilization, in accordance with the AICPA Audit and Accounting Guide for Investment Companies.
| | --- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (m) | Loans and other investments, including certain preferred equity investments are generally placed on non-accrual status when principal or
interest/dividend payments are past due 30 days or more and/or when there is reasonable doubt that principal or interest will be collected. Accrued, uncapitalized interest or dividends is generally reversed when an investment is placed on
non-accrual status. Interest
| | --- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



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APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



| | or dividend payments received on non-accrual designated investments may be recognized as income or applied to principal depending upon managements judgment. Non-accrual investments are
restored to accrual status when past due principal and interest or dividends are paid and/or in managements judgment, are likely to remain current. To the extent PIK interest or dividends are not expected to be realized, a reserve will be
established as required by the AICPA Audit and Accounting Guide for Investment Companies.
| | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (n) | In May 2009, the FASB issued new guidance which sets forth principles and requirements for subsequent events, specifically (1) the period during which management
should evaluate events or transactions that may occur for potential recognition and disclosure, (2) the circumstances under which an entity should recognize events or transactions occurring after the balance sheet date, and (3) the
disclosures that an entity should make about events and transactions occurring after the balance sheet date. This guidance is effective for interim reporting periods ending after June 15, 2009. The Company has adopted this guidance, which did
not have a material impact on its financial statements. See note 14.
| | --- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Note 3. Agreements

Apollo Investment has an Investment Advisory and Management Agreement with Apollo Investment Management L.P. (the Investment
Adviser or AIM), under which the Investment Adviser, subject to the overall supervision of Apollo Investments Board of Directors, will manage the day-to-day operations of, and provide investment advisory services to, Apollo
Investment. For providing these services, the Investment Adviser receives a fee from Apollo Investment, consisting of two componentsa base management fee and an incentive fee. The base management fee is determined by taking the average value
of Apollo Investments gross assets at the end of the two most recently completed calendar quarters calculated at an annual rate of 2.00%. The incentive fee has two parts, as follows: one part is calculated and payable quarterly in arrears
based on Apollo Investments pre-incentive fee net investment income for the immediately preceding calendar quarter. For this purpose, pre-incentive fee net investment income means interest income, dividend income and any other income including
any other fees (other than fees for providing managerial assistance), such as commitment, origination, structuring, diligence and consulting fees or other fees that we receive from portfolio companies accrued during the calendar quarter, minus
Apollo Investments operating expenses for the quarter (including the base management fee, any expenses payable under the Administration Agreement, and any interest expense and dividends paid on any issued and outstanding preferred stock, but
excluding the incentive fee). Pre-incentive fee net investment income does not include any realized capital gains computed net of all realized capital losses and unrealized capital depreciation. Pre-incentive fee net investment income, expressed as
a rate of return on the value of Apollo Investments net assets at the end of the immediately preceding calendar quarter, is compared to the rate of 1.75% per quarter (7% annualized). Our net investment income used to calculate this part
of the incentive fee is also included in the amount of our gross assets used to calculate the 2% base management fee. Apollo Investment pays the Investment Adviser an incentive fee with respect to Apollo Investments pre-incentive fee net
investment income in each calendar quarter as follows: (1) no incentive fee in any calendar quarter in which Apollo Investments pre-incentive fee net investment income does not exceed 1.75%, which we commonly refer to as the performance
threshold; (2) 100% of Apollo Investments pre-incentive fee net investment income with respect to that portion of such pre-incentive fee net investment income, if any, that exceeds 1.75% but does not exceed 2.1875% in any calendar
quarter; and (3) 20% of the amount of Apollo Investments pre-incentive fee net investment income, if any, that exceeds 2.1875% in any calendar quarter. These calculations are appropriately pro rated for any period of less than three
months. The effect of the fee calculation described above is that if pre-incentive fee net investment income is equal to or exceeds 2.1875%, the



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



Investment Adviser will receive a fee of 20% of Apollo Investments pre-incentive fee net investment income for the quarter. The second part of the incentive fee is determined and payable in
arrears as of the end of each calendar year (or upon termination of the Investment Advisory and Management Agreement, as of the termination date) and will equal 20% of Apollo Investments cumulative realized capital gains less cumulative
realized capital losses, unrealized capital depreciation (unrealized depreciation on a gross investment-by-investment basis at the end of each calendar year) and all capital gains upon which prior performance-based capital gains incentive fee
payments were previously made to the Investment Adviser.

For the three and nine months ended December 31, 2009, the
Company accrued $13,903 and $39,839, respectively, in base investment advisory and management fees and $12,539 and $37,719, respectively, in performance-based incentive fees. For the three and nine months ended December 31, 2008, the Company
accrued $14,681 and $47,057, respectively, in base investment advisory and management fees and $13,197 and $38,898, respectively, in performance-based incentive fees.

Apollo Investment has also entered into an Administration Agreement with Apollo Investment Administration, LLC (the Administrator) under which the Administrator provides administrative
services for Apollo Investment. For providing these services, facilities and personnel, Apollo Investment reimburses the Administrator for Apollo Investments allocable portion of overhead and other expenses incurred by the Administrator in
performing its obligations under the Administration Agreement, including rent and Apollo Investments allocable portion of its chief financial officer and chief compliance officer and their respective staffs. The Administrator will also
provide, on Apollo Investments behalf, managerial assistance to those portfolio companies to which Apollo Investment is required to provide such assistance.

For the three and nine months ended December 31, 2009, the Administrator was reimbursed $0 and $2,217, respectively, from Apollo Investment on the $1,260 and $3,767, respectively, of expenses accrued
under the Administration Agreement. As of December 31, 2008, for the three and nine months ended December 31, 2008, the Administrator was reimbursed $479 and $3,202 respectively, from Apollo Investment on the $794 and $3,517, respectively,
of expenses accrued under the Administration Agreement.

On December 21, 2009, Apollo Investment amended its Amended and
Restated Senior Secured Revolving Credit Agreement dated March 31, 2006 (the Facility), among Apollo Investment, the lenders party thereto and JPMorgan Chase Bank, N.A. (JPMorgan), as administrative agent for the
lenders. The amendment extended the maturity date of certain lenders commitments totaling $1,178,750 until April 12, 2013, with the pricing reset to 300 basis points over LIBOR. Non-extended lenders whose commitments will expire on
April 13, 2011 totaled $380,000. Pricing with respect to the non-extended commitments remains at 100 basis points over LIBOR. The Facility also permits Apollo Investment to seek additional commitments from new and existing lenders in the
future, up to an aggregate amount not to exceed $2,000,000. The Facility is used to supplement Apollos equity capital to make additional portfolio investments and for general corporate purposes. From time to time, certain of the lenders
provide customary commercial and investment banking services to affiliates of Apollo Investment. JPMorgan also serves as custodian and fund accounting agent for Apollo Investment.

Note 4. Net Asset Value Per Share

At December 31, 2009, the
Companys total net assets and net asset value per share were $1,826,698 and $10.40, respectively. This compares to total net assets and net asset value per share at March 31, 2009 of $1,396,138 and $9.82, respectively.



27



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



Note 5. Earnings (Loss) Per Share

The following information sets forth the computation of basic and diluted earnings (loss) per share for the three and nine months ended
December 31, 2009 and December 31, 2008, respectively:



|                                                           |  |                                 |             |      |                                |             |      |  |      |             |  |   |             |  
|---------------------------------------------------------- |  | ------------------------------- | ----------- | ---- | ------------------------------ | ----------- | ---- |  | ---- | ----------- |  | - | ----------- | -
|                                                           |  | Three months ended December 31, |             |      | Nine months ended December 31, |            
|                                                           |  | 2009                            |             | 2008 |                                |             | 2009 |  | 2008 |            
|Numerator for increase (decrease) in net assets per share: |  | $                               | 79,523      |      | $                              | (475,543    | )    |  | $    | 273,154     |  | $ | (641,655    | )
|Denominator for basic and diluted weighted average shares: |  |                                 | 166,343,539 |      |                                | 142,221,335 |      |  |      | 153,862,926 |  |   | 138,567,744 |  
|Basic and diluted earnings (loss) per share:               |  | $                               | 0.48        |      | $                              | (3.34       | )    |  | $    | 1.78        |  | $ | (4.63       | )

Note 6. Investments

AIC Credit Opportunities Fund LLCWe own all of the common member interests in AIC Credit Opportunity Fund LLC (AIC
Holdco), which was formed for the purpose of holding various financed investments. Effective in June 2008 and through AIC Holdco, we invested $39,500 in a special purpose entity wholly owned by AIC Holdco, AIC (FDC) Holdings LLC (Apollo
FDC), which was used to purchase a Junior Profit-Participating Note due 2013 in principal amount of $39,500 (the Junior Note) from Apollo I Trust (the Trust). The Trust also issued a Senior Floating Rate Note due 2013
(the Senior Note) to an unaffiliated third party (FDC Counterparty) in principal amount of $39,500 paying interest at Libor plus 1.50%, increasing over time to Libor plus 2.0%. The Trust used the aggregate $79,000 proceeds to
acquire $100,000 face value of a senior subordinated loan of First Data Corporation (the FDC Reference Obligation) due 2016 and paying interest at 11.25% per year. The Junior Note generally entitles Apollo FDC to the net interest
and other proceeds due under the FDC Reference Obligation after payment of interest due under the Senior Notes, as described above. In addition, Apollo FDC is subject to 100% of any realized appreciation or depreciation in the FDC Reference
Obligation. However, since the Senior Note is a non-recourse obligation, Apollo FDC is only exposed up to the amount of equity used by AIC Holdco to fund the purchase of the Junior Note plus any additional margin Apollo decides to post, if any,
during the term of the financing.

Through AIC Holdco, effective in June 2008, we invested $11,375 in a special purpose entity
wholly owned by AIC Holdco, AIC (TXU) Holdings LLC (Apollo TXU), which acquired exposure to $50,000 notional amount of a Libor plus 3.5% senior secured delayed draw term loan of Texas Competitive Electric Holdings (TXU) due
2014 through a non-recourse total return swap with an unaffiliated third party expiring on October 10, 2013 and pursuant to which Apollo TXU pays interest at Libor plus 1.5% and generally receives all proceeds due under the delayed draw term
loan of TXU (the TXU Reference Obligation). Like Apollo FDC, Apollo TXU is entitled to 100% of any realized appreciation in the TXU Reference Obligation and, since the total return swap is a non-recourse obligation, Apollo TXU is exposed
up to the amount of equity used by AIC Holdco to fund the investment in the total return swap, plus any additional margin we decide to post, if any, during the term of the financing.

