Table of Contents

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| Maryland                                                                                | 52-2439556 |
| (State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
|                                                                                    |   |
| 9 West 57th Street37th FloorNew York, N.Y.                                         | 10019 |
| (Address of principal executive office)                             | (Zip Code) |

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

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Table of Contents

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|              |  |  |
|         |   | PAGE   |
|         | PART I. FINANCIAL INFORMATION |   |
|         |   |   |
| Item 1. | FINANCIAL STATEMENTS | 3 |
|         |   |   |
|         | Statements of Assets and Liabilities as of December 31, 2013 and March 31, 2013 | 3 |
|         |   |   |
|         | Statements of Operations for the three and nine months ended December 31, 2013 and December 31, 2012 | 4 |
|         |   |   |
|         | Statements of Changes in Net Assets for the nine months ended December 31, 2013 and the year ended March 31, 2013 | 5 |
|         |   |   |
|         | Statements of Cash Flows for the nine months ended December 31, 2013 and December 31, 2012 | 6 |
|         |   |   |
|         | Schedule of Investments as of December 31, 2013 | 7 |
|         |   |   |
|         | Schedule of Investments as of March 31, 2013 | 18 |
|         |   |   |
|         | Notes to Financial Statements | 27 |
|         |   |   |
|         | Report of Independent Registered Public Accounting Firm | 51 |
|         |   |   |
| Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations | 52 |
|         |   |   |
| Item 3. | Quantitative and Qualitative Disclosures About Market Risk | 66 |
|         |   |   |
| Item 4. | Controls and Procedures | 66 |
|         |   |   |
|         | PART II. OTHER INFORMATION |   |
|         |   |   |
| Item 1. | Legal Proceedings | 67 |
|         |   |   |
| Item 1A.     | Risk Factors | 67 |
|         |   |   |
| Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds | 67 |
|         |   |   |
| Item 3. | Defaults Upon Senior Securities | 67 |
|         |   |   |
| Item 4.      | Mine Safety Disclosures | 67 |
|         |   |   |
| Item 5. | Other Information | 67 |
|         |   |   |
| Item 6. | Exhibits | 67 |
|         |   |   |
|         | Signatures | 68 |

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|                                                                                                                                                                                    |  |  |  |  |  |  |  |
|                                                                                                                                                                               | December 31, 2013 (unaudited) |   | March 31, 2013 |
| Assets                                                                                                                                                                             |   |   |   |
| Non-controlled/non-affiliated investments, at fair value (cost—$2,620,699 and $2,550,091, respectively)                                                                      | $ | 2,643,893 |  |   | $ | 2,414,307 |  |
| Non-controlled/affiliated investments, at fair value (cost—$164,914 and $124,006, respectively)                                                                              | 156,038 |  |   | 125,674 |  |
| Controlled investments, at fair value (cost—$394,787 and $345,204, respectively)                                                                                             | 383,680 |  |   | 310,418 |  |
| Total investments                                                                                                                                                                  | 3,183,611 |  |   | 2,850,399 |  |
|                                                                                                                                                                               |   |   |   |
| Cash                                                                                                                                                                               | 12,612 |  |   | 3,902 |  |
| Foreign currency (cost—$2,211 and $2,293, respectively)                                                                                                                      | 2,235 |  |   | 2,295 |  |
| Receivable for investments sold                                                                                                                                                    | 99,600 |  |   | 5,713 |  |
| Interest receivable                                                                                                                                                                | 40,626 |  |   | 51,990 |  |
| Dividends receivable                                                                                                                                                               | 6,848 |  |   | 2,703 |  |
| Deferred financing costs                                                                                                                                                           | 33,171 |  |   | 26,990 |  |
| Prepaid expenses and other assets                                                                                                                                                  | 997 |  |   | 320 |  |
| Total assets                                                                                                                                                                       | $ | 3,379,700 |  |   | $ | 2,944,312 |  |
|                                                                                                                                                                               |   |   |   |
| Liabilities                                                                                                                                                                        |   |   |   |
| Debt (see notes 8 & 11)                                                                                                                                                        | $ | 1,261,292 |  |   | $ | 1,156,067 |  |
| Payable for investments purchased                                                                                                                                                  | 99,134 |  |   | 26,021 |  |
| Dividends payable                                                                                                                                                                  | 44,948 |  |   | 40,578 |  |
| Management and performance-based incentive fees payable (see note 3)                                                                                                               | 29,344 |  |   | 26,509 |  |
| Interest payable                                                                                                                                                                   | 14,150 |  |   | 12,012 |  |
| Accrued administrative expenses                                                                                                                                                    | 1,315 |  |   | 2,219 |  |
| Other liabilities and accrued expenses                                                                                                                                             | 4,178 |  |   | 3,517 |  |
| Total liabilities                                                                                                                                                                  | $ | 1,454,361 |  |   | $ | 1,266,923 |  |
|                                                                                                                                                                               |   |   |   |
| Net Assets                                                                                                                                                                         |   |   |   |
| Common stock, par value $.001 per share, 400,000,000 and 400,000,000 common shares authorized, respectively, and 224,741,351 and 202,891,351 issued and outstanding,  respectively | $ | 225 |  |   | $ | 203 |  |
| Paid-in capital in excess of par (see note 2f)                                                                                                                                     | 3,115,442 |  |   | 2,933,636 |  |
| Over-distributed net investment income (see note 2f)                                                                                                                               | (27,392 | ) |   | (44,183 | ) |
| Accumulated net realized loss (see note 2f)                                                                                                                                        | (1,162,621 | ) |   | (1,053,080 | ) |
| Net unrealized depreciation                                                                                                                                                        | (315 | ) |   | (159,187 | ) |
| Total net assets                                                                                                                                                                   | $ | 1,925,339 |  |   | $ | 1,677,389 |  |
| Total liabilities and net assets                                                                                                                                                   | $ | 3,379,700 |  |   | $ | 2,944,312 |  |
| Net asset value per share                                                                                                                                                          | $ | 8.57 |  |   | $ | 8.27 |  |

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|                                                                                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                                           | Three months ended   |   | Nine months ended   |
|                                                                                                           | December 31, 2013 |   | December 31, 2012 |   | December 31, 2013 |   | December 31, 2012 |
| INVESTMENT INCOME:                                                                                             |   |   |   |   |   |   |   |
| From non-controlled/non-affiliated investments:                                                                |   |   |   |   |   |   |   |
| Interest                                                                                                       | $ | 76,347 |  |   | $ | 73,186 |  |   | $ | 231,136 |  |   | $ | 215,905 |  |
| Dividends                                                                                                      | 1,172 |  |   | 84 |  |   | 5,866 |  |   | 4,680 |  |
| Other income                                                                                                   | 2,983 |  |   | 5,121 |  |   | 9,675 |  |   | 13,577 |  |
| From non-controlled/affiliated investments:                                                                    |   |   |   |   |   |   |   |
| Interest                                                                                                       | 1,001 |  |   | 59 |  |   | 2,730 |  |   | 59 |  |
| Dividends                                                                                                      | 5,964 |  |   | 2,647 |  |   | 15,528 |  |   | 4,147 |  |
| From controlled investments:                                                                                   |   |   |   |   |   |   |   |
| Interest                                                                                                       | 5,767 |  |   | 1,772 |  |   | 16,345 |  |   | 4,559 |  |
| Dividends                                                                                                      | 914 |  |   | 343 |  |   | 3,174 |  |   | 4,407 |  |
| Other income                                                                                                   | 413 |  |   | — |  |   | 487 |  |   | 43 |  |
| Total investment income                                                                                        | $ | 94,561 |  |   | $ | 83,212 |  |   | $ | 284,941 |  |   | $ | 247,377 |  |
| EXPENSES:                                                                                                      |   |   |   |   |   |   |   |
| Management fees (see note 3)                                                                                   | $ | 15,932 |  |   | $ | 13,855 |  |   | $ | 46,044 |  |   | $ | 41,539 |  |
| Performance-based incentive fees (see note 3)                                                                  | 11,469 |  |   | 10,346 |  |   | 35,464 |  |   | 30,804 |  |
| Interest and other debt expenses                                                                               | 17,366 |  |   | 14,651 |  |   | 50,682 |  |   | 42,757 |  |
| Administrative services expense                                                                                | 1,410 |  |   | 1,118 |  |   | 3,616 |  |   | 2,637 |  |
| Other general and administrative expenses                                                                      | 2,097 |  |   | 1,860 |  |   | 6,203 |  |   | 6,424 |  |
| Total expenses                                                                                                 | 48,274 |  |   | 41,830 |  |   | 142,009 |  |   | 124,161 |  |
| Management and performance-based incentive fees waived (see note 3)                                            | (3,375 | ) |   | (698 | ) |   | (8,675 | ) |   | (2,078 | ) |
| Expense reimbursements (see note 3)                                                                            | (21 | ) |   | — |  |   | (29 | ) |   | — |  |
| Net expenses                                                                                                   | 44,878 |  |   | 41,132 |  |   | 133,305 |  |   | 122,083 |  |
| Net investment income                                                                                          | $ | 49,683 |  |   | $ | 42,080 |  |   | $ | 151,636 |  |   | $ | 125,294 |  |
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, CASH EQUIVALENTS, DERIVATIVES AND FOREIGN CURRENCIES:      |   |   |   |   |   |   |   |
| Net realized gain/(loss):                                                                                      |   |   |   |   |   |   |   |
| Investments and cash equivalents                                                                               | $ | 4,205 |  |   | $ | (10,366 | ) |   | $ | (120,551 | ) |   | $ | (69,380 | ) |
| Foreign currencies                                                                                             | (538 | ) |   | 1,061 |  |   | 2,469 |  |   | 669 |  |
| Derivatives                                                                                                    | — |  |   | — |  |   | 8,541 |  |   | — |  |
| Net realized gain/(loss)                                                                                       | 3,667 |  |   | (9,305 | ) |   | (109,541 | ) |   | (68,711 | ) |
| Net change in unrealized depreciation/appreciation:                                                            |   |   |   |   |   |   |   |
| Investments and cash equivalents                                                                               | 54,395 |  |   | (51,309 | ) |   | 172,000 |  |   | (14,426 | ) |
| Foreign currencies                                                                                             | (2,007 | ) |   | (4,210 | ) |   | (13,128 | ) |   | (3,506 | ) |
| Derivatives                                                                                                    | — |  |   | — |  |   | — |  |   | — |  |
| Net change in unrealized depreciation/appreciation                                                             | 52,388 |  |   | (55,519 | ) |   | 158,872 |  |   | (17,932 | ) |
| Net realized and unrealized gain (loss) from investments, cash equivalents, derivatives and foreign currencies | 56,055 |  |   | (64,824 | ) |   | 49,331 |  |   | (86,643 | ) |
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS                                            | $ | 105,738 |  |   | $ | (22,744 | ) |   | $ | 200,967 |  |   | $ | 38,651 |  |
| EARNINGS PER SHARE—BASIC (see note 5)                                                     | $ | 0.47 |  |   | $ | (0.11 | ) |   | $ | 0.90 |  |   | $ | 0.19 |  |
| EARNINGS PER SHARE—DILUTED (see note 5)                                                   | $ | 0.45 |  |  | $ | (0.11 | ) |  | $ | 0.88 |  |  | 0.19 |  |

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|                                                            |  |  |  |  |  |  |  |
|                                                       | Nine months ended December 31, 2013 (unaudited) |   | Year ended March 31, 2013  |
| Increase in net assets from operations:                    |   |   |   |
| Net investment income                                      | $ | 151,636 |  |   | $ | 167,360 |  |
| Net realized loss                                          | (109,541 | ) |   | (74,673 | ) |
| Net change in unrealized depreciation/appreciation         | 158,872 |  |   | 11,784 |  |
| Net increase in net assets resulting from operations       | 200,967 |  |   | 104,471 |  |
|                                                       |   |   |   |
| Dividends and distributions to stockholders:               |   |   |   |
| From net investment income                                 | (134,845 | ) |   | (159,629 | ) |
| Return of capital                                          | — |  |   | (2,684 | ) |
| Total dividends and distributions to stockholders          | (134,845 | ) |   | (162,313 | ) |
|                                                       |   |   |   |
| Capital share transactions:                                |   |   |   |
| Proceeds from shares sold                                  | 182,273 |  |   | 50,000 |  |
| Less offering costs                                        | (445 | ) |   | — |  |
| Net increase in net assets from capital share transactions | 181,828 |  |   | 50,000 |  |
|                                                       |   |   |   |
| Total increase (decrease) in net assets:                   | 247,950 |  |   | (7,842 | ) |
| Net assets at beginning of period                          | 1,677,389 |  |   | 1,685,231 |  |
| Net assets at end of period                                | $ | 1,925,339 |  |   | $ | 1,677,389 |  |
|                                                       |   |   |   |
| Capital share activity:                                    |   |   |   |
| Shares sold                                                | 21,850,000 |  |   | 5,847,953 |  |
| Net increase in capital share activity                     | 21,850,000 |  |   | 5,847,953 |  |

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|                                                                                                                         |  |  |  |  |  |  |  |
|                                                                                                                    | Nine months ended December 31, |
|                                                                                                                    | 2013 |   | 2012 |
| CASH FLOWS FROM OPERATING ACTIVITIES:                                                                                   |   |   |   |
| Net increase in net assets resulting from operations                                                                    | $ | 200,967 |  |   | $ | 38,651 |  |
| Adjustments to reconcile net increase:                                                                                  |   |   |   |
| PIK interest and dividends                                                                                              | (21,008 | ) |   | (15,012 | ) |
| Net amortization on investments                                                                                         | (25,201 | ) |   | (18,051 | ) |
| Amortization of deferred financing costs                                                                                | 5,497 |  |   | 7,089 |  |
| Increase from foreign currency transactions                                                                             | 2,975 |  |   | 940 |  |
| Net change in unrealized appreciation/depreciation on investments, cash equivalents, derivatives and foreign currencies | (158,872 | ) |   | 17,932 |  |
| Net realized loss on investments, cash equivalents, derivatives and foreign currencies                                  | 109,541 |  |   | 68,711 |  |
| Changes in operating assets and liabilities:                                                                            |   |   |   |
| Purchase of investments                                                                                                 | (1,830,368 | ) |   | (1,109,290 | ) |
| Proceeds from purchase of derivatives                                                                                   | 4,156 |  |   | — |  |
| Proceeds from disposition of derivatives                                                                                | 4,385 |  |   | — |  |
| Proceeds from disposition of investments and cash equivalents                                                           | 1,594,910 |  |   | 1,108,555 |  |
| Increase in receivable for investments sold                                                                             | (93,887 | ) |   | (16,522 | ) |
| Decrease in interest receivable                                                                                         | 11,364 |  |   | 11,460 |  |
| (Increase) decrease in dividends receivable                                                                             | (4,145 | ) |   | 2,897 |  |
| (Increase) decrease in prepaid expenses and other assets                                                                | (677 | ) |   | 197 |  |
| Increase in payable for investments purchased                                                                           | 73,113 |  |   | 4,000 |  |
| Increase in management and performance-based incentive fees payable                                                     | 2,835 |  |   | 811 |  |
| Increase in interest payable                                                                                            | 2,138 |  |   | 1,976 |  |
| Decrease in accrued administrative expenses                                                                             | (904 | ) |   | (2,035 | ) |
| Increase (decrease) in other liabilities and accrued expenses                                                           | 661 |  |   | (209 | ) |
| Net cash provided by (used in) operating activities                                                                     | $ | (122,520 | ) |   | $ | 102,100 |  |
|                                                                                                                    |   |   |   |
| CASH FLOWS FROM FINANCING ACTIVITIES:                                                                                   |   |   |   |
| Proceeds from the issuance of common stock                                                                              | $ | 182,273 |  |   | $ | 50,000 |  |
| Offering costs from the issuance of common stock                                                                        | (445 | ) |   | — |  |
| Dividends paid in cash                                                                                                  | (130,475 | ) |   | (120,565 | ) |
| Proceeds from debt                                                                                                      | 1,609,313 |  |   | 852,939 |  |
| Payments on debt                                                                                                        | (1,517,840 | ) |   | (825,063 | ) |
| Deferred financing costs paid                                                                                           | (11,678 | ) |   | (18,400 | ) |
| Net cash provided by (used in) financing activities                                                                     | $ | 131,148 |  |   | $ | (61,089 | ) |
|                                                                                                                    |   |   |   |
| NET INCREASE IN CASH AND CASH EQUIVALENTS                                                                               | $ | 8,628 |  |   | $ | 41,011 |  |
| Effect of exchange rates on cash balances                                                                               | 22 |  |   | 1 |  |
| CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD                                                           | $ | 6,197 |  |   | $ | 2,678 |  |
| CASH AND CASH EQUIVALENTS, END OF PERIOD                                                                 | $ | 14,847 |  |   | $ | 43,690 |  |

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|                                                                                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS —137.3%                |   | Industry  |   | Par Amount*  |   | Cost |   | Fair Value (1) |
| CORPORATE DEBT—127.9%                                                                |   |   |   |   |   |   |   |   |
| SECURED DEBT—74.3%                                                                   |   |   |   |   |   |   |   |   |
| 1st Lien Secured Debt—35.6%                                                          |   |   |   |   |   |   |   |   |
| Archroma, L+825, 10/1/18 ‡                                                           |   | Chemicals |   | $ | 35,511 |  |   | $ | 34,819 |  |   | $ | 35,422 |  |
| Avanti Communications Group PLC, 10.00%, 10/1/19 t‡                                  |   | Telecommunications |   | 11,000 |  |   | 11,000 |  |   | 11,468 |  |
| Avaya, Inc., 9.00%, 4/1/19 t                                                     |   | Telecommunications |   | 6,973 |  |   | 7,134 |  |   | 7,304 |  |
| Aveta, Inc., L+825, 12/12/17                                                               |   | Healthcare |   | 61,623 |  |   | 60,087 |  |   | 62,123 |  |
| Caza Petroleum Inc., L+1000, 5/23/17                                                       |   | Oil & Gas |   | 35,000 |  |   | 33,892 |  |   | 33,548 |  |
| Charming Charlie LLC, L+800, 12/18/19                                                      |   | Retail |   | 11,615 |  |   | 11,441 |  |   | 11,441 |  |
| Delta Educational Systems, Inc., 16.00% (8.00% Cash/8.00% PIK), 12/11/16                   |   | Education |   | 5,327 |  |   | 5,327 |  |   | 5,327 |  |
| Endeavour Energy UK Limited, 9.75%, 12/31/15 ‡                                       |   | Oil & Gas |   | 12,500 |  |   | 12,500 |  |   | 12,500 |  |
| Endeavour International Corp., 12.00%, 3/1/18 †‡                               |   | Oil & Gas |   | 14,621 |  |   | 14,147 |  |   | 15,115 |  |
| Endeavour International Corp., 13.00%, 6/30/14 †‡                              |   | Oil & Gas |   | 30,000 |  |   | 30,320 |  |   | 30,825 |  |
| Evergreen Tank Solutions, Inc., L+800, 9/28/18 †                                     |   | Containers, Packaging, and Glass |   | 36,920 |  |   | 36,375 |  |   | 36,874 |  |
| Evergreen Tank Solutions, Inc., L+800, 9/28/18  †                                    |   | Containers, Packaging, and Glass |   | 5,408 |  |   | 5,408 |  |   | 5,401 |  |
| Magnetation, LLC, 11.00%, 5/15/18 t                                         |   | Mining |   | 25,750 |  |   | 25,903 |  |   | 28,582 |  |
| Maxus Capital Carbon SPE I, LLC (Skyonic Corp.), 13.00%, 9/18/19                           |   | Chemicals |   | 60,000 |  |   | 60,000 |  |   | 60,000 |  |
| Miller Energy Resources, Inc., 18.00% (15.00% Cash/3.00% PIK Option), 6/29/17 † |   | Oil & Gas |   | 55,307 |  |   | 55,307 |  |   | 58,625 |  |
| Miller Energy Resources, Inc., 9.00%, 6/29/17 †                                      |   | Oil & Gas |   | 20,000 |  |   | 20,000 |  |   | 20,800 |  |
| Molycorp, Inc., 10.00%, 6/1/20 ‡                                                     |   | Diversified Natural Resources, Precious Metals and Minerals |   | 40,268 |  |   | 39,809 |  |   | 40,067 |  |
| New Publishing Holdings, LLC (F&W Media), L+650, 6/30/19                               |   | Printing & Publishing |   | 15,920 |  |   | 14,720 |  |   | 15,363 |  |
| Osage Exploration & Development, Inc., L+1500, 4/27/15 ‡                    |   | Oil & Gas |   | 20,000 |  |   | 19,701 |  |   | 20,000 |  |
| Panda Sherman Power, LLC, L+750, 9/14/18                                                   |   | Energy |   | 15,000 |  |   | 14,813 |  |   | 15,450 |  |
| Panda Temple Power, LLC, L+1000, 7/17/18                                                   |   | Energy |   | 25,500 |  |   | 25,081 |  |   | 26,265 |  |
| Pelican Energy, LLC, 10.00% (7.00% Cash / 3.00% PIK), 12/31/18 ‡                     |   | Oil & Gas |   | 16,455 |  |   | 15,881 |  |   | 16,784 |  |
| Reichhold Holdings International B.V., L+975, 12/19/16 ‡                             |   | Financial Services |   | 22,500 |  |   | 22,500 |  |   | 22,500 |  |
| Spotted Hawk Development LLC, 14.00% (13.00% Cash/ 1.00% PIK), 6/30/16 ‡             |   | Oil & Gas |   | 24,247 |  |   | 23,597 |  |   | 23,556 |  |
| Sunrun Solar Owner IX, LLC, 9.079%, 12/31/24                                               |   | Energy |   | 3,671 |  |   | 3,510 |  |   | 3,500 |  |
| Travel Leaders Group, LLC, L+600, 12/5/18                                                  |   | Business Services |   | 19,600 |  |   | 18,436 |  |   | 19,355 |  |
| UniTek Global Services Inc., (Revolver) L+925, 4/15/16                                     |   | Telecommunications |   | 48,054 |  |   | 48,054 |  |   | 48,054 |  |
| Total 1st Lien Secured Debt                                                 |   |   |   |   |   | $ | 669,762 |  |   | $ | 686,249 |  |

