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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 June 30, 2014 and March 31, 2014 | 3 |
|         |  |   |
|         | Statements of Operations for the three months ended June 30, 2014 and June 30, 2013 | 4 |
|         |  |   |
|         | Statements of Changes in Net Assets for the three months ended June 30, 2014 and the year ended March 31, 2014 | 6 |
|         |  |   |
|         | Statements of Cash Flows for the three months ended June 30, 2014 and June 30, 2013 | 7 |
|         |  |   |
|         | Schedule of Investments as of June 30, 2014 | 8 |
|         |   |   |
|         | Schedule of Investments as of March 31, 2014 | 21 |
|         |   |   |
|         | Notes to Financial Statements | 33 |
|         |   |   |
|         | Report of Independent Registered Public Accounting Firm | 55 |
|         |   |   |
| Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations | 56 |
|         |   |   |
| Item 3. | Quantitative and Qualitative Disclosures About Market Risk | 67 |
|         |   |   |
| Item 4. | Controls and Procedures | 68 |
|         |   |   |
|         | PART II. OTHER INFORMATION |   |
|         |   |   |
| Item 1. | Legal Proceedings | 68 |
|         |   |   |
| Item 1A.     | Risk Factors | 68 |
|         |   |   |
| Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds | 68 |
|         |   |   |
| Item 3. | Defaults Upon Senior Securities | 68 |
|         |   |   |
| Item 4.      | Mine Safety Disclosures | 68 |
|         |   |   |
| Item 5. | Other Information | 69 |
|         |   |   |
| Item 6. | Exhibits | 69 |
|         |   |   |
|         | Signatures | 69 |

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Table of Contents

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|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                               |  |  |  |  |  |  |  |
|                                                                                                                                                                          | June 30, 2014 (unaudited) |  | March 31, 2014 |
| Assets                                                                                                                                                                        |   |   |   |
| Non-controlled/non-affiliated investments, at fair value (cost — $2,790,135 and $2,714,971, respectively)                                                               | $ | 2,829,627 |  |  | $ | 2,751,896 |  |
| Non-controlled/affiliated investments, at fair value (cost — $162,796 and $153,721, respectively)                                                                       | 161,412 |  |  | 144,628 |  |
| Controlled investments, at fair value (cost — $647,103 and $590,060, respectively)                                                                                      | 653,669 |  |  | 582,147 |  |
| Total investments (cost — $3,600,034 and $3,458,752, respectively)                                                                                                      | 3,644,708 |  |  | 3,478,671 |  |
| Cash                                                                                                                                                                          | 10,177 |  |  | 13,413 |  |
| Foreign currency (cost — $1,384 and $1,305, respectively)                                                                                                               | 1,386 |  |  | 1,323 |  |
| Receivable for investments sold                                                                                                                                               | 86,874 |  |  | 72,918 |  |
| Interest receivable                                                                                                                                                           | 32,829 |  |  | 40,106 |  |
| Dividends receivable                                                                                                                                                          | 5,050 |  |  | 3,627 |  |
| Deferred financing costs                                                                                                                                                      | 30,010 |  |  | 31,601 |  |
| Prepaid expenses and other assets                                                                                                                                             | 1,315 |  |  | 292 |  |
| Total assets                                                                                                                                                                  | $ | 3,812,349 |  |  | $ | 3,641,951 |  |
| Liabilities                                                                                                                                                                   |   |   |   |
| Debt (see note 6 & 9)                                                                                                                                                     | $ | 1,571,018 |  |  | $ | 1,372,261 |  |
| Payable for investments purchased                                                                                                                                             | 70,580 |  |  | 119,577 |  |
| Dividends payable                                                                                                                                                             | 47,348 |  |  | 47,348 |  |
| Management and performance-based incentive fees payable (see note 3)                                                                                                          | 33,362 |  |  | 31,108 |  |
| Interest payable                                                                                                                                                              | 14,718 |  |  | 14,318 |  |
| Accrued administrative expenses                                                                                                                                               | 2,747 |  |  | 1,915 |  |
| Other liabilities and accrued expenses                                                                                                                                        | 3,703 |  |  | 3,813 |  |
| Total liabilities                                                                                                                                                             | $ | 1,743,476 |  |  | $ | 1,590,340 |  |
| Net Assets                                                                                                                                                                    |   |   |   |
| Common stock, par value $.001 per share, 400,000,000 and 400,000,000 common shares authorized, respectively, 236,741,351 and 236,741,351 issued and outstanding, respectively | $ | 237 |  |  | $ | 237 |  |
| Paid-in capital in excess of par (see note 2)                                                                                                                                 | 3,221,802 |  |  | 3,221,829 |  |
| Over-distributed net investment income (see note 2)                                                                                                                           | (47,791 | ) |  | (53,995 | ) |
| Accumulated net realized loss (see note 2)                                                                                                                                    | (1,146,738 | ) |  | (1,133,405 | ) |
| Net unrealized gain                                                                                                                                                           | 41,363 |  |  | 16,945 |  |
| Total net assets                                                                                                                                                              | $ | 2,068,873 |  |  | $ | 2,051,611 |  |
| Total liabilities and net assets                                                                                                                                              | $ | 3,812,349 |  |  | $ | 3,641,951 |  |
| Net asset value per share                                                                                                                                                     | $ | 8.74 |  |  | $ | 8.67 |  |

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| APOLLO INVESTMENT CORPORATIONSTATEMENTS OF OPERATIONS (unaudited)(in thousands, except per share amounts) |
|-----------------------------------------------------------------------------------------------------------|
|                                                                                                           |  |  |  |  |  |  |  |
|                                                                                                      | Three Months Ended |
|                                                                                                      | June 30, 2014 |   | June 30, 2013 |
| INVESTMENT INCOME:                                                                                        |   |   |   |
| From non-controlled/non-affiliated investments:                                                           |   |   |   |
| Interest                                                                                                  | $ | 82,547 |  |   | $ | 75,561 |  |
| Dividends                                                                                                 | 841 |  |   | 4,264 |  |
| Other income                                                                                              | 2,256 |  |   | 4,476 |  |
| From non-controlled/affiliated investments:                                                               |  |   |   |
| Interest                                                                                                  | 1,956 |  |   | 703 |  |
| Dividends                                                                                                 | 3,946 |  |   | 4,825 |  |
| From controlled investments:                                                                              |  |   |   |
| Interest                                                                                                  | 9,120 |  |   | 4,910 |  |
| Dividends                                                                                                 | 1,808 |  |   | 1,896 |  |
| Other income                                                                                              | 106 |  |   | 38 |  |
| Total investment income                                                                                   | $ | 102,580 |  |   | $ | 96,673 |  |
| EXPENSES:                                                                                                 |  |   |   |
| Management fees (see note 3)                                                                              | $ | 18,111 |  |   | $ | 14,757 |  |
| Performance-based incentive fees (see note 3)                                                             | 12,467 |  |   | 12,449 |  |
| Interest and other debt expenses                                                                          | 18,902 |  |   | 15,845 |  |
| Administrative services expense                                                                           | 1,433 |  |   | 1,097 |  |
| Other general and administrative expenses                                                                 | 2,288 |  |   | 2,132 |  |
| Total expenses                                                                                            | 53,201 |  |   | 46,280 |  |
| Management and performance-based incentive fees waived (see note 3)                                       | $ | (4,152 | ) |   | $ | (1,974 | ) |
| Expense reimbursements (see note 3)                                                                       | (20 | ) |   | — |  |
| Net expenses                                                                                              | $ | 49,029 |  |   | $ | 44,306 |  |
| Net investment income                                                                                     | $ | 53,551 |  |   | $ | 52,367 |  |
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, CASH EQUIVALENTS, FOREIGN CURRENCIES AND DERIVATIVES: |   |   |   |
| Net realized gain (loss):                                                                                 |   |   |   |
| Investments and cash equivalents                                                                          |   |   |   |
| Non-controlled/non-affiliated investments                                                                 | $ | (11,716 | ) |   | $ | (105,876 | ) |
| Non-controlled/affiliated investments                                                                     | (107 | ) |   | — |  |
| Controlled investments                                                                                    | — |  |   | 7,966 |  |
| Net realized loss from investments and cash equivalents                                                   | $ | (11,823 | ) |   | $ | (97,910 | ) |
| Foreign currencies                                                                                        |  |   |   |
| Non-controlled/non-affiliated investments                                                                 | $ | 380 |  |   | $ | (177 | ) |
| Non-controlled/affiliated investments                                                                     | — |  |   | — |  |
| Controlled investments                                                                                    | — |  |   | (11 | ) |
| Foreign debt                                                                                              | (1,890 | ) |   | 2,164 |  |
| Net realized gain (loss) from foreign currencies                                                          | $ | (1,510 | ) |   | $ | 1,976 |  |
| Net realized gain (loss)                                                                                  | $ | (13,333 | ) |   | $ | (95,934 | ) |
| Net change in unrealized gain (loss):                                                                     |   |   |   |
| Investments and cash equivalents                                                                          |   |   |   |
| Non-controlled/non-affiliated investments                                                                 | $ | 2,595 |  |   | $ | 64,225 |  |
| Non-controlled/affiliated investments                                                                     | 7,709 |  |   | (3,933 | ) |

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| APOLLO INVESTMENT CORPORATIONSTATEMENTS OF OPERATIONS (unaudited) (continued)(in thousands, except per share amounts) |
|-----------------------------------------------------------------------------------------------------------------------|
|                                                                                                                       |  |  |  |  |  |  |  |
| Controlled investments                                                                                                | 14,501 |  |   | (3,098 | ) |
| Net change in unrealized gain (loss) from investments and cash equivalents                                            | $ | 24,805 |  |   | $ | 57,194 |  |
| Foreign currencies                                                                                                    |  |  |   |   |
| Non-controlled/non-affiliated investments                                                                             | $ | (177 | ) |   | $ | 226 |  |
| Non-controlled/affiliated investments                                                                                 | — |  |   | — |  |
| Controlled investments                                                                                                | (79 | ) |   | (1 | ) |
| Foreign debt                                                                                                          | (131 | ) |   | (1,903 | ) |
| Net change in unrealized gain (loss) from foreign currencies                                                          | $ | (387 | ) |   | $ | (1,678 | ) |
| Derivatives                                                                                                           | $ | — |  |   | $ | 6,855 |  |
| Net change in unrealized gain                                                                                         | $ | 24,418 |  |   | $ | 62,371 |  |
| Net realized and unrealized gain (loss) from investments, cash equivalents, foreign currencies and derivatives        | 11,085 |  |   | (33,563 | ) |
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS                                                                  | $ | 64,636 |  |   | $ | 18,804 |  |
| EARNINGS PER SHARE — BASIC (see note 4)                                                                         | $ | 0.27 |  |   | $ | 0.09 |  |
| EARNINGS PER SHARE — DILUTED (see note 4)                                                                       | $ | 0.27 |  |   | $ | 0.09 |  |

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|                                                                       |  |  |  |  |  |  |  |
|                                                                  | Three months ended June 30, 2014 (unaudited) |   | Year ended March 31, 2014 |
| Increase (decrease) in net assets from operations:                    |   |   |   |
| Net investment income                                                 | $ | 53,551 |  |   | $ | 201,248 |  |
| Net realized loss                                                     | (13,333 | ) |   | (106,507 | ) |
| Net change in unrealized gain                                         | 24,418 |  |   | 176,131 |  |
| Net increase in net assets resulting from operations                  | 64,636 |  |   | 270,872 |  |
|                                                                  |   |   |   |
| Dividends and distributions to stockholders (see note 2):             |   |   |   |
| Distribution of income                                                | (47,348 | ) |   | (182,193 | ) |
| Return of capital                                                     | — |  |   | — |  |
| Total dividends and distributions to stockholders                     | (47,348 | ) |   | (182,193 | ) |
|                                                                  |   |   |   |
| Capital share transactions:                                           |   |   |   |
| Net proceeds from shares sold                                         | — |  |   | 286,553 |  |
| Less offering costs                                                   | (26 | ) |   | (1,010 | ) |
| Reinvestment of dividends                                             | — |  |   | — |  |
| Net increase (decrease) in net assets from capital share transactions | (26 | ) |   | 285,543 |  |
|                                                                  |   |   |   |
| Total increase (decrease) net assets:                                 | 17,262 |  |   | 374,222 |  |
| Net assets at beginning of period                                     | 2,051,611 |  |   | 1,677,389 |  |
| Net assets at end of period                                           | $ | 2,068,873 |  |   | $ | 2,051,611 |  |
|                                                                  |   |   |   |
| Capital share activity                                                |   |   |   |
| Shares sold                                                           | — |  |   | 33,850,000 |  |
| Shares issued from reinvestment of dividends                          | — |  |   | — |  |
| Net capital share activity                                            | — |  |   | 33,850,000 |  |