Through AIC Holdco, effective in September 2008, we invested $10,022 equivalent, in a special purpose entity wholly owned by AIC Holdco, AIC
(Boots) Holdings, LLC (Apollo Boots), which acquired 23,383 and £12,465 principal amount of senior term loans of AB Acquisitions Topco 2 Limited, a holding company for the Alliance Boots group of companies (the Boots
Reference Obligations), out of the proceeds of our investment



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



and a multicurrency $40,876 equivalent non-recourse loan to Apollo Boots (the Acquisition Loan) by an unaffiliated third party that matures in September 2013 and pays interest at
LIBOR plus 1.25% or, in certain cases, the higher of the Federal Funds Rate plus 0.50% or the lenders prime-rate. The Boots Reference Obligations pay interest at the rate of LIBOR plus 3% per year and mature in June 2015.

Pursuant to applicable investment company accounting, we do not consolidate AIC Holdco or its wholly owned subsidiaries and accordingly only
the value of our investment in AIC Holdco is included on our balance sheet. The Senior Note, total return swap and Acquisition Loan are non-recourse to AIC Holdco, its subsidiaries and us and have standard events of default including failure to pay
contractual amounts when due and failure by each of the underlying Apollo Investment special purpose entities to provide additional credit support, sell assets or prepay a portion of its obligations if the value of the FDC Reference Obligation, the
TXU Reference Obligation or the Boots Reference Obligation, as applicable, declines below specified levels. We may unwind any of these transactions at any time without penalty. From time to time Apollo Investment may provide additional capital to
AIC Holdco for purposes of funding margin calls under one or more of the transactions described above among other reasons. During the fiscal year ended March 31, 2009, we provided $18,480 in additional capital to AIC Holdco. During the nine
months ended December 31, 2009, $7,812 of net capital was returned to us from AIC Holdco.

Investments consisted of the
following as of December 31, 2009 and March 31, 2009.



|                                  |  |                   |           |                 |   |           |  |            |           |  |   |          
|--------------------------------- |  | ----------------- | --------- | --------------- | - | --------- |  | ---------- | --------- |  | - | ---------
|                                  |  | December 31, 2009 |           | March 31, 2009
|                                  |  | Cost              |           | Fair Value      |   | Cost      |  | Fair Value
|Bank Debt/Senior Secured Loans    |  | $                 | 914,238   |                 | $ | 805,369   |  | $          | 829,473   |  | $ | 655,610  
|Subordinated Debt/Corporate Notes |  |                   | 1,811,024 |                 |   | 1,602,498 |  |            | 1,964,197 |  |   | 1,417,070
|Collateralized Loan Obligations   |  |                   | 25,060    |                 |   | 24,489    |  |            | 23,722    |  |   | 18,978   
|Preferred Equity                  |  |                   | 180,812   |                 |   | 87,342    |  |            | 166,551   |  |   | 132,526  
|Common Equity/Interests           |  |                   | 427,437   |                 |   | 295,676   |  |            | 438,270   |  |   | 258,153  
|Warrants                          |  |                   | 2,099     |                 |   | 6,801     |  |            | 2,266     |  |   | 4,554    
|Cash Equivalents                  |  |                   | 499,934   |                 |   | 499,934   |  |            |          |  |   |         
|                                  |  |                   |           |                 |   |           |  |            |           |  |   |          
|Totals                            |  | $                 | 3,860,604 |                 | $ | 3,322,109 |  | $          | 3,424,479 |  | $ | 2,486,891
|                                  |  |                   |           |                 |   |           |  |            |           |  |   |          



| | Pursuant to fair value measurement and disclosure guidance, the Company has reclassified the above investment categories as of March 31, 2009 to conform to the
current periods presentation.
|- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



At December 31, 2009, our investments and cash equivalents were categorized as
follows in the fair value hierarchy for ASC 820 purposes:



|                                       |  |                   |           |                                                            |   |                                           |  |                                        |   |  |   |          
|-------------------------------------- |  | ----------------- | --------- | ---------------------------------------------------------- | - | ----------------------------------------- |  | -------------------------------------- | - |  | - | ---------
|                                       |  |                   |           | Fair Value Measurement at Reporting Date Using:           
|Description                            |  | December 31, 2009 |           | Quoted Prices inActive MarketsforIdentical Assets(Level 1) |   | SignificantOtherObservableInputs(Level 2) |  | SignificantUnobservableInputs(Level 3)
|Bank Debt/Senior Secured Loans         |  | $                 | 805,369   |                                                            | $ |                                          |  | $                                      |  |  | $ | 805,369  
|Subordinated Debt/Corporate Notes      |  |                   | 1,602,498 |                                                            |   |                                          |  |                                        |  |  |   | 1,602,498
|Collateralized Loan Obligations        |  |                   | 24,489    |                                                            |   |                                          |  |                                        |  |  |   | 24,489   
|Preferred Equity                       |  |                   | 87,342    |                                                            |   |                                          |  |                                        |  |  |   | 87,342   
|Common Equity/Interests                |  |                   | 295,676   |                                                            |   |                                          |  |                                        |  |  |   | 295,676  
|Warrants                               |  |                   | 6,801     |                                                            |   |                                          |  |                                        |  |  |   | 6,801    
|                                       |  |                   |           |                                                            |   |                                           |  |                                        |   |  |   |          
|Total Investments                      |  | $                 | 2,822,175 |                                                            | $ |                                          |  | $                                      |  |  | $ | 2,822,175
|Cash Equivalents                       |  |                   | 499,934   |                                                            |   | 499,934                                   |  |                                        |  |  |   |         
|                                       |  |                   |           |                                                            |   |                                           |  |                                        |   |  |   |          
|Total Investments and Cash Equivalents |  | $                 | 3,322,109 |                                                            | $ | 499,934                                   |  | $                                      |  |  | $ | 2,822,175
|                                       |  |                   |           |                                                            |   |                                           |  |                                        |   |  |   |          

At March 31, 2009, our investments and cash
equivalents were categorized as follows in the fair value hierarchy for ASC 820 purposes:



|                                       |  |                 |           |                                                            |   |                                           |  |                                        |   |  |   |          
|-------------------------------------- |  | --------------- | --------- | ---------------------------------------------------------- | - | ----------------------------------------- |  | -------------------------------------- | - |  | - | ---------
|                                       |  |                 |           | Fair Value Measurement at Reporting Date Using:           
|Description                            |  | March 31, 2009 |           | Quoted Prices inActive MarketsforIdentical Assets(Level 1) |   | SignificantOtherObservableInputs(Level 2) |  | SignificantUnobservableInputs(Level 3)
|Corporate Debt                         |  | $               | 2,072,680 |                                                            | $ |                                          |  | $                                      |  |  | $ | 2,072,680
|Equity                                 |  |                 | 262,707   |                                                            |   |                                          |  |                                        |  |  |   | 262,707  
|Preferred Equity                       |  |                 | 132,526   |                                                            |   |                                          |  |                                        |  |  |   | 132,526  
|Collateralized Loan Obligations        |  |                 | 18,978    |                                                            |   |                                          |  |                                        |  |  |   | 18,978   
|                                       |  |                 |           |                                                            |   |                                           |  |                                        |   |  |   |          
|Total Investments                      |  | $               | 2,486,891 |                                                            | $ |                                          |  | $                                      |  |  | $ | 2,486,891
|Cash Equivalents                       |  |                 |          |                                                            |   |                                          |  |                                        |  |  |   |         
|                                       |  |                 |           |                                                            |   |                                           |  |                                        |   |  |   |          
|Total Investments and Cash Equivalents |  | $               | 2,486,891 |                                                            | $ |                                          |  | $                                      |  |  | $ | 2,486,891
|                                       |  |                 |           |                                                            |   |                                           |  |                                        |   |  |   |          



| | Pursuant to fair value measurement and disclosure guidance, the Company has reclassified the above investment categories as of March 31, 2009 to conform to the
current periods presentation.
|- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



30



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



The following chart shows the components of change in our investments categorized as
Level 3, for the nine months ended December 31, 2009.