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|                                                                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS —137.3%       |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| 2nd Lien Secured Debt—39.1%                                                 |   |   |   |   |   |   |   |   |
| Active Network, Inc., L+850, 11/15/21                                             |   | Business Services |   | $ | 25,000 |  |   | $ | 24,876 |  |   | $ | 25,281 |  |
| Allied Security Holdings, LLC, L+825, 2/2/18                                      |   | Business Services |   | 31,000 |  |   | 30,793 |  |   | 31,349 |  |
| Ardent Medical Services, Inc., L+950, 1/2/19                                      |   | Healthcare |   | 12,000 |  |   | 11,727 |  |   | 12,165 |  |
| Armor Holdings, Inc. (American Stock Transfer and Trust Company), L+900, 12/26/20 |   | Financial Services |   | 8,000 |  |   | 7,847 |  |   | 8,020 |  |
| Bennu Oil & Gas, LLC, L+900, 11/1/18                                          |   | Oil & Gas |   | 12,098 |  |   | 11,992 |  |   | 12,219 |  |
| BJ's Wholesale Club, Inc, L+750, 3/26/20                                          |   | Retail |   | 20,000 |  |   | 19,901 |  |   | 20,463 |  |
| Brock Holdings III, Inc., L+825, 3/16/18                                          |   | Environmental Services |   | 19,500 |  |   | 19,233 |  |   | 19,866 |  |
| Confie Seguros Holding II Co., L+900, 5/8/19                                      |   | Insurance |   | 27,344 |  |   | 27,086 |  |   | 27,617 |  |
| Consolidated Precision Products Corp., L+775, 4/30/21                             |   | Aerospace & Defense |   | 8,940 |  |   | 8,896 |  |   | 9,108 |  |
| Del Monte Foods Co, L+725, 7/26/21                                                |   | Beverage, Food & Tobacco |   | 15,140 |  |   | 14,989 |  |   | 15,348 |  |
| Deltek, Inc., L+875, 10/10/19                                                     |   | Business Services |   | 27,273 |  |   | 27,015 |  |   | 27,682 |  |
| Digital Insight Corporation, L+775, 8/1/20                                        |   | Business Services |   | 7,820 |  |   | 7,743 |  |   | 7,986 |  |
| Garden Fresh Restaurant Corp., 7.25% PIK, 1/1/19 †                          |   | Restaurants |   | 7,525 |  |   | 5,410 |  |   | 5,117 |  |
| Garden Fresh Restaurant Corp., 14.50% PIK, 1/1/19 †                         |   | Restaurants |   | 33,305 |  |   | 31,044 |  |   | 29,641 |  |
| GCA Services Group, Inc., L+800, 11/1/20                                          |   | Diversified Service |   | 22,838 |  |   | 22,942 |  |   | 23,194 |  |
| Grocery Outlet Inc., L+925, 6/17/19                                               |   | Grocery |   | 8,674 |  |   | 8,521 |  |   | 8,847 |  |
| HD Vest Inc., L+800, 6/18/19 ‡                                              |   | Financial Services |   | 9,396 |  |   | 9,287 |  |   | 9,302 |  |
| Healogics, Inc., L+800, 2/5/20                                                    |   | Healthcare |   | 10,000 |  |   | 10,113 |  |   | 10,225 |  |
| Insight Pharmaceuticals, LLC, L+1175, 8/25/17                                     |   | Consumer Products |   | 15,448 |  |   | 15,232 |  |   | 15,217 |  |
| Kronos, Inc., L+850, 4/30/20                                                      |   | Business Services |   | 76,920 |  |   | 75,985 |  |   | 79,997 |  |
| Learfield Communications, Inc., L+775, 10/8/21                                    |   | Media |   | 15,000 |  |   | 14,852 |  |   | 15,375 |  |
| Ranpak Corp., L+725, 4/23/20                                                      |   | Packaging |   | 22,000 |  |   | 21,795 |  |   | 22,660 |  |
| River Cree Enterprises LP, 11.00%, 1/20/21 t‡                               |   | Hotels, Motels, Inns & Gaming |   | CAD | 35,000 |  |   | 32,996 |  |   | 34,176 |  |
| Sedgwick Holdings, Inc., L+700, 12/12/18                                          |   | Business Services |   | $ | 15,225 |  |   | 15,154 |  |   | 15,510 |  |
| SESAC Holdco II LLC, L+875, 7/12/19                                               |   | Broadcasting & Entertainment |   | 10,750 |  |   | 10,882 |  |   | 11,019 |  |
| Sprint Industrial Holdings, LLC, L+1000, 11/14/19                                 |   | Containers, Packaging, and Glass |   | 14,163 |  |   | 13,921 |  |   | 14,305 |  |
| SquareTwo Financial Corp. (Collect America, Ltd.), 11.625%, 4/1/17 ‡   |   | Financial Services |   | 51,079 |  |   | 49,713 |  |   | 53,218 |  |
| Transfirst Holdings Inc., L+975, 6/27/18                                          |   | Financial Services |   | 64,750 |  |   | 63,258 |  |   | 65,681 |  |
| TriNet HR Corporation, L+775, 2/20/21                                             |   | Business Services |   | 7,130 |  |   | 6,992 |  |   | 7,170 |  |
| U.S. Renal Care, Inc., L+900, 1/3/20 †                                      |   | Healthcare |   | 11,927 |  |   | 11,982 |  |   | 12,151 |  |
| U.S. Renal Care, Inc., L+750, 7/3/20 †                                      |   | Healthcare |   | 10,100 |  |   | 9,904 |  |   | 10,264 |  |
| Valerus Compression Services, LP, 11.50%, 3/26/18                                 |   | Manufacturing |   | 40,000 |  |   | 40,000 |  |   | 41,200 |  |
| Vertafore, Inc., L+825, 10/29/17                                                  |   | Business Services |   | 50,436 |  |   | 50,152 |  |   | 51,445 |  |
| Total 2nd Lien Secured Debt                                                       |   |   |   |   |   | $ | 732,233 |  |   | $ | 752,818 |  |

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Table of Contents

|                                                                                                      |
|------------------------------------------------------------------------------------------------------|
|                                                                                                      |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS —137.3%                          |  | Industry  |  | Par Amount*  |  | Cost  |  | Fair Value (1)  |
| Unfunded Revolver Obligations— (0.4)%                                                          |   |   |   |   |   |   |   |   |
| Advantage Sales & Marketing, Inc., (Revolver) L+400, 12/17/15 (8)                           |   | Grocery |   | $ | 5,500 |  |   | $ | — |  |   | $ | (413 | ) |
| Avaya, Inc., (Revolver) L+275, 10/26/16 (8)                                                     |   | Telecommunications |   | 36,785 |  |   | (5,702 | ) |   | (3,035 | ) |
| BMC Software Inc., (Revolver), L+400, 9/10/18 (8)                                                    |   | Business Services |   | 30,760 |  |   | (3,677 | ) |   | (2,153 | ) |
| Confie Seguros Holding II Co., (Revolver), L+525, 11/9/17 (8)                                        |   | Insurance |   | 4,500 |  |   | (450 | ) |   | (495 | ) |
| Reichhold Holdings International B.V., (Revolver) L+600, 12/19/16 ‡                            |   | Financial Services |   | 12,500 |  |   | — |  |   | — |  |
| Salix Pharmaceuticals, Ltd., (Revolver) L+300, 1/2/19 ‡(8)                                     |   | Healthcare |   | 25,000 |  |   | (2,000 | ) |   | (2,000 | ) |
| UniTek Global Services Inc., (Revolver) L+925, 4/15/16                                               |   | Telecommunications |   | 26,946 |  |   | — |  |   | — |  |
| Total Unfunded Revolver Obligations                                                                  |   |   |   |   |   | $ | (11,829 | ) |   | $ | (8,096 | ) |
| TOTAL SECURED DEBT                                                                                   |   |   |   |   |   | $ | 1,390,166 |  |   | $ | 1,430,971 |  |
|                                                                                                 |   |   |   |   |   |   |   |   |
| UNSECURED DEBT—53.6%                                                                           |   |   |   |   |   |   |   |   |
| Allied Nevada Gold Corp., 8.75%, 6/1/19 t‡                                                |   | Diversified Natural Resources, Precious Metals and Minerals |   | CAD | 16,981 |  |   | $ | 15,350 |  |   | $ | 10,229 |  |
| Altegrity, Inc., 0.00%, 8/2/16 †                                                               |   | Diversified Service |   | $ | 3,545 |  |   | 2,584 |  |   | 1,276 |  |
| Altegrity, Inc., 12.00%, 11/1/15 †t                                                  |   | Diversified Service |   | 44,000 |  |   | 44,000 |  |   | 40,095 |  |
| American Tire Distributors, Inc., 11.50%, 6/1/18                                                     |   | Distribution |   | 25,000 |  |   | 25,000 |  |   | 25,670 |  |
| BCA Osprey II Limited (British Car Auctions), 12.50% PIK,  8/17/17 †‡               |   | Transportation |   | £ | 20,948 |  |   | 33,142 |  |   | 34,764 |  |
| BCA Osprey II Limited (British Car Auctions), 12.50% PIK,  8/17/17 †‡               |   | Transportation |   | € | 12,721 |  |   | 17,473 |  |   | 17,564 |  |
| Ceridian Corp., 12.25% Cash or 13.00% PIK, 11/15/15 †                                          |   | Diversified Service |   | $ | 14,420 |  |   | 14,420 |  |   | 14,555 |  |
| Ceridian Corp., 11.25%, 11/15/15  †                                                            |   | Diversified Service |   | 35,800 |  |   | 35,800 |  |   | 36,136 |  |
| Ceridian Corp., 11.00%, 3/15/21 †t                                         |   | Diversified Service |   | 34,000 |  |   | 34,000 |  |   | 39,100 |  |
| CRC Health Corp., 10.75%, 2/1/16                                                                     |   | Healthcare |   | 13,000 |  |   | 13,088 |  |   | 13,073 |  |
| Delta Educational Systems, Inc., 16.00% (10.00% Cash/ 6.00% PIK), 5/12/17                            |   | Education |   | 21,361 |  |   | 21,010 |  |   | 20,218 |  |
| Denver Parent Corp.(Venoco), 12.25%, 8/15/18 t                                   |   | Oil & Gas |   | 25,000 |  |   | 24,363 |  |   | 24,563 |  |
| Energy & Exploration Partners, Inc., 15.00%, 4/8/18 †                                 |   | Oil & Gas |   | 25,000 |  |   | 22,304 |  |   | 23,823 |  |
| Energy & Exploration Partners, Inc., 15.00%, 12/12/18 †                               |   | Oil & Gas |   | 4,464 |  |   | 4,256 |  |   | 4,254 |  |
| Exova Limited, 10.50%, 10/15/18 †‡t                        |   | Business Services |   | £ | 18,000 |  |   | 27,202 |  |   | 32,347 |  |
| Exova Limited, 10.50%, 10/15/18 †‡                                                       |   | Business Services |   | 4,655 |  |   | 6,194 |  |   | 8,365 |  |
| First Data Corp., 11.25%, 1/15/21 †t                                       |   | Financial Services |   | $ | 67,000 |  |   | 66,977 |  |   | 74,161 |  |
| First Data Corp., 10.625%, 6/15/21 †t                                 |   | Financial Services |   | 10,000 |  |   | 10,000 |  |   | 10,941 |  |
| First Data Corp., 11.25%, 3/31/16 †                                                            |   | Financial Services |   | 17,941 |  |   | 17,105 |  |   | 18,019 |  |
| First Data Corp., 12.625%, 1/15/21 †                                                           |   | Financial Services |   | 5,000 |  |   | 5,642 |  |   | 5,888 |  |
| inVentiv Health, Inc., 11.00%, 8/15/18 t                                                        |   | Healthcare |   | 146,000 |  |   | 146,000 |  |   | 129,757 |  |
| Lonestar Intermediate Super Holdings, LLC (Asurion), L+950,  9/2/19                                  |   | Insurance |   | 55,125 |  |   | 55,630 |  |   | 57,054 |  |
| Niacet Corporation, 13.00%, 8/28/18                                                                  |   | Chemicals |   | 12,500 |  |   | 12,500 |  |   | 12,500 |  |
| PetroBakken Energy Ltd. (Lightstream Resources Ltd), 8.625%, 2/1/20 ‡t     |   | Oil & Gas |   | 59,082 |  |   | 59,800 |  |   | 60,042 |  |
| Prospect Holding Co LLC, 10.25%, 10/1/18 ‡t                                          |   | Financial Services |   | 7,500 |  |   | 7,129 |  |   | 7,087 |  |

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Table of Contents

|                                                                                 |
|---------------------------------------------------------------------------------|
|                                                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS —137.3%     |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| UNSECURED DEBT (continued)—53.6%                                          |   |   |   |   |   |   |   |   |
| Symbion Inc., 11.00%, 8/23/15                                                   |   | Healthcare |   | $ | 8,508 |  |   | $ | 8,523 |  |   | $ | 8,550 |  |
| Tervita Corporation, 10.875%, 2/15/18 t‡                                  |   | Environmental Services |   | 26,000 |  |   | 25,150 |  |   | 26,390 |  |
| U.S. Security Associates Holdings, Inc., 11.00%, 7/28/18                        |   | Business Services |   | 135,000 |  |   | 135,000 |  |   | 138,510 |  |
| Univar Inc., 10.50%, 6/30/18                                                    |   | Distribution |   | 20,000 |  |   | 20,000 |  |   | 20,000 |  |
| Varietal Distribution, 10.75%, 6/30/17 †t                       |   | Distribution |   | € | 11,574 |  |   | 15,098 |  |   | 16,267 |  |
| Varietal Distribution, 10.75%, 6/30/17 †t                       |   | Distribution |   | $ | 22,204 |  |   | 21,890 |  |   | 22,648 |  |
| Venoco, Inc., 8.875%, 2/15/19                                                   |   | Oil & Gas |   | 38,050 |  |   | 38,473 |  |   | 37,859 |  |
| Wind Acquisition Holdings, 12.25% PIK, 7/15/17 ‡t     |   | Telecommunications |   | 37,500 |  |   | 38,413 |  |   | 39,813 |  |
| TOTAL UNSECURED DEBT                                             |   |   |   |   |   | $ | 1,023,516 |  |   | $ | 1,031,518 |  |
| TOTAL CORPORATE DEBT                                             |   |   |   |   |   | $ | 2,413,682 |  |   | $ | 2,462,489 |  |
|                                                                            |   |   |   |   |   |   |   |   |
| STRUCTURED PRODUCTS AND OTHER—4.8%                                        |   |   |   |   |   |   |   |   |
| Craft CLO Ltd., L+925, 4/17/20 ‡                                          |   | Diversified Investment Vehicle |   | $ | 20,000 |  |   | $ | 20,000 |  |   | $ | 20,171 |  |
| Dark Castle Holdings, LLC                                                       |   | Media |   | 32,415 |  |   | 9,306 |  |   | 10,058 |  |
| JP Morgan Chase & Co, Credit-Linked Note, L+1225, 12/20/21 ‡          |   | Diversified Investment Vehicle |   | 43,250 |  |   | 43,250 |  |   | 43,250 |  |
| Renaissance Umiat, LLC, ACES, Tax Receivable ****‡                        |   | Oil & Gas |   | — |  |   | 7,977 |  |   | 8,816 |  |
| Westbrook CLO Ltd., Series 2006-1A, Class E, L+370, 12/20/20 ‡       |   | Diversified Investment Vehicle |   | 11,000 |  |   | 7,583 |  |   | 10,395 |  |
| TOTAL STRUCTURED PRODUCTS AND OTHER               |   |   |   |   |   | $ | 88,116 |  |   | $ | 92,690 |  |
|                                                                            |   |   |   |   |   |   |   |   |
| PREFERRED EQUITY—2.1%                                                     |   |   |   | Shares |   |   |   |   |
| CA Holding, Inc. (Collect America, Ltd.) Series A **‡                     |   | Financial Services |   | 7,961 |  |   | $ | 788 |  |   | $ | 1,592 |  |
| Crowley Holdings, Series A, 12.00% (10.00% Cash / 2.00% PIK)                    |  | Cargo Transport |  | 22,500 |  |  | 22,500 |  |  | 22,500 |  |
| Gryphon Colleges Corporation (Delta Educational Systems, Inc.), 13.50% PIK, *** |   | Education |   | 12,360 |  |   | 27,686 |  |   | 13,192 |  |
| Gryphon Colleges Corporation (Delta Educational Systems, Inc.), 12.50% PIK ***  |   | Education |   | 332,500 |  |   | 6,863 |  |   | — |  |
| Varietal Distribution Holdings, LLC, Class A, 8.00% PIK                    |   | Distribution |   | 3,097 |  |   | 5,185 |  |   | 2,976 |  |
| TOTAL PREFERRED EQUITY                                           |   |   |   |   |   | $ | 63,022 |  |   | $ | 40,260 |  |