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|                                                                                                    |  |  |  |  |  |  |  |
|                                                                                               | Three months ended June 30, |
|                                                                                               | 2014 |   | 2013 |
| CASH FLOWS FROM OPERATING ACTIVITIES:                                                              |   |   |   |
| Net increase in net assets resulting from operations                                               | $ | 64,636 |  |   | $ | 18,804 |  |
| Adjustments to reconcile net increase (decrease):                                                  |   |   |   |
| PIK interest and dividends                                                                         | (11,545 | ) |   | (12,098 | ) |
| Net amortization on investments                                                                    | (2,688 | ) |   | (2,285 | ) |
| Amortization of deferred financing costs                                                           | 1,746 |  |   | 1,821 |  |
| Increase (decrease) from foreign currency transactions                                             | (1,831 | ) |   | 2,123 |  |
| Net change in unrealized gain on investments, cash equivalents, foreign currencies and derivatives | (24,418 | ) |   | (62,371 | ) |
| Net realized loss on investments, cash equivalents, and foreign currencies                         | 13,333 |  |   | 95,934 |  |
| Changes in operating assets and liabilities:                                                       |   |   |   |
| Restricted cash                                                                                    | — |  |   | (5,180 | ) |
| Purchase of investments and cash equivalents                                                       | (649,512 | ) |   | (788,349 | ) |
| Proceeds from derivatives                                                                          | — |  |   | 4,156 |  |
| Proceeds from disposition of investments and cash equivalents                                      | 510,753 |  |   | 572,722 |  |
| Increase in receivables for investments sold                                                       | (13,956 | ) |   | (2,415 | ) |
| Decrease in interest receivable                                                                    | 7,277 |  |   | 7,541 |  |
| Increase in dividends receivable                                                                   | (1,423 | ) |   | (2,147 | ) |
| Increase in prepaid expenses and other assets                                                      | (1,023 | ) |   | (675 | ) |
| Increase (decrease) in payable for investments purchased                                           | (48,997 | ) |   | 75,538 |  |
| Increase in management and performance-based incentive fees payable                                | 2,254 |  |   | 2,658 |  |
| Increase in interest payable                                                                       | 400 |  |   | 669 |  |
| Increase in accrued administrative expenses                                                        | 832 |  |   | 233 |  |
| Increase (decrease) in other liabilities and accrued expenses                                      | (110 | ) |   | 695 |  |
| Net cash (used in) provided by operating activities                                                | $ | (154,272 | ) |   | $ | (92,626 | ) |
| CASH FLOWS FROM FINANCING ACTIVITIES:                                                              |   |   |   |
| Net proceeds from the issuance of common stock                                                     | $ | — |  |   | $ | 182,273 |  |
| Offering costs for the issuance of common stock                                                    | (26 | ) |   | (350 | ) |
| Dividends paid in cash                                                                             | (47,348 | ) |   | (40,578 | ) |
| Proceeds from debt                                                                                 | 956,000 |  |   | 681,559 |  |
| Payments on debt                                                                                   | (757,356 | ) |   | (713,912 | ) |
| Deferred financing costs paid                                                                      | (155 | ) |   | (5,344 | ) |
| Net cash provided by financing activities                                                          | $ | 151,115 |  |   | $ | 103,648 |  |
| NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS                                               | $ | (3,157 | ) |   | $ | 11,022 |  |
| Effect of exchange rates on cash balances                                                          | (16 | ) |   | (135 | ) |
| CASH AND CASH EQUIVALENTS, BEGINNING OF YEAR                                                       | $ | 14,736 |  |   | $ | 6,197 |  |
| CASH AND CASH EQUIVALENTS, END OF YEAR                                                             | $ | 11,563 |  |   | $ | 17,084 |  |

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| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS (unaudited)June 30, 2014 (in thousands) |
|---------------------------------------------------------------------------------------------------|
|                                                                                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS—136.8%                             |   | Interest Rate |   | Maturity Date |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| CORPORATE DEBT—125.6%                                                                       |
| SECURED DEBT—87.4%                                                                          |
| 1st Lien Secured Debt—37.3%                                                                 |
|  Altegrity, Inc. t†                                                                    |   | 9.500% |   | 7/1/19 |   |  Diversified Service |   | $ | 3,000 |  |   | $ | 3,000 |  |   | $ | 3,023 |  |
|  Altegrity, Inc. †                                                                     |   | L+825 |   | 7/1/19 |   |  Diversified Service |   | 4,500 |  |   | 4,433 |  |   | 4,444 |  |
|  Archroma ‡                                                                            |   | 9.50% (L+825, 1.25% Floor) |   | 10/1/18 |   |  Chemicals |   | 45,459 |  |   | 44,972 |  |   | 46,198 |  |
|  Avanti Communication Group PLC t‡                                                     |   | 10.000% |   | 10/1/19 |   |  Telecommunications |   | 2,891 |  |   | 3,035 |  |   | 3,068 |  |
|  Avaya, Inc., (Revolver) †                                                             |   | 2.90% (L+275) Funded, 0.50% Unfunded |   | 10/26/16 |   |  Telecommunications |   | 18,392 |  |   | 18,392 |  |   | 16,967 |  |
|  Aveta, Inc.                                                                                 |   | 9.75% (L+825, 1.50% Floor) |   | 12/12/17 |   |  Healthcare |   | 58,287 |  |   | 56,987 |  |   | 58,797 |  |
|  Caza Petroleum, Inc.                                                                        |   | 12.00% (L+1000, 2.00% Floor) |   | 5/23/17 |   |  Oil and Gas |   | 45,000 |  |   | 43,701 |  |   | 44,145 |  |
|  Confie Seguros Holding II Co., (Revolver) †                                           |   | 6.75% (P+350, 3.25% Floor) Funded, 0.50% Unfunded |   | 12/10/18 |   |  Insurance |   | 210 |  |   | 210 |  |   | 191 |  |
|  Deep Gulf Energy II, LLC                                                                    |   | 11.500% |   | 3/31/17 |   |  Oil and Gas |   | 25,000 |  |   | 25,000 |  |   | 25,000 |  |
|  Delta Educational Systems, Inc.                                                             |   | 16.00% (8.00% Cash/8.00% PIK) |   | 12/11/16 |   |  Education |   | 5,546 |  |   | 5,546 |  |   | 5,546 |  |
|  Evergreen Tank Solutions, Inc.                                                              |   | 9.50% (L+800, 1.50% Floor) |   | 9/28/18 |   |  Containers, Packaging, and Glass |   | 41,214 |  |   | 40,734 |  |   | 41,420 |  |
|  Extraction Oil & Gas Holdings, LLC                                                      |   | 11.000% |   | 5/29/19 |   |  Oil and Gas |   | 25,000 |  |   | 24,630 |  |   | 24,625 |  |
|  GenCorp, Inc. ‡                                                                       |   | 9.50% (L+850, 1.00% Floor) |   | 4/18/22 |   |  Aerospace and Defense |   | 39,500 |  |   | 39,500 |  |   | 39,500 |  |
|  Great Bear Petroleum Operating, LLC                                                         |   | 12.000% |   | 10/1/17 |   |  Oil and Gas |   | 5,064 |  |   | 5,064 |  |   | 5,064 |  |
|  Hunt Companies, Inc. t                                                                      |   | 9.625% |   | 3/1/21 |   |  Buildings and Real Estate |   | 41,210 |  |   | 40,714 |  |   | 43,322 |  |
|  Lee Enterprises, Inc. t‡                                                              |   | 9.500% |   | 3/15/22 |   |  Media |   | 13,000 |  |   | 13,000 |  |   | 13,894 |  |
|  M&G Chemicals, S.A. ‡                                                             |   | 8.73% (L+850) |   | 3/28/16 |   |  Chemicals |   | 5,000 |  |   | 5,000 |  |   | 5,000 |  |
|  Magnetation, LLC t                                                                          |   | 11.000% |   | 5/15/18 |   |  Mining |   | 16,400 |  |   | 16,455 |  |   | 17,999 |  |
|  Maxus Capital Carbon SPE I, LLC (Skyonic Corp.)                                             |   | 13.000% |   | 9/18/19 |   |  Chemicals |   | 60,000 |  |   | 60,000 |  |   | 60,000 |  |
|  Molycorp, Inc. ‡                                                                      |   | 10.000% |   | 6/1/20 |   |  Diversified Natural Resources, Precious Metals and Minerals |   | 50,424 |  |   | 49,990 |  |   | 46,453 |  |
|  My Alarm Center, LLC †                                                                |   | 8.50% (L+750, 1.00% Floor) |   | 1/9/18 |   |  Business Services |   | 42,613 |  |   | 42,613 |  |   | 42,613 |  |
|  My Alarm Center, LLC †                                                                |   | 8.50% (L+750, 1.00% Floor) |   | 1/9/18 |   |  Business Services |   | 4,661 |  |   | 4,661 |  |   | 4,661 |  |
|  Osage Exploration & Development, Inc. ‡                                           |   | 13.00% (L+1100, 2.00% Floor) |   | 4/27/16 |   |  Oil and Gas |   | 25,000 |  |   | 24,588 |  |   | 24,250 |  |
|  Panda Sherman Power, LLC                                                                    |   | 9.00% (L+750, 1.50% Floor) |   | 9/14/18 |   |  Energy |   | 15,000 |  |   | 14,830 |  |   | 15,375 |  |
|  Panda Temple Power, LLC                                                                     |   | 11.50% (L+1000, 1.50% Floor) |   | 7/17/18 |   |  Energy |   | 25,500 |  |   | 25,117 |  |   | 26,217 |  |
|  Pelican Energy, LLC ‡                                                                 |   | 10.00% (7.00% Cash/3.00% PIK) |   | 12/31/18 |   |  Oil and Gas |   | 24,119 |  |   | 23,209 |  |   | 24,601 |  |
|  Reichhold Holdings International B.V. ‡                                               |   | 10.75% (L+975, 1.00% Floor) |   | 12/19/16 |   |  Chemicals |   | 22,500 |  |   | 22,500 |  |   | 22,500 |  |
|  Sand Waves, S.A. (Endeavour Energy UK Limited) ‡                                      |   | 9.750% |   | 12/31/15 |   |  Oil and Gas |   | 12,083 |  |   | 12,083 |  |   | 12,083 |  |

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| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS (unaudited) (continued)June 30, 2014(in thousands, except shares) |
|------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS—136.8%                                                  |   | Interest Rate |   | Maturity Date |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| 1st Lien Secured Debt—37.3% (continued)                                                                          |
|  Spotted Hawk Development, LLC ‡                                                                            |   | 14.00% (13.00% Cash/1.00% PIK) |   | 6/30/16 |   |  Oil and Gas |   | $ | 32,386 |  |   | $ | 31,847 |  |   | $ | 32,386 |  |
|  Sunrun Solar Owner IX, LLC                                                                                       |   | 9.079% |   | 12/31/24 |   |  Energy |   | 3,574 |  |   | 3,422 |  |   | 3,422 |  |
|  UniTek Global Services, Inc., (Revolver)†                                                                  |   | 10.25% (L+925, 1.00% Floor) Funded, 2.00% Unfunded |   | 4/15/16 |   |  Telecommunications |   | 37,652 |  |   | 37,652 |  |   | 37,652 |  |
|  Walter Energy, Inc. t‡                                                                                     |   | 9.500% |   | 10/15/19 |   |  Mining |   | 21,257 |  |   | 21,676 |  |   | 21,636 |  |
| Total 1st Lien Secured Debt                                                                                            |   | $ | 764,561 |  |   | $ | 772,052 |  |
|                                                                                                                   |
| Unfunded Revolver Obligations—(0.3)%                                                                             |
|  Avaya, Inc., (Unfunded Revolver) (8)                                                                             |   | L+275 Funded, 0.50% Unfunded |   | 10/26/16 |   |  Telecommunications |   | $ | 18,392 |  |   | $ | (4,699 | ) |   | $ | (1,425 | ) |
|  BMC Software, Inc., (Unfunded Revolver) (8)                                                                      |   | L+400 Funded, 0.50% Unfunded |   | 9/10/18 |   |  Business Services |   | 30,760 |  |   | (3,281 | ) |   | (2,768 | ) |
|  Confie Seguros Holding II Co., (Unfunded Revolver) (8) †                                                   |   | P+350 Funded, 0.50% Unfunded |   | 12/10/18 |   |  Insurance |   | 3,641 |  |   | (409 | ) |   | (328 | ) |
|  Laureate Education, Inc., (Unfunded Revolver) (8)‡                                                         |   | L+375 Funded, 0.625% Unfunded |   | 6/16/16 |   |  Education |   | 28,880 |  |   | (2,888 | ) |   | (2,455 | ) |
|  Reichhold Holdings International B.V., (Unfunded Revolver) ‡†                                        |   | L+600 Funded, 1.50% Unfunded |   | 12/19/16 |   |  Chemicals |   | 12,500 |  |   | — |  |   | — |  |
|  Salix Pharmaceuticals, Ltd., (Unfunded Revolver) (8)‡†                                               |   | L+300 Funded, 0.50% Unfunded |   | 1/2/19 |   |  Healthcare |   | 24,867 |  |   | (1,822 | ) |   | (249 | ) |
|  UniTek Global Services, Inc., (Unfunded Revolver) †                                                        |   | L+925 Funded, 2.00% Unfunded |   | 4/15/16 |   |  Telecommunications |   | 15,702 |  |   | — |  |   | — |  |
|  Walter Energy, Inc., (Unfunded Revolver) (8)‡                                                              |   | L+550 Funded, 0.625% Unfunded |   | 10/1/17 |   |  Mining |   | 1,923 |  |   | (215 | ) |   | (101 | ) |
| Total Unfunded Revolver Obligations                                                                                    |   | $ | (13,314 | ) |   | $ | (7,326 | ) |
|                                                                                                                   |
| Letters of Credit— (0.0)%                                                                                        |
|  Confie Seguros Holding II Co., Letter of Credit (8)†                                                       |   | 4.500% |   | 10/27/14 |   |  Insurance |   | $ | 600 |  |   | $ | — |  |   | $ | (54 | ) |
|  Confie Seguros Holding II Co., Letter of Credit (8)†                                                       |   | 4.500% |   | 1/13/15 |   |  Insurance |   | 50 |  |   | — |  |   | (5 | ) |
|  Salix Pharmaceuticals, Ltd., Letter of Credit ‡†                                                     |   | 3.000% |   | 2/10/15 |   |  Healthcare |   | 8 |  |   | 3 |  |   | — |  |
|  Salix Pharmaceuticals, Ltd., Letter of Credit (8)‡†                                                  |   | 3.000% |   | 2/10/15 |   |  Healthcare |   | 125 |  |   | 48 |  |   | (1 | ) |
|  UniTek Global Services, Inc., Letter of Credit †                                                           |   | 9.250% |   | 12/15/14 |   |  Telecommunications |   | 5,446 |  |   | — |  |   | — |  |
|  UniTek Global Services, Inc., Letter of Credit †                                                           |   | 9.250% |   | 3/18/15 |   |  Telecommunications |   | 1,000 |  |   | — |  |   | — |  |
|  UniTek Global Services, Inc., Letter of Credit †                                                           |   | 9.250% |   | 3/18/15 |   |  Telecommunications |   | 2,700 |  |   | — |  |   | — |  |
|  UniTek Global Services, Inc., Letter of Credit †                                                           |   | 9.250% |   | 3/26/15 |   |  Telecommunications |   | 12,500 |  |   | — |  |   | — |  |
|  Walter Energy, Inc., Letter of Credit (8)(9)‡†                                                       |   | 5.500% |   | 9/18/14- 7/4/15 |   |  Mining |   | 86 |  |   | — |  |   | (5 | ) |
|  Walter Energy, Inc., Letter of Credit (8)(9)‡†                                                       |   | 5.500% |   | 11/28/15- 8/31/15 |   |  Mining |   | CAD | 192 |  |   | — |  |   | (9 | ) |
| Total Letters of Credit                                                                                                |   | $ | 51 |  |   | $ | (74 | ) |
|                                                                                                                   |