|                                                                                                                                                                                                                                                                                                                |  |                                                                          |         |   |                                 |   |           |                               |  |   |                 |   |  |                        |         |   |          |   |         |       |  |   |       |   |  |   |           |  
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ------------------------------------------------------------------------ | ------- | - | ------------------------------- | - | --------- | ----------------------------- |  | - | --------------- | - |  | ---------------------- | ------- | - | -------- | - | ------- | ----- |  | - | ----- | - |  | - | --------- | -
|                                                                                                                                                                                                                                                                                                                |  | Fair Value Measurements Using Significant Unobservable Inputs (Level 3)* |        
|                                                                                                                                                                                                                                                                                                                |  | Bank Debt /Senior SecuredLoans                                           |         |   | SubordinatedDebt/CorporateNotes |   |           | CollateralizedLoanObligations |  |   | PreferredEquity |   |  | CommonEquity/Interests |         |   | Warrants |   |         | Total | 
|Beginning Balance, March 31, 2009                                                                                                                                                                                                                                                                              |  | $                                                                        | 655,610 |   |                                 | $ | 1,417,070 |                               |  | $ | 18,978          |   |  | $                      | 132,526 |   |          | $ | 258,153 |       |  | $ | 4,554 |   |  | $ | 2,486,891 |  
|Total realized gains or losses included in earnings                                                                                                                                                                                                                                                             |  |                                                                          | (15,189 | ) |                                 |   | (255,347  | )                             |  |   | 5               |   |  |                        | (1,941  | ) |          |   | 23,225  |       |  |   | 26    |   |  |   | (249,221  | )
|Total unrealized gains or losses included in earnings                                                                                                                                                                                                                                                           |  |                                                                          | 64,992  |   |                                 |   | 338,523   |                               |  |   | 4,173           |   |  |                        | (59,445 | ) |          |   | 48,357  |       |  |   | 2,413 |   |  |   | 399,013   |  
|Purchases, including capitalized PIK (1)                                                                                                                                                                                                                                                                        |  |                                                                          | 122,811 |   |                                 |   | 241,742   |                               |  |   | 1,387           |   |  |                        | 17,202  |   |          |   | 22,406  |       |  |   | 8     |   |  |   | 405,556   |  
|Sales                                                                                                                                                                                                                                                                                                           |  |                                                                          | (22,855 | ) |                                 |   | (139,490  | )                             |  |   | (54             | ) |  |                        | (1,000  | ) |          |   | (56,465 | )     |  |   | (200  | ) |  |   | (220,064  | )
|Transfer in and/or out ofLevel 3 (2)                                                                                                                                                                                                                                                                            |  |                                                                          |        |   |                                 |   |          |                               |  |   |                |   |  |                        |        |   |          |   |        |       |  |   |      |   |  |   |          |  
|                                                                                                                                                                                                                                                                                                                |  |                                                                          |         |   |                                 |   |           |                               |  |   |                 |   |  |                        |         |   |          |   |         |       |  |   |       |   |  |   |           |  
|Ending Balance, December 31, 2009                                                                                                                                                                                                                                                                               |  | $                                                                        | 805,369 |   |                                 | $ | 1,602,498 |                               |  | $ | 24,489          |   |  | $                      | 87,342  |   |          | $ | 295,676 |       |  | $ | 6,801 |   |  | $ | 2,822,175 |  
|                                                                                                                                                                                                                                                                                                                |  |                                                                          |         |   |                                 |   |           |                               |  |   |                 |   |  |                        |         |   |          |   |         |       |  |   |       |   |  |   |           |  
|The amount of total gains or losses for the period included in earnings attributable to the change in unrealized gains or losses
relating to ourLevel 3 assets still held at the reporting date and reported within the net change in unrealized gains or losses on investments in our Statement of Operations. |  | $                                                                        | 51,234  |   |                                 | $ | 103,795   |                               |  | $ | 4,173           |   |  | $                      | (59,445 | ) |          | $ | 32,697  |       |  | $ | 2,239 |   |  | $ | 134,693   |  
|                                                                                                                                                                                                                                                                                                                |  |                                                                          |         |   |                                 |   |           |                               |  |   |                 |   |  |                        |         |   |          |   |         |       |  |   |       |   |  |   |           |  



|(1) | Includes amortization of discount on debt securities of approximately $1,253, $15,613, $292, $166, $0, $0 and $17,324, respectively.
|--- | ------------------------------------------------------------------------------------------------------------------------------------

|(2) | There were also no transfers into or out of Level 1 or Level 2 fair value measurements during the period shown.
|--- | ---------------------------------------------------------------------------------------------------------------

|* | Pursuant to fair value measurement and disclosure guidance, the Company currently categories investments by class as shown above.
|- | ---------------------------------------------------------------------------------------------------------------------------------

| | With the adoption of fair value measurement and disclosure guidance, the Company has reclassified the beginning balance, March 31, 2009, to conform to the current
periods presentation.
|- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



31



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



The following chart shows the components of change in our investments categorized as
Level 3, for the nine months ended December 31, 2008.



|                                                                                                                                                                                                                                                                                                                 |  |                                                                       |           |  
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | --------------------------------------------------------------------- | --------- | -
|                                                                                                                                                                                                                                                                                                                 |  | Fair Value Measurements UsingSignificant Unobservable Inputs(Level 3) |          
|Beginning Balance, March 31, 2008                                                                                                                                                                                                                                                                                |  | $                                                                     | 3,233,548 |  
|Total realized gains or losses included in earnings                                                                                                                                                                                                                                                              |  |                                                                       | (103,280  | )
|Total unrealized gains or losses included in earnings                                                                                                                                                                                                                                                            |  |                                                                       | (778,900  | )
|Purchases, including capitalized PIK (1)                                                                                                                                                                                                                                                                         |  |                                                                       | 440,408   |  
|Sales                                                                                                                                                                                                                                                                                                            |  |                                                                       | (255,155  | )
|Transfer in and/or out of Level 3                                                                                                                                                                                                                                                                                |  |                                                                       |          |  
|                                                                                                                                                                                                                                                                                                                 |  |                                                                       |           |  
|Ending Balance, December 31, 2008                                                                                                                                                                                                                                                                                |  | $                                                                     | 2,536,621 |  
|                                                                                                                                                                                                                                                                                                                 |  |                                                                       |           |  
|The amount of total gains or losses for the period included in earnings attributable to the change in unrealized gains or losses
relating to our Level 3 assets still held at the reporting date and reported within the net change in unrealized gains or losses on investments in our Statement of Operations. |  | $                                                                     | (837,177  | )
|                                                                                                                                                                                                                                                                                                                 |  |                                                                       |           |  



|(1) | Includes amortization of discount on debt securities of approximately $24,752.
|--- | ------------------------------------------------------------------------------

Note 7. Foreign Currency Transactions and Translations

At
December 31, 2009, the Company had outstanding non-US borrowings on its multicurrency revolving credit facility denominated in euros, pounds sterling, and Canadian dollars. Unrealized appreciation or depreciation on these outstanding borrowings
is indicated in the table below:



|                 |  |               |        |                       |   |              |  |            |         |                                      |            |  |   |         |  
|---------------- |  | ------------- | ------ | --------------------- | - | ------------ |  | ---------- | ------- | ------------------------------------ | ---------- |  | - | ------- | -
|Foreign Currency |  | LocalCurrency |        | OriginalBorrowingCost |   | CurrentValue |  | Reset Date |         | UnrealizedAppreciation(Depreciation) |           
|British Pound    |  | £             | 2,000  |                       | $ | 3,565        |  | $          | 3,230   |                                      | 01/13/2010 |  | $ | 335     |  
|Euro             |  |              | 7,500  |                       |   | 11,131       |  |            | 10,760  |                                      | 01/14/2010 |  |   | 371     |  
|Euro             |  |              | 13,000 |                       |   | 18,591       |  |            | 18,652  |                                      | 01/14/2010 |  |   | (61     | )
|British Pound    |  | £             | 2,500  |                       |   | 4,957        |  |            | 4,037   |                                      | 01/21/2010 |  |   | 920     |  
|Euro             |  |              | 111    |                       |   | 159          |  |            | 160     |                                      | 01/21/2010 |  |   | (1      | )
|Canadian Dollar  |  | C$            | 11,000 |                       |   | 10,398       |  |            | 10,493  |                                      | 01/21/2010 |  |   | (95     | )
|Canadian Dollar  |  | C$            | 113    |                       |   | 107          |  |            | 108     |                                      | 01/21/2010 |  |   | (1      | )
|British Pound    |  | £             | 153    |                       |   | 246          |  |            | 247     |                                      | 01/21/2010 |  |   | (1      | )
|British Pound    |  | £             | 37,500 |                       |   | 59,395       |  |            | 60,557  |                                      | 01/28/2010 |  |   | (1,162  | )
|Euro             |  |              | 11,500 |                       |   | 15,058       |  |            | 16,500  |                                      | 01/29/2010 |  |   | (1,442  | )
|Euro             |  |              | 75,500 |                       |   | 98,857       |  |            | 108,324 |                                      | 01/29/2010 |  |   | (9,467  | )
|Canadian Dollar  |  | C$            | 29,700 |                       |   | 25,161       |  |            | 28,330  |                                      | 02/22/2010 |  |   | (3,169  | )
|Canadian Dollar  |  | C$            | 22,500 |                       |   | 19,189       |  |            | 21,462  |                                      | 03/08/2010 |  |   | (2,273  | )
|Canadian Dollar  |  | C$            | 15,000 |                       |   | 13,035       |  |            | 14,308  |                                      | 03/29/2010 |  |   | (1,273  | )
|British Pound    |  | £             | 13,000 |                       |   | 21,471       |  |            | 20,993  |                                      | 03/29/2010 |  |   | 478     |  
|Canadian Dollar  |  | C$            | 3,000  |                       |   | 2,318        |  |            | 2,862   |                                      | 03/30/2010 |  |   | (544    | )
|                 |  |               |        |                       |   |              |  |            |         |                                      |            |  |   |         |  
|                 |  |               |        |                       | $ | 303,638      |  | $          | 321,023 |                                      |            |  | $ | (17,385 | )
|                 |  |               |        |                       |   |              |  |            |         |                                      |            |  |   |         |  



32



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



At March 31, 2009, the Company had outstanding non-US borrowings on its
multicurrency revolving credit facility denominated in euros, pounds sterling, and Canadian dollars. Unrealized appreciation or depreciation on these outstanding borrowings is indicated in the table below:



|                 |  |               |        |                       |   |              |  |            |         |                                      |           |  |   |        |  
|---------------- |  | ------------- | ------ | --------------------- | - | ------------ |  | ---------- | ------- | ------------------------------------ | --------- |  | - | ------ | -
|Foreign Currency |  | LocalCurrency |        | OriginalBorrowingCost |   | CurrentValue |  | Reset Date |         | UnrealizedAppreciation(Depreciation) |          
|British Pound    |  | £             | 2,000  |                       | $ | 3,565        |  | $          | 2,867   |                                      | 4/06/2009 |  | $ | 698    |  
|Euro             |  |              | 7,500  |                       |   | 11,131       |  |            | 9,958   |                                      | 4/06/2009 |  |   | 1,173  |  
|British Pound    |  | £             | 2,500  |                       |   | 4,957        |  |            | 3,583   |                                      | 4/17/2009 |  |   | 1,374  |  
|Euro             |  |              | 76,500 |                       |   | 95,910       |  |            | 101,569 |                                      | 4/27/2009 |  |   | (5,659 | )
|British Pound    |  | £             | 37,500 |                       |   | 59,395       |  |            | 53,751  |                                      | 4/27/2009 |  |   | 5,644  |  
|Canadian Dollar  |  | C$            | 29,700 |                       |   | 25,161       |  |            | 23,606  |                                      | 5/20/2009 |  |   | 1,555  |  
|Canadian Dollar  |  | C$            | 22,500 |                       |   | 19,189       |  |            | 17,883  |                                      | 6/05/2009 |  |   | 1,306  |  
|Canadian Dollar  |  | C$            | 3,000  |                       |   | 2,318        |  |            | 2,385   |                                      | 6/30/2009 |  |   | (67    | )
|                 |  |               |        |                       |   |              |  |            |         |                                      |           |  |   |        |  
|                 |  |               |        |                       | $ | 221,626      |  | $          | 215,602 |                                      |           |  | $ | 6,024  |  
|                 |  |               |        |                       |   |              |  |            |         |                                      |           |  |   |        |  

Note 8. Expense Offset Arrangement

The Company benefits from an expense offset arrangement with JPMorgan Chase Bank, N.A. (custodian bank) whereby the Company earns credits on any uninvested US dollar cash balances held by the
custodian bank. These credits are applied by the custodian bank as a reduction of the monthly custody fees charged to the Company. The total amount of credits earned during the three and nine months ended December 31, 2009 were $0 and $0,
respectively. The total amount of credits earned during the three and nine months ended December 31, 2008 were $95 and $227, respectively.