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Table of Contents

|                                                                                             |
|---------------------------------------------------------------------------------------------|
|                                                                                             |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS —137.3%                 |   | Industry  |   | Shares |   | Cost  |   | Fair Value (1) |
| EQUITY—2.5%                                                                           |   |   |   |   |   |   |   |   |
| Common Equity/Interests—1.8%                                                          |   |   |   |   |   |   |   |   |
| Accelerate Parent Corp. (American Tire Distributors) **                                     |   | Distribution |   | 3,125,000 |  |   | $ | 3,125 |  |   | $ | 4,340 |  |
| AHC Mezzanine, LLC (Advanstar) **                                                           |   | Media |   | — |  |   | 1,063 |  |   | 590 |  |
| Altegrity Holding Corp. **                                                                  |   | Diversified Service |   | 353,399 |  |   | 13,797 |  |   | 338 |  |
| CA Holding, Inc. (Collect America, Ltd.) Series A **‡                                 |   | Financial Services |   | 25,000 |  |   | 2,500 |  |   | 1,731 |  |
| CA Holding, Inc. (Collect America, Ltd.) Series AA **‡                                |   | Financial Services |   | 4,294 |  |   | 429 |  |   | 859 |  |
| Caza Petroleum, Inc., Net Profits Interest **                                               |   | Oil & Gas |   | — |  |   | 940 |  |   | 886 |  |
| Caza Petroleum, Inc., Overriding Royalty Interest **                                        |   | Oil & Gas |   | — |  |   | 265 |  |   | 266 |  |
| Clothesline Holdings, Inc. (Angelica Corporation) **                                        |   | Healthcare |   | 6,000 |  |   | 6,000 |  |   | 3,348 |  |
| Explorer Coinvest, LLC (Booz Allen) **‡                                               |   | Business Services |   | 373 |  |   | 2,856 |  |   | 6,645 |  |
| Garden Fresh Restaurant Holding, LLC **                                                     |   | Restaurants |   | 50,000 |  |   | 5,000 |  |   | — |  |
| Gryphon Colleges Corporation (Delta Educational Systems, Inc.) **                           |   | Education |   | 17,500 |  |   | 175 |  |   | — |  |
| GS Prysmian Co-Invest L.P. (Prysmian Cables & Systems) (2,3) **‡        |   | Manufacturing |   | — |  |   | — |  |   | 28 |  |
| JV Note Holdco, LLC (DSI Renal Inc.) **                                                     |   | Healthcare |   | 9,303 |  |   | 85 |  |   | — |  |
| Pelican Energy, LLC, Net Profits Interest **‡                                         |   | Oil & Gas |   | — |  |   | 551 |  |   | 286 |  |
| RC Coinvestment, LLC (Ranpak Corp.) **                                                      |   | Packaging |   | 50,000 |  |   | 5,000 |  |   | 7,060 |  |
| Sorenson Communications Holdings, LLC, Class A **                                      |   | Consumer Products |   | 454,828 |  |   | 46 |  |   | 230 |  |
| Univar, Inc. **                                                                             |   | Distribution |   | 900,000 |  |   | 9,000 |  |   | 8,480 |  |
| Varietal Distribution Holdings, LLC, Class A **                                        |   | Distribution |   | 28,028 |  |   | 28 |  |   | — |  |
| Total Common Equity/Interests                                                |   |   |   |   |   | $ | 50,860 |  |   | $ | 35,087 |  |
|                                                                                        |   |   |   |   |   |   |   |   |
| Warrants—0.7%                                                                         |   |   |   | Warrants  |   |   |   |   |
| CA Holding, Inc. (Collect America, Ltd.), Common **‡                                  |   | Financial Services |   | 7,961 |  |   | $ | 8 |  |   | $ | — |  |
| Energy & Exploration Partners, Inc., Common **                                     |   | Oil & Gas |   | 48,077 |  |   | 2,232 |  |   | 2,021 |  |
| Energy & Exploration Partners, Inc., Common **                                     |  | Oil & Gas |  | 5,684 |  |  | 76 |  |  | 80 |  |
| Fidji Luxco (BC) S.C.A., Common (FCI) (2) **‡                                    |   | Electronics |   | 24,862 |  |   | 250 |  |   | 6,956 |  |
| 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 |  |   | — |  |
| Gryphon Colleges Corporation (Delta Educational Systems, Inc.), Class B-1 Preferred **      |   | Education |   | 104,314 |  |   | 1,043 |  |   | — |  |
| Osage Exploration & Development, Inc., Common **‡                            |   | Oil & Gas |   | 1,496,843 |  |   | — |  |   | 1,171 |  |
| Spotted Hawk Development LLC, Common **‡                                              |   | Oil & Gas |   | 54,545 |  |   | 852 |  |   | 3,139 |  |
| Total Warrants                                                               |   |   |   |   |   | $ | 5,019 |  |   | $ | 13,367 |  |
| TOTAL EQUITY                                                                 |   |   |   |   |   | $ | 55,879 |  |   | $ | 48,454 |  |
| Total Investments in Non-Controlled/ Non-Affiliated Investments              |   |   |   |   |   | $ | 2,620,699 |  |   | $ | 2,643,893 |  |

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Table of Contents

|                                                                                            |
|--------------------------------------------------------------------------------------------|
|                                                                                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/ AFFILIATED INVESTMENTS—8.1% (4)                       |   | Industry |  | Par Amount* |  | Cost |  | Fair Value (1) |
| CORPORATE DEBT—0.9%                                                                  |   |   |   |   |   |   |   |   |
| SECURED DEBT—0.9%                                                                    |   |   |   |   |   |   |   |   |
| 1st Lien Secured Debt—0.9%                                                           |   |   |   |   |   |   |   |   |
| Aventine Renewable Energy Holdings, Inc., 15.00% (12.00% Cash/3.00% PIK), 9/23/16          |   | Chemicals |   | $ | 4,031 |  |   | $ | 3,915 |  |   | $ | 3,476 |  |
| Aventine Renewable Energy Holdings, Inc., 10.50% Cash or 15.00% PIK, 9/22/17               |   | Chemicals |   | 13,559 |  |   | 16,881 |  |   | 8,241 |  |
| Aventine Renewable Energy Holdings, Inc., 25.00% PIK, 9/23/16                              |   | Chemicals |   | 5,126 |  |   | 5,126 |  |   | 5,126 |  |
| Total 1st Lien Secured Debt                                                                |   |   |   |   |   | $ | 25,922 |  |   | $ | 16,843 |  |
| TOTAL CORPORATE DEBT                                                                       |   |   |   |   |   | $ | 25,922 |  |   | $ | 16,843 |  |
|                                                                                       |   |   |   |   |   |   |   |   |
| STRUCTURED PRODUCTS AND OTHER—7.2%                                                   |   |   |   |   |   |   |   |   |
| Highbridge Loan Management 3-2014, Ltd, Class D Notes, L+500, 1/18/25 †‡¢ |   | Diversified Investment Vehicle |   | $ | 5,000 |  |   | $ | 4,633 |  |   | $ | 4,633 |  |
| Highbridge Loan Management 3-2014, Ltd, Class E Notes, L+600, 1/18/25 †‡¢ |  | Diversified Investment Vehicle |  | 2,485 |  |  | 2,261 |  |  | 2,261 |  |
| Highbridge Loan Management 3-2014, Ltd, Subordinated Notes, 1/18/25 †‡¢   |  | Diversified Investment Vehicle |  | 8,163 |  |  | 7,527 |  |  | 7,527 |  |
| Jamestown CLO I LTD, Subordinated Notes, 11/5/24 ‡¢                             |   | Diversified Investment Vehicle |   | 15,075 |  |   | 12,384 |  |   | 13,599 |  |
| MCF CLO I LLC, Class E Notes, L+575, 4/20/23 †‡¢                          |   | Diversified Investment Vehicle |   | 13,000 |  |   | 12,317 |  |   | 12,357 |  |
| MCF CLO I LLC, Membership Interests ‡¢                                          |  | Diversified Investment Vehicle |   | 38,918 |  |   | 38,320 |  |   | 40,280 |  |
| MCF CLO III LLC, Class E Notes L+445, 1/20/24 †‡¢                         |   | Diversified Investment Vehicle |   | 12,750 |  |   | 11,325 |  |   | 11,325 |  |
| MCF CLO III LLC, Membership Interests, 1/20/24 ‡¢                               |  | Diversified Investment Vehicle |   | 39,183 |  |   | 39,183 |  |   | 39,183 |  |
| Slater Mill Loan Fund LP, LP Certificates ‡¢                                    |   | Diversified Investment Vehicle |   | 8,375 |  |   | 6,359 |  |   | 7,405 |  |
| TOTAL STRUCTURED PRODUCTS AND OTHER                                         |   |   |   |   |   | $ | 134,309 |  |   | $ | 138,570 |  |
|                                                                                       |   |   |   |   |   |   |   |   |
| EQUITY—0.0%                                                                          |   |   |   |   |   |   |   |   |
| Common Equity/Interests—0.0%                                                         |   |   |   | Shares  |   |   |   |   |
| Aventine Renewable Energy Holdings, Inc. **                                                |   | Chemicals |   | 262,036 |  |   | $ | 688 |  |   | $ | 92 |  |
| Total Common Equity/Interests                                               |   |   |   |   |   | $ | 688 |  |   | $ | 92 |  |
|                                                                                       |   |   |   |   |   |   |   |   |
| Warrants—0.0%                                                                        |   |   |   | Warrants |   |   |   |   |
| Aventine Renewable Energy Holdings, Inc., Common **                                        |   | Chemicals |   | 1,521,193 |  |   | $ | 3,995 |  |   | $ | 533 |  |
| Total Warrants                                                              |   |   |   |   |   | $ | 3,995 |  |   | $ | 533 |  |
| TOTAL EQUITY                                                                |   |   |   |   |   | $ | 4,683 |  |   | $ | 625 |  |
| Total Investments in Non-Controlled/Affiliated Investments                  |   |   |   |   |   | $ | 164,914 |  |   | $ | 156,038 |  |

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Table of Contents

|                                                                          |
|--------------------------------------------------------------------------|
|                                                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN CONTROLLED INVESTMENTS—19.9% (5)                    |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| CORPORATE DEBT—8.9%                                                |   |   |   |   |   |   |   |   |
| SECURED DEBT—8.9%                                                  |   |   |   |   |   |   |   |   |
| 1st Lien Secured Debt —8.4%                                        |   |   |   |   |   |   |   |   |
| Merx Aviation Finance Holdings, LLC, (Revolver) 12.00%, 10/31/18         |   | Aviation |   | $ | 161,834 |  |   | $ | 161,834 |  |  | $ | 161,834 |  |
| Total 1st Lien Secured Debt                               |   |   |   |   |   | $ | 161,834 |  |  | $ | 161,834 |  |
|                                                                     |   |   |   |   |   |   |   |   |
| Unfunded Revolver Obligation —0.0%                                 |   |   |   |   |   |   |   |   |
| Merx Aviation Finance Holdings, LLC, (Revolver) 12.00%, 10/31/18         |   | Aviation |   | $ | 138,166 |  |   | $ | — |  |   | $ | — |  |
| Total Unfunded Revolver Obligation                                       |   |   |   |   |   | $ | — |  |   | $ | — |  |
|                                                                     |   |   |   |   |   |   |   |   |
| 2nd Lien Secured Debt—0.5%                                         |   |   |   |   |   |   |   |   |
| LVI Services, Inc., 12.50%, 3/6/18                                       |   | EnvironmentalServices |   | $ | 10,000 |  |   | $ | 9,836 |  |   | $ | 10,000 |  |
| Total 2nd Lien Secured Debt                                              |   |   |   |   |   | $ | 9,836 |  |   | $ | 10,000 |  |
| TOTAL SECURED DEBT                                                       |  |   |  |  |  | $ | 171,670 |  |  | $ | 171,834 |  |
| TOTAL CORPORATE DEBT                                                     |   |   |   |   |   | $ | 171,670 |  |  | $ | 171,834 |  |
|                                                                     |   |   |   |   |   |   |   |   |
| PREFERRED EQUITY—2.6%                                              |   |   |   | Shares  |   |   |   |   |
| Playpower Holdings, Inc., Series A, 14.00% PIK, 11/15/20                 |  | Leisure |  | 49,178 |  |  | 49,178 |  |  | 49,178 |  |
| TOTAL PREFERRED EQUITY                                                   |   |   |   |   |   | $ | 49,178 |  |   | $ | 49,178 |  |
|                                                                     |   |   |   |   |   |   |   |   |
| EQUITY—8.4%                                                        |   |   |   |   |   |   |   |   |
| Common Equity/Interests—8.4%                                       |   |   |   |   |   |   |   |   |
| Generation Brands Holdings, Inc. (Quality Home Brands) **           |   | Home and Office Furnishings and Durable Consumer Products |   | 9,007 |  |   | $ | — |  |   | $ | 1,891 |  |
| Generation Brands Holdings, Inc. Series H (Quality Home Brands) **  |   | Home and Office Furnishings and Durable Consumer Products |   | 7,500 |  |   | 2,297 |  |   | 1,575 |  |
| Generation Brands Holdings, Inc. Series 2L (Quality Home Brands) ** |   | Home and Office Furnishings and Durable Consumer Products |   | 36,700 |  |   | 11,242 |  |   | 7,705 |  |
| LVI Parent Corp. (LVI Services, Inc.) **                                 |   | Environmental Services |   | 14,981 |  |   | 16,096 |  |   | 33,483 |  |
| Merx Aviation Finance Holdings, LLC **                                   |   | Aviation |   | 689 |  |   | 66,582 |  |   | 72,027 |  |
| Playpower Holdings, Inc. **                                              |   | Leisure |   | 1,000 |  |   | 77,722 |  |   | 45,987 |  |
| Total Common Equity/Interests                             |   |   |   |   |   | $ | 173,939 |  |   | $ | 162,668 |  |
| TOTAL EQUITY                                              |   |   |   |   |   | $ | 173,939 |  |   | $ | 162,668 |  |
| Total Investments in Controlled Investments               |   |   |   |   |   | $ | 394,787 |  |   | $ | 383,680 |  |
| Total Investments—165.3% (6,7)                      |   |   |   |   |   | $ | 3,180,400 |  |  | $ | 3,183,611 |  |
| Liabilities in Excess of Other Assets—(65.4%)       |   |   |   |   |   |   |   | (1,258,272 | ) |
| Net Assets—100.0%                                   |   |   |   |   |   |   |   | $ | 1,925,339 |  |

|     |                                                                                                                         |
|-----|-------------------------------------------------------------------------------------------------------------------------|
| (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) | Denominated in foreign currency. GS Prysmian Co-Invest L.P. and Fidji Luxco (BC) S.C.A. are EUR denominated investments. |

|     |                                                                       |
|-----|-----------------------------------------------------------------------|
| (3) | The Company is the sole Limited Partner in GS Prysmian Co-Invest L.P. |

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Table of Contents

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (4) | Denotes investments in which we are an “Affiliated Person”, as defined in the 1940 Act, due to owning or holding the power to vote 5% or more of the outstanding voting securities of the investment but not controlling the company. Fair value as of March 31, 2013 and December 31, 2013 along with transactions during the nine months ended December 31, 2013 in these Affiliated investments are as follows: |

|                                                                                            |
|--------------------------------------------------------------------------------------------|
|                                                                                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Name of Issue                                                                         | Fair Value at March 31, 2013 | Gross Additions (Cost)* | Gross Reductions (Cost)**  | Change in Unrealized Gain (Loss) | Fair Value at December 31, 2013 | Net Realized Gain (Loss) | Interest/Dividend/ Other Income  |
| Aventine Renewable Energy Holdings, Inc., 15.00% (12.00% Cash/3.00% PIK), 9/23/16          | $ | 3,866 |  | $ | 65 |  | $ | — |  | $ | (455 | ) | $ | 3,476 |  | $ | — |  | $ | 430 |  |
| Aventine Renewable Energy Holdings, Inc., 10.50% Cash or 15.00% PIK, 9/22/17               | 9,682 |  | 873 |  | — |  | (2,314 | ) | 8,241 |  | — |  | 880 |  |
| Aventine Renewable Energy Holdings, Inc., 25.00% PIK, 9/23/16                              | N/A |  | 5,126 |  | — |  | — |  | 5,126 |  | — |  | 638 |  |
| Aventine Renewable Energy Holdings, Inc. **                                                | 2,347 |  | — |  | (3,995 | ) | 1,740 |  | 92 |  | — |  | — |  |
| Aventine Renewable Energy Holdings, Inc., Common **                                        | N/A |  | 3,995 |  | — |  | (3,462 | ) | 533 |  | — |  | — |  |
| Highbridge Loan Management 3-2014, Ltd, Class D Notes, L+500, 1/18/25 †‡¢ | N/A |  | 4,633 |  | — |  | — |  | 4,633 |  | — |  | — |  |
| Highbridge Loan Management 3-2014, Ltd, Class E Notes, L+600, 1/18/25 †‡¢ | N/A |  | 2,261 |  | — |  | — |  | 2,261 |  | — |  | — |  |
| Highbridge Loan Management 3-2014, Ltd, Subordinated Notes, 1/18/25 †‡¢   | N/A |  | 7,527 |  | — |  | — |  | 7,527 |  | — |  | — |  |
| Highbridge Loan, Ltd., Preference Shares**‡¢                                    | 6,174 |  | 6,655 |  | (12,829 | ) | — |  | — |  | — |  | 1,518 |  |
| Jamestown CLO I LTD, Class C L+400, 11/5/24 †‡¢                           | 1,109 |  | 3 |  | (1,027 | ) | (85 | ) | — |  | 71 |  | 30 |  |
| Jamestown CLO I LTD, Class D L+550, 11/5/24 †‡¢                           | 3,537 |  | 13 |  | (3,386 | ) | (164 | ) | — |  | 250 |  | 139 |  |
| Jamestown CLO I LTD, Subordinated Notes, 11/5/24 ‡¢                             | 13,568 |  | (34 | ) | (1,636 | ) | 1,701 |  | 13,599 |  | — |  | 1,313 |  |
| Kirkwood Fund II LLC, Common Interest ‡¢                                        | 43,144 |  | — |  | (41,067 | ) | (2,077 | ) | — |  | — |  | 5,923 |  |
| MCF CLO I LLC, Class E Notes, L+575, 4/20/23 †‡¢                          | 12,273 |  | 39 |  | — |  | 45 |  | 12,357 |  | — |  | 646 |  |
| MCF CLO I LLC, Membership Interests ‡¢                                          | 38,918 |  | — |  | (598 | ) | 1,960 |  | 40,280 |  | — |  | 5,981 |  |
| MCF CLO III LLC, Class E Notes L+445, 1/20/24 †‡¢                         | N/A |  | 11,325 |  | — |  | — |  | 11,325 |  | — |  | — |  |
| MCF CLO III LLC, Membership Interests, 1/20/24 ‡¢                               | N/A |  | 39,183 |  | — |  | — |  | 39,183 |  | — |  | — |  |
| Slater Mill Loan Fund LP, LP Certificates ‡¢                                    | 6,951 |  | — |  | (760 | ) | 1,214 |  | 7,405 |  | — |  | 760 |  |
|                                                                                       | $ | 141,569 |  | $ | 81,664 |  | $ | (65,298 | ) | $ | (1,897 | ) | $ | 156,038 |  | $ | 321 |  | $ | 18,258 |  |

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Table of Contents

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (5) | Denotes investments in which we are deemed to exercise a controlling influence over the management or policies of a company, as defined in the 1940 Act, due to beneficially owning, either directly or through one or more controlled companies, more than 25% of the outstanding voting securities of the investment. Fair value as of March 31, 2013 and December 31, 2013 along with transactions during the nine months ended December 31, 2013 in these Controlled investments are as follows: |

|                                                                          |
|--------------------------------------------------------------------------|
|                                                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Name of Issue                                                       | Fair Value at March 31, 2013 | Gross Additions (Cost)* | Gross Reductions (Cost)** | Change in Unrealized Gain (Loss) | Fair Value at December 31, 2013 | Net Realized Gain (Loss) | Interest/Dividend/ Other Income |
| AIC Credit Opportunity Fund, LLC Common Equity **                   | $ | 50,696 |  | $ | 20,387 |  | $ | (68,489 | ) | $ | (2,594 | ) | $ | — |  | $ | (2,338 | ) | $ | 2,306 |  |
| Generation Brands Holdings, Inc. (Quality Home Brands) **           | 432 |  | — |  | — |  | 1,459 |  | 1,891 |  | — |  | — |  |
| Generation Brands Holdings, Inc. Series H (Quality Home Brands) **  | 360 |  | — |  | — |  | 1,215 |  | 1,575 |  | — |  | — |  |
| Generation Brands Holdings, Inc. Series 2L (Quality Home Brands) ** | 1,760 |  | — |  | — |  | 5,945 |  | 7,705 |  | — |  | — |  |
| LVI Services, Inc., 12.50%, 3/6/18                                       | 10,000 |  | 21 |  | — |  | (21 | ) | 10,000 |  | — |  | 1,075 |  |
| LVI Parent Corp. (LVI Services, Inc.) **                                 | 30,575 |  | — |  | — |  | 2,908 |  | 33,483 |  | — |  | — |  |
| Merx Aviation Finance Holdings, LLC, 12.00%, 1/9/21                      | 92,000 |  | — |  | (92,000 | ) | — |  | — |  | — |  | 6,761 |  |
| Merx Aviation Finance Holdings, LLC, 12.00%, 2/1/21                      | 5,303 |  | — |  | (5,303 | ) | — |  | — |  | — |  | 392 |  |
| Merx Aviation Finance Holdings, LLC, 12.00%, 3/28/21                     | 4,684 |  | — |  | (4,684 | ) | — |  | — |  | — |  | 347 |  |
| Merx Aviation Finance Holdings, LLC, 12.00%, 6/25/21                     |  N/A |  | 13,500 |  | (13,500 | ) | — |  | — |  | — |  | 621 |  |
| Merx Aviation Finance Holdings, LLC, 12.00%, 7/25/21                     |  N/A |  | 14,600 |  | (14,600 | ) | — |  | — |  | — |  | 286 |  |
| Merx Aviation Finance Holdings, LLC, 12.00%, 8/19/21                     |  N/A |  | 4,000 |  | (4,000 | ) | — |  | — |  | — |  | 124 |  |
| Merx Aviation Finance Holdings, LLC, 12.00%, 9/12/21                     |  N/A |  | 4,600 |  | (4,600 | ) | — |  | — |  | — |  | 80 |  |
| Merx Aviation Finance Holdings, LLC, 12.00%, 10/28/21                    |  N/A |  | 31,150 |  | (31,150 | ) | — |  | — |  | — |  | 154 |  |
| Merx Aviation Finance Holdings, LLC, (Revolver) 12.00%, 10/31/18         | N/A |  | 161,834 |  | — |  | — |  | 161,834 |  | — |  | 2,660 |  |
| Merx Aviation Finance Holdings, LLC **                                   | 33,820 |  | 35,120 |  | (2,358 | ) | 5,445 |  | 72,027 |  | — |  | — |  |
| Playpower Holdings, Inc., 14.00% PIK, 12/15/15 †                   | 24,173 |  | 2,293 |  | (27,577 | ) | 1,111 |  | — |  | 430 |  | 2,271 |  |
| Playpower, Inc., 12.50% PIK, 12/31/15 †                            | 18,458 |  | 1,713 |  | (20,551 | ) | 380 |  | — |  | 849 |  | 1,686 |  |
| Playpower Holdings, Inc., Series A, 14.00% PIK, 11/15/20                 | N/A |  | 49,178 |  | — |  | — |  | 49,178 |  | — |  | 868 |  |
| Playpower Holdings, Inc. **                                              | 38,157 |  | — |  | — |  | 7,830 |  | 45,987 |  | — |  | 375 |  |
|                                                                     | $ | 310,418 |  | $ | 338,396 |  | $ | (288,812 | ) | $ | 23,678 |  | $ | 383,680 |  | $ | (1,059 | ) | $ | 20,006 |  |