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Table of Contents

| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS (unaudited) (continued)June 30, 2014(in thousands, except shares) |
|------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS—136.8%                                                  |   | Interest Rate |   | Maturity Date |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| 2nd Lien Secured Debt—50.4%                                                                                      |
|  Active Network, Inc.                                                                                             |   | 9.50% (L+850, 1.00% Floor) |   | 11/15/21 |   |  Business Services |   | $ | 22,910 |  |   | $ | 22,801 |  |   | $ | 22,995 |  |
|  American Energy - Utica, LLC (10)                                                                                |   | 11.00% (L+950, 1.50% Floor) |   | 9/30/18 |   |  Oil and Gas |   | 10,869 |  |   | 10,764 |  |   | 11,521 |  |
|  Aptean, Inc.                                                                                                     |   | 8.50% (L+750, 1.00% Floor) |   | 2/26/21 |   |  Business Services |   | 11,322 |  |   | 11,158 |  |   | 11,506 |  |
|  Armor Holdings, Inc. (American Stock Transfer and Trust Company)                                                 |   | 10.25% (L+900, 1.25% Floor) |   | 12/26/20 |   |  Financial Services |   | 8,000 |  |   | 7,855 |  |   | 7,960 |  |
|  Asurion Corporation                                                                                              |   | 8.50% (L+750, 1.00% Floor) |   | 3/3/21 |   |  Insurance |   | 90,400 |  |   | 89,086 |  |   | 94,072 |  |
|  BancTec Group, LLC ‡                                                                                       |   | 11.75% (L+1075, 1.00% Floor) |   | 4/3/20 |   |  Business Services |   | 40,000 |  |   | 39,224 |  |   | 39,200 |  |
|  BJ's Wholesale Club, Inc.                                                                                        |   | 8.50% (L+750, 1.00% Floor) |   | 3/26/20 |   |  Retail |   | 15,000 |  |   | 14,927 |  |   | 15,450 |  |
|  Confie Seguros Holding II Co.                                                                                    |   | 10.25% (L+900, 1.25% Floor) |   | 5/8/19 |   |  Insurance |   | 27,344 |  |   | 27,105 |  |   | 27,652 |  |
|  Consolidated Precision Products Corp.                                                                            |   | 8.75% (L+775, 1.00% Floor) |   | 4/30/21 |   |  Aerospace and Defense |   | 8,940 |  |   | 8,898 |  |   | 9,046 |  |
|  Del Monte Foods Co.                                                                                              |   | 8.25% (L+725, 1.00% Floor) |   | 8/18/21 |   |  Beverage, Food, and Tobacco |   | 2,146 |  |   | 2,126 |  |   | 2,113 |  |
|  Deltek, Inc.                                                                                                     |   | 10.00% (L+875, 1.25% Floor) |   | 10/10/19 |   |  Business Services |   | 27,273 |  |   | 27,032 |  |   | 27,921 |  |
|  DSI Renal, Inc.                                                                                                  |   | 7.75% (L+675, 1.00% Floor) |   | 10/22/21 |   |  Healthcare |   | 3,300 |  |   | 3,276 |  |   | 3,325 |  |
|  Elements Behavioral Health, Inc.                                                                                 |   | 9.25% (L+825, 1.00% Floor) |   | 2/11/20 |   |  Healthcare |   | 9,500 |  |   | 9,410 |  |   | 9,488 |  |
|  Emerald 3 Limited ‡                                                                                        |   | 8.00% (L+700, 1.00% Floor) |   | 5/9/22 |   |  Business Services |   | 3,179 |  |   | 3,143 |  |   | 3,179 |  |
|  Flexera Software, LLC                                                                                            |   | 8.00% (L+700, 1.00% Floor) |   | 4/2/21 |   |  Business Services |   | 4,250 |  |   | 4,228 |  |   | 4,266 |  |
|  Garden Fresh Restaurant Corp. †                                                                            |   | 14.50% (L+1300 PIK, 1.50% Floor) |   | 1/1/19 |   |  Restaurants |   | 35,764 |  |   | 33,654 |  |   | 31,830 |  |
|  Garden Fresh Restaurant Corp. †                                                                            |   | 7.25% (L+575 PIK, 1.50% Floor) |   | 1/1/19 |   |  Restaurants |   | 7,800 |  |   | 5,831 |  |   | 5,304 |  |
|  GCA Services Group, Inc.                                                                                         |   | 9.25% (L+800, 1.25% Floor) |   | 11/1/20 |   |  Diversified Service |   | 22,838 |  |   | 22,937 |  |   | 23,066 |  |
|  Genex Holdings, Inc.                                                                                             |   | 8.75% (L+775, 1.00% Floor) |   | 5/30/22 |   |  Healthcare |   | 5,320 |  |   | 5,267 |  |   | 5,370 |  |
|  Grocery Outlet, Inc.                                                                                             |   | 10.50% (L+925, 1.25% Floor) |   | 6/17/19 |   |  Grocery |   | 8,674 |  |   | 8,531 |  |   | 8,847 |  |
|  GTCR Valor Companies, Inc.                                                                                       |   | L+850 |   | 11/21/21 |   |  Business Services |   | 35,000 |  |   | 34,650 |  |   | 34,825 |  |
|  HD Vest, Inc. ‡                                                                                            |   | 9.25% (L+800, 1.25% Floor) |   | 6/18/19 |   |  Financial Services |   | 9,396 |  |   | 9,294 |  |   | 9,384 |  |
|  Healogics, Inc.                                                                                                  |   | 9.25% (L+800, 1.25% Floor) |   | 2/5/20 |   |  Healthcare |   | 10,000 |  |   | 10,106 |  |   | 10,242 |  |
|  Insight Pharmaceuticals, LLC                                                                                     |   | 13.25% (L+1175, 1.50% Floor) |   | 8/25/17 |   |  Consumer Products |   | 15,448 |  |   | 15,255 |  |   | 15,410 |  |
|  Institutional Shareholder Services, Inc.                                                                         |   | 8.50% (L+750, 1.00% Floor) |   | 4/30/22 |   |  Financial Services |   | 9,640 |  |   | 9,544 |  |   | 9,640 |  |
|  Kronos, Inc.                                                                                                     |   | 9.75% (L+850, 1.25% Floor) |   | 4/30/20 |   |  Business Services |   | 92,516 |  |   | 91,561 |  |   | 96,448 |  |
|  Learfield Communications, Inc.                                                                                   |   | 8.75% (L+775, 1.00% Floor) |   | 10/8/21 |   |  Media |   | 15,000 |  |   | 14,859 |  |   | 15,300 |  |

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Table of Contents

| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS (unaudited) (continued)June 30, 2014(in thousands, except shares) |
|------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS—136.8%                                                  |   | Interest Rate |   | Maturity Date |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| 2nd Lien Secured Debt—50.4% (continued)                                                                          |
|  Miller Energy Resources, Inc. ‡                                                                            |   | 11.75% (L+975, 2.00% Floor) |   | 2/3/18 |   |  Oil and Gas |   | $ | 87,500 |  |   | $ | 85,892 |  |   | $ | 85,750 |  |
|  MSC Software Corp. ‡                                                                                       |   | 8.50% (L+750, 1.00% Floor) |   | 5/28/21 |   |  Business Services |   | 20,448 |  |   | 20,244 |  |   | 20,652 |  |
|  Ranpak Corp.                                                                                                     |   | 8.50% (L+725, 1.25% Floor) |   | 4/23/20 |   |  Packaging |   | 22,000 |  |   | 21,808 |  |   | 22,468 |  |
|  RegionalCare Hospital Partners, Inc.                                                                             |   | 10.50% (L+950, 1.00% Floor) |   | 10/23/19 |   |  Healthcare |   | 10,000 |  |   | 9,508 |  |   | 9,953 |  |
|  River Cree Enterprises LP t‡                                                                               |   | 11.000% |   | 1/20/21 |   |  Hotels, Motels, Inns and Gaming |   | CAD | 33,000 |  |   | 31,110 |  |   | 33,673 |  |
|  SiTV, Inc. t                                                                                                     |   | 10.375% |   | 7/1/19 |   |  Cable Television |   | $ | 2,219 |  |   | 2,219 |  |   | 2,277 |  |
|  Sprint Industrial Holdings, LLC                                                                                  |   | 11.25% (L+1000, 1.25% Floor) |   | 11/14/19 |   |  Containers, Packaging, and Glass |   | 14,163 |  |   | 13,935 |  |   | 14,305 |  |
|  SquareTwo Financial Corp. (Collect America, Ltd.) ‡                                                        |   | 11.625% |   | 4/1/17 |   |  Financial Services |   | 66,079 |  |   | 64,944 |  |   | 63,436 |  |
|  Stadium Management Corp.                                                                                         |   | 9.25% (L+825, 1.00% Floor) |   | 2/27/21 |   |  Business Services |   | 19,900 |  |   | 19,900 |  |   | 20,248 |  |
|  TASC, Inc.                                                                                                       |   | 12.000% |   | 5/23/21 |   |  Aerospace and Defense |   | 14,077 |  |   | 13,372 |  |   | 13,971 |  |
|  Tectum Holdings, Inc                                                                                             |   | 9.00% (L+800, 1.00% Floor) |   | 3/12/19 |   |  Auto Sector |   | 17,670 |  |   | 17,586 |  |   | 17,648 |  |
|  Transfirst Holdings, Inc.                                                                                        |   | 7.50% (L+650, 1.00% Floor) |   | 6/27/18 |   |  Financial Services |   | 22,500 |  |   | 22,435 |  |   | 22,669 |  |
|  TriMark USA, LLC                                                                                                 |   | 10.00% (L+900, 1.00% Floor) |   | 8/12/19 |   |  Distribution |   | 27,000 |  |   | 26,490 |  |   | 27,337 |  |
|  U.S. Renal Care, Inc. †                                                                                    |   | 10.25% (L+900, 1.25% Floor) |   | 1/3/20 |   |  Healthcare |   | 11,927 |  |   | 11,978 |  |   | 12,136 |  |
|  U.S. Renal Care, Inc. †                                                                                    |   | 8.50% (L+750, 1.00% Floor) |   | 7/3/20 |   |  Healthcare |   | 12,120 |  |   | 11,936 |  |   | 12,302 |  |
|  Velocity Technology Solutions, Inc.                                                                              |   | 9.00% (L+775, 1.25% Floor) |   | 9/28/20 |   |  Business Services |   | 16,500 |  |   | 16,180 |  |   | 16,170 |  |
|  Vertafore, Inc.                                                                                                  |   | 9.75% (L+825, 1.50% Floor) |   | 10/27/17 |   |  Business Services |   | 50,436 |  |   | 50,183 |  |   | 51,487 |  |
|  Walter Energy, Inc. t‡                                                                                     |   | 11.000% |   | 4/1/20 |   |  Mining |   | 22,554 |  |   | 21,138 |  |   | 18,823 |  |
|  Winebow Group                                                                                                    |   | L+750 |   | 1/1/22 |   |  Beverage, Food, and Tobacco |   | 2,582 |  |   | 2,562 |  |   | 2,588 |  |
|  Xand Operations, LLC                                                                                             |   | 8.50% (L+750, 1.00% Floor) |   | 5/13/20 |   |  Telecommunications |   | 20,000 |  |   | 19,803 |  |   | 19,800 |  |
| Total 2nd Lien Secured Debt                                                                                            |   | $ | 1,025,745 |  |   | $ | 1,043,053 |  |
| TOTAL SECURED DEBT                                                                                                     |   | $ | 1,777,043 |  |   | $ | 1,807,705 |  |
|                                                                                                                   |