Note 9. Temporary Investments

Pending investment in longer-term portfolio holdings, Apollo Investment may make
temporary investments in U.S. Treasury bills (of varying maturities), repurchase agreements and certain other high-quality, short-term debt securities. These temporary investments are generally deemed cash equivalents as defined by GAAP and are
included in our Schedule of Investments. At the end of each fiscal quarter, Apollo Investment considers taking proactive steps with the objective of enhancing investment flexibility for the next quarter. For example, Apollo Investment may purchase
U.S. Treasury bills from time-to-time on the last business day of the quarter and would typically close out its position on a net cash basis subsequent to quarter end. Apollo Investment may also utilize repurchase agreements or other balance sheet
transactions, including drawing down on its revolving credit facility, as it deems appropriate. The amount of these transactions or such drawn cash for this purpose is excluded from total assets for purposes of computing the asset base upon which
the management fee is determined. Temporary investments with maturities of greater than 60 days from the time of purchase are marked-to-market as per our valuation policy. There were $499,934 and $0 of temporary investments (as defined herein), at
value, outstanding at December 31, 2009 and March 31, 2009, respectively.

Note 10. Repurchase Agreements

The Company may enter into repurchase agreements as part of its investment program. The Companys custodian takes possession of
collateral pledged by the counterparty. The collateral is marked-to-market daily to ensure that the value, plus accrued interest, is at least equal to the repurchase price. In the event of default of the obligor to repurchase, the Company has the
right to liquidate the collateral and apply the proceeds in satisfaction



33



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



of the obligation. Under certain circumstances, in the event of default or bankruptcy by the counterparty to the agreement, realization and/or retention of the collateral or proceeds may be
subject to legal proceedings. There were no repurchase agreements outstanding at December 31, 2009 or March 31, 2009.

Note 11.
Financial Highlights

The following is a schedule of financial highlights for the nine months ended December 31, 2009
and the year ended March 31, 2009:



|                                                                |  |                                               |             |   |                          |   |             |   
|--------------------------------------------------------------- |  | --------------------------------------------- | ----------- | - | ------------------------ | - | ----------- | --
|                                                                |  | Nine months endedDecember 31, 2009(unaudited) |             |   | Year endedMarch 31, 2009 |  
|Per Share Data:                                                 |  |                                               |             |   |                          |   |             |   
|Net asset value, beginning of period                            |  | $                                             | 9.82        |   |                          | $ | 15.83       |   
|                                                                |  |                                               |             |   |                          |   |             |   
|Net investment income                                           |  |                                               | 0.99        |   |                          |   | 1.48        |   
|Net realized and unrealized gain (loss)                         |  |                                               | 0.79        |   |                          |   | (5.74       | ) 
|                                                                |  |                                               |             |   |                          |   |             |   
|Net increase (decrease) in net assets resulting from operations |  |                                               | 1.78        |   |                          |   | (4.26       | ) 
|Dividends to stockholders (1)                                   |  |                                               | (0.86       | ) |                          |   | (1.86       | ) 
|Effect of anti-dilution (dilution)                              |  |                                               | (0.34       | ) |                          |   | 0.11        |   
|Offering costs *                                                |  |                                               |            |   |                          |   |            |   
|                                                                |  |                                               |             |   |                          |   |             |   
|Net asset value at end of period                                |  | $                                             | 10.40       |   |                          | $ | 9.82        |   
|                                                                |  |                                               |             |   |                          |   |             |   
|Per share market price at end of period                         |  | $                                             | 9.54        |   |                          | $ | 3.48        |   
|                                                                |  |                                               |             |   |                          |   |             |   
|Total return (2)                                                |  |                                               | 202.8       | % |                          |   | (73.90      | )%
|                                                                |  |                                               |             |   |                          |   |             |   
|Shares outstanding at end of period                             |  |                                               | 175,718,539 |   |                          |   | 142,221,335 |   
|                                                                |  |                                               |             |   |                          |   |             |   
|Ratio/Supplemental Data:                                        |  |                                               |             |   |                          |   |             |   
|Net assets at end of period (in millions)                       |  | $                                             | 1,826.7     |   |                          | $ | 1,396.1     |   
|                                                                |  |                                               |             |   |                          |   |             |   
|Ratio of net investment income to average net assets            |  |                                               | 9.78        | % |                          |   | 10.71       | % 
|                                                                |  |                                               |             |   |                          |   |             |   
|Ratio of operating expenses to average net assets **            |  |                                               | 5.65        | % |                          |   | 6.35        | % 
|Ratio of credit facility related expenses to average net assets |  |                                               | 0.94        | % |                          |   | 2.54        | % 
|                                                                |  |                                               |             |   |                          |   |             |   
|Ratio of total expenses to average net assets **                |  |                                               | 6.59        | % |                          |   | 8.89        | % 
|                                                                |  |                                               |             |   |                          |   |             |   
|Average debt outstanding                                        |  | $                                             | 1,032,856   |   |                          | $ | 1,193,809   |   
|                                                                |  |                                               |             |   |                          |   |             |   
|Average debt per share                                          |  | $                                             | 6.71        |   |                          | $ | 8.56        |   
|                                                                |  |                                               |             |   |                          |   |             |   
|Portfolio turnover ratio                                        |  |                                               | 6.5         | % |                          |   | 11.2        | % 
|                                                                |  |                                               |             |   |                          |   |             |   



|(1) | Dividends and distributions are determined based on taxable income calculated in accordance with income tax regulations which may differ from amounts determined under
accounting principles generally accepted in the United States of America. Per share amounts reflect total dividends paid divided by average shares for the respective periods.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Total return is based on the change in market price per share during the respective periods. Total return also takes into account dividends and distributions, if any,
reinvested in accordance with the Companys dividend reinvestment plan. Total return is not annualized.
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|* | Represents less than one cent per average share.
|- | ------------------------------------------------

|** | The ratio of operating expenses to average net assets and the ratio of total expenses to average net assets is 5.65% and 6.59%, respectively, for the nine months ended
December 31, 2009, inclusive of the expense offset arrangement (see Note 8). For the year ended March 31, 2009, the ratios were 6.33% and 8.87%, respectively.
|-- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



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##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



Note 12. Credit Agreement and Borrowings

Under the terms of the Amended and Restated Senior Secure Revolving Credit Agreement dated March 31, 2006 (the Facility), as
amended on December 21, 2009, the lenders agreed to extend credit to Apollo Investment in an aggregate principal or face amount not exceeding $1,558,750 at any one time outstanding. The Facility also permits Apollo Investment to seek additional
commitments from new and existing lenders in the future, up to an aggregate amount not to exceed $2,000,000. On December 21, 2009, Apollo Investment amended the Facility to extend the maturity date of certain lenders commitments totaling
$1,178,750 until April 12, 2013. The commitments of certain non-extended lenders totaling $380,000 will mature on April 13, 2011. The Facility is secured by substantially all of the assets in Apollo Investments portfolio, including
cash and cash equivalents. Pricing with respect to the commitments of extended lenders is at 300 basis points over LIBOR while pricing with respect to the non-extended lenders remains at 100 basis points over LIBOR. The Facility contains affirmative
and restrictive covenants, including: (a) periodic financial reporting requirements, (b) maintaining minimum stockholders equity of the greater of (i) 40% of the total assets of Apollo Investment and its consolidated
subsidiaries as at the last day of any fiscal quarter and (ii) the sum of (A) $725,000 plus (B) 25% of the net proceeds from the sale of equity interests in Apollo Investment after the closing date of the Facility,
(c) maintaining a ratio of total assets, less total liabilities (other than indebtedness) to total indebtedness, in each case of Apollo Investment and its consolidated subsidiaries, of not less than 2.0:1.0, (d) maintaining minimum
liquidity, (e) limitations on the incurrence of additional indebtedness, including a requirement to meet a certain minimum liquidity threshold before Apollo Investment can incur such additional debt, (f) limitations on liens,
(g) limitations on investments (other than in the ordinary course of Apollo Investments business), (h) limitations on mergers and disposition of assets (other than in the normal course of Apollo Investments business
activities), (i) limitations on the creation or existence of agreements that permit liens on properties of Apollo Investments consolidated subsidiaries and (j) limitations on the repurchase or redemption of certain unsecured debt and
debt securities. In addition to the asset coverage ratio described in clause (c) of the preceding sentence, borrowings under the Facility (and the incurrence of certain other permitted debt) are subject to compliance with a borrowing base that
applies different advance rates to different types of assets in Apollo Investments portfolio. The Facility is used to supplement Apollo Investments equity capital to make additional portfolio investments and for other general corporate
purposes.

The average debt outstanding on the credit facility was $1,032,856 and $1,216,205 for the nine months ended
December 31, 2009 and 2008, respectively. The weighted average annual interest cost for the nine months ended December 31, 2009 was 1.53%, exclusive of 0.33% for commitment fees and for other prepaid expenses related to establishing the
credit facility. The weighted average annual interest cost for the nine months ended December 31, 2008 was 4.38%, exclusive of 0.20% for commitment fees and for other prepaid expenses related to establishing the Facility. This weighted average
annual interest cost reflects the average interest cost for all borrowings, including EURIBOR, CAD LIBOR, GBP LIBOR and USD LIBOR. The remaining capacity under the facility was $611,085 at December 31, 2009. At December 31, 2009, the
Company was in compliance with all financial and operational covenants required by the Facility.

Note 13. Commitments and Contingencies

The Company has the ability to issue standby letters of credit through its revolving credit facility. At December 31,
2009 and December 31, 2008, the Company had issued standby letters of credit through JPMorgan Chase Bank, N.A. totaling $4,208 and $2,661, respectively.

Note 14. Subsequent Events

The Company has no material events to report
subsequent to the measurement date of these financial statements through the date that such were issued on February 8, 2010.