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|     |                                                                                                                                                                                                                                                      |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (6) | Aggregate gross unrealized appreciation for federal income tax purposes is $120,105; aggregate gross unrealized depreciation for federal income tax purposes is $227,958. Net unrealized depreciation is $107,854 based on a tax cost of $3,291,464. |

|     |                                                                                                                                                                                                                        |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (7) | Substantially all securities are pledged as collateral to our multicurrency revolving credit facility (the “Facility”). As such these securities are not available as collateral to our general creditors. |

|     |                                                                                          |
|-----|------------------------------------------------------------------------------------------|
| (8) | The negative fair value is the result of the unfunded commitment being valued below par. |

|   |                                                                                                                                                                                                                            |
|---|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| t | 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, Euro (“€”), British Pound (“£”), and Canadian Dollar (“CAD”). |

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

|     |                                  |
|-----|----------------------------------|
| *** | Non-accrual status (see Note 2d) |

|      |                                                                                                                                                                                                                                                                                            |
|------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| **** | The investment has a put option attached to it and the combined instrument has been recorded in its entirety at fair value as a hybrid instrument in accordance with ASC 815-15-25-4 with subsequent changes in fair value charged or credited to investment gains/losses for each period. |

|         |                                                                                                                                                                                                                                                                                                                                                                       |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| † | Denotes debt 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, and differing interest rate characteristics, among other factors. Such factors are usually considered in the determination of fair values. |

|         |                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| ‡ | Investments that the Company has determined are not “qualifying assets” under Section 55(a) of the 1940 Act. Under the 1940 Act, we may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of our total assets. The status of these assets under the 1940 Act are subject to change. The Company monitors the status of these assets on an ongoing basis. |

|        |                                                                                                                                                                                                                 |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| ¢ | Denotes investments where the governing documents of the entity preclude the Company from controlling management of the entity and accordingly the Company disclaims that the entity is a controlled affiliate. |

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|                                                             |
|-------------------------------------------------------------|
|                                                             |  |
| Industry Classification                                     | Percentage of Total Investments (at fair value) as of December 31, 2013 |
| Business Services                                           | 14.1% |
| Oil and Gas                                                 | 12.9% |
| Financial Services                                          | 8.8% |
| Healthcare                                                  | 8.2% |
| Aviation                                                    | 7.3% |
| Diversified Investment Vehicle                              | 6.7% |
| Diversified Service                                         | 4.9% |
| Chemicals                                                   | 3.9% |
| Telecommunications                                          | 3.3% |
| Distribution                                                | 3.2% |
| Leisure                                                     | 3.0% |
| Environmental Services                                      | 2.8% |
| Insurance                                                   | 2.6% |
| Containers, Packaging and Glass                             | 1.8% |
| Transportation                                              | 1.6% |
| Diversified Natural Resources, Precious Metals and Minerals | 1.6% |
| Energy                                                      | 1.4% |
| Manufacturing                                               | 1.3% |
| Education                                                   | 1.2% |
| Restaurants                                                 | 1.1% |
| Hotels, Motels, Inns and Gaming                             | 1.1% |
| Retail                                                      | 1.0% |
| Packaging                                                   | 0.9% |
| Mining                                                      | 0.9% |
| Media                                                       | 0.8% |
| Cargo Transport                                             | 0.7% |
| Consumer Products                                           | 0.5% |
| Printing & Publishing                                   | 0.5% |
| Beverage, Food, and Tobacco                                 | 0.5% |
| Home and Office Furnishings and Durable Consumer Products   | 0.4% |
| Broadcasting & Entertainment                            | 0.3% |
| Aerospace and Defense                                       | 0.3% |
| Grocery                                                     | 0.2% |
| Electronics                                                 | 0.2% |
| Total Investments                                           | 100.0% |

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Table of Contents

|                                                                                      |
|--------------------------------------------------------------------------------------|
|                                                                                      |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON- AFFILIATEDINVESTMENTS — 143.9%              |   | Industry |   | ParAmount* |   | Cost |   | FairValue (1) |
| CORPORATE DEBT—138.7%                                                          |   |   |   |   |   |   |   |   |
| SECURED DEBT—68.8%                                                             |   |   |   |   |   |   |   |   |
| 1st Lien Secured Debt—22.2%                                                    |   |   |   |   |   |   |   |   |
| Amaya Gaming Group, Inc., L+775, 11/5/15                                             |   | Hotels, Motels,Inns and Gaming |   | $ | 14,813 |  |   | $ | 14,617 |  |   | $ | 14,813 |  |
| ATI Acquisition Company, P+1400 (P+10.00% Cash/4.00% PIK), 6/30/12 *** †       |   | Education |   | 4,676 |  |   | 3,895 |  |   | 500 |  |
| ATI Acquisition Company, P+900 (P+5.00% Cash/4.00% PIK), 12/30/14 *** †        |   | Education |   | 15,491 |  |   | 12,596 |  |   | — |  |
| Aventine Renewable Energy Holdings, Inc., 12.00%, 9/24/16 †                    |   | Chemicals |   | 3,966 |  |   | 3,850 |  |   | 3,866 |  |
| Aventine Renewable Energy Holdings, Inc., 10.50% Cash or 15.00% PIK, 9/24/17 † |   | Chemicals |   | 12,102 |  |   | 16,007 |  |   | 9,682 |  |
| Aveta, Inc., L+825, 12/12/17                                                         |   | Healthcare |   | 69,594 |  |   | 67,607 |  |   | 69,985 |  |
| Dark Castle Holdings, LLC, L+225, 3/25/13                                            |   | Media |   | 34,777 |  |   | 11,061 |  |   | 13,260 |  |
| Delta Educational Systems, Inc., 16.00% (8.00% Cash/8.00% PIK), 12/11/16             |   | Education |   | 5,018 |  |   | 5,018 |  |   | 5,018 |  |
| Endeavour International, 12.00%, 3/1/18 ‡                                      |   | Oil and Gas |   | 14,993 |  |   | 14,471 |  |   | 14,421 |  |
| Evergreen Tank Solutions, Inc., L+800, 9/28/18                                       |   | Containers,Packaging, andGlass |   | 31,600 |  |   | 31,004 |  |   | 31,580 |  |
| Garden Fresh Restaurant Corp., L+525 (L+475 Cash/0.50% PIK), 6/11/13 †         |   | Restaurants |   | 2,503 |  |   | 2,503 |  |   | 2,503 |  |
| Garden Fresh Restaurant Corp., L+625 (L+575 Cash/0.50% PIK), 6/11/13 †         |   | Restaurants |   | 2,503 |  |   | 2,481 |  |   | 2,503 |  |
| Miller Energy Resources, Inc., 18.00% (15.00% Cash/3.00% PIK Option), 6/29/17        |   | Oil and Gas |   | 45,307 |  |   | 45,307 |  |   | 45,307 |  |
| Molycorp Inc., 10.00%, 6/1/20 ‡                                                |   | DiversifiedNatural Resources,Precious Metals&Minerals |   | 5,158 |  |   | 4,990 |  |   | 5,123 |  |
| Nara Cable Funding Limited, 8.875%, 12/1/18 t‡                                 |   | Broadcasting &Entertainment |   | 6,284 |  |   | 5,424 |  |   | 6,497 |  |
| Osage Exploration & Development, Inc., L+1500, 4/27/15 ‡              |   | Oil and Gas |   | 7,000 |  |   | 6,872 |  |   | 7,000 |  |
| Panda Sherman Power, LLC, L+750, 9/14/18                                             |   | Energy |   | 15,000 |  |   | 14,790 |  |   | 15,338 |  |
| Panda Temple Power, LLC, L+1000, 7/18/18                                             |   | Energy |   | 25,500 |  |   | 25,031 |  |   | 26,233 |  |
| Pelican Energy, LLC, 10.00% (7.00% Cash/3.00% PIK), 12/31/18 ‡                 |   | Oil and Gas |   | 8,371 |  |   | 8,176 |  |   | 8,539 |  |
| Penton Media, Inc., L+400 (L+300 Cash/2.00% PIK), 8/1/14                             |   | Printing &Publishing |   | 29,923 |  |   | 27,404 |  |   | 28,876 |  |
| Spotted Hawk Development LLC, 14.00% (13.00% Cash/1.00% PIK), 6/30/16 ‡        |   | Oil and Gas |   | 24,003 |  |   | 23,200 |  |   | 22,983 |  |
| Sunrun Solar Owner IX, LLC, 9.079%, 12/31/24                                         |   | Energy |   | 1,103 |  |   | 1,053 |  |   | 1,103 |  |
| Texas Competitive Electric Holdings, 11.50%, 10/1/20 t .                        |   | Utilities |   | 50,000 |  |   | 49,693 |  |   | 37,656 |  |
| Total 1st Lien Secured Debt                                                          |   |   |   |   |   | $ | 397,050 |  |   | $ | 372,786 |  |

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|                                                                               |
|-------------------------------------------------------------------------------|
|                                                                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS—143.9%    |   | Industry  |   | Par Amount*  |   | Cost  |   | Fair Value (1)  |
| 2nd Lien Secured Debt—46.6%                                             |   |   |   |   |   |   |   |   |
| AI Chem & Cy US AcquiCo, Inc. (Monarch) L+700, 3/20/20 ‡× |   | Chemicals |   | $ | 10,000 |  |   | $ | 9,950 |  |   | $ | 10,263 |  |
| Allied Security Holdings, LLC, L+825, 2/2/18                                  |   | Business Services |   | 31,000 |  |   | 30,764 |  |   | 31,194 |  |
| Ardent Medical Services, Inc, L+950, 7/2/19                                   |   | Healthcare |   | 20,000 |  |   | 19,515 |  |   | 20,500 |  |
| Avaya Inc., 10.5%, 3/1/21 t.                                                  |   | Telecommunications |   | 16,577 |  |   | 15,835 |  |   | 15,824 |  |
| Brock Holdings III, Inc., L+825, 3/16/18                                      |   | Environmental &Facilities Services |   | 27,000 |  |   | 26,579 |  |   | 27,439 |  |
| Cengage Learning Acquisitions Inc., 12.00%, 6/30/19 ***                  |   | Education |   | 69,597 |  |   | 59,918 |  |   | 15,659 |  |
| Clean Earth, Inc., 13.00%, 8/1/14                                             |   | EnvironmentalServices |   | 25,000 |  |   | 25,000 |  |   | 25,000 |  |
| Confie Seguros II, L+900, 5/8/19                                              |   | Insurance |   | 15,000 |  |   | 14,711 |  |   | 15,375 |  |
| EZE Software Group LLC, L+750 3/14/21 ×                                  |   | Business Services |   | 6,132 |  |   | 6,071 |  |   | 6,270 |  |
| Garden Fresh Restaurant Corp., L+1175 (L+975 Cash/2.00% PIK), 12/11/13        |   | Restaurants |   | 47,075 |  |   | 47,790 |  |   | 32,952 |  |
| GCA Services Group, Inc., L+800, 10/31/20                                     |   | Diversified Service |   | 19,547 |  |   | 19,358 |  |   | 19,596 |  |
| Grocery Outlet Inc., L+925, 6/17/19                                           |   | Grocery |   | 10,500 |  |   | 10,296 |  |   | 10,539 |  |
| Healogics Inc., L+800, 2/5/20                                                 |   | Healthcare |   | 5,000 |  |   | 4,951 |  |   | 5,181 |  |
| Insight Pharmaceuticals, LLC., L+1175, 8/25/17                                |   | Consumer Products |   | 15,448 |  |   | 15,199 |  |   | 15,603 |  |
| IPC Systems, Inc., L+525, 5/31/15                                             |   | Telecommunications |   | 44,250 |  |   | 42,752 |  |   | 39,604 |  |
| Kronos, Inc., L+850, 4/26/20                                                  |   | Business Services |   | 56,358 |  |   | 55,269 |  |   | 59,035 |  |
| Ozburn-Hessey Holding Company LLC, L+950, 10/11/16                       |   | Transportation |   | 25,333 |  |   | 25,309 |  |   | 24,320 |  |
| PH Holdings LLC, 9.75%, 12/31/17                                              |   | Homebuilding |   | 20,000 |  |   | 19,631 |  |   | 20,800 |  |
| Ranpak Corp., L+750, 10/20/17 †                                         |   | Packaging |   | 85,000 |  |   | 85,000 |  |   | 85,000 |  |
| Ranpak Corp., E+775, 10/20/17 †                                         |   | Packaging |   | € | 40,000 |  |   | 58,042 |  |   | 51,364 |  |
| Sedgwick Holdings, Inc., L+750, 5/28/17                                       |   | Business Services |   | $ | 15,225 |  |   | 15,072 |  |   | 15,453 |  |
| SESAC International LLC, L+875, 8/8/19                                        |   | Broadcasting &Entertainment |   | 4,500 |  |   | 4,433 |  |   | 4,613 |  |
| Smart & Final Stores LLC, L+925, 11/8/20                             |   | Grocery |   | 17,260 |  |   | 16,756 |  |   | 17,929 |  |
| SquareTwo Financial Corp. (Collect America, Ltd.), 11.625%, 4/1/17 ‡    |   | Financial Services |   | 51,079 |  |   | 49,432 |  |   | 52,037 |  |
| TransFirst Holdings Inc., L+975, 6/27/18                                      |   | Financial Services |   | 61,250 |  |   | 59,476 |  |   | 62,858 |  |
| U.S. Renal Care, Inc., L+900, 1/3/20                                          |   | Healthcare |   | 4,910 |  |   | 4,818 |  |   | 5,008 |  |
| Valerus Compression Services, LP, 11.50%, 3/26/18                             |   | Manufacturing |   | 40,000 |  |   | 40,000 |  |   | 41,200 |  |
| Vertafore, Inc., L+825, 10/29/17                                              |   | Oil and Gas |   | 49,260 |  |   | 48,901 |  |   | 50,615 |  |
| Total 2nd Lien Secured Debt                                                   |   |   |   |   |   | $ | 830,828 |  |   | $ | 781,231 |  |
| TOTAL SECURED DEBT                                                            |   |   |   |   |   | $ | 1,227,878 |  |   | $ | 1,154,017 |  |

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Table of Contents

|                                                                               |
|-------------------------------------------------------------------------------|
|                                                                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON- AFFILIATEDINVESTMENTS — 143.9%       |   | Industry |   | ParAmount* |   | Cost |   | FairValue (1) |
| UNSECURED DEBT—69.9%                                                    |   |   |   |   |   |   |   |   |
| Advantage Sales & Marketing, Inc., 13.00%, 12/31/18                  |   | Grocery |   | $ | 25,000 |  |   | $ | 25,000 |  |   | $ | 25,000 |  |
| Altegrity, Inc., 0.00%, 8/2/16 t†                                       |   | Diversified Service |   | 3,545 |  |   | 2,358 |  |   | 1,524 |  |
| Altegrity, Inc., 11.75%, 5/1/16 t†                                      |   | Diversified Service |   | 14,639 |  |   | 11,885 |  |   | 10,394 |  |
| Altegrity, Inc., 12.00%, 11/1/15 t†                                     |   | Diversified Service |   | 100,000 |  |   | 100,000 |  |   | 89,000 |  |
| American Tire Distributors, Inc., 11.50%, 6/1/18 t.                           |   | Distribution |   | 25,000 |  |   | 25,000 |  |   | 26,300 |  |
| Angelica Corporation, 15.00% (12.00% Cash/3.00% PIK), 10/15/16                |   | Healthcare |   | 46,284 |  |   | 46,284 |  |   | 47,210 |  |
| ATI Acquisition Company, P+1400 (P+10.00% Cash/4.00% PIK), 12/30/15 ***       |   | Education |   | 45,153 |  |   | 37,867 |  |   | — |  |
| BCA Osprey II Limited (British Car Auctions), 12.50% PIK, 8/17/17 ‡     |   | Transportation |   | £ | 25,609 |  |   | 40,643 |  |   | 36,359 |  |
| BCA Osprey II Limited (British Car Auctions), 12.50% PIK, 8/17/17 ‡     |   | Transportation |   | € | 15,528 |  |   | 21,507 |  |   | 18,643 |  |
| Ceridian Corp., 12.25% Cash or 13.00% PIK, 11/15/15 †              |   | Diversified Service |   | $ | 80,950 |  |   | 80,892 |  |   | 83,803 |  |
| Ceridian Corp., 11.25%, 11/15/15 †                                      |   | Diversified Service |   | 35,800 |  |   | 35,812 |  |   | 37,023 |  |
| Ceridian Corp., 11.00%, 3/15/21 t†                                      |   | Diversified Service |   | 67,500 |  |   | 67,500 |  |   | 72,731 |  |
| Delta Educational Systems, Inc., 16.00% (10.00% Cash/6.00% PIK), 5/12/17 |   | Education |   | 20,430 |  |   | 20,024 |  |   | 19,143 |  |
| Denver Parent (Venoco, Inc.), 18.00%, 10/3/15 t.                              |   | Oil and Gas |   | 20,000 |  |   | 20,000 |  |   | 23,400 |  |
| Exova Limited, 10.50%, 10/15/18 t ‡ †                        |   | BusinessServices |   | £ | 10,000 |  |   | 16,013 |  |   | 16,627 |  |
| Exova Limited, 10.50%, 10/15/18 ‡ †                               |   | BusinessServices |   | £ | 12,655 |  |   | 17,116 |  |   | 21,041 |  |
| First Data Corporation, 11.25%, 1/15/21 t †                        |   | FinancialServices |   | $ | 67,000 |  |   | 66,975 |  |   | 69,868 |  |
| First Data Corporation, 10.625% 6/15/21 †×                         |   | FinancialServices |   | 10,000 |  |   | 10,000 |  |   | 10,150 |  |
| Intelsat Bermuda Ltd., 11.25%, 2/4/17 ‡                                 |   | Broadcasting &Entertainment |   | 44,000 |  |   | 45,153 |  |   | 46,877 |  |
| Intelsat Bermuda Ltd., 11.50% Cash or 12.50% PIK, 2/4/17 t‡        |   | Broadcasting &Entertainment |   | 20,000 |  |   | 20,035 |  |   | 21,250 |  |
| Inventive Health, Inc., 11.00%, 8/15/18 t.                                    |   | Healthcare |   | 160,000 |  |   | 160,000 |  |   | 139,200 |  |
| Laureate Education, Inc., 12.75%, 8/15/17 t ‡                      |   | Education |   | 53,540 |  |   | 55,012 |  |   | 57,823 |  |
| Lonestar Intermediate Super Holdings (Asurion), LLC, L+950, 9/2/19            |   | Insurance |   | 41,922 |  |   | 41,776 |  |   | 45,223 |  |
| Niacet Corp., 13.00%, 8/28/18                                                 |   | Chemicals |   | 12,500 |  |   | 12,500 |  |   | 12,500 |  |
| SeaCube Container Leasing Ltd., 11.00%, 4/28/16 ‡             |   | Transportation |   | 50,000 |  |   | 50,000 |  |   | 51,500 |  |
| Univar Inc., 10.50%, 6/30/18                                                  |   | Distribution |   | 20,000 |  |   | 20,000 |  |   | 20,000 |  |
| U.S. Security Associates Holdings, Inc., 11.00%, 7/28/18                 |   | Business Services |   | 135,000 |  |   | 135,000 |  |   | 139,455 |  |
| Varietal Distribution, 10.75%, 6/30/17 t †                         |   | Distribution |   | € | 5,187 |  |   | 6,385 |  |   | 6,994 |  |
| Varietal Distribution, 10.75%, 6/30/17 t †                         |   | Distribution |   | $ | 22,204 |  |   | 21,837 |  |   | 23,328 |  |
| TOTAL UNSECURED DEBT                                                          |   |   |   |   |   | $ | 1,212,574 |  |   | $ | 1,172,366 |  |
| TOTAL CORPORATE DEBT                                                          |   |   |   |   |   | $ | 2,440,452 |  |   | $ | 2,326,383 |  |