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Table of Contents

| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS (unaudited) (continued)June 30, 2014(in thousands, except shares) |
|------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS—136.8%                                                  |   | Interest Rate |   | Maturity Date |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| UNSECURED DEBT—38.2%                                                                                             |
|  American Tire Distributors, Inc. t†                                                                        |   | 11.500% |   | 6/1/18 |   |  Distribution |   | $ | 25,000 |  |   | $ | 25,000 |  |   | $ | 25,500 |  |
|  American Tire Distributors, Inc. †                                                                         |   | 11.500% |   | 6/1/18 |   |  Distribution |   | 40,000 |  |   | 39,353 |  |   | 40,800 |  |
|  Artsonig Pty Ltd. t‡                                                                                       |   | 11.500% |   | 4/1/19 |   |  Transportation |   | 20,000 |  |   | 19,712 |  |   | 19,900 |  |
|  BCA Osprey II Limited (British Car Auctions) †‡                                                      |   | 12.50% PIK |   | 8/17/17 |   |  Transportation |   | € | 14,333 |  |   | 19,731 |  |   | 20,370 |  |
|  BCA Osprey II Limited (British Car Auctions) †‡                                                      |   | 12.50% PIK |   | 8/17/17 |   |  Transportation |   | £ | 23,566 |  |   | 37,603 |  |   | 41,826 |  |
|  Ceridian Corp. t†                                                                                          |   | 11.000% |   | 3/15/21 |   |  Diversified Service |   | $ | 34,000 |  |   | 34,000 |  |   | 39,334 |  |
|  Ceridian Corp. †                                                                                           |   | 11.250% |   | 11/15/15 |   |  Diversified Service |   | 35,800 |  |   | 35,800 |  |   | 35,830 |  |
|  Ceridian Corp. †                                                                                           |   | 12.25% Cash (12.25% Cash or 13.00% PIK) |   | 11/15/15 |   |  Diversified Service |   | 14,420 |  |   | 14,420 |  |   | 14,432 |  |
|  Delta Educational Systems, Inc.                                                                                  |   | 16.00% (10.00% Cash/6.00% PIK) |   | 5/12/17 |   |  Education |   | 22,001 |  |   | 21,691 |  |   | 21,088 |  |
|  Denver Parent Corp. (Venoco) t                                                                                   |   | 12.250% |   | 8/15/18 |   |  Oil and Gas |   | 15,000 |  |   | 14,649 |  |   | 14,512 |  |
|  Energy & Exploration Partners, Inc. †                                                                  |   | 15.000% |   | 4/8/18 |   |  Oil and Gas |   | 25,000 |  |   | 22,520 |  |   | 23,750 |  |
|  Energy & Exploration Partners, Inc. †                                                                  |   | 15.000% |   | 12/12/18 |   |  Oil and Gas |   | 4,464 |  |   | 4,270 |  |   | 4,241 |  |
|  Energy & Exploration Partners, Inc. †                                                                  |   | 15.000% |   | 12/12/18 |   |  Oil and Gas |   | 2,679 |  |   | 2,476 |  |   | 2,545 |  |
|  Energy & Exploration Partners, Inc. †                                                                  |   | 15.000% |   | 3/27/19 |   |  Oil and Gas |   | 8,036 |  |   | 7,664 |  |   | 7,634 |  |
|  First Data Corp.                                                                                                 |   | 11.250% |   | 1/15/21 |   |  Financial Services |   | 67,000 |  |   | 66,979 |  |   | 78,348 |  |
|  inVentiv Health, Inc. t                                                                                          |   | 11.000% |   | 8/15/18 |   |  Healthcare |   | 65,250 |  |   | 65,250 |  |   | 62,069 |  |
|  My Alarm Center, LLC                                                                                             |   | 16.25% (12.00% Cash/4.25% PIK) |   | 7/9/18 |   |  Business Services |   | 4,145 |  |   | 4,145 |  |   | 4,145 |  |
|  Niacet Corporation                                                                                               |   | 13.000% |   | 8/28/18 |   |  Chemicals |   | 12,500 |  |   | 12,500 |  |   | 12,625 |  |
|  PetroBakken Energy Ltd. t‡                                                                                 |   | 8.625% |   | 2/1/20 |   |  Oil and Gas |   | 44,045 |  |   | 44,234 |  |   | 46,412 |  |
|  Radio One, Inc. t‡                                                                                         |   | 9.250% |   | 2/15/20 |   |  Broadcasting & Entertainment |   | 14,804 |  |   | 14,804 |  |   | 16,155 |  |
|  Sorenson Communications Holdings, LLC t                                                                          |   | 13.00% PIK |   | 10/31/21 |   |  Consumer Products |   | 68 |  |   | 46 |  |   | 63 |  |
|  Symbion, Inc.                                                                                                    |   | 11.000% |   | 8/23/15 |   |  Healthcare |   | 8,488 |  |   | 8,499 |  |   | 8,555 |  |
|  U.S. Security Associates Holdings, Inc.                                                                          |   | 11.000% |   | 7/28/18 |   |  Business Services |   | 135,000 |  |   | 135,000 |  |   | 137,570 |  |
|  Univar, Inc.                                                                                                     |   | 10.500% |   | 6/30/18 |   |  Distribution |   | 20,000 |  |   | 20,000 |  |   | 20,000 |  |
|  Varietal Distribution t†                                                                                   |   | 10.750% |   | 6/30/17 |   |  Distribution |   | 22,204 |  |   | 21,927 |  |   | 22,204 |  |
|  Varietal Distribution t†                                                                                   |   | 10.750% |   | 6/30/17 |   |  Distribution |   | € | 11,574 |  |   | 15,086 |  |   | 15,846 |  |
|  Venoco, Inc.                                                                                                     |   | 8.875% |   | 2/15/19 |   |  Oil and Gas |   | $ | 55,824 |  |   | 55,844 |  |   | 54,638 |  |
| TOTAL UNSECURED DEBT                                                                                                   |   | $ | 763,203 |  |   | $ | 790,392 |  |
| TOTAL CORPORATE DEBT                                                                                                   |   | $ | 2,540,246 |  |   | $ | 2,598,097 |  |
| STRUCTURED PRODUCTS AND OTHER—7.0%                                                                               |
|  Craft 2013-1, Credit-Linked Note †‡                                                                  |   | 9.48% (L+925) |   | 4/17/22 |   |  Diversified Investment Vehicle |   | $ | 25,000 |  |   | $ | 25,100 |  |   | $ | 24,553 |  |
|  Craft 2013-1, Credit-Linked Note †‡                                                                  |   | 9.48% (L+925) |   | 4/17/22 |   |  Diversified Investment Vehicle |   | 7,625 |  |   | 7,759 |  |   | 7,541 |  |
|  Craft 2014-1A, Credit-Linked Note ‡                                                                        |   | 9.89% (L+965) |   | 5/15/21 |   |  Diversified Investment Vehicle |   | 38,500 |  |   | 38,500 |  |   | 37,898 |  |
|  Dark Castle Holdings, LLC                                                                                        |   | N/A |   | N/A |   |  Media |   | 24,395 |  |   | 1,189 |  |   | 2,158 |  |
|  JP Morgan Chase & Co., Credit-Linked Note ‡                                                            |   | 12.48% (L+1225) |   | 12/20/21 |   |  Diversified Investment Vehicle |   | 43,250 |  |   | 42,786 |  |   | 43,382 |  |
| NXT Capital CLO 2014-1, LLC ‡                                                                                    |   | 5.80% (L+550) |   | 4/23/26 |   |  Diversified Investment Vehicle |   | 5,000 |  |   | 4,655 |  |   | 4,652 |  |
|  Renaissance Umiat, LLC, ACES Tax Receivable ****‡                                                          |   | N/A |   | N/A |   |  Oil and Gas |   | — |  |   | 7,153 |  |   | 8,084 |  |
|  Renaissance Umiat, LLC, ACES Tax Receivable ****‡                                                          |  | N/A |  | N/A |  |  Oil and Gas |  | — |  |  | 16,967 |  |  | 17,423 |  |
| TOTAL STRUCTURED PRODUCTS AND OTHER                                                                                    |   | $ | 144,109 |  |   | $ | 145,691 |  |
|                                                                                                                   |   |   |   |   |   |   |

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Table of Contents

| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS (unaudited) (continued)June 30, 2014(in thousands, except shares) |
|------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS—136.8%                                                  |   | Interest Rate |   | Maturity Date |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| PREFERRED EQUITY—2.0%                                                                                            |   | Shares |   |  |   |  |
|  CA Holding, Inc. (Collect America, Ltd.), Series A Preferred Stock ‡                                       |   | N/A |   | N/A |   |  Financial Services |   | 7,961 |  |   | $ | 788 |  |   | $ | 1,592 |  |
|  Crowley Holdings, Series A Preferred Stock                                                                       |   | 12.00% (10.00% Cash/2.00% PIK) |   | N/A |   |  Cargo Transport |   | 22,500 |  |   | 22,736 |  |   | 22,810 |  |
|  Gryphon Colleges Corp. (Delta Educational Systems, Inc.), Preferred Stock (Convertible) ***                      |   | 12.50% PIK |   | N/A |   |  Education |   | 332,500 |  |   | 6,863 |  |   | — |  |
|  Gryphon Colleges Corp. (Delta Educational Systems, Inc.), Preferred Stock ***                                    |   | 13.50% PIK |   | N/A |   |  Education |   | 12,360 |  |   | 27,686 |  |   | 13,322 |  |
|  Varietal Distribution Holdings, LLC, Class A Preferred Unit                                                      |   | 8.00% PIK |   | N/A |   |  Distribution |   | 3,097 |  |   | 5,393 |  |   | 3,570 |  |
| TOTAL PREFERRED EQUITY                                                                                                 |   | $ | 63,466 |  |   | $ | 41,294 |  |
| EQUITY—2.2%                                                                                                      |
| Common Equity/Interests—1.7%                                                                                     |
|  AHC Mezzanine, LLC (Advanstar), Common Stock **                                                                  |   | N/A |   | N/A |   |  Media |   | 25,016 |  |   | $ | 1,063 |  |   | $ | 370 |  |
|  ATD Corporation (Accelerate Parent Corp.), Common Stock **                                                       |   | N/A |   | N/A |   |  Distribution |   | 3,225,514 |  |   | 3,276 |  |   | 4,260 |  |
|  CA Holding, Inc. (Collect America, Ltd.), Series A Common Stock **‡                                        |   | N/A |   | N/A |   |  Financial Services |   | 25,000 |  |   | 2,500 |  |   | 176 |  |
|  CA Holding, Inc. (Collect America, Ltd.), Series AA Common Stock **‡                                       |   | N/A |   | N/A |   |  Financial Services |   | 4,294 |  |   | 429 |  |   | 859 |  |
|  Caza Petroleum, Inc., Net Profits Interest **                                                                    |   | N/A |   | N/A |   |  Oil and Gas |   | — |  |   | 1,202 |  |   | 1,517 |  |
|  Caza Petroleum, Inc., Overriding Royalty Interest **                                                             |   | N/A |   | N/A |   |  Oil and Gas |   | — |  |   | 339 |  |   | 395 |  |
|  Clothesline Holdings, Inc. (Angelica Corporation), Common Stock **                                               |   | N/A |   | N/A |   |  Healthcare |   | 6,000 |  |   | 6,000 |  |   | 1,588 |  |
|  Explorer Coinvest, LLC (Booz Allen), Common Stock **‡                                                      |   | N/A |   | N/A |   |  Business Services |   | 295,159 |  |   | 2,259 |  |   | 5,830 |  |
|  Garden Fresh Restaurant Holdings, LLC., Common Stock **                                                          |   | N/A |   | N/A |   |  Restaurants |   | 50,000 |  |   | 5,000 |  |   | — |  |
|  Gryphon Colleges Corp. (Delta Educational Systems, Inc.), Common Stock **                                        |   | N/A |   | N/A |   |  Education |   | 17,500 |  |   | 175 |  |   | — |  |
|  GS Prysmian Co-Invest L.P. (Prysmian Cables & Systems), Limited Partnership (2)(3)**‡                  |   | N/A |   | N/A |   |  Manufacturing |   | — |  |   | — |  |   | 133 |  |
|  JV Note Holdco, LLC (DSI Renal, Inc.), Common Equity / Interest **                                               |   | N/A |   | N/A |   |  Healthcare |   | 9,303 |  |   | 85 |  |   | — |  |
|  Pelican Energy, LLC, Net Profit Interest **‡                                                               |   | N/A |   | N/A |   |  Oil and Gas |   | 941,633 |  |   | 942 |  |   | 1,394 |  |
|  RC Coinvestment, LLC (Ranpak Corp.), Common Stock **                                                             |   | N/A |   | N/A |   |  Packaging |   | 50,000 |  |   | 5,000 |  |   | 9,066 |  |
|  Sorenson Communications Holdings, LLC, Class A Common Stock **                                                   |   | N/A |   | N/A |   |  Consumer Products |   | 587 |  |   | — |  |   | 52 |  |
|  Univar, Inc., Common Stock **                                                                                    |   | N/A |   | N/A |   |  Distribution |   | 900,000 |  |   | 9,000 |  |   | 9,450 |  |
|  Varietal Distribution Holdings, LLC, Class A Common Unit **                                                      |   | N/A |   | N/A |   |  Distribution |   | 28,028 |  |   | 28 |  |   | — |  |
| Total Common Equity/Interests                                                                                          |   | $ | 37,298 |  |   | $ | 35,090 |  |