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##### Table of Contents

Report of Independent Registered Public Accounting Firm

To the Board of Directors and Shareholders of

Apollo Investment Corporation

We have reviewed the accompanying statements of assets and
liabilities of Apollo Investment Corporation (the Company), including the schedule of investments, as of December 31, 2009 and the related statements of operations for the three and nine month periods ended December 31, 2009
and December 31, 2008, and the statement of cash flows for the nine month periods ended December 31, 2009 and December 31, 2008, and the statement of changes in net assets for the nine month period ended December 31, 2009. These
interim financial statements are the responsibility of the Companys management.

We conducted our review in accordance with the
standards of the Public Company Accounting Oversight Board (United States). A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting
matters. It is substantially less in scope than an audit conducted in accordance with the standards of the Public Company Accounting Oversight Board (United States), the objective of which is the expression of an opinion regarding the financial
statements taken as a whole. Accordingly, we do not express such an opinion.

Based on our review, we are not aware of any material
modifications that should be made to the accompanying interim financial statements for them to be in conformity with accounting principles generally accepted in the United States of America.

We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statement of assets and
liabilities, including the schedule of investments, as of March 31, 2009, and the related statement of operations, of cash flows, and statement of changes in net assets for the year then ended, and in our report dated May 29, 2009, we
expressed an unqualified opinion on those financial statements. In our opinion, the information set forth in the accompanying statement of assets and liabilities as of March 31, 2009 and in the statement of changes in net assets for the year
then ended, is fairly stated in all material respects in relation to the statement of assets and liabilities from which it has been derived.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

New York, New York

February 8, 2010



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##### Table of Contents

|Item 2. | Managements Discussion and Analysis of Financial Condition and Results of Operations
|------- | -------------------------------------------------------------------------------------

The following analysis of our financial condition and results of operations should be read in conjunction with our financial statements and
the notes thereto contained elsewhere in this report.

Some of the statements in this report constitute forward-looking
statements, which relate to future events or our future performance or financial condition. The forward-looking statements contained herein involve risks and uncertainties, including statements as to:



| |  |  | our future operating results;
| | - |  | -----------------------------



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



| |  |  | the impact of investments that we expect to make;
| | - |  | -------------------------------------------------



| |  |  | our contractual arrangements and relationships with third parties;
| | - |  | ------------------------------------------------------------------



| |  |  | the dependence of our future success on the general economy and its impact on the industries in which we invest;
| | - |  | ----------------------------------------------------------------------------------------------------------------



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



| |  |  | our expected financings and investments;
| | - |  | ----------------------------------------



| |  |  | the adequacy of our cash resources and working capital; and
| | - |  | -----------------------------------------------------------



| |  |  | the timing of cash flows, if any, from the operations of our portfolio companies.
| | - |  | ---------------------------------------------------------------------------------

We generally use words such as anticipates, believes, expects, intends and similar
expressions to identify forward-looking statements. Our actual results could differ materially from those projected in the forward-looking statements for any reason, including any factors set forth in Risk Factors and elsewhere in this
report.

We have based the forward-looking statements included in this report on information available to us on the date of
this report, and we assume no obligation to update any such forward-looking statements. Although we undertake no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, you
are advised to consult any additional disclosures that we may make directly to you or through reports that we in the future may file with the SEC, including any annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form
8-K.

OVERVIEW

Apollo Investment was incorporated under the Maryland General Corporation Law in February 2004. We have elected to be treated as a BDC under the 1940 Act. As such, we are required to comply with certain regulatory requirements. For
instance, we generally have to invest at least 70% of our total assets in qualifying assets, including securities of private or thinly traded public U.S. companies, cash equivalents, U.S. government securities and high-quality debt
investments that mature in one year or less. In addition, for federal income tax purposes we have elected to be treated as a RIC under Subchapter M of the Internal Revenue Code of 1986, as amended. Pursuant to this election and assuming we qualify
as a RIC, we generally do not have to pay corporate-level federal income taxes on any income we distribute to our stockholders. Apollo Investment commenced operations on April 8, 2004 upon completion of its initial public offering that raised
$870 million in net proceeds selling 62 million shares of its common stock at a price of $15.00 per share. Since then, and through December 31, 2009, we have raised approximately $1.7 billion in net proceeds from additional offerings of
common stock.



37



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##### Table of Contents

Investments

Our level of investment activity can and does vary substantially from period to period depending on many factors, including the amount of
debt and equity capital available to middle market companies, the level of merger and acquisition activity for such companies, the general economic environment and the competitive environment for the types of investments we make. As a business
development company, we must not acquire any assets other than qualifying assets specified in the 1940 Act unless, at the time the acquisition is made, at least 70% of our total assets are qualifying assets (with certain limited
exceptions). Qualifying assets include investments in eligible portfolio companies. Pursuant to rules adopted in 2006, the SEC expanded the definition of eligible portfolio company to include certain public companies that do
not have any securities listed on a national securities exchange. The SEC also adopted an additional rule under the 1940 Act to expand the definition of eligible portfolio company to include companies whose securities are listed on a
national securities exchange but whose market capitalization is less than $250 million. This rule became effective on July 21, 2008.

Revenue

We generate revenue primarily in the form of interest and
dividend income from the debt and preferred securities we hold and capital gains, if any, on investment securities that we may acquire in portfolio companies. Our debt investments, whether in the form of mezzanine or senior secured loans, generally
have a stated term of five to ten years and bear interest at a fixed rate or a floating rate usually determined on the basis of a benchmark: LIBOR, EURIBOR, GBP LIBOR, or the prime rate. Interest on debt securities is generally payable quarterly or
semiannually and while U.S. subordinated debt and corporate notes typically accrue interest at fixed rates, some of our investments may include zero coupon and/or step-up bonds that accrue income on a constant yield to call or maturity basis. In
addition, some of our investments provide for PIK. Such amounts of accrued PIK interest or dividends are added to the cost of the investment on the respective capitalization dates and generally become due at maturity. We may also generate revenue in
the form of dividends paid to us on equity investments as well as revenue in the form of commitment, origination, structuring fees, fees for providing managerial assistance and, if applicable, consulting fees, etc.

Expenses

All investment professionals of the investment adviser and their staff, when and to the extent engaged in providing investment advisory and management services to us, and the compensation and routine overhead expenses of that personnel
which is allocable to those services are provided and paid for by AIM. We bear all other costs and expenses of our operations and transactions, including those relating to:



| |  |  | investment advisory and management fees;
| | - |  | ----------------------------------------



| |  |  | expenses incurred by AIM payable to third parties, including agents, consultants or other advisors, in monitoring our financial and legal affairs and
in monitoring our investments and performing due diligence on our prospective portfolio companies;
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | calculation of our net asset value (including the cost and expenses of any independent valuation firm);
| | - |  | -------------------------------------------------------------------------------------------------------



| |  |  | direct costs and expenses of administration, including independent registered public accounting and legal costs;
| | - |  | ----------------------------------------------------------------------------------------------------------------



| |  |  | costs of preparing and filing reports or other documents with the SEC;
| | - |  | ----------------------------------------------------------------------



| |  |  | interest payable on debt, if any, incurred to finance our investments;
| | - |  | ----------------------------------------------------------------------



| |  |  | offerings of our common stock and other securities;
| | - |  | ---------------------------------------------------



| |  |  | registration and listing fees;
| | - |  | ------------------------------



38



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##### Table of Contents

| |  |  | fees payable to third parties, including agents, consultants or other advisors, relating to, or associated with, evaluating and making investments;
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | transfer agent and custodial fees;
| | - |  | ----------------------------------



| |  |  | taxes;
| | - |  | ------



| |  |  | independent directors fees and expenses;
| | - |  | -----------------------------------------



| |  |  | marketing and distribution-related expenses;
| | - |  | --------------------------------------------



| |  |  | the costs of any reports, proxy statements or other notices to stockholders, including printing and postage costs;
| | - |  | ------------------------------------------------------------------------------------------------------------------



| |  |  | our allocable portion of the fidelity bond, directors and officers/errors and omissions liability insurance, and any other insurance premiums;
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | organization and offering; and
| | - |  | ------------------------------



| |  |  | all other expenses incurred by us or the Administrator in connection with administering our business, such as our allocable portion of overhead under
the administration agreement, including rent and our allocable portion of the cost of our chief financial officer and chief compliance officer and their respective staffs.
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

We expect our general and administrative operating expenses related to our ongoing operations to increase moderately in dollar terms. During
periods of asset growth, we generally expect our general and administrative operating expenses to decline as a percentage of our total assets and increase during periods of asset declines. Incentive fees, interest expense and costs relating to
future offerings of securities, among others, may also increase or reduce overall operating expenses based on portfolio performance, benchmarks LIBOR and EURIBOR, and offerings of our securities relative to comparative periods, among other factors.

Portfolio and Investment Activity

During the three months ended December 31, 2009, we invested $211.8 million across 2 new and several existing portfolio companies. This compares to investing $21.9 million in 1 new and 3 existing
portfolio companies for the three months ended December 31, 2008. Investments sold or prepaid during the three months ended December 31, 2009, totaled $66.6 million versus $144.3 million for the three months ended December 31, 2008.

At December 31, 2009, our portfolio consisted of 70 portfolio companies and was invested 28% in senior secured loans,
58% in subordinated debt, 3% in preferred equity and 11% in common equity and warrants measured at fair value versus 73 portfolio companies invested 24% in senior secured loans, 59% in subordinated debt, 4% in preferred equity and 13% in common
equity and warrants at December 31, 2008.

The weighted average yields on our senior secured loan portfolio, subordinated
debt portfolio and total debt portfolio at our current cost basis were 8.2%, 13.4% and 11.6%, respectively, at December 31, 2009. At December 31, 2008, the yields on our senior secured loan portfolio, subordinated debt portfolio and total
debt portfolio were 9.0%, 13.3%, and 12.1%, respectively.

Since the initial public offering of Apollo Investment Corporation
in April 2004 and through December 31, 2009, invested capital totaled $5.9 billion in 126 portfolio companies. Over the same period, the Company completed transactions with more than 85 different financial sponsors.

At December 31, 2009, 63% or $1.6 billion of our income-bearing investment portfolio is fixed rate debt and 37% or $0.9 billion is
floating rate debt, measured at fair value. At December 31, 2008, 70% or $1.6 billion of our income-bearing investment portfolio was fixed rate debt and 30% or $0.7 billion was floating rate debt.