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Table of Contents

|                                                                                                                        |
|------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON- AFFILIATEDINVESTMENTS — 143.9%                                                |   | Industry |   | Par      Amount* |   | Cost |   | FairValue (1) |
| STRUCTURED PRODUCTS AND OTHER—0.6%                                                                               |   |   |   |   |   |   |   |   |
| Westbrook CLO Ltd., Series 2006-1A Class E, L+370, 12/20/20 t‡                                                   |   | DiversifiedInvestment Vehicle |   | $ | 11,000 |  |   | $ | 7,367 |  |   | $ | 9,625 |  |
| TOTAL STRUCTURED PRODUCTS AND OTHER                                                                                    |   |   |   |   |   | $ | 7,367 |  |   | $ | 9,625 |  |
|                                                                                                                   |   |   |   |   |   |   |   |   |
| PREFERRED EQUITY—0.7%                                                                                            |   |   |   | Shares |   |   |   |   |
| CA Holding, Inc. (Collect America, Ltd.), Series A ** ‡                                           |   | Financial Services |   | 7,961 |  |   | $ | 788 |  |   | $ | 1,592 |  |
| Gryphon Colleges Corporation (Delta Educational Systems, Inc.), 13.50% PIK, ***                                        |   | Education |   | 12,360 |  |   | 27,685 |  |   | 7,208 |  |
| Gryphon Colleges Corporation (Delta Educational Systems, Inc.), 12.50% PIK, (Convertible) *** |   | Education |   | 332,500 |  |   | 6,863 |  |   | — |  |
| Varietal Distribution Holdings, LLC, Class A, 8.00% PIK                                                      |   | Distribution |   | 3,097 |  |   | 4,885 |  |   | 2,750 |  |
| TOTAL PREFERRED EQUITY                                                                                                 |   |   |   |   |   | $ | 40,221 |  |   | $ | 11,550 |  |
|                                                                                                                   |   |   |   |   |   |   |   |   |
| EQUITY—3.9%                                                                                                      |   |   |   |   |   |   |   |   |
| Common Equity/Interests—3.4%                                                                                     |   |   |   |   |   |   |   |   |
| Accelerate Parent Corp. (American Tire Distributors) **                                                           |   | Distribution |   | 3,125,000 |  |   | $ | 3,125 |  |   | $ | 4,160 |  |
| AHC Mezzanine LLC (Advanstar) **                                                                                       |   | Media |   | — |  |   | 1,063 |  |   | 242 |  |
| Altegrity Holding Corp. **                                                                                             |   | Diversified Service |   | 353,399 |  |   | 13,797 |  |   | 1,111 |  |
| Aventine Renewable Energy Holdings, Inc. **                                                                            |   | Chemicals |   | 262,036 |  |   | 4,684 |  |   | 2,347 |  |
| CA Holding, Inc. (Collect America, Ltd.) Series A ** ‡                                            |   | Financial Services |   | 25,000 |  |   | 2,500 |  |   | 2,498 |  |
| CA Holding, Inc. (Collect America, Ltd.) Series AA ** ‡                                           |   | Financial Services |   | 4,294 |  |   | 429 |  |   | 859 |  |
| Clothesline Holdings, Inc. (Angelica Corporation) **                                                              |   | Healthcare |   | 6,000 |  |   | 6,000 |  |   | 3,059 |  |
| Explorer Coinvest LLC (Booz Allen) ** ‡                                                                          |   | Business Services |   | 430 |  |   | 3,322 |  |   | 5,319 |  |
| Garden Fresh Restaurant Holding, LLC **                                                                                |   | Restaurants |   | 50,000 |  |   | 5,000 |  |   | — |  |
| Gryphon Colleges Corporation (Delta Educational Systems, Inc.) **                                                      |   | Education |   | 17,500 |  |   | 175 |  |   | — |  |
| GS Prysmian Co-Invest L.P. (Prysmian Cables & Systems) (2,3) ** ‡                                       |   | Manufacturing |   | — |  |   | — |  |   | 123 |  |
| JV Note Holdco LLC (DSI Renal Inc.) **                                                                                 |   | Healthcare |   | 9,303 |  |   | 85 |  |   | 91 |  |
| Pelican Energy, LLC ** ‡                                                                                         |   | Oil and Gas |   | — |  |   | 138 |  |   | 146 |  |
| Penton Business Media Holdings, LLC **                                                                                 |   | Printing &  Publishing |   | 124 |  |   | 4,950 |  |   | 15,778 |  |
| RC Coinvestment, LLC (Ranpak Corp.) **                                                                                 |   | Packaging |   | 50,000 |  |   | 5,000 |  |   | 8,233 |  |
| Sorenson Communications Holdings, LLC Class A **                                                        |   | Consumer Products |   | 454,828 |  |   | 45 |  |   | 1,990 |  |
| Univar Inc.**                                                                                                          |   | Distribution |   | 900,000 |  |   | 9,000 |  |   | 11,520 |  |
| Varietal Distribution Holdings, LLC Class A **                                                                         |   | Distribution |   | 28,028 |  |   | 28 |  |   | — |  |
| Total Common Equity/Interests                                                                                          |   |   |   |   |   | $ | 59,341 |  |   | $ | 57,476 |  |

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Table of Contents

|                                                                                             |
|---------------------------------------------------------------------------------------------|
|                                                                                             |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATEDINVESTMENTS—143.9%                        |   | Industry |   | Warrants |   | Cost |   | FairValue (1) |
| Warrants—0.5%                                                                         |   |   |   |   |   |   |   |   |
| CA Holding, Inc. (Collect America, Ltd.),Common ** ‡                                  |   | Financial Services |   | 7,961 |  |   | $ | 8 |  |   | — |  |
| Fidji Luxco (BC) S.C.A., Common (FCI)(2) ** ‡                     |   | Electronics |   | 24,862 |  |   | 250 |  |   | $ | 5,788 |  |
| 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 |  |   | 459 |  |   | — |  |
| Gryphon Colleges Corporation (Delta Educational Systems, Inc.), Class B-1 Preferred **      |   | Education |   | 104,314 |  |   | 1,043 |  |   | — |  |
| Osage Exploration & Development, Inc. ** ‡                                   |   | Oil and Gas |   | 1,496,843 |  |   | — |  |   | 1,841 |  |
| Spotted Hawk Development LLC, Common ** ‡                                             |   | Oil and Gas |   | 54,545 |  |   | 852 |  |   | 1,644 |  |
| Total Warrants                                                                              |   |   |   |   |   | $ | 2,710 |  |   | $ | 9,273 |  |
| TOTAL EQUITY                                                                                |   |   |   |   |   | $ | 62,051 |  |   | $ | 66,749 |  |
| Total Investments in  Non-Controlled/Non-Affiliated Investments              |   |   |   |   |   | $ | 2,550,091 |  |   | $ | 2,414,307 |  |

|                                                                              |
|------------------------------------------------------------------------------|
|                                                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/AFFILIATEDINVESTMENTS—7.5% (4)      |   | Industry |   | ParAmount* |   | Cost |   | FairValue (1) |
| STRUCTURED PRODUCTS AND OTHER—7.5%                                     |   |   |   |   |   |   |   |   |
| Highbridge Loan, Ltd., Preference Shares ** ‡ ¢                   |   | DiversifiedInvestment Vehicle |   | $ | 6,174 |  |   | $ | 6,174 |  |   | $ | 6,174 |  |
| Jamestown CLO I LTD, Subordinated Notes, 11/5/24 ‡ † ¢ |   | DiversifiedInvestment Vehicle |   | 15,075 |  |   | 14,053 |  |   | 13,568 |  |
| Jamestown CLO I LTD, Class D L+550, 11/5/24 ‡ † ¢           |   | DiversifiedInvestment Vehicle |   | 3,800 |  |   | 3,373 |  |   | 3,537 |  |
| Jamestown CLO I LTD, Class C L+400, 11/5/24 ‡ † ¢           |   | DiversifiedInvestment Vehicle |   | 1,120 |  |   | 1,024 |  |   | 1,109 |  |
| Kirkwood Fund II LLC, Common Interest ‡ ¢                         |   | DiversifiedInvestment Vehicle |   | — |  |   | 41,067 |  |   | 43,144 |  |
| MCF CLO I LLC, Membership Interests ‡ ¢                           |   | DiversifiedInvestment Vehicle |   | 38,918 |  |   | 38,918 |  |   | 38,918 |  |
| MCF CLO I LLC, Class E Notes L+575, 4/20/23 ‡ † ¢           |   | DiversifiedInvestment Vehicle |   | 13,000 |  |   | 12,278 |  |   | 12,273 |  |
| Slater Mill Loan Fund LTD, Preference Shares ‡ ¢                  |   | DiversifiedInvestment Vehicle |   | 8,375 |  |   | 7,119 |  |   | 6,951 |  |
| TOTAL STRUCTURED PRODUCTS AND OTHER                                          |   |   |   |   |   | $ | 124,006 |  |   | $ | 125,674 |  |
| Total Investments in Non-Controlled/ Affiliated Investments                  |   |   |   |   |   | $ | 124,006 |  |   | $ | 125,674 |  |

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Table of Contents

|                                                                     |
|---------------------------------------------------------------------|
|                                                                     |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN CONTROLLED INVESTMENTS—18.5% (5)               |   | Industry |   | Par     Amount* |   | Cost |   | FairValue (1) |
| CORPORATE DEBT—9.2%                                           |   |   |   |   |   |   |   |   |
| SECURED DEBT—6.7%                                             |   |   |   |   |   |   |   |   |
| 1st Lien Secured Debt—6.1%                                    |   |   |   |   |   |   |   |   |
| Merx Aviation Finance Holdings, LLC, 12.00%, 1/9/21            |   | Aviation |   | $ | 92,000 |  |   | $ | 92,000 |  |   | $ | 92,000 |  |
| Merx Aviation Finance Holdings, LLC, 12.00%, 2/1/21            |   | Aviation |   | 5,303 |  |   | 5,303 |  |   | 5,303 |  |
| Merx Aviation Finance Holdings, LLC, 12.00% 3/28/21            |   | Aviation |   | 4,684 |  |   | 4,684 |  |   | 4,684 |  |
| Total 1st Lien Secured Debt                                         |   |   |   |   |   | $ | 101,987 |  |   | $ | 101,987 |  |
| 2nd Lien Secured Debt—0.6%                                    |   |   |   |   |   |   |   |   |
| LVI Services, Inc., 12.50%, 3/6/2018                                |   | EnvironmentalServices |   | $ | 10,000 |  |   | $ | 9,815 |  |   | $ | 10,000 |  |
| Total 2nd Lien Secured Debt                                         |   |   |   |   |   | $ | 9,815 |  |   | $ | 10,000 |  |
| TOTAL SECURED DEBT                                                  |   |   |   |   |   | $ | 111,802 |  |   | $ | 111,987 |  |
| UNSECURED DEBT—2.5%                                           |   |   |   |   |   |   |   |   |
| Playpower Holdings Inc., 14.00% PIK, 12/15/15                       |   | Leisure |   | € | 19,064 |  |   | $ | 25,285 |  |   | $ | 24,173 |  |
| Playpower, Inc., 12.50% PIK, 12/31/15                               |   | Leisure |   | £ | 12,310 |  |   | 18,838 |  |   | 18,458 |  |
| TOTAL UNSECURED DEBT                                                |   |   |   |   |   | $ | 44,123 |  |   | $ | 42,631 |  |
| TOTAL CORPORATE DEBT                                                |   |   |   |   |   | $ | 155,925 |  |   | $ | 154,618 |  |
| STRUCTURED PRODUCTS AND OTHER—3.0%                            |   |   |   |   |   |   |   |   |
| AIC Credit Opportunity Fund LLC (6)                                 |   | DiversifiedInvestment Vehicle |   | — |  |   | $ | 48,102 |  |   | $ | 50,696 |  |
| TOTAL STRUCTURED PRODUCTS AND OTHER                                 |   |   |   |   |   | $ | 48,102 |  |   | $ | 50,696 |  |
| EQUITY—6.3%                                                   |   |   |   |   |   |   |   |   |
| Common Equity/Interests—6.3%                                  |   |   |   | Shares |   |   |   |   |
| Generation Brands Holdings, Inc. (Quality Home Brands) **           |   | Home and Office Furnishings andDurable ConsumerProducts |   | 9,007 |  |   | — |  |   | $ | 432 |  |
| Generation Brands Holdings, Inc. Series H (Quality Home Brands) **  |   |     Home and OfficeFurnishings andDurable ConsumerProducts |   | 7,500 |  |   | $ | 2,297 |  |   | 360 |  |
| Generation Brands Holdings, Inc. Series 2L (Quality Home Brands) ** |   |     Home and OfficeFurnishings andDurable ConsumerProducts |   | 36,700 |  |   | 11,242 |  |   | 1,760 |  |
| LVI Parent Corp. (LVI Services, Inc.) **                            |   | Environmental &Facilities Services |   | 14,981 |  |   | 16,096 |  |   | 30,575 |  |
| Merx Aviation Finance Holdings, LLC **                              |   | Aviation |   | — |  |   | 33,820 |  |   | 33,820 |  |
| Playpower Holdings Inc. **                                          |   | Leisure |   | 1,000 |  |   | 77,722 |  |   | 38,157 |  |
| Total Common Equity/Interests                                       |   |   |   |   |   | $ | 141,177 |  |   | $ | 105,104 |  |
| TOTAL EQUITY                                                        |   |   |   |   |   | $ | 141,177 |  |   | $ | 105,104 |  |
| Total Investments in Controlled Investments                         |   |   |   |   |   | $ | 345,204 |  |   | $ | 310,418 |  |
| Total Investments—169.9%(7,8)                                 |   |   |   |   |   | $ | 3,019,301 |  |   | $ | 2,850,399 |  |
| Liabilities in Excess of Other Assets—(69.9%)                 |   |   |   |   |   |   |   | (1,173,010 | ) |
| Net Assets—100.0%                                             |   |   |   |   |   |   |   | $ | 1,677,389 |  |

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|     |                                                                                                                         |
|-----|-------------------------------------------------------------------------------------------------------------------------|
| (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) | Denominated in foreign currency as indicated. |

|     |                                                                       |
|-----|-----------------------------------------------------------------------|
| (3) | The Company is the sole Limited Partner in GS Prysmian Co-Invest L.P. |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (4) | Denotes investments in which we are an “Affiliated Person”, as defined in the 1940 Act, due to owning or holding the power to vote 5% or more of the outstanding voting securities of the investment but not controlling the company. Fair value as of March 31, 2012 and March 31, 2013 along with transactions during the fiscal year ended March 31, 2013 in these Affiliated investments are as follows: |

|                                                                      |
|----------------------------------------------------------------------|
|                                                                      |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Name of Issuer                                                       | Fair Value at  March 31, 2012 | GrossAdditions (Cost)* | GrossReductions (Cost)** | Change in Unrealized Gain (Loss) | Fair Value at  March 31,  2013 | Net Realized Gain (Loss) | Interest/Dividend/Other Income |
| Highbridge Loan, Ltd., Preference Shares ** ‡                  | N/A | $ | 6,174 |  | $ | — |  | $ | — |  | $ | 6,174 |  | $ | — |  | $ | — |  |
| Jamestown CLO I LTD, Subordinated Notes, 11/5/24 ‡† | N/A | 14,053 |  | — |  | (485 | ) | 13,568 |  | — |  | 34 |  |
| Jamestown CLO I LTD, Class D L+550, 11/5/24 ‡†      | N/A | 3,373 |  | — |  | 164 |  | 3,537 |  | — |  | 101 |  |
| Jamestown CLO I LTD, Class C L+400, 11/5/24 ‡†      | N/A | 1,024 |  | — |  | 85 |  | 1,109 |  | — |  | 23 |  |
| Kirkwood Fund II LLC, Common Interest ‡                        | N/A | 41,067 |  | — |  | 2,077 |  | 43,144 |  | — |  | — |  |
| MCF CLO I LLC, Membership Interests ‡                          | N/A | 40,385 |  | (1,467 | ) | — |  | 38,918 |  | — |  | 5,896 |  |
| MCF CLO I LLC, Class E Notes L+575, 4/20/23 ‡†      | N/A | 12,278 |  | — |  | (5 | ) | 12,273 |  | — |  | 84 |  |
| Slater Mill Loan Fund LTD, Preference Shares ‡                 | N/A | 7,370 |  | (251 | ) | (168 | ) | 6,951 |  | — |  | 929 |  |
|                                                                 | N/A | $ | 125,724 |  | $ | (1,718 | ) | $ | 1,668 |  | $ | 125,674 |  | $ | — |  | $ | 7,067 |  |

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|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (5) | Denotes investments in which we are deemed to exercise a controlling influence over the management or policies of a company, as defined in the 1940 Act, due to beneficially owning, either directly or through one or more controlled companies, more than 25% of the outstanding voting securities of the investment. Fair value as of March 31, 2012 and March 31, 2013 along with transactions during the fiscal year ended March 31, 2013 in these Controlled investments are as follows: |

|                                                                                |
|--------------------------------------------------------------------------------|
|                                                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Name of Issuer                                                                 | Fair Value at March 31, 2012 | GrossAdditions (Cost)* | GrossReductions (Cost)** | Change in Unrealized Gain (Loss) | Fair Value at March 31, 2013 | Net Realized Gain (Loss) | Interest/Dividend/Other Income |
| AIC Credit Opportunity Fund LLC Common Equity                                  | $ | 56,034 |  | $ | 575 |  | $ | (15,503 | ) | $ | 9,590 |  | $ | 50,696 |  | $ | 2,964 |  | $ | 7,422 |  |
| Generation Brands Holdings, Inc. (Quality Home Brands) Common Equity           | 130 |  | — |  | — |  | 302 |  | 432 |  | — |  | — |  |
| Generation Brands Holdings, Inc. (Quality Home Brands) Series H Common Equity  | 1,300 |  | — |  | — |  | (940 | ) | 360 |  | — |  | — |  |
| Generation Brands Holdings, Inc. (Quality Home Brands) Series 2L Common Equity | 7,793 |  | — |  | — |  | (6,033 | ) | 1,760 |  | — |  | — |  |
| LVI Services, Inc.,12.50%, 3/6/18                                              | N/A |  | 9,815 |  | — |  | 185 |  | 10,000 |  | — |  | 916 |  |
| LVI Parent Corp. Common Equity                                                 | 21,504 |  | — |  | — |  | 9,071 |  | 30,575 |  | — |  | — |  |
| Merx Aviation Finance Holdings, LLC, 12.00%, 1/9/21                       | N/A |  | 92,000 |  | — |  | — |  | 92,000 |  | — |  | 2,480 |  |
| Merx Aviation Finance Holdings, LLC, 12.00%, 2/1/21                       | N/A |  | 5,303 |  | — |  | — |  | 5,303 |  | — |  | 103 |  |
| Merx Aviation Finance Holdings, LLC, 12.00% 3/28/21                            | N/A |  | 4,684 |  | — |  | — |  | 4,684 |  | — |  | 6 |  |
| Merx Aviation Finance Holdings, LLC Equity Interest                            | N/A |  | 33,820 |  | — |  | — |  | 33,820 |  | — |  | — |  |
| Playpower Holdings, Inc., 14.00% PIK                                           | 21,576 |  | 3,155 |  | — |  | (558 | ) | 24,173 |  | — |  | 3,154 |  |
| Playpower, Inc., 12.50% PIK                                                    | 16,960 |  | 2,470 |  | — |  | (972 | ) | 18,458 |  | — |  | 2,469 |  |
| Playpower Holdings Inc. Common Equity                                          | 61,111 |  | — |  | — |  | (22,954 | ) | 38,157 |  | — |  | — |  |
|                                                                           | $ | 186,408 |  | $ | 151,822 |  | $ | (15,503 | ) | $ | (12,309 | ) | $ | 310,418 |  | $ | 2,964 |  | $ | 16,550 |  |