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Table of Contents

| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS (unaudited) (continued)June 30, 2014(in thousands, except warrants) |
|--------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS—136.8%                                                    |   | Interest Rate |   | Maturity Date |   | Industry |   | Warrants |   | Cost |   | Fair Value (1) |
| Warrants—0.5%                                                                                                      |
|  CA Holding, Inc. (Collect America, Ltd.), Common Stock Warrants **‡                                          |   | N/A |   | N/A |   |  Financial Services |   | 7,961 |  |   | $ | 8 |  |   | $ | — |  |
|  Energy & Exploration Partners, Inc., Common Stock Warrants **                                                  |   | N/A |   | N/A |   |  Oil and Gas |   | 60,778 |  |   | 2,374 |  |   | 863 |  |
|  Fidji Luxco (BC) S.C.A., Common Stock Warrants (2)**‡                                                        |   | N/A |   | N/A |   |  Electronics |   | 18,113 |  |   | 182 |  |   | 5,036 |  |
|  Gryphon Colleges Corp. (Delta Educational Systems, Inc.), Class A-1 Preferred Stock Warrants **                    |   | N/A |   | N/A |   |  Education |   | 45,947 |  |   | 459 |  |   | — |  |
|  Gryphon Colleges Corp. (Delta Educational Systems, Inc.), Class B-1 Preferred Stock Warrants **                    |   | N/A |   | N/A |   |  Education |   | 104,314 |  |   | 1,043 |  |   | — |  |
|  Gryphon Colleges Corp. (Delta Educational Systems, Inc.), Common Stock Warrants **                                 |   | N/A |   | N/A |   |  Education |   | 9,820 |  |   | 98 |  |   | — |  |
|  Osage Exploration & Development, Inc., Common Stock Warrants **‡                                         |   | N/A |   | N/A |   |  Oil and Gas |   | 1,496,843 |  |   | — |  |   | 1,386 |  |
|  Spotted Hawk Development, LLC, Common Stock Warrants **‡                                                     |   | N/A |   | N/A |   |  Oil and Gas |   | 54,545 |  |   | 852 |  |   | 2,170 |  |
| Total Warrants                                                                                                           |   | $ | 5,016 |  |   | $ | 9,455 |  |
| TOTAL EQUITY                                                                                                             |   | $ | 42,314 |  |   | $ | 44,545 |  |
| Total Investments in Non-Controlled/ Non-Affiliated Investments                                                          |   | $ | 2,790,135 |  |   | $ | 2,829,627 |  |

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Table of Contents

| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS (unaudited) (continued)June 30, 2014(in thousands, except shares and warrants) |
|-------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                     |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/AFFILIATED INVESTMENTS—7.8%(4)                                                                  |   | Interest Rate |   | Maturity Date |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| CORPORATE DEBT—0.8%                                                                                                           |
| SECURED DEBT—0.8%                                                                                                             |
| 1st Lien Secured Debt—0.8%                                                                                                    |
|  Aventine Renewable Energy Holdings, Inc. †                                                                              |   | 15.00% (12.00% Cash/3.00% PIK) |   | 9/23/16 |   |  Chemicals |   | $ | 2,757 |  |   | $ | 2,641 |  |   | $ | 2,568 |  |
|  Aventine Renewable Energy Holdings, Inc. †                                                                              |   | 15.00% PIK (15.00% PIK or 10.50% Cash) |   | 9/22/17 |   |  Chemicals |   | 14,601 |  |   | 17,519 |  |   | 10,987 |  |
|  Aventine Renewable Energy Holdings, Inc. †                                                                              |   | 25.00% PIK |   | 9/24/16 |   |  Chemicals |   | 4,008 |  |   | 4,008 |  |   | 4,008 |  |
| Total 1st Lien Secured Debt                                                                                                         |   | $ | 24,168 |  |   | $ | 17,563 |  |
| TOTAL SECURED DEBT                                                                                                                  |   | $ | 24,168 |  |   | $ | 17,563 |  |
| TOTAL CORPORATE DEBT                                                                                                                |   | $ | 24,168 |  |   | $ | 17,563 |  |
|                                                                                                                                |   |   |   |   |   |   |   |   |   |   |   |   |
| STRUCTURED PRODUCTS AND OTHER—6.3%                                                                                            |
|  Golden Hill CLO I, LLC, Equity ‡¢                                                                                  |   | N/A |   | N/A |   | Diversified Investment Vehicle |   | $ | 13,195 |  |   | $ | 13,728 |  |   | $ | 13,248 |  |
|  Highbridge Loan Management 3-2014, Ltd., Class D Notes †‡¢                                                   |   | 5.22% (L+500) |   | 1/18/25 |   | Diversified Investment Vehicle |   | 5,000 |  |   | 4,645 |  |   | 4,655 |  |
|  Highbridge Loan Management 3-2014, Ltd., Class E Notes †‡¢                                                   |   | 6.22% (L+600) |   | 1/18/25 |   | Diversified Investment Vehicle |   | 2,485 |  |   | 2,267 |  |   | 2,295 |  |
|  Highbridge Loan Management 3-2014, Ltd., Subordinated Notes †‡¢                                              |   | N/A |   | 1/18/25 |   | Diversified Investment Vehicle |   | 8,163 |  |   | 7,527 |  |   | 7,111 |  |
|  Jamestown CLO I LTD, Subordinated Notes ‡¢                                                                         |   | N/A |   | 11/5/24 |   | Diversified Investment Vehicle |   | 4,325 |  |   | 3,553 |  |   | 3,941 |  |
|  MCF CLO I, LLC, Membership Interests ‡¢                                                                            |   | N/A |   | N/A |   | Diversified Investment Vehicle |   | 38,918 |  |   | 36,898 |  |   | 40,798 |  |
|  MCF CLO III, LLC, Class E Notes ‡¢                                                                                 |   | 4.81% (L+445) |   | 1/20/24 |   | Diversified Investment Vehicle |   | 12,750 |  |   | 11,375 |  |   | 11,331 |  |
|  MCF CLO III, LLC, Membership Interests ‡¢                                                                          |   | N/A |   | 1/20/24 |   | Diversified Investment Vehicle |   | 41,900 |  |   | 39,183 |  |   | 38,843 |  |
|  Slater Mill Loan Fund LP, LP Certificates ‡¢                                                                       |   | N/A |   | N/A |   | Diversified Investment Vehicle |   | 8,375 |  |   | 6,017 |  |   | 7,691 |  |
| TOTAL STRUCTURED PRODUCTS AND OTHER                                                                                                 |   | $ | 125,193 |  |   | $ | 129,913 |  |
|                                                                                                                                |   |   |   |   |   |   |   |   |   |   |   |   |
| PREFERRED EQUITY—0.4%                                                                                                         |   |   |   |   |   |   |   | Shares |   |   |   |   |
|  Renewable Funding Group, Inc., Series B Preferred Stock                                                                       |   | N/A |   | N/A |   |  Finance |   | 1,505,868 |  |   | $ | 8,750 |  |   | $ | 8,750 |  |
| Total Preferred Equity                                                                                                              |   | $ | 8,750 |  |   | $ | 8,750 |  |
|                                                                                                                                |   |   |   |   |   |   |   |   |   |   |   |   |
| EQUITY—0.3%                                                                                                                   |   |   |   |   |   |   |   |   |   |   |   |   |
| Common Equity/Interests—0.1%                                                                                                  |   | Shares |   |  |   |  |
|  Aventine Renewable Energy Holdings, Inc., Common Stock **                                                                     |   | N/A |   | N/A |   |  Chemicals |   | 262,036 |  |   | $ | 689 |  |   | $ | 762 |  |
| Total Common Equity/Interests                                                                                                       |   | $ | 689 |  |   | $ | 762 |  |
|                                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
| Warrants—0.2%                                                                                                                 |   |   |   |   |   |   |   | Warrants |   |   |   |   |
|  Aventine Renewable Energy Holdings, Inc., Common Stock Warrants **                                                            |   | N/A |   | N/A |   | Chemicals |   | 1,521,193 |  |   | $ | 3,996 |  |   | $ | 4,424 |  |
| Total Warrants                                                                                                                      |   | $ | 3,996 |  |   | $ | 4,424 |  |
| TOTAL EQUITY                                                                                                                        |   | $ | 4,685 |  |   | $ | 5,186 |  |
| Total Investments in Non-Controlled/Affiliated Investments                                                                          |   | $ | 162,796 |  |   | $ | 161,412 |  |

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Table of Contents

| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS (unaudited) (continued)June 30, 2014(in thousands, except shares) |
|------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN CONTROLLED INVESTMENTS—31.6%(5)                                                                   |   | Interest Rate |   | Maturity Date |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| CORPORATE DEBT—16.1%                                                                                             |
| SECURED DEBT—16.1%                                                                                               |
| 1st Lien Secured Debt—16.1%                                                                                      |
|  Merx Aviation Finance Holdings II, LLC, (Revolver)                                                               |   | 12.00% Funded, 0.00% Unfunded |   | 10/31/18 |   | Aviation |   | $ | 334,084 |  |   | $ | 334,084 |  |   | $ | 334,084 |  |
| Total 1st Lien Secured Debt                                                                                            |   | $ | 334,084 |  |   | $ | 334,084 |  |
|                                                                                                                   |   |   |   |   |   |   |   |   |   |   |   |   |
| Unfunded Revolver Obligation—0.0%                                                                                |
|  Merx Aviation Finance Holdings II, LLC, (Unfunded Revolver)                                                      |   | 12.00% Funded, 0.00% Unfunded |   | 10/31/18 |   | Aviation |   | $ | 65,916 |  |   | $ | — |  |   | $ | — |  |
| Total Unfunded Revolver Obligation                                                                                     |   | $ | — |  |   | $ | — |  |
|                                                                                                                   |   |   |   |   |   |   |   |   |   |   |   |   |
| Letters of Credit—0.0%                                                                                           |   |   |   |   |   |   |   |   |   |   |   |   |
|  Merx Aviation Finance Assets Ireland Limited, Letter of Credit                                                   |   | 2.250% |   | 9/30/14 |   | Aviation |   | $ | 1,800 |  |   | $ | — |  |   | $ | — |  |
|  Merx Aviation Finance Assets Ireland Limited, Letter of Credit                                                   |   | 2.250% |   | 9/30/14 |   | Aviation |   | 1,800 |  |   | — |  |   | — |  |
| Total Letters of Credit                                                                                                |   | $ | — |  |   | $ | — |  |
| TOTAL SECURED DEBT                                                                                                     |   | $ | 334,084 |  |   | $ | 334,084 |  |
| TOTAL CORPORATE DEBT                                                                                                   |   | $ | 334,084 |  |   | $ | 334,084 |  |
|                                                                                                                   |   |   |   |   |   |   |   |   |   |   |   |   |
| PREFERRED EQUITY—2.6%                                                                                            |   | Shares |   |   |   |   |
|  Playpower Holdings, Inc., Series A Preferred                                                                     |   | 14.00% PIK |   | 11/15/20 |   | Leisure |   | 49,178 |  |   | $ | 53,580 |  |   | $ | 53,580 |  |
| TOTAL PREFFERED EQUITY                                                                                                 |   | $ | 53,580 |  |   | $ | 53,580 |  |
|                                                                                                                   |   |   |   |   |   |   |   |   |   |   |   |   |
| EQUITY—12.9%                                                                                                     |
| Common Equity/Interests—12.9%                                                                                    |
|  Generation Brands Holdings, Inc. (Quality Home Brands), Basic Common Stock **                                    |   | N/A |   | N/A |   |  Home and Office Furnishings and Durable Consumer Products |   | 9,007 |  |   | $ | — |  |   | $ | 2,525 |  |
|  Generation Brands Holdings, Inc. (Quality Home Brands), Series 2L Common Stock **                                |   | N/A |   | N/A |   |  Home and Office Furnishings and Durable Consumer Products |   | 36,700 |  |   | 11,242 |  |   | 10,287 |  |
|  Generation Brands Holdings, Inc. (Quality Home Brands), Series H Common Stock **                                 |   | N/A |   | N/A |   |  Home and Office Furnishings and Durable Consumer Products |   | 7,500 |  |   | 2,297 |  |   | 2,102 |  |
|  LVI Group Investments, LLC, Common Units **                                                                      |   | N/A |   | N/A |   |  Environmental Services |   | 203,556 |  |   | 16,096 |  |   | 31,956 |  |
|  Merx Aviation Finance Holdings II, LLC, Partnership Interest **                                                  |   | N/A |   | N/A |   |  Aviation |   | — |  |   | 152,082 |  |   | 158,424 |  |
|  Playpower Holdings, Inc., Common Stock **                                                                        |   | N/A |   | N/A |   |  Leisure |   | 1,000 |  |   | 77,722 |  |   | 60,711 |  |
| Total Common Equity/Interests                                                                                          |   | $ | 259,439 |  |   | $ | 266,005 |  |
| TOTAL EQUITY                                                                                                           |   | $ | 259,439 |  |   | $ | 266,005 |  |
| Total Investments in Controlled Investments                                                                            |   | $ | 647,103 |  |   | $ | 653,669 |  |
| Total Investments—176.2% (6)(7)                                                                                  |   | $ | 3,600,034 |  |   | $ | 3,644,708 |  |
| Liabilities in Excess of Other Assets—(76.2)%                                                                    |   |   |   | $ | (1,575,835 | ) |
| Net Assets—100.0%                                                                                                |   |   |   | $ | 2,068,873 |  |