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CRITICAL ACCOUNTING POLICIES

Our discussion and analysis of our financial condition and results of operations are based upon our financial statements, which have been
prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP. The preparation of these financial statements requires management to make estimates and assumptions that affect the reported amounts of
assets, liabilities, revenues and expenses. Changes in the economic environment, financial markets and any other parameters used in determining such estimates could cause actual results to differ materially. In addition to the discussion below, our
critical accounting policies are further described in the notes to the financial statements.

Valuation of Portfolio Investments

Under procedures established by our Board of Directors, we value investments, including certain subordinated debt, senior
secured debt and other debt securities with maturities greater than 60 days, for which market quotations are readily available, at such market quotations (unless they are deemed not to represent fair value). We attempt to obtain market quotations
from at least two brokers or dealers (if available, otherwise from a principal market maker or a primary market dealer or other independent pricing service). We utilize mid-market pricing as a practical expedient for fair value unless a different
point within the range is more representative. If and when market quotations are deemed not to represent fair value, we typically utilize independent third party valuation firms to assist us in determining fair value. Accordingly, such investments
went through our multi-step valuation process as described below. In each case, our independent valuation firms considered observable market inputs together with significant unobservable inputs in arriving at their valuation recommendations for such
Level 3 categorized assets. Investments maturing in 60 days or less are valued at cost plus accreted discount, or minus amortized premium, which approximates fair value. Debt and equity securities that are not publicly traded or whose market
quotations are not readily available are valued at fair value as determined in good faith by or under the direction of our Board of Directors. Such determination of fair values may involve subjective judgments and estimates.

With respect to investments for which market quotations are not readily available or when such market quotations are deemed not to represent
fair value, our board of directors has approved a multi-step valuation process each quarter, as described below:



| | (1) | our quarterly valuation process begins with each portfolio company or investment being initially valued by the investment professionals of our investment adviser
responsible for the portfolio investment;
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (2) | preliminary valuation conclusions are then documented and discussed with senior management of our investment adviser;
| | --- | ---------------------------------------------------------------------------------------------------------------------



| | (3) | independent valuation firms engaged by our board of directors conduct independent appraisals and review our investment advisers preliminary valuations and make
their own independent assessment;
| | --- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (4) | the audit committee of the board of directors reviews the preliminary valuation of our investment adviser and that of the independent valuation firm and responds to the
valuation recommendation of the independent valuation firm to reflect any comments; and
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (5) | the board of directors discusses valuations and determines the fair value of each investment in our portfolio in good faith based on the input of our investment
adviser, the respective independent valuation firm and the audit committee.
| | --- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Investments in all asset classes
are valued utilizing a market approach, an income approach, or both approaches, as appropriate. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities
(including a business). The income approach uses valuation techniques to convert future amounts (for example, cash flows or earnings) to a single present amount (discounted). The measurement is based on the value indicated by current market
expectations about



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those future amounts. In following these approaches, the types of factors that we may take into account in fair value pricing our investments include, as relevant: available current market data,
including relevant and applicable market trading and transaction comparables, applicable market yields and multiples, security covenants, call protection provisions, information rights, the nature and realizable value of any collateral, the
portfolio companys ability to make payments, its earnings and discounted cash flows, the markets in which the portfolio company does business, comparisons of financial ratios of peer companies that are public, M&A comparables, our
principal market (as the reporting entity) and enterprise values, among other factors. When available, broker quotations and/or quotations provided by pricing services are considered in the valuation process of independent valuation firms. For the
fiscal quarter ended December 31, 2009, there has been no change to the Companys valuation techniques and related inputs considered in the valuation process.

In September 2006, the Financial Accounting Standards Board issued guidance related to Fair Value Measurements. This guidance defines fair value, establishes a framework for measuring fair value in GAAP,
and expands disclosures about fair value measurements. This guidance was effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those years. We adopted this guidance for our
first fiscal quarter ended June 30, 2008.

ASC 820 classifies the inputs used to measure these fair values into the
following hierarchy:

Level 1: Quoted prices in active markets for identical assets or liabilities, accessible by
the Company at the measurement date.

Level 2: Quoted prices for similar assets or liabilities in active markets,
or quoted prices for identical or similar assets or liabilities in markets that are not active, or other observable inputs other than quoted prices.

Level 3: Unobservable inputs for the asset or liability.

In all
cases, the level in the fair value hierarchy within which the fair value measurement in its entirety falls has been determined based on the lowest level of input that is significant to the fair value measurement. Our assessment of the significance
of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each investment.

On October 10, 2008, revised guidance was issued which provides examples of how to determine fair value in a market that is not active. It did not change the fair value measurement principles set
forth in ASC 820. Furthermore, on April 9, 2009, the FASB issued additional revised guidance which provides information on estimating fair value when the volume and level of activity for the asset or liability have significantly decreased. It
also includes guidance on identifying circumstances that indicate a transaction is not orderly. According to this guidance in the above circumstances, more analysis and significant adjustments to transaction or quoted prices may be necessary to
estimate fair value. In addition, it requires disclosure of any changes in valuation techniques and related inputs resulting from the application. The total effect of the change in valuation techniques and related inputs must also be disclosed by
major asset category. This revised guidance was effective for periods ending after June 15, 2009. The adoption did not have a material effect on the Companys financial position or results of operations. Accounting Standards Update
No. 2010-06, Improving Disclosure about Fair Value Measurements was released in January 2010 and is effective for periods beginning after December 15, 2009. This update improves financial statement disclosure around transfers in and out of
level 1 and 2 fair value measurements, around valuation techniques and inputs and around other related disclosures. Transfers between levels, if any, are recognized at the end of the reporting period. See certain additional disclosures in Note 6.

Revenue Recognition

The Company records interest and dividend income, adjusted for amortization of premium and accretion of discount, on an accrual basis. Some of our loans and other investments, including certain preferred equity investments may have
contractual PIK interest or dividends. PIK represents contractual interest or dividends



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accrued and is added to the cost of the investment on the respective capitalization dates and generally becomes due at maturity. Loan origination fees, original issue discount, and market
discounts are capitalized and we amortize such amounts into income. Upon the prepayment of a loan, any unamortized loan origination fees are recorded as interest income. We record prepayment premiums on loans and other investments as interest income
when we receive such amounts. Structuring fees are recorded as other income when earned.

Net Realized Gains or Losses and Net Change in
Unrealized Appreciation or Depreciation

We measure realized gains or losses by the difference between the net proceeds
from the repayment or sale and the amortized cost basis of the investment, without regard to unrealized appreciation or depreciation previously recognized, but considering unamortized upfront fees and prepayment penalties. Net change in unrealized
appreciation or depreciation reflects the change in portfolio investment values during the reporting period, including the reversal of previously recorded unrealized appreciation or depreciation, when gains or losses are realized.

Within the context of these critical accounting policies, we are not currently aware of any reasonably likely events or circumstances that
would result in materially different amounts being reported.

RESULTS OF OPERATIONS

Results comparisons are for the three and nine months ended December 31, 2009 and December 31, 2008.

Investment Income

For the
three and nine months ended December 31, 2009, gross investment income totaled $85.6 million and $252.6 million, respectively. For the three and nine months ended December 31, 2008, gross investment income totaled $97.5 million
and $292.0 million, respectively. The decrease in gross investment income for the three and nine months ended December 31, 2009, was primarily due to two factors: the reduction of the size of the income producing portfolio for the three and
nine month periods as well as the reduction in the yield of the overall income producing portfolio with average LIBOR decreasing approximately 200 basis points. Origination, closing and/or commitment fees associated with investments in portfolio
companies are accreted into interest income over the respective terms of the applicable loans.

Expenses

Net operating expenses totaled $34.2 million and $100.5 million, respectively, for the three and nine months ended December 31, 2009, of
which $26.4 million and $77.6 million, respectively, were base management fees and performance-based incentive fees and $5.0 million and $14.5 million, respectively, were interest and other credit facility expenses. Of these net operating expenses,
general and administrative expenses totaled $2.8 million and $8.4 million, respectively, for the three and nine months ended December 31, 2009. Net operating expenses totaled $43.9 million and $135.6 million, respectively, for the three and
nine months ended December 31, 2008, of which $27.9 million and $86.0 million, respectively, were base management fees and performance-based incentive fees and $13.7 million and $42.0 million, respectively, were interest and other credit
facility expenses. Of these net operating expenses, general and administrative expenses totaled $2.3 million and $7.7 million, respectively, for the three and nine months ended December 31, 2008. Net expenses consist of base investment advisory
and management fees, insurance expenses, administrative services fees, legal fees, directors fees, audit and tax services expenses, and other general and administrative expenses. The decrease in net expenses for the three and nine month
periods ended December 31, 2009 versus the three and nine month periods ended December 31, 2008 was primarily related to the decrease in the weighted average interest expense on our revolving credit facility. This decrease in weighted
average interest expense is due primarily to average LIBOR decreasing by approximately 200 basis points. For the three and nine months ended December 31, 2009, accrued excise tax expenses totaled $1.2 million. For the three and nine months
ended December 31, 2008, accrued excise tax expenses totaled $0.9 million.



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Net Investment Income

The Companys net investment income totaled $50.2 million and $150.9 million or $0.30 and $0.99 per average share, respectively, for the three and nine months ended December 31, 2009. For the three
and nine months ended December 31, 2008, net investment income totaled $52.8 million and $155.6 million or $0.37 and $1.12 per average share, respectively.

Net Realized Gains (Losses) on Investments, Cash Equivalents and Foreign Currencies

The Company had investment sales and prepayments totaling $66.6 million and $167.1 million, respectively, for the three and nine months ended December 31, 2009. For the three and nine months ended December 31, 2008, investment sales and
prepayments totaled $144.3 million and $254.7 million, respectively. Net realized losses for the three and nine months ended December 31, 2009 were $152.0 million and $253.4 million, respectively. For the three and nine months ended December 31,
2008, net realized losses totaled $3.6 million and $63.4 million, respectively.