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

|     |                                                                                                                                                                                                                                                      |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (7) | Aggregate gross unrealized appreciation for federal income tax purposes is $127,303; aggregate gross unrealized depreciation for federal income tax purposes is $396,790. Net unrealized depreciation is $269,487 based on a tax cost of $3,119,886. |

|     |                                                                                                                                                                                                                        |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (8) | Substantially all securities are pledged as collateral to our multicurrency revolving credit facility (the “Facility”). As such these securities are not available as collateral to our general creditors. |

|   |                                                                                                                                                                                                                            |
|---|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| t | 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, Euro (“€”), British Pound (“£"), and Canadian Dollar (“CAD”). |

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

|     |                                  |
|-----|----------------------------------|
| *** | Non-accrual status (see Note 2d) |

|         |                                                                                                                                                                                                                                                                                                                                                                       |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| † | Denotes debt 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, and differing interest rate characteristics, among other factors. Such factors are usually considered in the determination of fair values. |

|         |                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| ‡ | Investments that the Company has determined are not “qualifying assets” under Section 55(a) of the 1940 Act. Under the 1940 Act, we may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of our total assets. The status of these assets under the 1940 Act are subject to change. The Company monitors the status of these assets on an ongoing basis. |

|        |                                                                                      |
|--------|--------------------------------------------------------------------------------------|
| × | Denotes a “when issued” security that settled after March 31, 2013. |

|        |                                                                                                                                                                                                                 |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| ¢ | Denotes investments where the governing documents of the entity preclude the Company from controlling management of the entity and accordingly the Company disclaims that the entity is a controlled affiliate. |

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|                                                             |
|-------------------------------------------------------------|
|                                                             |  |  |
| Industry Classification                                |   | Percentage of Total Investments (at fair value) as of March 31, 2013 |
| Diversified Service                                         |   | 11.1% |
| Business Services                                           |   | 10.3% |
| Healthcare                                                  |   | 10.2% |
| Financial Services                                          |   | 7.0% |
| Diversified Investment Vehicle                              |   | 6.5% |
| Oil & Gas                                          |   | 6.2% |
| Packaging                                                   |   | 5.1% |
| Aviation                                                    |   | 4.8% |
| Transportation                                              |   | 4.6% |
| Education                                                   |   | 3.7% |
| Distribution                                                |   | 3.3% |
| Environmental Services                                 |   | 3.3% |
| Leisure                                                     |   | 2.8% |
| Broadcasting & Entertainment                       |   | 2.8% |
| Insurance                                                   |   | 2.1% |
| Telecommunications                                          |   | 1.9% |
| Grocery                                                     |   | 1.9% |
| Printing & Publishing                              |   | 1.6% |
| Energy                                                      |   | 1.5% |
| Manufacturing                                               |   | 1.4% |
| Chemicals                                                   |   | 1.4% |
| Restaurants                                                 |   | 1.3% |
| Utilities                                                   |   | 1.3% |
| Containers, Packaging and Glass                             |   | 1.1% |
| Homebuilding                                                |   | 0.7% |
| Consumer Products                                           |   | 0.6% |
| Hotels, Motels, Inns, ad Gaming                             |   | 0.5% |
| Media                                                       |   | 0.5% |
| Electronics                                                 |   | 0.2% |
| Diversified Natural Resources, Precious Metals and Minerals |   | 0.2% |
| Home and Office Furnishings and Durable Consumer Products   |   | 0.1% |
| Total Investments                                           |   | 100.0% |

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|                                                                                                |
|------------------------------------------------------------------------------------------------|
|                                                                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                           | Three months ended December 31, |   | Nine months ended December 31, |
| Amounts are in thousands, except shares and per share data                                     | 2013 |   | 2012 |   | 2013 |   | 2012 |
| Earnings per share—basic                                                                 |   |   |   |   |   |   |   |
| Numerator for increase (decrease) in net assets per share:                                     | $ | 105,738 |  |   | $ | (22,744 | ) |   | $ | 200,967 |  |   | $ | 38,651 |  |
| Denominator for basic weighted average shares:                                                 | 224,741,351 |  |   | 202,891,351 |  |   | 220,848,078 |  |   | 202,870,086 |  |
| Basic earnings per share:                                                                      | $ | 0.47 |  |   | $ | (0.11 | ) |   | $ | 0.90 |  |   | $ | 0.19 |  |
|                                                                                           |   |   |   |   |   |   |   |
| Earnings per share—diluted                                                               |   |   |   |   |   |   |   |
| Numerator for increase (decrease) in net assets per share:                                     | $ | 105,738 |  |   | $ | (22,744 | ) |   | $ | 200,967 |  |   | $ | 38,651 |  |
| Adjustment for interest on convertible notes and for incentive fees, net                       | 2,548 |  |   | 2,575 |  |   | 7,651 |  |   | 7,715 |  |
| Numerator for increase (decrease) in net assets per share, as adjusted                         | $ | 108,286 |  |   | $ | (20,169 | ) |   | $ | 208,618 |  |   | $ | 46,366 |  |
| Denominator for weighted average shares, as adjusted for dilutive effect of convertible notes: | 239,289,451 |  |   | 217,439,451 |  |   | 235,396,178 |  |   | 217,418,186 |  |
| Diluted earnings per share:                                                                    | $ | 0.45 |  |   | $ | (0.11 | )* |   | $ | 0.88 |  |   | $ | 0.19 | * |

|   |                                                                                                                                                                                                                                                                                                                                                     |
|---|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| * | In applying the if-converted method, conversion shall not be assumed for purposes of computing diluted EPS if the effect would be anti-dilutive. For the three months and nine months ended December 31, 2013, there was no anti-dilution. For the three months and nine months ended December 31, 2012, anti-dilution was $0.02. |

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|                                 |
|---------------------------------|
|                                 |  |  |  |  |  |  |  |
|                                 | December 31, 2013 (unaudited) |  | March 31, 2013 |
| Assets                          |  |  |  |  |  |
| Cash                            | $ | — |  |  | $ | 10 |  |
| Apollo FDC(1)                   | — |  |  | 32,981 |  |
| Apollo TXU(2)              | — |  |  | 26,641 |  |
| Other Assets                    | — |  |  | 2,702 |  |
| Total Assets                    | $ | — |  |  | $ | 62,334 |  |
|                                 |  |  |  |  |  |
| Liabilities                     |  |  |  |  |  |
| Apollo FDC(3)                   | $ | — |  |  | $ | — |  |
| Apollo TXU(4)    | — |  |  | 8,936 |  |
| Other Liabilities               | — |  |  | 2,702 |  |
| Total Liabilities               | $ | — |  |  | $ | 11,638 |  |
|                                 |  |  |  |  |  |
| Net Assets                      |  |  |  |  |  |
| Apollo FDC                      | $ | — |  |  | $ | 32,981 |  |
| Apollo TXU                      | — |  |  | 17,705 |  |
| Other                           | — |  |  | 10 |  |
| Total Net Assets                | $ | — |  |  | $ | 50,696 |  |

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|                                                            |
|------------------------------------------------------------|
|                                                            |  |  |  |  |  |  |  |
|                                                            | Nine months ended December 31, 2013 (unaudited) |  | Nine months ended December 31, 2012 (unaudited) |
| Net Operating Income (Loss)                                |  |  |  |
| Apollo FDC(5)                                    | $ | 1,559 |  |  | $ | 2,686 |  |
| Apollo TXU(5)                                              | 692 |  |  | 900 |  |
| Apollo Boots(5)                             | 8 |  |  | 721 |  |
| Other                                                      | 4 |  |  | (5 | ) |
| Total Operating Income                                     | $ | 2,263 |  |  | $ | 4,302 |  |
|                                                            |  |  |  |
| Net Realized Gain (Loss)                                   |  |  |  |
| Apollo FDC                                                 | $ | 9,634 |  |  | $ | — |  |
| Apollo TXU                                                 | (10,314 | ) |  | — |  |
| Apollo Boots                                               | — |  |  | 1,513 |  |
| Total Net Realized Gain (Loss)                             | $ | (680 | ) |  | $ | 1,513 |  |
|                                                            |  |  |  |
| Net Change in Unrealized Appreciation / Depreciation       |  |  |  |
| Apollo FDC                                                 | $ | (11,509 | ) |  | $ | 3,832 |  |
| Apollo TXU                                                 | 8,936 |  |  | 4,920 |  |
| Apollo Boots                                               | — |  |  | 538 |  |
| Total Net Change in Unrealized Appreciation / Depreciation | $ | (2,573 | ) |  | $ | 9,290 |  |
|                                                            |  |  |  |
| Net Income (Loss)(6)                                       |  |  |  |
| Apollo FDC                                                 | $ | (316 | ) |  | $ | 6,518 |  |
| Apollo TXU                                                 | (686 | ) |  | 5,820 |  |
| Apollo Boots                                               | 8 |  |  | 2,772 |  |
| Other                                                      | 4 |  |  | (5 | ) |
| Total Net Income (Loss)                                    | $ | (990 | ) |  | $ | 15,105 |  |

|     |                                                                                                                                                                                                                                                                                                                                              |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Represents fair value of the Junior Note held by Apollo FDC with a cost of $21,472 as of March 31, 2013. The Junior Note was repaid by transferring the proceeds from the partial prepayment by First Data Corporation and by transferring the residual FDC Note to the Company during the period ended June 30, 2013 at accreted cost. |

|     |                                                                                                                                     |
|-----|-------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Represents fair value of collateral posted in relation to the TRS held by Apollo TXU with a cost of $26,641 at March 31, 2013. |

|     |                                                                                                                                                                                                                                               |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | Apollo FDC’s interest was subject to a senior note of a separate entity of $20,283 at March 31, 2013, however, Apollo FDC had no liability for such senior note. The senior note was repaid during the period ended June 30, 2013. |

|     |                                                     |
|-----|-----------------------------------------------------|
| (4) | Represents liability on the TRS held by Apollo TXU. |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (5) | In the case of Apollo FDC, net operating income consists of interest income on the Junior Note less interest paid on the senior note together with immaterial administrative expenses. In the case of Apollo TXU, net operating income consists of net payments from the swap counterparty of Apollo TXU’s obligation to pay interest and its right to receive the proceeds in respect of the reference asset, together with immaterial administrative expenses. In the case of AIC Boots, net operating income consists of interest income on the Boots Term Loans, less interest payments on the Acquisition Loan together with immaterial administrative expenses. There are no management or incentive fees. |

|     |                                                                                                                                  |
|-----|----------------------------------------------------------------------------------------------------------------------------------|
| (6) | Net income is the sum of operating income, realized gain (loss) and net change in unrealized appreciation / depreciation.   |

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|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                          | December 31, 2013 |   | March 31, 2013 |
|                          | Cost |   | Fair Value |   | Cost  |   | Fair Value |
| Secured Debt                  | $ | 1,587,758 |  |   | $ | 1,619,648 |  |   | $ | 1,339,680 |  |   | $ | 1,266,004 |  |
| Unsecured Debt                | 1,023,516 |  |   | 1,031,518 |  |   | 1,256,697 |  |   | 1,214,997 |  |
| Structured Products and Other | 222,425 |  |   | 231,260 |  |   | 179,475 |  |   | 185,995 |  |
| Preferred Equity              | 112,200 |  |   | 89,438 |  |   | 40,221 |  |   | 11,550 |  |
| Common Equity/Interests       | 225,487 |  |   | 197,847 |  |   | 200,518 |  |   | 162,580 |  |
| Warrants                      | 9,014 |  |   | 13,900 |  |   | 2,710 |  |   | 9,273 |  |
| Total                         | $ | 3,180,400 |  |  | $ | 3,183,611 |  |   | $ | 3,019,301 |  |   | $ | 2,850,399 |  |

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                          |   |   |   | Fair Value Measurement at Reporting Date Using: |
| Description              |   | December 31, 2013 |   | Quoted Prices in Active Markets for Identical Assets (Level 1) |   | Significant Other Observable Inputs (Level 2) |   | Significant Unobservable Inputs (Level 3) |
| Secured Debt                  |   | $ | 1,619,648 |  |   | $ | — |  |   | $ | 905,364 |  |   | $ | 714,284 |  |
| Unsecured Debt                |   | 1,031,518 |  |   | — |  |   | 686,936 |  |   | 344,582 |  |
| Structured Products and Other |   | 231,260 |  |   | — |  |   | — |  |   | 231,260 |  |
| Preferred Equity              |   | 89,438 |  |   | — |  |   | — |  |   | 89,438 |  |
| Common Equity/Interests       |   | 197,847 |  |   | — |  |   | — |  |   | 197,847 |  |
| Warrants                      |   | 13,900 |  |   | — |  |   | — |  |   | 13,900 |  |
| Total                         |   | $ | 3,183,611 |  |   | $ | — |  |   | $ | 1,592,300 |  |   | $ | 1,591,311 |  |

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                          |   |   |   | Fair Value Measurement at Reporting Date Using: |
| Description              |   | March 31, 2013 |   | Quoted Prices in Active Markets for Identical Assets (Level 1)  |   | Significant Other Observable Inputs (Level 2)  |   | Significant Unobservable Inputs (Level 3)  |
| Secured Debt                  |   | $ | 1,266,004 |  |   | $ | — |  |   | $ | 625,195 |  |   | $ | 640,809 |  |
| Unsecured Debt                |   | 1,214,997 |  |   | — |  |   | 583,950 |  |   | 631,047 |  |
| Structured Products and Other |   | 185,995 |  |   | — |  |   | — |  |   | 185,995 |  |
| Preferred Equity              |   | 11,550 |  |   | — |  |   | — |  |   | 11,550 |  |
| Common Equity/Interests       |   | 162,580 |  |   | — |  |   | — |  |   | 162,580 |  |
| Warrants                      |   | 9,273 |  |   | — |  |   | — |  |   | 9,273 |  |
| Total                         |   | $ | 2,850,399 |  |   | $ | — |  |   | $ | 1,209,145 |  |   | $ | 1,641,254 |  |

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|                                                                                                                                                                                                                                                                                                                                          |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                                                                                                                                                                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                                                                                                                                                                                                                                                                     | Fair Value Measurements Using Significant Unobservable Inputs (Level 3)*  |
|                                                                                                                                                                                                                                                                                                                                     | Secured Debt (2) |   | UnsecuredDebt |   | StructuredProductsand Other |   | PreferredEquity |   | CommonEquity/Interests |   | Warrants |   | Total |
| Beginning Balance, September 30, 2013                                                                                                                                                                                                                                                                                               | $ | 619,374 |  |   | $ | 377,020 |  |   | $ | 180,453 |  |   | $ | 13,151 |  |   | $ | 212,755 |  |   | $ | 13,723 |  |   | $ | 1,416,476 |  |
| Total realized gains (losses) included in earnings                                                                                                                                                                                                                                                                                       | (5,414 | ) |   | 1,279 |  |   | 321 |  |   | 99 |  |   | 10,542 |  |   | — |  |   | 6,827 |  |
| Total change in unrealized depreciation / appreciation included in earnings                                                                                                                                                                                                                                                         | 8,191 |  |   | 2,881 |  |   | 5,437 |  |   | 4,506 |  |   | (10,033 | ) |   | 101 |  |   | 11,083 |  |
| Net amortization on investments                                                                                                                                                                                                                                                                                                          | 461 |  |   | 295 |  |   | 90 |  |   | — |  |   | — |  |   | — |  |   | 846 |  |
| Purchases, including capitalized PIK                                                                                                                                                                                                                                                                                                     | 195,478 |  |   | 12,514 |  |   | 71,887 |  |   | 71,780 |  |   | 511 |  |   | 76 |  |   | 352,246 |  |
| Sales                                                                                                                                                                                                                                                                                                                                    | (112,159 | ) |   | (49,407 | ) |   | (26,928 | ) |   | (98 | ) |   | (15,928 | ) |   | — |  |   | (204,520 | ) |
| Transfers out of Level 3 (1)                                                                                                                                                                                                                                                                                                             | (161,833 | ) |   | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | (161,833 | ) |
| Transfers into Level 3 (1)                                                                                                                                                                                                                                                                                                               | 170,186 |  |   | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | 170,186 |  |
| Ending Balance, December 31, 2013                                                                                                                                                                                                                                                                                                        | $ | 714,284 |  |   | $ | 344,582 |  |   | $ | 231,260 |  |   | $ | 89,438 |  |   | $ | 197,847 |  |   | $ | 13,900 |  |   | $ | 1,591,311 |  |
| The amount of total gains or losses for the period included in earnings attributable to the change in unrealized depreciation / appreciation relating to our Level 3 assets still held at the reporting date and reported within the net change in unrealized depreciation / appreciation on investments in our Statement of Operations. | $ | 2,506 |  |   | $ | 4,454 |  |   | $ | (14,125 | ) |   | $ | 4,505 |  |   | $ | 84 |  |   | $ | 101 |  |   | $ | (2,475 | ) |

|     |                                                                                                                                                                                                                                                                                                                                                                                                 |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Transfers represent transfers in and out of Level 3 and in and out of Level 2 due to changes in the quantity and quality of information obtained to support the fair value of each investment as assessed by the Adviser. Transfers are assumed to have occurred at the end of the period. There were no transfers between Level 1 and Level 2 fair value measurements during the period shown. |

|     |                                                                            |
|-----|----------------------------------------------------------------------------|
| (2) | Includes unfunded revolver obligations measured at fair value of $(8,096). |

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

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|                                                                                                                                                                                                                                                                                                                                          |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                                                                                                                                                                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                                                                                                                                                                                                                                                                     | Fair Value Measurements Using Significant Unobservable Inputs (Level 3)* |
|                                                                                                                                                                                                                                                                                                                                     | Secured Debt (2) |   | UnsecuredDebt |   | StructuredProductsand Other |   | PreferredEquity |   | CommonEquity/Interests |   | Warrants |   | Total |
| Beginning Balance, March 31, 2013                                                                                                                                                                                                                                                                                              | $ | 640,809 |  |   | $ | 631,047 |  |   | $ | 185,995 |  |   | $ | 11,550 |  |   | $ | 162,580 |  |   | $ | 9,273 |  |   | $ | 1,641,254 |  |
| Total realized gains (losses) included in earnings                                                                                                                                                                                                                                                                                       | (33,654 | ) |   | (44,270 | ) |   | (2,017 | ) |   | 98 |  |   | 10,542 |  |   | — |  |   | (69,301 | ) |
| Total change in unrealized depreciation / appreciation included in earnings                                                                                                                                                                                                                                                         | 39,961 |  |   | 53,100 |  |   | 2,166 |  |   | 5,910 |  |   | 10,299 |  |   | (1,677 | ) |   | 109,759 |  |
| Net amortization on investments                                                                                                                                                                                                                                                                                                          | 3,026 |  |   | 10,237 |  |   | 238 |  |   | — |  |   | — |  |   | — |  |   | 13,501 |  |
| Purchases, including capitalized PIK                                                                                                                                                                                                                                                                                                | 460,799 |  |   | 56,050 |  |   | 132,169 |  |   | 71,978 |  |   | 36,738 |  |   | 6,304 |  |   | 764,038 |  |
| Sales                                                                                                                                                                                                                                                                                                                                    | (412,473 | ) |   | (280,776 | ) |   | (59,055 | ) |   | (98 | ) |   | (22,312 | ) |   | — |  |   | (774,714 | ) |
| Transfers out of Level 3 (1)                                                                                                                                                                                                                                                                                                             | (154,865 | ) |   | (80,806 | ) |   | (38,728 | ) |   | — |  |   | — |  |   | — |  |   | (274,399 | ) |
| Transfers into Level 3 (1)                                                                                                                                                                                                                                                                                                               | 170,681 |  |   | — |  |   | 10,492 |  |   | — |  |   | — |  |   | — |  |   | 181,173 |  |
| Ending Balance, December 31, 2013                                                                                                                                                                                                                                                                                                   | $ | 714,284 |  |   | $ | 344,582 |  |   | $ | 231,260 |  |   | $ | 89,438 |  |   | $ | 197,847 |  |   | $ | 13,900 |  |   | $ | 1,591,311 |  |
| The amount of total gains or losses for the period included in earnings attributable to the change in unrealized depreciation / appreciation relating to our Level 3 assets still held at the reporting date and reported within the net change in unrealized depreciation / appreciation on investments in our Statement of Operations. | $ | 374 |  |   | $ | (11,933 | ) |   | $ | 7,086 |  |   | $ | 5,909 |  |   | $ | 13,942 |  |   | $ | (1,677 | ) |   | $ | 13,701 |  |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Transfers represent (a) a transfer of $10,492 out of Secured Debt into Structured Products due to the change in the nature of the investment and (b) transfers in and out of Level 3 and in and out of Level 2 due to changes in the quantity and quality of information obtained to support the fair value of each investment as assessed by the Adviser. Transfers are assumed to have occurred at the end of the period. There were no transfers between Level 1 and Level 2 fair value measurements during the period shown. |

|     |                                                                            |
|-----|----------------------------------------------------------------------------|
| (2) | Includes unfunded revolver obligations measured at fair value of $(8,096). |