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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) | 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. |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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, 2014 and June 30, 2014 along with transactions during the three months ended June 30, 2014 in these Affiliated investments are as follows: |

|                                                                                   |
|-----------------------------------------------------------------------------------|
|                                                                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Name of Issue                                                                     | Fair Value at March 31, 2014 | Gross Additions (Cost) ● | Gross Reductions (Cost) ■ | Change in Unrealized Gain (Loss) | Fair Value at June 30, 2014 | Net Realized Gain (Loss) | Interest/Dividend/ Other Income |
| Aventine Renewable Energy Holdings, Inc., 15.00% (12.00% Cash/3.00% PIK), 9/23/16 | $ | 2,405 |  | $ | 21 |  | $ | — |  | $ | 142 |  | $ | 2,568 |  | $ | — |  | $ | 104 |  |
| Aventine Renewable Energy Holdings, Inc., 10.50% Cash or 15.00% PIK, 9/22/17      | 8,884 |  | 1,128 |  | — |  | 976 |  | 10,988 |  | — |  | 1,106 |  |
| Aventine Renewable Energy Holdings, Inc., 25.00% PIK, 9/24/16                     | 3,769 |  | 237 |  | — |  | — |  | 4,006 |  | — |  | 238 |  |
| Aventine Renewable Energy Holdings, Inc., Common Stock                            | 99 |  | — |  | — |  | 663 |  | 762 |  | — |  | — |  |
| Aventine Renewable Energy Holdings, Inc., Common Stock Warrants                   | 574 |  | — |  | — |  | 3,850 |  | 4,424 |  | — |  | — |  |
|  Golden Hill CLO I, LLC, Equity                                              | 1,097 |  | 12,099 |  | — |  | 53 |  | 13,249 |  | — |  | — |  |
| Highbridge Loan Management 3-2014, Ltd., Class D Notes, L+500, 1/18/25            | 4,680 |  | 8 |  | — |  | (33 | ) | 4,655 |  | — |  | 74 |  |
| Highbridge Loan Management 3-2014, Ltd., Class E Notes, L+600, 1/18/25            | 2,314 |  | 3 |  | — |  | (22 | ) | 2,295 |  | — |  | 42 |  |
| Highbridge Loan Management 3-2014, Ltd., Subordinated Notes, 1/18/25              | 7,278 |  | — |  | — |  | (167 | ) | 7,111 |  | — |  | 140 |  |
| Jamestown CLO I LTD, Subordinated Notes                                           | 3,828 |  | — |  | — |  | 113 |  | 3,941 |  | — |  | 128 |  |
| MCF CLO I LLC, Class E Notes, L+575, 4/20/23                                      | 12,357 |  | 14 |  | (12,344 | ) | (27 | ) | — |  | (107 | ) | 210 |  |
| MCF CLO I LLC, Membership Interests                                               | 40,391 |  | — |  | (662 | ) | 1,069 |  | 40,798 |  | — |  | 1,854 |  |
| MCF CLO III LLC, Class E Notes L+445, 1/20/24                                     | 11,325 |  | 26 |  | — |  | (20 | ) | 11,331 |  | — |  | 181 |  |
| MCF CLO III LLC, Membership Interests, 1/20/24                                    | 38,266 |  | — |  | — |  | 577 |  | 38,843 |  | — |  | 1,459 |  |
| Renewable Funding Group, Inc., Series B Preferred Stock                           | — |  | 8,750 |  | — |  | — |  | 8,750 |  | — |  | — |  |
| Slater Mill Loan Fund LP, LP Certificates                                         | 7,361 |  | — |  | (205 | ) | 535 |  | 7,691 |  | — |  | 366 |  |
|                                                                              | $ | 144,628 |  | $ | 22,286 |  | $ | (13,211 | ) | $ | 7,709 |  | $ | 161,412 |  | $ | (107 | ) | $ | 5,902 |  |

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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, 2014 and June 30, 2014 along with transactions during the three months ended June 30, 2014 in these Controlled investments are as follows: |

|                                                                                                     |
|-----------------------------------------------------------------------------------------------------|
|                                                                                                     |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Name of Issue                                                                                       | Fair Value at March 31, 2014 | Gross Additions (Cost) ● | Gross Reductions (Cost) ■ | Change in Unrealized Gain (Loss) | Fair Value at June 30, 2014 | Net Realized Gain (Loss) | Interest/Dividend/ Other Income |
| Generation Brands Holdings, Inc. (Quality Home Brands), Basic Common Stock                          | $ | 1,615 |  | $ | — |  | $ | — |  | $ | 910 |  | $ | 2,525 |  | $ | — |  | $ | — |  |
| Generation Brands Holdings, Inc. (Quality Homes Brands), Series H Common Stock                      | 1,345 |  | — |  | — |  | 757 |  | 2,102 |  | — |  | — |  |
| Generation Brands Holdings, Inc. (Quality Homes Brands), Series 2L Common Stock                     | 6,582 |  | — |  | — |  | 3,705 |  | 10,287 |  | — |  | — |  |
| LVI Group Investments, LLC, Common Units                                                            | — |  | 16,096 |  | — |  | 15,860 |  | 31,956 |  | — |  | — |  |
| LVI Services, Inc., Common Stock                                                                    | 34,020 |  | — |  | (16,096 | ) | (17,924 | ) | — |  |   |   |
| LVI Parent Corp. (LVI Services, Inc.), 12.50%, 4/20/14                                              | 10,200 |  | 187 |  | (10,200 | ) | (187 | ) | — |  | — |  | 313 |  |
| Merx Aviation Finance Holdings II, LLC, (Revolver) 12.00% Funded, 0.00% Unfunded, 10/31/18          | 282,334 |  | 51,750 |  | — |  | — |  | 334,084 |  | — |  | 8,850 |  |
| Merx Aviation Finance Holdings II, LLC, (Unfunded Revolver) 12.00% Funded, 0.00% Unfunded, 10/31/18 | — |  | — |  | — |  | — |  | — |  | — |  | — |  |
| Merx Aviation Finance Assets Ireland Limited, Letter of Credit, 2.25%, 9/30/14                      | — |  | — |  | — |  | — |  | — |  | — |  | — |  |
| Merx Aviation Finance Assets Ireland Limited, Letter of Credit, 2.25%, 9/30/14                      | — |  | — |  | — |  | — |  | — |  | — |  | — |  |
| Merx Aviation Finance Holdings II, LLC, Partnership Interest                                        | 140,465 |  | 13,500 |  | — |  | 4,459 |  | 158,424 |  | — |  | — |  |
| Playpower Holdings, Inc., Common Stock                                                              | 53,813 |  | — |  | — |  | 6,898 |  | 60,711 |  | — |  | 63 |  |
| Playpower Holdings, Inc., Series A Preferred, 14.00% PIK, 11/15/20                                  | 51,773 |  | 1,807 |  | — |  | — |  | 53,580 |  | — |  | 1,808 |  |
|                                                                                                | $ | 582,147 |  | $ | 83,340 |  | $ | (26,296 | ) | $ | 14,478 |  | $ | 653,669 |  | $ | — |  | $ | 11,034 |  |

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|     |                                                                                                                                                                                                                            |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (6) | Aggregate gross unrealized gain for federal income tax purposes is $145,872; aggregate gross unrealized loss for federal income tax purposes is $94,296. Net unrealized gain is $51,576 based on a tax cost of $3,593,102. |

|     |                                                                                                                                                                                                                        |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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/letter of credit being valued below par. |

|     |                                                                                                                                                                      |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (9) | These letters of credit represent multiple commitments made on various dates. As a result, there are numerous maturity dates and a maturity range has been provided. |

|      |                                                                                                                                     |
|------|-------------------------------------------------------------------------------------------------------------------------------------|
| (10) | Provided that no default has occurred, this investment may elect to pay up to 50% of the interest due on its interest payment date. |

|     |                |
|-----|----------------|
| N/A | Not applicable |

|   |                                                                                                                                                                                                                            |
|---|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 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 2) |

|      |                                                                                                                                                                                                                                                                                            |
|------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| **** | 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 June 30, 2014 |
|  Business Services                                           | 14.8% |
|  Aviation                                                    | 13.5% |
|  Oil and Gas                                                 | 13.1% |
|  Diversified Investment Vehicle                              | 6.8% |
|  Financial Services                                          | 5.3% |
|  Healthcare                                                  | 5.3% |
|  Chemicals                                                   | 4.6% |
|  Distribution                                                | 4.6% |
|  Insurance                                                   | 3.3% |
|  Diversified Service                                         | 3.3% |
|  Leisure                                                     | 3.1% |
|  Transportation                                              | 2.3% |
|  Telecommunications                                          | 2.1% |
|  Aerospace and Defense                                       | 1.7% |
|  Mining                                                      | 1.6% |
|  Containers, Packaging, and Glass                            | 1.5% |
|  Diversified Natural Resources, Precious Metals and Minerals | 1.3% |
|  Energy                                                      | 1.3% |
|  Buildings and Real Estate                                   | 1.2% |
|  Education                                                   | 1.0% |
|  Restaurants                                                 | 1.0% |
|  Hotels, Motels, Inns and Gaming                             | 0.9% |
|  Environmental Services                                      | 0.9% |
|  Media                                                       | 0.9% |
|  Packaging                                                   | 0.9% |
|  Cargo Transport                                             | 0.6% |
|  Auto Sector                                                 | 0.5% |
|  Broadcasting & Entertainment                            | 0.5% |
|  Consumer Products                                           | 0.4% |
|  Retail                                                      | 0.4% |
|  Home and Office Furnishings and Durable Consumer Products   | 0.4% |
|  Grocery                                                     | 0.3% |
|  Finance                                                     | 0.3% |
|  Electronics                                                 | 0.1% |
|  Beverage, Food and Tobacco                                  | 0.1% |
|  Cable Television                                            | 0.1% |
|  Manufacturing                                               | —% |
| Total Investments                                                 | 100.0% |