Net Unrealized Appreciation (Depreciation) on Investments,
Cash Equivalents and Foreign Currencies

For the three and nine months ended December 31, 2009, the Companys
investments, cash equivalents, foreign currencies and other assets and liabilities had net appreciation of $181.4 million and $375.6 million, respectively. For the three and nine months ended December 31, 2008, the Companys investments, cash
equivalents, foreign currencies and other assets and liabilities had net depreciation of $524.8 million and $733.9 million, respectively. This net unrealized appreciation was primarily due to improving capital market conditions and net changes in
specific portfolio company fundamentals.

Net Increase (Decrease) in Net Assets From Operations

For the three and nine months ended December 31, 2009, the Company had a net increase in net assets resulting from operations of $79.5
million and $273.2 million, respectively. For the three and nine months ended December 31, 2008, the Company had a net decrease in net assets resulting from operations of $475.5 million and $641.7 million, respectively. The earnings per average
share were $0.48 and $1.78 for the three and nine months ended December 31, 2009, respectively. For the three and nine months ended December 31, 2008, the loss per average share was $3.34 and $4.63, respectively.

LIQUIDITY AND CAPITAL RESOURCES

The Companys liquidity and capital resources are generated and generally available through periodic follow-on equity offerings, through its senior secured, multi-currency $1.56 billion revolving credit facility (see note 12 within the
Notes to Financial Statements), through investments in special purpose entities in which we hold and finance particular investments on a non-recourse basis, as well as from cash flows from operations, investment sales of liquid assets and
prepayments of senior and subordinated loans and income earned from investments and cash equivalents. At December 31, 2009, the Company had $948 million in borrowings outstanding and $611 million of unused capacity. In the future, the Company
may raise additional equity or debt capital off its shelf registration, among other considerations. The primary use of funds will be investments in portfolio companies, cash distributions to our stockholders, reductions in debt outstanding and other
general corporate purposes. On December 15, 2009, the Company closed on its most recent follow-on public equity offering of 11.5 million shares of common stock at $9.82 per share raising approximately $107.8 million in net proceeds.



|                                             |  |                                              |     |                 |   |           |  |           |     |                  |   |     |  |   |  
|-------------------------------------------- |  | -------------------------------------------- | --- | --------------- | - | --------- |  | --------- | --- | ---------------- | - | --- |  | - | -
|                                             |  | Payments due by Period (dollars in millions)
|                                             |  | Total                                        |     | Less than1 year |   | 1-3 years |  | 3-5 years |     | More than5 years
|Senior Secured Revolving Credit Facility (1) |  | $                                            | 948 |                 | $ |          |  | $         | 231 |                  | $ | 717 |  | $ | 



|(1) | At December 31, 2009, $611 million remained unused under our senior secured revolving credit facility.
|--- | ------------------------------------------------------------------------------------------------------



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Information about our senior securities is shown in the following table as of each year
ended March 31 since the Company commenced operations, unless otherwise noted. The  indicates information which the SEC expressly does not require to be disclosed for certain types of senior securities.



|                                        |  |                                                  |           |                           |   |                                              |  |                                 |   |  |    
|--------------------------------------- |  | ------------------------------------------------ | --------- | ------------------------- | - | -------------------------------------------- |  | ------------------------------- | - |  | ---
|Class and Year                          |  | Total AmountOutstanding(dollars inthousands) (1) |           | AssetCoveragePer Unit (2) |   | InvoluntaryLiquidatingPreferencePer Unit (3) |  | AverageMarket ValuePer Unit (4)
|Revolving Credit Facility               |  |                                                  |           |                           |   |                                              |  |                                 |   |  |    
|Fiscal 2010 (through December 31, 2009) |  | $                                                | 947,665   |                           | $ | 2,928                                        |  | $                               |  |  | N/A
|Fiscal 2009                             |  |                                                  | 1,057,601 |                           |   | 2,320                                        |  |                                 |  |  | N/A
|Fiscal 2008                             |  |                                                  | 1,639,122 |                           |   | 2,158                                        |  |                                 |  |  | N/A
|Fiscal 2007                             |  |                                                  | 492,312   |                           |   | 4,757                                        |  |                                 |  |  | N/A
|Fiscal 2006                             |  |                                                  | 323,852   |                           |   | 4,798                                        |  |                                 |  |  | N/A
|Fiscal 2005                             |  |                                                  | 0         |                           |   | 0                                            |  |                                 |  |  | N/A



|(1) | Total amount of each class of senior securities outstanding at the end of the period presented.
|--- | -----------------------------------------------------------------------------------------------

|(2) | The asset coverage ratio for a class of senior securities representing indebtedness is calculated as our consolidated total assets, less all liabilities and
indebtedness not represented by senior securities, divided by senior securities representing indebtedness. This asset coverage ratio is multiplied by $1,000 to determine the Asset Coverage Per Unit.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(3) | The amount to which such class of senior security would be entitled upon the involuntary liquidation of the issuer in preference to any security junior to it.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------

|(4) | Not applicable, as senior securities are not registered for public trading.
|--- | ---------------------------------------------------------------------------

Contractual Obligations

We have entered into two contracts under which we
have future commitments: the investment advisory and management agreement, pursuant to which AIM has agreed to serve as our investment adviser, and the administration agreement, pursuant to which the Administrator has agreed to furnish us with the
facilities and administrative services necessary to conduct our day-to-day operations and provide on our behalf managerial assistance to those portfolio companies to which we are required to provide such assistance. Payments under the investment
advisory and management agreement are equal to (1) a percentage of the value of our average gross assets and (2) a two-part incentive fee. Payments under the administration agreement are equal to an amount based upon our allocable
portion of the Administrators overhead in performing its obligations under the administration agreement, including rent, technology systems, insurance and our allocable portion of the costs of our chief financial officer and chief
compliance officer and their respective staffs. Either party may terminate each of the investment advisory and management agreement and administration agreement without penalty upon not more than 60 days written notice to the other.
Please see Note 3 within our financial statements for more information.

Off-Balance Sheet Arrangements (dollars in thousands)

The Company has the ability to issue standby letters of credit through our revolving credit facility. As of
December 31, 2009 and December 31, 2008, the Company had issued through JPMorgan Chase Bank, N.A. standby letters of credit totaling $4,208 and $2,661, respectively.

AIC Credit Opportunities Fund LLC (currencies in thousands)

We own all of
the common member interests in AIC Credit Opportunity Fund LLC (AIC Holdco), which was formed for the purpose of holding various financed investments. Effective in June 2008, we invested $39,500 in a special purpose entity wholly owned
by AIC Holdco, AIC (FDC) Holdings LLC (Apollo FDC), which was used to purchase a Junior Profit-Participating Note due 2013 in principal amount of $39,500 (the



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Junior Note) from Apollo I Trust (the Trust). The Trust also issued a Senior Floating Rate Note due 2013 (the Senior Note) to an unaffiliated third party
(FDC Counterparty) in principal amount of $39,500 paying interest at Libor plus 1.50%, increasing over time to Libor plus 2.0%. The Trust used the aggregate $79,000 proceeds to acquire $100,000 face value of a senior subordinated loan of
First Data Corporation (the FDC Reference Obligation) due 2016 and paying interest at 11.25% per year. The Junior Note generally entitles Apollo FDC to the net interest and other proceeds due under the FDC Reference Obligation after
payment of interest due under the Senior Notes, as described above. In addition, Apollo FDC is entitled to 100% of any realized appreciation in the FDC Reference Obligation and, since the Senior Note is a non-recourse obligation, Apollo FDC is
exposed up to the amount of equity used by AIC Holdco to fund the purchase of the Junior Note plus any additional margin Apollo decides to post, if any, during the term of the financing.

Through AIC Holdco, effective in June 2008, we invested $11,375 in a special purpose entity wholly owned by AIC Holdco, AIC (TXU) Holdings
LLC (Apollo TXU), which acquired exposure to $50,000 notional amount of a Libor plus 3.5% senior secured delayed draw term loan of Texas Competitive Electric Holdings (TXU) due 2014 through a non-recourse total return swap
with an unaffiliated third party expiring on October 10, 2013 and pursuant to which Apollo TXU pays interest at Libor plus 1.5% and generally receives all proceeds due under the delayed draw term loan of TXU (the TXU Reference
Obligation). Like Apollo FDC, Apollo TXU is entitled to 100% of any realized appreciation in the TXU Reference Obligation and, since the total return swap is a non-recourse obligation, Apollo TXU is exposed up to the amount of equity used by
AIC Holdco to fund the investment in the total return swap, plus any additional margin we decide to post, if any, during the term of the financing.

Through AIC Holdco, effective in September 2008, we invested $10,022 equivalent, in a special purpose entity wholly owned by AIC Holdco, AIC (Boots) Holdings, LLC (Apollo Boots), which
acquired 23,383 and £12,465 principal amount of senior term loans of AB Acquisitions Topco 2 Limited, a holding company for the Alliance Boots group of companies (the Boots Reference Obligations), out of the proceeds of our
investment and a multicurrency $40,876 equivalent non-recourse loan to Apollo Boots (the Acquisition Loan) by an unaffiliated third party that matures in September 2013 and pays interest at LIBOR plus 1.25% or, in certain cases, the
higher of the Federal Funds Rate plus 0.50% or the lenders prime-rate. The Boots Reference Obligations pay interest at the rate of LIBOR plus 3% per year and mature in June 2015.

Pursuant to applicable investment company accounting, we do not consolidate AIC Holdco or its wholly owned subsidiaries and accordingly only
the value of our investment in AIC Holdco is included on our balance sheet. The Senior Note, total return swap and Acquisition Loan are non-recourse to AIC Holdco, its subsidiaries and us and have standard events of default including failure to pay
contractual amounts when due and failure by each of the underlying Apollo special purpose entities to provide additional credit support, sell assets or prepay a portion of its obligations if the value of the FDC Reference Obligation, the TXU
Reference Obligation or the Boots Reference Obligation, as applicable, declines below specified levels. We may unwind any of these transactions at any time without penalty. From time to time Apollo Investment may provide additional capital to AIC
Holdco for purposes of funding margin calls under one or more of the transactions described above among other reasons. During the fiscal year ended March 31, 2009, we provided $18,480 in additional capital to AIC Holdco. During the nine months
ended December 31, 2009, $7,812 of net capital was returned to us from AIC Holdco.