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

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|                                                                                                                                                                                                                                                                                                                                          |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                                                                                                                                                                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                                                                                                                                                                                                                                                                     | Fair Value Measurements Using Significant Unobservable Inputs (Level 3)*   |
|                                                                                                                                                                                                                                                                                                                                     | Secured Debt |   | UnsecuredDebt |   | StructuredProductsand Other |   | PreferredEquity |   | CommonEquity/Interests |   | Warrants |   | Total |
| Beginning Balance, September 30, 2012                                                                                                                                                                                                                                                                                                    | $ | 1,117,830 |  |   | $ | 1,266,029 |  |   | $ | 122,896 |  |   | $ | 25,987 |  |   | $ | 131,573 |  |   | $ | 11,775 |  |   | $ | 2,676,090 |  |
| Total realized gains (losses) included in earnings                                                                                                                                                                                                                                                                                       | (22,010 | ) |   | 3,844 |  |   | 2,338 |  |   | — |  |   | 79 |  |   | 5,383 |  |   | (10,366 | ) |
| Total change in unrealized depreciation / appreciation included in earnings                                                                                                                                                                                                                                                              | (29,853 | ) |   | 172 |  |   | 999 |  |   | (14,892 | ) |   | (3,755 | ) |   | (3,979 | ) |   | (51,308 | ) |
| Net amortization on investments                                                                                                                                                                                                                                                                                                          | 2,082 |  |   | 3,213 |  |   | 83 |  |   | — |  |   | — |  |   | — |  |   | 5,378 |  |
| Purchases, including capitalized PIK                                                                                                                                                                                                                                                                                                     | 332,416 |  |   | 124,462 |  |   | 59,471 |  |   | 94 |  |   | 800 |  |   | 852 |  |   | 518,095 |  |
| Sales                                                                                                                                                                                                                                                                                                                                    | (255,687 | ) |   | (235,746 | ) |   | (13,729 | ) |   | — |  |   | (79 | ) |   | (5,625 | ) |   | (510,866 | ) |
| Transfers(1)                                                                                                                                                                                                                                                                                                                             | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | — |  |
| Ending Balance, December 31, 2012                                                                                                                                                                                                                                                                                                        | $ | 1,144,778 |  |   | $ | 1,161,974 |  |   | $ | 172,058 |  |   | $ | 11,189 |  |   | $ | 128,618 |  |   | $ | 8,406 |  |   | $ | 2,627,023 |  |
| The amount of total gains or losses for the period included in earnings attributable to the change in unrealized depreciation / appreciation relating to our Level 3 assets still held at the reporting date and reported within the net change in unrealized depreciation / appreciation on investments in our Statement of Operations. | $ | (31,145 | ) |   | $ | 3,639 |  |   | $ | (5,125 | ) |   | $ | (14,892 | ) |   | $ | (3,755 | ) |   | $ | 10,157 |  |   | $ | (41,121 | ) |

|     |                                                                                                                                                                                                                                                                                                                                                                                               |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Investments are transferred in and out of Level 3 and in and out of Level 2 due to changes in the quantity and quality of information obtained to support the fair value of each investment as assessed by the Adviser. Transfers are assumed to have occurred at the end of the period. There were no transfers between Level 1 and Level 2 fair value measurements during the period shown. |

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

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Table of Contents

|                                                                                                                                                                                                                                                                                                                                          |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                                                                                                                                                                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                                                                                                                                                                                                                                                                     | Fair Value Measurements Using Significant Unobservable Inputs (Level 3)* |
|                                                                                                                                                                                                                                                                                                                                     | Secured Debt |  | UnsecuredDebt |  | StructuredProductsand Other |  | PreferredEquity |  | CommonEquity/Interests |  | Warrants |  | Total |
| Beginning Balance, March 31, 2012                                                                                                                                                                                                                                                                                                        | $ | 864,485 |  |   | $ | 1,520,152 |  |   | $ | 63,725 |  |   | $ | 34,648 |  |   | $ | 184,341 |  |   | $ | 9,729 |  |   | $ | 2,677,080 |  |
| Total realized gains (losses) included in earnings                                                                                                                                                                                                                                                                                       | (19,679 | ) |   | (14,829 | ) |   | 2,337 |  |   | — |  |   | (42,641 | ) |   | 5,383 |  |   | (69,429 | ) |
| Total change in unrealized depreciation / appreciation included in earnings                                                                                                                                                                                                                                                              | (25,319 | ) |   | 20,083 |  |   | 11,705 |  |   | (25,633 | ) |   | 6,672 |  |   | (1,934 | ) |   | (14,426 | ) |
| Net amortization on investments                                                                                                                                                                                                                                                                                                          | 5,968 |  |   | 11,769 |  |   | 217 |  |   | 97 |  |   | — |  |   | — |  |   | 18,051 |  |
| Purchases, including capitalized PIK                                                                                                                                                                                                                                                                                                     | 703,451 |  |   | 309,220 |  |   | 107,801 |  |   | 2,077 |  |   | 900 |  |   | 853 |  |   | 1,124,302 |  |
| Sales                                                                                                                                                                                                                                                                                                                                    | (379,445 | ) |   | (684,421 | ) |   | (13,727 | ) |   | — |  |   | (25,337 | ) |   | (5,625 | ) |   | (1,108,555 | ) |
| Transfers(1)                                                                                                                                                                                                                                                                                                                             | (4,683 | ) |   | — |  |   | — |  |   | — |  |   | 4,683 |  |   | — |  |   | — |  |
| Ending Balance, September 30, 2012                                                                                                                                                                                                                                                                                                       | $ | 1,144,778 |  |   | $ | 1,161,974 |  |   | $ | 172,058 |  |   | $ | 11,189 |  |   | $ | 128,618 |  |   | $ | 8,406 |  |   | $ | 2,627,023 |  |
| The amount of total gains or losses for the period included in earnings attributable to the change in unrealized depreciation / appreciation relating to our Level 3 assets still held at the reporting date and reported within the net change in unrealized depreciation / appreciation on investments in our Statement of Operations. | $ | (25,169 | ) |   | $ | 6,216 |  |   | $ | 5,592 |  |   | $ | (25,633 | ) |   | $ | (32,328 | ) |   | $ | 2,528 |  |   | $ | (68,794 | ) |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Transfers represent (a) a transfer of $4,683 out of Secured Debt into Common Equity/Interests due to the restructuring of a portfolio company which altered the securities held by the Company and (b) transfers between level 3 and level 2. Transfers are assumed to have occurred at the end of the period. The measurement was reclassified within the fair value hierarchy due to significant inputs that were previously unobservable which became observable given transactions that were observed around the measurement date. There were no transfers between Level 1 and Level 2 fair value measurements during the period shown. |

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

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Table of Contents

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |
|                          | Quantitative Information about Level 3 Fair Value Measurements |
|                          | December 31, 2013 |   | Valuation Techniques/ Methodologies   |   | Unobservable Input   |   | Range (Weighted Average)   |
| Secured Debt                  | $ | 567,329 |  |   | Yield Analysis |   | Discount Rate |   | 9.1% – 27.6% (13.6%) |
| 31,941                        |  |   | Other |   | Recent Transaction |   | n/a |
| Unsecured Debt                | 337,495 |  |   | Yield Analysis |   | Discount Rate |   | 9.5% – 32.5% (11.9%) |
| Structured Products and Other | 10,058 |  |   | Yield Analysis |   | Discount Rate |   | 15.0% – 15.0% (15.0%) |
| 172,704                       |  |  | Discounted Cash Flow |  | Discount Rate |  | 12.0% – 16.0% (13.9%) |
| 25,746                        |  |   | Other |   | Recent Transaction |   | n/a |
| Preferred Equity              | 89,437 |  |   | Market ComparableApproach |   | Comparable Multiple |   | 2.1x – 11.5x (8.4x) |
| Common Equity / Interests     | 117,617 |   | Market ComparableApproach |   | Comparable Multiple |   | 2.1x – 12.2x (8.2x) |
| 28                            |   | Net Asset Value |   | Underlying Assets /Liabilities |   | n/a |
| 6,645                         |   | Other |   | Illiquidity / Restrictive Discount |   | 7.0% – 7.0% (7.0%) |
| 73,465                        |   | Yield Analysis |   | Discount Rate |   | 11.6% – 30.0% (11.9%) |
| Warrants                      | 12,196 |   | Market ComparableApproach |   | Comparable Multiple |   | 5.3x – 6.0x (4.7x) |
| 1,171                         |   | Other |   | Illiquidity / Restrictive discount |   | 20.0% – 20.0% (20.0%) |

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Table of Contents

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |
|                          | Quantitative Information about Level 3 Fair Value Measurements |
|                          | Fair Value as of March 31, 2013 |   | ValuationTechniques/Methodologies |   | UnobservableInput |   | Range (WeightedAverage) |
| Secured Debt                  | $ | 32,952 |  |   | Market ComparableApproach |   | Comparable Multiple |   | 6.0x  – 6.0x (6.0x) |
| 422,766                       |  |   | Yield Analysis |   | Discount Rate |   | 8.0% – 18.0% (12.1%) |
| Unsecured Debt                | 504,263 |  |   | Yield Analysis |   | Discount Rate |   | 10.1% – 25.0% (13.8%) |
| Structured Products and Other | 43,144 |  |   | Discounted CashFlow |   | Discount Rate |   | 13.0% – 13.0% (13.0%) |
| 6,174                         |  |   | RecentTransactions |   | Recent Transactions |   | n/a |
| 50,697                        |  |   | Net Asset Value |   | Underlying Assets /Liabilities |   | n/a |
| Preferred Equity              | 11,550 |  |   | Market ComparableApproach |   | ComparableMultiple |   | 4.3x – 10.4x (6.5x) |
| Common Equity/Interests       | 33,911 |  |   | Discounted CashFlow |   | Discount Rate |   | 8.0% – 12.5% (12.5%) |
| 123,081                       |  |   | Market ComparableApproach |   | Comparable Multiple |   | 2.0x – 10.8x (8.0x) |
| 123                           |  |   | Net Asset Value |   | Underlying Assets /Liabilities |   | n/a |
| 146                           |  |   | Yield Analysis |   | Discount Rate |   | 20.0% – 20.0% (20.0%) |
| 5,319                         |  |   | Other |   | Illiquidity /Restrictive discount |   | 7.0% – 7.0% (7.0%) |
| Warrants                      | 7,432 |  |   | Market ComparableApproach |   | Comparable Multiple |   | 4.3x – 5.9x (5.4x) |
| 1,841                         |  |   | Other |   | Illiquidity /Restrictive discount |   | 20.0% – 20.0% (20.0%) |

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Table of Contents

|                                     |
|-------------------------------------|
|                                     |  |  |  |  |  |  |  |  |  |  |  |  |
|                                | Three Months Ended December 31, 2013 | Three Months Ended December 31, 2012 | Nine Months Ended December 31, 2013 | Nine Months Ended December 31, 2012 |
| PIK balance at beginning of period  | $ | 54,991 |  | $ | 42,938 |  | $ | 45,658 |  | $ | 32,963 |  |
| Gross PIK income capitalized        | 4,119 |  | 2,603 |  | 21,008 |  | 15,012 |  |
| Adjustments due to investment exits | — |  | — |  | (25 | ) | — |  |
| PIK income received in cash         | (7,211 | ) | (2,762 | ) | (14,742 | ) | (5,196 | ) |
| PIK balance at end of period        | $ | 51,899 |  | $ | 42,779 |  | $ | 51,899 |  | $ | 42,779 |  |

|                              |
|------------------------------|
|                              |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative Instruments  |   | Unrealized Gain/(Loss) |   | Realized Gain/(Loss) |   | Total Gain (Loss) |
| Interest rate swaps          |   | $ | — |  |   | $ | 13,162 |  |   | $ | 13,162 |  |
| Interest rate caps           |   | — |  |   | (4,621 | ) |   | (4,621 | ) |
| Total                        |   | $ | — |  |   | $ | 8,541 |  |   | $ | 8,541 |  |

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Table of Contents

|                        |
|------------------------|
|                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Foreign Currency  |   | Local Currency  |   | Original Borrowing Cost  |   | Current Value  |   | Reset Date  |   | Unrealized Appreciation (Depreciation)  |
| British Pound          |   | £ | 45,100 |  |   | $ | 72,078 |  |   | $ | 74,697 |  |   | 01/31/2014 |   | $ | (2,619 | ) |
| Euro                   |   | € | 18,200 |  |   | 24,474 |  |   | 25,079 |  |   | 01/31/2014 |   | (605 | ) |
| Euro                   |   | € | 15,000 |  |   | 20,021 |  |   | 20,669 |  |   | 01/23/2014 |   | (648 | ) |
| Canadian Dollar        |   | CAD | 34,900 |  |   | 32,940 |  |   | 32,847 |  |   | 01/23/2014 |   | 93 |  |
|                   |   |   |   | $ | 149,513 |  |   | $ | 153,292 |  |   |   |   | $ | (3,779 | ) |

|                        |
|------------------------|
|                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Foreign Currency  |   | Local Currency  |   | Original Borrowing Cost  |   | Current Value  |   | Reset Date  |   | Unrealized Appreciation (Depreciation)  |
| British Pound          |   | £ | 5,300 |  |   | $ | 8,409 |  |   | $ | 8,048 |  |   | 04/19/2013 |   | $ | 361 |  |
| Euro                   |   | € | 77,000 |  |   | 103,544 |  |   | 98,876 |  |   | 04/30/2013 |   | 4,668 |  |
| British Pound          |   | £ | 62,000 |  |   | 99,087 |  |   | 94,144 |  |   | 04/30/2013 |   | 4,943 |  |
|                   |   |   |   | $ | 211,040 |  |   | $ | 201,068 |  |   |   |   | $ | 9,972 |  |

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Table of Contents

|                                                                     |
|---------------------------------------------------------------------|
|                                                                     |  |  |  |  |  |  |  |
|                                                                | Nine months ended December 31, 2013 (unaudited) |   | Fiscal year ended March 31, 2013 |
| Per Share Data:                                                     |   |   |   |
| Net asset value, beginning of period                                | $ | 8.27 |  |   | $ | 8.55 |  |
| Net investment income                                               | 0.69 |  |   |  0.83* |  |
| Net realized and unrealized gain/(loss)                             | 0.21 |  |   |    (0.31)* |  |
| Net increase in net assets resulting from operations                | 0.90 |  |   |    0.51 * |  |
| Dividends to stockholders from net investment income (1)            | (0.60 | ) |   | (0.79 | ) |
| Distribution of return of capital                                   | — |  |   | (0.01 | ) |
| Effect of anti-dilution                                             |    —     ** |  |   |    —     ** |  |
| Offering costs                                                      |    —     ** |  |   |    —     ** |  |
| Net asset value at end of period                                    | $ | 8.57 |  |   | $ | 8.27 |  |
| Per share market price at end of period                             | $ | 8.48 |  |   | $ | 8.36 |  |
| Total return (2)                                                    | 9.00 | % |   | 28.24 | % |
| Shares outstanding at end of period                                 | 224,741,351 |   | 202,891,351 |  |
|                                                                |   |   |   |
| Ratio/Supplemental Data:                                            |   |   |   |
| Net assets at end of period (in millions)                           | $ | 1,925.3 |  |   | $ | 1,677.4 |  |
| Ratio of net investment income to average net assets (3)            | 11.06 | % |   | 9.87 | % |
| Ratio of operating expenses to average net assets (3)               | 6.03 | % | *** | 6.28 | % |
| Ratio of interest and other debt expenses to average net assets (3) | 3.69 | % |   | 3.43 | % |
| Ratio of total expenses to average net assets                       | 9.72 | % | *** | 9.71 | % |
| Average debt outstanding                                            | $ | 1,193,913 |  |   | $ | 1,036,780 |  |
| Average debt per share                                              | $ | 5.41 |  |   | $ | 5.11 |  |
| Portfolio turnover ratio                                            | 53.3 | % |   | 49.9 | % |

|     |                                                                                      |
|-----|--------------------------------------------------------------------------------------|
| (1) | Per share amounts reflect total dividends paid per share for the respective periods. |

|     |                                                                                                                                                                                                                                                                            |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Total return is not annualized and 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. |

|     |            |
|-----|------------|
| (3) | Annualized |

|   |                           |
|---|---------------------------|
| * | Represent rounded numbers |

|    |                                                  |
|----|--------------------------------------------------|
| ** | 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 shown net of all voluntary management and incentive fee waivers (see note 3). The ratio of annualized operating expenses to average net assets and the ratio of annualized total expenses to average net assets would be 6.66% and 10.35% respectively, without the voluntary fee waivers. |

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Table of Contents

|                                              |
|----------------------------------------------|
|                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Class and Year                          |   | Total Amount Outstanding (1)  |   | Asset Coverage Per Unit (2)   |   | Involuntary Liquidating Preference Per Unit (3)   |   | Estimated Market Value  (4)  |
| Senior Secured Facility                      |   |   |   |   |   |   |   |   |
| Fiscal 2014 (through December 31, 2013)      |   | $ | 491,292 |  |   | $ | 984 |  |   | $ | — |  |   | $ | 492,274 |  |
| Fiscal 2013                                  |   | 536,067 |  |   | 1,137 |  |   | — |  |   | 551,097 |  |
| Fiscal 2012                                  |   | 539,337 |  |   | 1,427 |  |   | — |  |   |    N/A |
| Fiscal 2011                                  |   | 628,443 |  |   | 1,707 |  |   | — |  |   |    N/A |
| Fiscal 2010                                  |   | 1,060,616 |  |   | 2,671 |  |   | — |  |   |    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                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Senior Secured Notes                         |   |   |   |   |   |   |   |   |
| Fiscal 2014 (through December 31, 2013) |   | $ | 270,000 |  |   | $ | 541 |  |   | $ | — |  |   | $ | 279,901 |  |
| Fiscal 2013                                  |   | 270,000 |  |   | 572 |  |   | — |  |   | 282,173 |  |
| Fiscal 2012                                  |   | 270,000 |  |   | 714 |  |   | — |  |   |    N/A |
| Fiscal 2011                                  |   | 225,000 |  |   | 611 |  |   | — |  |   |    N/A |
| Fiscal 2010                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2009                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2008                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2007                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2006                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2005                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| 2042 Notes                                   |   |   |   |   |   |   |   |   |
| Fiscal 2014 (through December 31, 2013) |   | $ | 150,000 |  |   | $ | 300 |  |   | $ | — |  |   | $ | 123,720 |  |
| Fiscal 2013                                  |   | 150,000 |  |   | 318 |  |   | — |  |   | 148,920 |  |
| Fiscal 2012                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2011                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2010                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2009                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2008                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2007                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2006                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2005                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| 2043 Notes                                   |   |   |   |   |   |   |   |   |
| Fiscal 2014 (through December 31, 2013) |   | $ | 150,000 |  |   | $ | 300 |  |   | $ | — |  |   | $ | 114,264 |  |
| Fiscal 2013                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2012                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2011                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2010                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2009                                  |   | — |  |   | — |  |   | — |  |   |    N/A |