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Table of Contents

| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS March 31, 2014(in thousands) |
|-----------------------------------------------------------------------------------|
|                                                                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS—134.1%             |   | Interest Rate |   | Maturity Date |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| CORPORATE DEBT—125.9%                                                       |
| SECURED DEBT—80.0%                                                          |
| 1st Lien Secured Debt—32.5%                                                 |
| Archroma ‡                                                                  |   | 9.50% (L+825, 1.25% Floor) |   | 10/1/18 |   | Chemicals |   | $ | 35,422 |  |   | $ | 34,762 |  |   | $ | 35,511 |  |
| Avanti Communication Group PLCt‡                                            |   | 10.000% |   | 10/1/19 |   | Telecommunications |   | 9,000 |  |   | 9,000 |  |   | 9,608 |  |
| Aveta, Inc.                                                                       |   | 9.75% (L+825, 1.50% Floor) |   | 12/12/17 |   | Healthcare |   | 59,951 |  |   | 58,535 |  |   | 60,325 |  |
| Caza Petroleum, Inc.                                                              |   | 12.00% (L+1000, 2.00% Floor) |   | 5/23/17 |   | Oil and Gas |   | 35,000 |  |   | 33,988 |  |   | 33,845 |  |
| Charming Charlie LLC                                                              |   | 9.00% (L+800, 1.00% Floor) |   | 12/24/19 |   | Retail |   | 5,305 |  |   | 5,241 |  |   | 5,315 |  |
| Confie Seguros Holding II Co., (Revolver) †                                 |   | 6.75% (P+350) Funded, 0.50% Unfunded |   | 12/10/18 |   | Insurance |   | 240 |  |   | 240 |  |   | 218 |  |
| Delta Educational Systems, Inc.                                                   |   | 16.00% (8.00% Cash/8.00% PIK) |   | 12/11/16 |   | Education |   | 5,437 |  |   | 5,437 |  |   | 5,437 |  |
| Endeavour International Corp. †‡                                      |   | 12.000% |   | 3/1/18 |   | Oil and Gas |   | 18,262 |  |   | 17,960 |  |   | 17,760 |  |
| Endeavour International Corp. †‡                                      |   | 8.25% (L+700, 1.25% Floor) |   | 11/30/17 |   | Oil and Gas |   | 3,157 |  |   | 3,105 |  |   | 3,126 |  |
| Endeavour International Corp. †‡                                      |   | 8.25% (L+700, 1.25% Floor) |   | 11/30/17 |   | Oil and Gas |   | 4,412 |  |   | 4,338 |  |   | 4,368 |  |
| Evergreen Tank Solutions, Inc.                                                    |   | 9.50% (L+800, 1.50% Floor) |   | 9/28/18 |   | Containers, Packaging, and Glass |   | 41,771 |  |   | 41,260 |  |   | 41,980 |  |
| Great Bear Petroleum Operating, LLC                                               |   | 12.000% |   | 10/1/17 |   | Oil and Gas |   | 4,464 |  |   | 4,464 |  |   | 4,464 |  |
| Hunt Companies, Inc.t                                                             |   | 9.625% |   | 3/1/21 |   | Buildings and Real Estate |   | 41,210 |  |   | 40,701 |  |   | 42,807 |  |
| Lee Enterprises, Inct‡                                                      |   | 9.500% |   | 3/15/22 |   | Media |   | 25,000 |  |   | 25,000 |  |   | 25,844 |  |
| Magnetation, LLCt                                                                 |   | 11.000% |   | 5/15/18 |   | Mining |   | 16,400 |  |   | 16,458 |  |   | 18,450 |  |
| Maxus Capital Carbon SPE I, LLC (Skyonic Corp.)                                   |   | 13.000% |   | 9/18/19 |   | Chemicals |   | 60,000 |  |   | 60,000 |  |   | 60,000 |  |
| Molycorp, Inc. ‡                                                            |   | 10.000% |   | 6/1/20 |   | Diversified Natural Resources, Precious Metals and Minerals |   | 35,849 |  |   | 35,532 |  |   | 35,547 |  |
| My Alarm Center, LLC †                                                      |   | 8.50% (L+750, 1.00% Floor) |   | 1/9/18 |   | Business Services |   | 42,614 |  |   | 42,614 |  |   | 42,614 |  |
| My Alarm Center, LLC †                                                      |   | 8.50% (L+750, 1.00% Floor) |   | 1/9/18 |   | Business Services |   | 2,930 |  |   | 2,930 |  |   | 2,930 |  |
| Osage Exploration & Development, Inc. ‡                                 |   | 17.00% (L+1500, 2.00% Floor) |   | 4/27/15 |   | Oil and Gas |   | 20,000 |  |   | 19,752 |  |   | 20,040 |  |
| Panda Sherman Power, LLC                                                          |   | 9.00% (L+750, 1.50% Floor) |   | 9/14/18 |   | Energy |   | 15,000 |  |   | 14,821 |  |   | 15,450 |  |
| Panda Temple Power, LLC                                                           |   | 11.50% (L+1000, 1.50% Floor) |   | 7/17/18 |   | Energy |   | 25,500 |  |   | 25,099 |  |   | 26,169 |  |
| Pelican Energy, LLC ‡                                                       |   | 10.00% (7.00% Cash / 3.00% PIK) |   | 12/31/18 |   | Oil and Gas |   | 19,330 |  |   | 18,634 |  |   | 19,717 |  |
| Reichhold Holdings International B.V. ‡                                     |   | 10.75% (L+975, 1.00% Floor) |   | 12/19/16 |   | Chemicals |   | 22,500 |  |   | 22,500 |  |   | 22,500 |  |
| Sand Waves, S.A. (Endeavour Energy UK Limited) ‡                            |   | 9.750% |   | 12/31/15 |   | Oil and Gas |   | 12,500 |  |   | 12,500 |  |   | 12,500 |  |
| Southern Pacific Resource Corp. ‡                                           |   | 11.00% (L+1000, 1.00% Floor) |   | 3/29/19 |   | Oil and Gas |   | 9,080 |  |   | 8,808 |  |   | 9,216 |  |
| Spotted Hawk Development, LLC ‡                                             |   | 14.00% (13.00% Cash/1.00% PIK) |   | 6/30/16 |   | Oil and Gas |   | 24,308 |  |   | 23,712 |  |   | 23,615 |  |
| Sunrun Solar Owner IX, LLC                                                        |   | 9.079% |   | 12/31/24 |   | Energy |   | 3,622 |  |   | 3,466 |  |   | 3,467 |  |

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Table of Contents

| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS (continued)March 31, 2014(in thousands) |
|----------------------------------------------------------------------------------------------|
|                                                                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS—134.1%                        |   | Interest Rate |   | Maturity Date |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| 1st Lien Secured Debt—32.5% (continued)                                                |
| Travel Leaders Group, LLC                                                                    |   | 7.00% (L+600, 1.00% Floor) |   | 12/5/18 |   | Business Services |   | $ | 2,568 |  |   | $ | 2,414 |  |   | $ | 2,548 |  |
| UniTek Global Services, Inc., (Revolver) †                                             |   | 10.25% (L+925, 1.00% Floor)Funded, 2.00% Unfunded |   | 4/15/16 |   | Telecommunications |   | $ | 44,802 |  |   | $ | 44,802 |  |   | $ | 44,802 |  |
| Walter Energy, Inc. t‡                                                                 |   | 9.500% |   | 10/15/19 |   | Mining |   | 17,000 |  |   | 17,307 |  |   | 17,345 |  |
| Total 1st Lien Secured Debt                                                                  |   | $ | 655,380 |  |   | $ | 667,518 |  |
| Unfunded Revolver Obligations—(0.4)%                                                   |
| Avaya, Inc. (8)                                                                              |   | L+275 Funded, 0.50% Unfunded |   | 10/26/16 |   | Telecommunications |   | $ | 36,785 |  |   | $ | (5,203 | ) |   | $ | (3,035 | ) |
| BMC Software Inc. (8)                                                                        |   | L+400 Funded, 0.50% Unfunded |   | 9/10/18 |   | Business Services |   | 30,760 |  |   | (3,243 | ) |   | (2,307 | ) |
| Confie Seguros Holding II Co. (8) †                                                    |   | P+350 Funded, 0.50% Unfunded |   | 12/10/18 |   | Insurance |   | 3,627 |  |   | (450 | ) |   | (326 | ) |
| Laureate Education, Inc. (8)‡                                                          |   | L+375 Funded, 0.625% Unfunded |   | 6/16/16 |   | Education |   | 28,880 |  |   | (2,888 | ) |   | (2,599 | ) |
| Reichhold Holdings International B.V. ‡                                                |   | L+600 Funded, 1.50% Unfunded |   | 12/19/16 |   | Chemicals |   | 12,500 |  |   | — |  |   | — |  |
| Salix Pharmaceuticals, Ltd. (8)‡                                                       |   | L+300 Funded, 0.50% Unfunded |   | 1/2/19 |   | Healthcare |   | 25,000 |  |   | (1,923 | ) |   | (125 | ) |
| UniTek Global Services Inc., †                                                         |   | L+925 Funded, 2.00% Unfunded |   | 4/15/16 |   | Telecommunications |   | 18,052 |  |   | — |  |   | — |  |
| Total Unfunded Revolver Obligations                                                          |   | $ | (13,707 | ) |   | $ | (8,392 | ) |
|                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |
| Letters of Credit— (0.0)%                                                              |   |   |   |   |   |   |   |   |   |   |   |   |
| Confie Seguros Holding II Co., Letter of Credit (8) †                                  |   | 4.500% |   | 10/27/14 |   | Insurance |   | $ | 600 |  |   | $ | — |  |   | $ | (54 | ) |
| Confie Seguros Holding II Co., Letter of Credit (8) †                                  |   | 4.500% |   | 1/13/15 |   | Insurance |   | 33 |  |   | — |  |   | (3 | ) |
| UniTek Global Services Inc., Letter of Credit †                                        |   | 9.250% |   | 3/26/15 |   | Telecommunications |   | 3,000 |  |   | — |  |   | — |  |
| UniTek Global Services Inc., Letter of Credit †                                        |   | 9.250% |   | 3/18/15 |   | Telecommunications |   | 1,000 |  |   | — |  |   | — |  |
| UniTek Global Services Inc., Letter of Credit †                                        |   | 9.250% |   | 3/18/15 |   | Telecommunications |   | 2,700 |  |   | — |  |   | — |  |
| UniTek Global Services Inc., Letter of Credit †                                        |   | 9.250% |   | 12/15/14 |   | Telecommunications |   | 5,446 |  |   | — |  |   | — |  |
| Total Letters of Credit                                                                      |   | $ | — |  |   | $ | (57 | ) |
|                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |

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Table of Contents

| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS (continued)March 31, 2014(in thousands) |
|----------------------------------------------------------------------------------------------|
|                                                                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS—134.1%                        |   | Interest Rate |   | Maturity Date |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| 2nd Lien Secured Debt—47.9%                                                            |   |   |   |   |   |   |   |   |   |   |   |   |
| Active Network, Inc.                                                                         |   | 9.50% (L+850, 1.00% Floor) |   | 11/15/21 |   | Business Services |   | $ | 25,000 |  |   | $ | 24,879 |  |   | $ | 25,344 |  |
| Applied Systems, Inc.                                                                        |   | 7.50% (L+650, 1.00% Floor) |   | 1/24/22 |   | Business Services |   | 9,110 |  |   | 9,043 |  |   | 9,281 |  |
| Aptean, Inc.                                                                                 |   | 8.50% (L+750, 1.00% Floor) |   | 2/26/21 |   | Business Services |   | 11,322 |  |   | 11,153 |  |   | 11,478 |  |
| Armor Holdings, Inc. (American Stock Transfer and Trust Company)                             |   | 10.25% (L+900, 1.25% Floor) |   | 12/26/20 |   | Financial Services |   | 8,000 |  |   | 7,851 |  |   | 8,000 |  |
| Asurion Corporation                                                                          |   | 8.50% (L+750, 1.00% Floor) |   | 3/3/21 |   | Insurance |   | 90,400 |  |   | 89,050 |  |   | 93,413 |  |
| Bennu Oil & Gas, LLC                                                                     |   | 10.25% (L+900, 1.25% Floor) |   | 11/1/18 |   | Oil and Gas |   | 8,999 |  |   | 8,927 |  |   | 9,123 |  |
| BJ's Wholesale Club, Inc                                                                     |   | 8.50% (L+750, 1.00% Floor) |   | 3/26/20 |   | Retail |   | 20,000 |  |   | 19,904 |  |   | 20,537 |  |
| Brock Holdings III, Inc.                                                                     |   | 10.00% (L+825, 1.75% Floor) |   | 3/16/18 |   | Environmental Services |   | 19,500 |  |   | 19,245 |  |   | 19,805 |  |
| Confie Seguros Holding II Co.                                                                |   | 10.25% (L+900, 1.25% Floor) |   | 5/8/19 |   | Insurance |   | 27,344 |  |   | 27,096 |  |   | 27,566 |  |
| Consolidated Precision Products Corp.                                                        |   | 8.75% (L+775, 1.00% Floor) |   | 4/30/21 |   | Aerospace and Defense |   | 8,940 |  |   | 8,897 |  |   | 9,096 |  |
| Del Monte Foods Co                                                                           |   | 8.25% (L+725, 1.00% Floor) |   | 8/18/21 |   | Beverage, Food, and Tobacco |   | 12,140 |  |   | 12,019 |  |   | 12,110 |  |
| Deltek, Inc.                                                                                 |   | 10.00% (L+875, 1.25% Floor) |   | 10/10/19 |   | Business Services |   | 27,273 |  |   | 27,023 |  |   | 27,887 |  |
| Elements Behavioral Health, Inc.                                                             |   | 9.25% (L+825, 1.00% Floor) |   | 2/11/20 |   | Healthcare |   | 9,500 |  |   | 9,407 |  |   | 9,500 |  |
| Flexera Software LLC                                                                         |   | 8.00% (L+700, 1.00% Floor) |   | 4/2/21 |   | Business Services |   | 7,000 |  |   | 6,965 |  |   | 7,053 |  |
| Garden Fresh Restaurant Corp. †                                                        |   | 7.25% (L+575 PIK, 1.50% Floor) |   | 1/1/19 |   | Restaurants |   | 7,661 |  |   | 5,618 |  |   | 5,210 |  |
| Garden Fresh Restaurant Corp. †                                                        |   | 14.50% (L+1300 PIK, 1.50% Floor) |   | 1/1/19 |   | Restaurants |   | 34,513 |  |   | 32,326 |  |   | 30,716 |  |
| GCA Services Group, Inc.                                                                     |   | 9.25% (L+800, 1.25% Floor) |   | 11/1/20 |   | Diversified Service |   | 22,838 |  |   | 22,940 |  |   | 23,194 |  |
| Grocery Outlet, Inc.                                                                         |   | 10.50% (L+925, 1.25% Floor) |   | 6/17/19 |   | Grocery |   | 8,674 |  |   | 8,526 |  |   | 8,847 |  |
| HD Vest Inc. ‡                                                                         |   | 9.25% (L+800, 1.25% Floor) |   | 6/18/19 |   | Financial Services |   | 9,396 |  |   | 9,290 |  |   | 9,302 |  |
| Healogics, Inc.                                                                              |   | 9.25% (L+800, 1.25% Floor) |   | 2/5/20 |   | Healthcare |   | 10,000 |  |   | 10,109 |  |   | 10,242 |  |
| IMG Worldwide, Inc.                                                                          |   | 8.25% (L+725, 1.00% Floor) |   | 3/21/22 |   | Leisure |   | 2,167 |  |   | 2,145 |  |   | 2,199 |  |
| Insight Pharmaceuticals, LLC.                                                                |   | 13.25% (L+1175, 1.50% Floor) |   | 8/25/17 |   | Consumer Products |   | 15,448 |  |   | 15,243 |  |   | 15,139 |  |
| Kronos, Inc.                                                                                 |   | 9.75% (L+850, 1.25% Floor) |   | 4/30/20 |   | Business Services |   | 92,516 |  |   | 91,531 |  |   | 96,332 |  |
| Landslide Holdings, Inc.                                                                     |   | 8.25% (L+725, 1.00% Floor) |   | 2/25/21 |   | Business Services |   | 5,630 |  |   | 5,588 |  |   | 5,672 |  |
| Learfield Communications, Inc.                                                               |   | 8.75% (L+775, 1.00% Floor) |   | 10/8/21 |   | Media |   | 15,000 |  |   | 14,856 |  |   | 15,375 |  |
| Miller Energy Resources, Inc. ‡                                                        |   | 11.75% (L+975, 2.00% Floor) |   | 2/3/18 |   | Oil and Gas |   | 87,500 |  |   | 85,804 |  |   | 85,750 |  |