Dividends

Dividends to stockholders for the three and nine months ended December 31, 2009 totaled $49.2 million or $0.28 per share, and $132.0
million or $0.82 per share, respectively. For the three and nine months ended December 31, 2008 dividends totaled $74.0 million or $0.52 per share, and $221.9 million or $1.56 per share, respectively. Tax characteristics of all dividends will
be reported to shareholders on Form 1099 after the end of the calendar year. Our quarterly dividends, if any, will be determined by our Board of Directors.



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We have elected to be taxed as a RIC under Subchapter M of the Internal Revenue Code of
1986. To maintain our RIC status, we must distribute at least 90% of our ordinary income and realized net short-term capital gains in excess of realized net long-term capital losses, if any, out of the assets legally available for distribution. In
addition, although we currently intend to distribute realized net capital gains (i.e., net long-term capital gains in excess of short-term capital losses), if any, at least annually, out of the assets legally available for such distributions,
we may in the future decide to retain such capital gains for investment.

We maintain an opt out dividend
reinvestment plan for our common stockholders. As a result, if we declare a dividend, then stockholders cash dividends will be automatically reinvested in additional shares of our common stock, unless they specifically opt out of
the dividend reinvestment plan so as to receive cash dividends.

We may not be able to achieve operating results that will
allow us to make distributions at a specific level or to increase the amount of these distributions from time to time. In addition, due to the asset coverage test applicable to us as a business development company, we may in the future be limited in
our ability to make distributions. Also, our revolving credit facility may limit our ability to declare dividends if we default under certain provisions. If we do not distribute a certain percentage of our income annually, we will suffer adverse tax
consequences, including possible loss of the tax benefits available to us as a regulated investment company. In addition, in accordance with U.S. generally accepted accounting principles and tax regulations, we include in income certain amounts that
we have not yet received in cash, such as contractual payment-in-kind interest, which represents contractual interest added to the loan balance that becomes due at the end of the loan term, or the accrual of original issue or market discount. Since
we may recognize income before or without receiving cash representing such income, we may have difficulty meeting the requirement to distribute at least 90% of our investment company taxable income to obtain tax benefits as a regulated investment
company.

With respect to the dividends to stockholders, income from origination, structuring, closing, commitment and other
upfront fees associated with investments in portfolio companies is treated as taxable income and accordingly, distributed to stockholders.



|Item 3. | Quantitative and Qualitative Disclosures about Market Risk
|------- | ----------------------------------------------------------

We are subject to financial market risks, including changes in interest rates. During the three and nine months ended December 31, 2009, many of the loans in our portfolio had floating interest
rates. These loans are usually based on floating LIBOR and typically have durations of one to six months after which they reset to current market interest rates. As the percentage of our U.S. mezzanine and other subordinated loans increase as a
percentage of our total investments, we expect that more of the loans in our portfolio will have fixed rates. At December 31, 2009, our floating-rate assets and floating-rate liabilities were closely matched. As such, a change in interest rates
would not have a material effect on our net investment income. However, we may hedge against interest rate fluctuations from time-to-time by using standard hedging instruments such as futures, options and forward contracts subject to the
requirements of the 1940 Act. While hedging activities may insulate us against adverse changes in interest rates, they may also limit our ability to participate in the benefits of lower interest rates with respect to our portfolio of investments.
During the three and nine months ended December 31, 2009, we did not engage in interest rate hedging activities.



|Item 4. | Controls and Procedures
|------- | -----------------------

(a)
Evaluation of Disclosure Controls and Procedures

As of December 31, 2009 (the end of the period covered by this
report), we, including our Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of our disclosure controls and procedures (as defined in Rule 13a-15(e) of the 1934 Act). Based on that
evaluation, our management, including the Chief Executive Officer and Chief Financial Officer, concluded that our disclosure



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controls and procedures were effective and provided reasonable assurance that information required to be disclosed in our periodic SEC filings is recorded, processed, summarized and reported
within the time periods specified in the SECs rules
and forms, and that such information is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosure. However, in
evaluating the disclosure controls and procedures, management recognized that any controls and procedures, no matter how well designed and operated can provide only reasonable assurance of achieving the desired control objectives, and management
necessarily was required to apply its judgment in evaluating the cost-benefit relationship of such possible controls and procedures.

(b) Changes in Internal Controls Over Financial Reporting

There have been no changes in the
Companys internal control over financial reporting that occurred during the third quarter of fiscal 2010 that has materially affected, or is reasonably likely to materially affect, the Companys internal control over financial reporting.



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PART II. OTHER INFORMATION



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

We,
Apollo Investment Management, L.P. and Apollo Investment Administration, LLC are not currently subject to any material pending legal proceedings.



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

In addition
to the other information set forth in this report, you should carefully consider the factors discussed in our latest registration statement filed on Form N-2 on August 5, 2009 as well as in Part I Item 1A. Risk Factors in our
Annual Report on Form 10-K for the fiscal year ended March 31, 2009, which could materially affect our business, financial condition and/or operating results. The risks described in our Annual Report on Form 10-K are not the only risks
facing our Company. Additional risks and uncertainties not currently known to us or that we currently deem to be immaterial also may materially and adversely affect our business, financial condition and/or operating results.



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

None.



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

None.



|Item 4. | Submission of Matters to a Vote of Security Holders
|------- | ---------------------------------------------------

None.



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

(a) On
February 3, 2010 and effective as of such date, the Board of Directors approved the appointment of Ms. Cindy Michel as the Companys Chief Compliance Officer and the appointment of Mr. Joseph Glatt as the Companys Secretary. These
positions were previously held on an interim basis by Mr. John Suydam, who will continue in his capacity as Vice President and Chief Legal Officer of the Company.

Ms. Cindy Michel, age 36, is currently Director of Compliance at Apollo Global Management LLC. Prior to joining Apollo Global Management LLC in 2007, Ms. Michel served as the Director of Compliance of the
Private Equity Division and the Global Trading Strategies Group at the investment bank Lehman Brothers from 2004 to 2007. From 2003 to 2004, Ms. Michel was associated with the investment bank Credit-Suisse Securities as a member of its Compliance
Department supporting the Private Equity and Investment Banking businesses.

Mr. Joseph Glatt, age 36, is currently General
Counsel of Apollo Capital Management L.P., and Vice President of the Company, positions he has held since 2007 and 2009, respectively. Previously, Mr. Glatt was associated with the law firms of Simpson Thacher & Bartlett LLP from 1998 to 2003
and Schulte Roth & Zabel LLP from 2003 to 2007, in each case, primarily focusing on mergers and acquisitions, leveraged buyouts and capital markets activities.

(b) Changes to the Procedures for the Recommendation of Director Nominees by Stockholders. On and effective as of November 4, 2009, the Companys Board of Directors adopted the Third
Amended and Restated Bylaws (the Amended Bylaws) of the Company. The Amended Bylaws included certain material changes to the procedures by which our stockholders may recommend nominees to the Companys Board of Directors. The
Amended Bylaws were revised to: (a) clarify and enhance the information required of stockholders nominating



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directors at stockholder meetings, including information concerning the hedging activities of the proponents and associated persons, (b) require stockholders to notify the Company of any
materially inaccurate information they have submitted concerning such nominations, (c) alter the advance notice period for special meetings of stockholders from 150 to 120 days before the date of the meeting to 120 to 90 days prior and
(d) require stockholders to update information submitted to the Company concerning their nominees. For a complete copy of the Amended Bylaws, please see the Companys Third Amended and Restated Bylaws included as an exhibit to the
Companys Form 8-K filed on November 6, 2009.



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

(a) Exhibits

Listed below are the exhibits that are filed as part of this report (according to the number assigned to them in Item 601
of Regulation S-K):



|        |  |                                                                                                                         
|------- |  | ------------------------------------------------------------------------------------------------------------------------
|3.1     |  | Articles of Amendment and Restatement, as amended (1)                                                                   
|        | 
|3.2     |  | Third Amended and Restated Bylaws (5)                                                                                   
|        | 
|4.1     |  | Form of Stock Certificate (3)                                                                                           
|        | 
|10.1    |  | Investment Advisory Management Agreement between Registrant and Apollo Investment Management, L.P. (2)                  
|        | 
|10.1(b) |  | Supplement to the Investment Advisory Management Agreement between Registrant and Apollo Investment Management, L.P. (5)
|        | 
|10.2    |  | Administration Agreement between Registrant and Apollo Investment Administration, LLC (2)                               
|        | 
|10.3    |  | Dividend Reinvestment Plan (3)                                                                                          
|        | 
|10.4    |  | Custodian Agreement (3)                                                                                                 
|        | 
|10.5    |  | License Agreement between the Registrant and Apollo Management, L.P. (2)                                                
|        | 
|10.6    |  | Form of Transfer Agency and Service Agreement (2)                                                                       
|        | 
|10.7    |  | Amended and Restated Senior Secured Revolving Credit Agreement (4)                                                      
|        | 
|22.1    |  | Proxy Statement (6)                                                                                                     
|        | 
|31.1*   |  | Certification of Chief Executive Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934.          
|        | 
|31.2*   |  | Certification of Chief Financial Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934.          
|        | 
|32.1*   |  | Certification of Chief Executive Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350).    
|        | 
|32.2*   |  | Certification of Chief Financial Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350).    



|* | Filed herewith.
|- | ---------------

|(1) | Incorporated by reference from the Registrants post-effective Amendment No. 1 to the Registration Statement under the Securities Act of 1933, as amended, on
Form N-2, filed on August 14, 2006.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Incorporated by reference from the Registrants pre-effective Amendment No. 3 to the Registration Statement under the Securities Act of 1933, as amended, on
Form N-2, filed on April 1, 2004.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(3) | Incorporated by reference from the Registrants pre-effective Amendment No. 1 to the Registration Statement under the Securities Act of 1933, as amended, on
Form N-2, filed on March 12, 2004.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(4) | Incorporated by reference from the Registrants Form 8-K filed on December 23, 2009.
|--- | ------------------------------------------------------------------------------------

|(5) | Incorporated by reference from the Registrants Form 8-K filed on November 6, 2009.
|--- | -----------------------------------------------------------------------------------

|(6) | Incorporated by reference from the Registrants 14A filed on June 19, 2009.
|--- | ---------------------------------------------------------------------------



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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized on February 8, 2010.



APOLLO INVESTMENT CORPORATIONBy:

/s/    JAMES C.
ZELTERJames C. ZelterChief Executive OfficerBy:

/s/    RICHARD L. PETEKARichard L. PetekaChief Financial Officer and Treasurer




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