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|----------------------------------------------|
|                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fiscal 2008                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2007                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2006                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2005                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Convertible Notes                            |   |   |   |   |   |   |   |   |
| Fiscal 2014 (through December 31, 2013) |   | $ | 200,000 |  |   | $ | 401 |  |   | $ | — |  |   | $ | 209,946 |  |
| Fiscal 2013                                  |   | 200,000 |  |   | 424 |  |   | — |  |   | 212,000 |  |
| Fiscal 2012                                  |   | 200,000 |  |   | 529 |  |   | — |  |   |    N/A |
| Fiscal 2011                                  |   | 200,000 |  |   | 544 |  |   | — |  |   |    N/A |
| Fiscal 2010                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2009                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2008                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2007                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2006                                  |   | — |  |   | — |  |   | — |  |   |    N/A |
| Fiscal 2005                                  |   | — |  |   | — |  |   | — |  |   |    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 each class of securities representing indebtedness is calculated as our total assets, less all liabilities other than indebtedness, divided by each security representing indebtedness. This asset coverage ratio is multiplied by $1 to determine the Asset Coverage Per Unit. In order to determine the specific Asset Coverage Per Unit for each class of debt, the total Asset Coverage Per Unit was divided based on the amount outstanding at the end of the period for each. |

|     |                                                                                                                                                                |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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) | The estimated market value was determined based on market quotations as of period-end, if available, or by utilizing a market approach using comparable yields of similar securities. On the reporting date, the carrying value for each debt obligation in the Statement of Assets and Liabilities is the principal outstanding which represents the amount the company expects to settle the obligation. |

|                                 |
|---------------------------------|
|                                 |  |  |  |  |  |  |  |  |  |  |  |  |
|                            |   | December 31, 2013 |
| Amounts in ‘000s          |   | Date Issued / Amended  |   | Total Aggregate Principal Amount Committed  |   | Principal Amount Outstanding  |   | Final Maturity Date |
| Senior Secured Facility         |   | 2013 |   | $ | 1,250,000 |  |   | $ | 491,292 |  |   | 2018 |
| Senior Secured Notes            |   | 2010 |   | 225,000 |  |   | 225,000 |  |   | 2015 |
| Senior Secured Notes (Series A) |   | 2011 |   | 29,000 |  |   | 29,000 |  |   | 2016 |
| Senior Secured Notes (Series B) |   | 2011 |   | 16,000 |  |   | 16,000 |  |   | 2018 |
| 2042 Notes                      |   | 2012 |   | 150,000 |  |   | 150,000 |  |   | 2042 |
| 2043 Notes                      |   | 2013 |   | 150,000 |  |   | 150,000 |  |   | 2043 |
| Convertible Notes               |   | 2011 |   | 200,000 |  |   | 200,000 |  |   | 2016 |
| Total Debt Obligations          |   |   |   | $ | 2,020,000 |  |   | $ | 1,261,292 |  |   |   |

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|                                                                                                                 |
|-----------------------------------------------------------------------------------------------------------------|
|                                                                                                                 |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                                            | Three Months Ended December 31, 2013 | Three Months Ended December 31, 2012 | Nine Months Ended December 31, 2013 | Nine Months Ended December 31, 2012 |
| Average outstanding debt balance                                                                                | $ | 1,247,045 |  | $ | 1,027,282 |  | $ | 1,193,913 |  | $ | 990,404 |  |
| Maximum amount of debt outstanding                                                                              | 1,350,738 |  | 1,140,214 |  | 1,353,063 |  | 1,140,214 |  |
|                                                                                                            |   |   |   |   |
| Weighted average annualized interest cost, including commitment fees, but excluding debt issuance costs (1) (2) | 4.97 | % | 4.94 | % | 5.01 | % | 4.78 | % |
| Annualized amortized debt issuance cost                                                                         | 0.53 | % | 0.71 | % | 0.61 | % | 0.95 | % |
| Total annualized interest cost                                                                                  | 5.50 | % | 5.65 | % | 5.62 | % | 5.73 | % |

|     |                                                                                            |
|-----|--------------------------------------------------------------------------------------------|
| (1) | The weighted average annual interest cost reflects the average interest cost for all debt. |

|     |                                                                                                                                                                                                                                                           |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Commitment fees for the three and nine months ended December 31, 2013 were $737 and $2,066, respectively. The commitment fees for the three and nine months ended December 31, 2012 were $689 and $2,096, respectively. |

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|                                                                                                                                                   |
|---------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                   |  |  |  |
|                                                                                                                                                   | As of December 31, 2013 |
| Unfunded revolver obligations and commitment to bridge loans (1) (2)                                                                              | $ | 340,157 |  |
| Unfunded delayed draw commitments on senior loans to portfolio companies                                                                          | 132,706 |  |
| Unfunded delayed draw commitments on senior loans to portfolio companies (performance thresholds not met) (3)                                     | 56,000 |  |
| Standby letters of credit issued under the Senior Secured Facility for the account of certain portfolio companies for which the Company is liable | 11,396 |  |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | These amounts may or may not be funded to the borrowing party in the future. The unfunded commitments relate to loans with various maturity dates, but the entire amount was eligible for funding to the borrowers as of December 31, 2013, subject to the terms of each loan’s respective credit agreements. AIC’s commitments are subject to the consummation of the underlying corporate transactions and conditional upon receipt of all necessary shareholder, regulatory and other applicable approvals. |

|     |                                                                                                               |
|-----|---------------------------------------------------------------------------------------------------------------|
| (2) | Included in this amount is $138,166 unfunded revolver commitment for Merx Aviation Finance Holdings, LLC. |

|     |                                                                                                                                                                                                        |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | The borrower is required to meet certain performance thresholds before the Company is obligated to fulfill the commitments and those performance thresholds were not met as of December 31, 2013. |

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

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

|         |                           |
|---------|---------------------------|
| • | organizational costs; 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. |

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|                                                       |
|-------------------------------------------------------|
|                                                       |  |  |  |  |  |  |  |  |
| (amounts in millions)                                 |   | For the three months ended December 31, 2013 |   | For the three months ended December 31, 2012 |
| Investment made in portfolio companies (1)            |   | $ | 630 |  |   | $ | 515 |  |
| Investments sold                                      |   | (293 | ) |   | (307 | ) |
| Net activity before repaid investments                |   | 337 |  |   | 208 |  |
| Investments repaid                                    |   | (251 | ) |   | (204 | ) |
| Net investment activity                               |   | $ | 86 |  |   | $ | 4 |  |
|                                                  |   |   |   |   |
| Portfolio companies, at beginning of period           |   | 93 |  |   | 70 |  |
| Number of new portfolio companies                     |   | 21 |  |   | 16 |  |
| Number of exited companies                            |   | 13 |  |   | 14 |  |
| Portfolio companies, at end of period                 |   | 101 |  |   | 72 |  |
|                                                  |   |   |   |   |
| Number of investments in existing portfolio companies |   | 22 |  |   | 13 |  |

|     |                                                                                        |
|-----|----------------------------------------------------------------------------------------|
| (1) | Investments were made through a combination of primary and secondary market purchases. |

|                                                                                                |
|------------------------------------------------------------------------------------------------|
|                                                                                                |  |  |  |  |  |  |  |  |
|                                                                                           |   | December 31, 2013 |   | March 31, 2013 |
| Portfolio composition, measured at fair value:                                                 |   |   |   |   |
| Secured debt                                                                                   |   | 51% |  |   | 44% |  |
| Unsecured debt                                                                                 |   | 32% |  |   | 43% |  |
| Structured products and other                                                                  |   | 7% |  |   | 7% |  |
| Common equity, preferred equity and warrants                                                   |   | 10% |  |   | 6% |  |
| Weighted average yields, at current cost basis, exclusive of securities on non-accrual status: |   |   |   |   |
| Secured debt portfolio                                                                         |   | 11.3% |  |   | 11.2% |  |
| Unsecured debt portfolio                                                                       |   | 11.5% |  |   | 12.7% |  |
| Total debt portfolio                                                                           |   | 11.4% |  |   | 11.9% |  |
| Income-bearing investment portfolio composition, measured at fair value:                       |   |   |   |   |
| Fixed rate amount                                                                              |   | $ | 1.7 |  billion |   | $ | 1.6 |  billion |
| Floating rate amount                                                                           |   | $ | 1.1 |  billion |   | $ | 0.9 |  billion |
| Fixed rate %                                                                                   |   | 61% |  |   | 64% |  |
| Floating rate %                                                                                |   | 39% |  |   | 36% |  |
| Income-bearing investment portfolio composition, measured at cost:                             |   |   |   |   |
| Fixed rate amount                                                                              |   | $ | 1.7 |  billion |   | $ | 1.6 |  billion |
| Floating rate amount                                                                           |   | $ | 1.1 |  billion |   | $ | 0.9 |  billion |
| Fixed rate %                                                                                   |   | 62% |  |   | 65% |  |
| Floating rate %                                                                                |   | 38% |  |   | 35% |  |

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|                                                                                                                |
|----------------------------------------------------------------------------------------------------------------|
|                                                                                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                                           | Three months ended |   | Nine months ended |
| (in thousands)                                                                                                 | December 31, 2013 |   | December 31, 2012 |   | December 31, 2013 |   | December 31, 2012 |
| Investment income                                                                                              |   |   |   |   |   |   |   |
| Interest                                                                                                       | $ | 83,115 |  |   | $ | 75,017 |  |   | $ | 250,211 |  |   | $ | 220,523 |  |
| Dividends                                                                                                      | 8,050 |  |   | 3,074 |  |   | 24,568 |  |   | 13,234 |  |
| Other                                                                                                          | 3,396 |  |   | 5,121 |  |   | 10,162 |  |   | 13,620 |  |
| Total investment income                                                                                        | $ | 94,561 |  |   | $ | 83,212 |  |   | $ | 284,941 |  |   | $ | 247,377 |  |
| Expenses                                                                                                       |   |   |   |   |   |   |   |
| Base management fees and performance-based incentive fees, net of amounts waived                               | $ | (24,026 | ) |   | $ | (23,503 | ) |   | $ | (72,833 | ) |   | $ | (70,265 | ) |
| Interest and other debt expenses, net of expense reimbursements                                                | (17,345 | ) |   | (14,651 | ) |   | (50,653 | ) |   | (42,757 | ) |
| Administrative services expenses                                                                               | (1,410 | ) |   | (1,118 | ) |   | (3,616 | ) |   | (2,637 | ) |
| Other general and administrative expenses                                                                      | (2,097 | ) |   | (1,860 | ) |   | (6,203 | ) |   | (6,424 | ) |
| Net expenses                                                                                                   | (44,878 | ) |   | (41,132 | ) |   | (133,305 | ) |   | (122,083 | ) |
| Net investment income                                                                                          | $ | 49,683 |  |   | $ | 42,080 |  |   | $ | 151,636 |  |   | $ | 125,294 |  |
| Realized and unrealized gain (loss) on investments, cash equivalents, derivatives and foreign currencies       |   |   |   |   |   |   |   |
| Net realized gain (loss)                                                                                       | $ | 3,667 |  |   | $ | (9,305 | ) |   | $ | (109,541 | ) |   | $ | (68,711 | ) |
| Net change in unrealized depreciation/appreciation                                                             | 52,388 |  |   | (55,519 | ) |   | 158,872 |  |   | (17,932 | ) |
| Net realized and unrealized gain (loss) from investments, cash equivalents, derivatives and foreign currencies | 56,055 |  |   | (64,824 | ) |   | 49,331 |  |   | (86,643 | ) |
| Net increase (decrease) in net assets resulting from operations                                                | $ | 105,738 |  |   | $ | (22,744 | ) |   | $ | 200,967 |  |   | $ | 38,651 |  |
|                                                                                                           |   |   |   |   |   |   |   |
| Net investment income per share                                                                                | $ | 0.22 |  |   | $ | 0.21 |  |   | $ | 0.69 |  |   | $ | 0.62 |  |
| Earnings gain/(loss) - basic                                                                                   | $ | 0.47 |  |   | $ | (0.11 | ) |   | $ | 0.90 |  |   | $ | 0.19 |  |
| Earnings gain/(loss) - diluted                                                                                 | $ | 0.45 |  |   | $ | (0.11 | ) |   | $ | 0.88 |  |   | $ | 0.19 |  |

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|                                 |
|---------------------------------|
|                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                            | Payments due by Period as of December 31, 2013 (amounts in  millions)  |
|                            | Total  |   | Less than 1 year |   | 1-3 years |   | 3-5 years |   | More than 5 years |
| Senior Secured Facility (1)     | $ | 491 |  |   | $ | — |  |   | $ | — |  |   | $ | 491 |  |   | $ | — |  |
| Senior Secured Notes            | $ | 225 |  |   | $ | — |  |   | $ | 225 |  |   | $ | — |  |   | $ | — |  |
| Senior Secured Notes (Series A) | $ | 29 |  |   | $ | — |  |   | $ | 29 |  |   | $ | — |  |   | $ | — |  |
| Senior Secured Notes (Series B) | $ | 16 |  |   | $ | — |  |   | $ | — |  |   | $ | 16 |  |   | $ | — |  |
| 2042 Notes                      | $ | 150 |  |   | $ | — |  |   | $ | — |  |   | $ | — |  |   | $ | 150 |  |
| 2043 Notes                      | $ | 150 |  |   | $ | — |  |   | $ | — |  |   | $ | — |  |   | $ | 150 |  |
| Convertible Notes               | $ | 200 |  |   | $ | — |  |   | $ | 200 |  |   | $ | — |  |   | $ | — |  |

|     |                                                                                                                                                                                                                                                                                                               |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | At December 31, 2013, there was $11.4 million of letters of credit issued under the Senior Secured Facility that are not recorded as liabilities on the Company’s Statements of Assets and Liabilities and the Company had $747.3 million of unused capacity under its Senior Secured Facility. |

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|                                                                                                                                                   |
|---------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                   |  |  |  |
|                                                                                                                                                   | As of December 31, 2013 |
| Unfunded revolver obligations and commitment to bridge loans (1) (2)                                                                              | $ | 340,157 |  |
| Unfunded delayed draw commitments on senior loans to portfolio companies                                                                          | 132,706 |  |
| Unfunded delayed draw commitments on senior loans to portfolio companies (performance thresholds not met) (3)                                     | 56,000 |  |
| Standby letters of credit issued under the Senior Secured Facility for the account of certain portfolio companies for which the Company is liable | 11,396 |  |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | These amounts may or may not be funded to the borrowing party in the future. The unfunded commitments relate to loans with various maturity dates, but the entire amount was eligible for funding to the borrowers as of December 31, 2013, subject to the terms of each loan’s respective credit agreements. AIC’s commitments are subject to the consummation of the underlying corporate transactions and conditional upon receipt of all necessary shareholder, regulatory and other applicable approvals. |

|     |                                                                                                               |
|-----|---------------------------------------------------------------------------------------------------------------|
| (2) | Included in this amount is $138,166 unfunded revolver commitment for Merx Aviation Finance Holdings, LLC. |

|     |                                                                                                                                                                                                        |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | The borrower is required to meet certain performance thresholds before the Company is obligated to fulfill the commitments and those performance thresholds were not met as of December 31, 2013. |

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|                   |
|-------------------|
|                   |  |  |  |  |  |  |  |
|                   | December 31, 2013 (unaudited) |  | March 31, 2013 |
| Assets            |  |  |  |  |  |
| Cash              | $ | — |  |  | $ | 10 |  |
| Apollo FDC(1)     | — |  |  | 32,981 |  |
| Apollo TXU(2)     | — |  |  | 26,641 |  |
| Other Assets      | — |  |  | 2,702 |  |
| Total Assets      | $ | — |  |  | $ | 62,334 |  |
|                   |  |  |  |  |  |
| Liabilities       |  |  |  |  |  |
| Apollo FDC(3)     | $ | — |  |  | $ | — |  |
| Apollo TXU(4)     | — |  |  | 8,936 |  |
| Other Liabilities | — |  |  | 2,702 |  |
| Total Liabilities | $ | — |  |  | $ | 11,638 |  |
|                   |  |  |  |  |  |
| Net Assets        |  |  |  |  |  |
| Apollo FDC        | $ | — |  |  | $ | 32,981 |  |
| Apollo TXU        | — |  |  | 17,705 |  |
| Other             | — |  |  | 10 |  |
| Total Net Assets  | $ | — |  |  | $ | 50,696 |  |
|              |   |   |   |

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|                                                            |
|------------------------------------------------------------|
|                                                            |  |  |  |  |  |  |  |
|                                                            | Nine months ended December 31, 2013 (unaudited) |   | Nine months ended December 31, 2012 (unaudited) |
| Net Operating Income (Loss)                                |  |   |  |
| Apollo FDC(5)                                              | $ | 1,559 |  |   | $ | 2,686 |  |
| Apollo TXU(5)                                              | 692 |  |   | 900 |  |
| Apollo Boots(5)                                            | 8 |  |   | 721 |  |
| Other                                                      | 4 |  |   | (5 | ) |
| Total Operating Income                                     | $ | 2,263 |  |   | $ | 4,302 |  |
|                                                            |  |   |  |
| Net Realized Gain (Loss)                                   |  |   |  |
| Apollo FDC                                                 | $ | 9,634 |  |   | $ | — |  |
| Apollo TXU                                                 | (10,314 | ) |   | — |  |
| Apollo Boots                                               | — |  |   | 1,513 |  |
| Total Net Realized Gain (Loss)                             | $ | (680 | ) |   | $ | 1,513 |  |
|                                                            |  |   |  |
| Net Change in Unrealized Appreciation / Depreciation       |  |   |  |
| Apollo FDC                                                 | $ | (11,509 | ) |   | $ | 3,832 |  |
| Apollo TXU                                                 | 8,936 |  |   | 4,920 |  |
| Apollo Boots                                               | — |  |   | 538 |  |
| Total Net Change in Unrealized Appreciation / Depreciation | $ | (2,573 | ) |   | $ | 9,290 |  |
|                                                            |  |   |  |
| Net Income (Loss)(6)                                       |  |   |  |
| Apollo FDC                                                 | $ | (316 | ) |   | $ | 6,518 |  |
| Apollo TXU                                                 | (686 | ) |   | 5,820 |  |
| Apollo Boots                                               | 8 |  |   | 2,772 |  |
| Other                                                      | 4 |  |   | (5 | ) |
| Total Net Income (Loss)                                    | $ | (990 | ) |   | $ | 15,105 |  |

|     |                                                                                                                                                                                                                                                                                                                                                   |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Represents fair value of the Junior Note held by Apollo FDC as of March 31, 2013 with a cost of $21,472. The Junior Note was repaid by transferring the proceeds from the partial prepayment by First Data Corporation and by transferring the residual FDC Note to the Company during the period ended June 30, 2013 at accreted cost. |

|     |                                                                                                                                     |
|-----|-------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Represents fair value of collateral posted in relation to the TRS held by Apollo TXU with a cost of $26,641 at March 31, 2013. |

|     |                                                                                                                                                                                                                                                    |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | Apollo FDC’s interest was subject to a senior note of a separate entity of $20,283 at March 31, 2013; however, Apollo FDC had no liability for such senior note. The senior note was repaid during the period ended June 30, 2013. |

|     |                                                     |
|-----|-----------------------------------------------------|
| (4) | Represents liability on the TRS held by Apollo TXU. |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (5) | In the case of Apollo FDC, net operating income consists of interest income on the Junior Note less interest paid on the senior note together with immaterial administrative expenses. In the case of Apollo TXU, net operating income consists of net payments from the swap counterparty of Apollo TXU’s obligation to pay interest and its right to receive the proceeds in respect of the reference asset, together with immaterial administrative expenses. In the case of AIC Boots, net operating income consists of interest income on the Boots Term Loans, less interest payments on the Acquisition Loan together with immaterial administrative expenses. There are no management or incentive fees. |

|     |                                                                                                                           |
|-----|---------------------------------------------------------------------------------------------------------------------------|
| (6) | Net income is the sum of operating income, realized gain (loss) and net change in unrealized appreciation / depreciation. |

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|                                                              |
|--------------------------------------------------------------|
|                                                              |  |  |  |  |  |  |  |
| (in thousands except per share data)Basis Point Change  | Net InvestmentIncome |   | Net InvestmentIncome per Share |
| Up 300 basis points                                          | $ | 14,914 |  |   | $ | 0.066 |  |
| Up 200 basis points                                          | $ | 9,943 |  |   | $ | 0.044 |  |
| Up 100 basis points                                          | $ | (1,300 | ) |   | $ | (0.006 | ) |

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

|        |
|--------|
|        |  |  |
|   | 3.1 | Articles of Amendment and Restatement, as amended (1) |
|   | 3.2 | Third Amended and Restated Bylaws (2) |
|   | 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 Form 8-K, filed on November 6, 2009. |

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Table of Contents

|        |
|--------|
|        |  |  |
|   | APOLLO INVESTMENT CORPORATION |
|   |   |   |
|   | By: | /s/ JAMES C. ZELTER |
|   | James C. Zelter |
|   | Chief Executive Officer |
|   |   |   |
|   | By: | /s/ GREGORY W. HUNT |
|   | Gregory W. Hunt |
|   | Chief Financial Officer and Treasurer |