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Table of Contents

| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS (continued)March 31, 2014(in thousands) |
|----------------------------------------------------------------------------------------------|
|                                                                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS—134.1%                        |   | Interest Rate |   | Maturity Date |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| 2nd Lien Secured Debt—47.9% (continued)                                                |
| Ranpak Corp.                                                                                 |   | 8.50% (L+725, 1.25% Floor) |   | 4/23/20 |   | Packaging |   | $ | 22,000 |  |   | $ | 21,802 |  |   | $ | 22,522 |  |
| River Cree Enterprises LP t‡                                                           |   | 11.000% |   | 1/20/21 |   | Hotels, Motels, Inns and Gaming |   | CAD | 33,000 |  |   | 31,110 |  |   | 31,767 |  |
| SESAC Holdco II LLC                                                                          |   | 10.00% (L+875, 1.25% Floor) |   | 4/9/14 |   | Broadcasting & Entertainment |   | $ | 10,750 |  |   | 10,758 |  |   | 10,978 |  |
| Sprint Industrial Holdings, LLC                                                              |   | 11.25% (L+1000, 1.25% Floor) |   | 11/14/19 |   | Containers, Packaging, and Glass |   | 14,163 |  |   | 13,928 |  |   | 14,305 |  |
| SquareTwo Financial Corp. (Collect America, Ltd.) ‡                                    |   | 11.625% |   | 4/1/17 |   | Financial Services |   | 61,079 |  |   | 59,929 |  |   | 61,690 |  |
| Stadium Management Corp                                                                      |   | 9.25% (L+825, 1.00% Floor) |   | 2/27/21 |   | Business Services |   | 19,900 |  |   | 19,900 |  |   | 20,348 |  |
| Tectum Holdings, Inc.                                                                        |   | 10.25% (P+700, 3.25% Floor) |   | 3/12/19 |   | Auto Sector |   | 17,670 |  |   | 17,582 |  |   | 17,626 |  |
| Transfirst Holdings Inc.                                                                     |   | 7.50% (L+650, 1.00% Floor) |   | 6/27/18 |   | Financial Services |   | 59,750 |  |   | 59,601 |  |   | 60,422 |  |
| TriMark USA, LLC                                                                             |   | 10.00% (L+900, 1.00% Floor) |   | 8/12/19 |   | Distribution |   | 27,000 |  |   | 26,470 |  |   | 27,338 |  |
| U.S. Renal Care, Inc. †                                                                |   | 10.25% (L+900, 1.25% Floor) |   | 1/3/20 |   | Healthcare |   | 11,927 |  |   | 11,980 |  |   | 12,195 |  |
| U.S. Renal Care, Inc. †                                                                |   | 8.50% (L+750, 1.00% Floor) |   | 7/3/20 |   | Healthcare |   | 12,120 |  |   | 11,930 |  |   | 12,325 |  |
| Velocity Technology Solutions, Inc.                                                          |   | 9.00% (L+775, 1.25% Floor) |   | 9/28/20 |   | Business Services |   | 16,500 |  |   | 16,170 |  |   | 16,170 |  |
| Vertafore, Inc.                                                                              |   | 9.75% (L+825, 1.50% Floor) |   | 10/27/17 |   | Business Services |   | 50,436 |  |   | 50,167 |  |   | 51,397 |  |
| Walter Energy, Inc. t‡                                                                 |   | 11.000% |   | 4/1/20 |   | Mining |   | 27,798 |  |   | 26,308 |  |   | 25,192 |  |
| Total 2nd Lien Secured Debt                                                                  |   | $ | 963,070 |  |   | $ | 982,446 |  |
| TOTAL SECURED DEBT                                                                           |   | $ | 1,604,743 |  |   | $ | 1,641,515 |  |
|                                                                                         |
| UNSECURED DEBT—45.9%                                                                   |
| Altegrity, Inc. †                                                                      |   | 0.000% (12.5% effective) |   | 8/2/16 |   | Diversified Service |   | $ | 3,545 |  |   | $ | 2,664 |  |   | $ | 957 |  |
| Altegrity, Inc. t†                                                                     |   | 12.000% |   | 11/1/15 |   | Diversified Service |   | 14,667 |  |   | 14,667 |  |   | 13,567 |  |
| American Energy - Utica, LLC t                                                               |   | 3.500% |   | 3/1/21 |   | Oil and Gas |   | 10,868 |  |   | 10,868 |  |   | 11,031 |  |
| American Tire Distributors, Inc. t†                                                    |   | 11.500% |   | 6/1/18 |   | Distribution |   | 25,000 |  |   | 25,000 |  |   | 25,700 |  |
| American Tire Distributors, Inc. †                                                     |   | 11.500% |   | 6/1/18 |   | Distribution |   | 40,000 |  |   | 39,321 |  |   | 41,120 |  |
| Artsonig Pty Ltd t‡                                                                    |   | 11.500% |   | 4/1/19 |   | Transportation |   | 20,000 |  |   | 19,701 |  |   | 20,025 |  |
| BCA Osprey II Limited (British Car Auctions) †‡                                  |   | 12.50% PIK |   | 8/17/17 |   | Transportation |   | € | 12,721 |  |   | 17,489 |  |   | 18,102 |  |
| BCA Osprey II Limited (British Car Auctions) †‡                                  |   | 12.50% PIK |   | 8/17/17 |   | Transportation |   | £ | 20,948 |  |   | 33,173 |  |   | 36,058 |  |
| Ceridian Corp. t†                                                                      |   | 11.000% |   | 3/15/21 |   | Diversified Service |   | $ | 34,000 |  |   | 34,000 |  |   | 39,335 |  |
| Ceridian Corp. †                                                                       |   | 11.250% |   | 11/15/15 |   | Diversified Service |   | 35,800 |  |   | 35,800 |  |   | 36,154 |  |
| Ceridian Corp. †                                                                       |   | 12.25% Cash (12.25% Cash or 13.00% PIK) |   | 11/15/15 |   | Diversified Service |   | 14,420 |  |   | 14,420 |  |   | 14,562 |  |
| CRC Health Corp.                                                                             |   | 10.750% |   | 2/1/16 |   | Healthcare |   | 13,000 |  |   | 13,079 |  |   | 13,077 |  |
| Delta Educational Systems, Inc.                                                              |   | 16.00% (10.00% Cash/6.00% PIK) |   | 5/12/17 |   | Education |   | 21,684 |  |   | 21,353 |  |   | 20,708 |  |
| Denver Parent Corp. (Venoco) t                                                               |   | 12.250% |   | 8/15/18 |   | Oil and Gas |   | 15,000 |  |   | 14,633 |  |   | 15,150 |  |
| Energy & Exploration Partners, Inc. †                                              |   | 15.000% |   | 4/8/18 |   | Oil and Gas |   | 25,000 |  |   | 22,410 |  |   | 23,750 |  |

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Table of Contents

| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS (continued)March 31, 2014(in thousands) |
|----------------------------------------------------------------------------------------------|
|                                                                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS—134.1%                        |   | Interest Rate |   | Maturity Date |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| UNSECURED DEBT—45.9% (continued)                                                       |
| Energy & Exploration Partners, Inc. †                                              |   | 15.000% |   | 12/12/18 |   | Oil and Gas |   | 4,464 |  |   | 4,263 |  |   | 4,241 |  |
| Energy & Exploration Partners, Inc. †                                              |   | 15.000% |   | 12/12/18 |   | Oil and Gas |   | 2,679 |  |   | 2,469 |  |   | 2,545 |  |
| Energy & Exploration Partners, Inc. †                                              |   | 15.000% |   | 3/27/19 |   | Oil and Gas |   | $ | 8,036 |  |   | $ | 7,650 |  |   | $ | 7,634 |  |
| Exova Limited †‡                                                                 |   | 10.50% |   | 5/20/14 |   | Business Services |   | £ | 4,655 |  |   | 6,606 |  |   | 8,537 |  |
| Exova Limited t†‡                                                                |   | 10.50% |   | 5/20/14 |   | Business Services |   | 18,000 |  |   | 28,165 |  |   | 33,010 |  |
| First Data Corp. †                                                                     |   | 10.625% |   | 6/15/21 |   | Financial Services |   | $ | 10,000 |  |   | 10,000 |  |   | 11,288 |  |
| First Data Corp. †                                                                     |   | 11.250% |   | 1/15/21 |   | Financial Services |   | 67,000 |  |   | 66,977 |  |   | 76,548 |  |
| First Data Corp. †                                                                     |   | 12.625% |   | 1/15/21 |   | Financial Services |   | 5,000 |  |   | 5,641 |  |   | 5,963 |  |
| inVentiv Health, Inc. t                                                                      |   | 11.000% |   | 8/15/18 |   | Healthcare |   | 106,500 |  |   | 106,500 |  |   | 98,646 |  |
| My Alarm Center, LLC                                                                         |   | 16.25% (12.00% Cash/4.25%PIK) |   | 7/9/18 |   | Business Services |   | 4,101 |  |   | 4,101 |  |   | 4,101 |  |
| Niacet Corporation                                                                           |   | 13.000% |   | 8/28/18 |   | Chemicals |   | 12,500 |  |   | 12,500 |  |   | 12,625 |  |
| PetroBakken Energy Ltd. t‡                                                             |   | 8.625% |   | 2/1/20 |   | Oil and Gas |   | 44,082 |  |   | 44,390 |  |   | 44,206 |  |
| Prospect Holding Company LLC t                                                               |   | 10.250% |   | 10/1/18 |   | Financial Services |   | 20,000 |  |   | 19,106 |  |   | 19,450 |  |
| Radio One Inc t‡                                                                       |   | 9.250% |   | 2/15/20 |   | Broadcasting & Entertainment |   | 14,804 |  |   | 14,804 |  |   | 15,778 |  |
| Symbion Inc.                                                                                 |   | 11.000% |   | 8/23/15 |   | Healthcare |   | 8,488 |  |   | 8,501 |  |   | 8,538 |  |
| Tervita Corporation t‡                                                                 |   | 10.875% |   | 2/15/18 |   | Environmental Services |   | 22,438 |  |   | 21,739 |  |   | 22,662 |  |
| U.S. Security Associates Holdings, Inc.                                                      |   | 11.000% |   | 7/28/18 |   | Business Services |   | 135,000 |  |   | 135,000 |  |   | 139,590 |  |
| Univar Inc.                                                                                  |   | 10.500% |   | 6/30/18 |   | Distribution |   | 20,000 |  |   | 20,000 |  |   | 19,960 |  |
| Varietal Distribution t†                                                               |   | 10.750% |   | 6/30/17 |   | Distribution |   | 22,204 |  |   | 21,908 |  |   | 22,426 |  |
| Varietal Distribution t†                                                               |   | 10.750% |   | 6/30/17 |   | Distribution |   | € | 11,574 |  |   | 15,092 |  |   | 16,111 |  |
| Venoco, Inc.                                                                                 |   | 8.875% |   | 2/15/19 |   | Oil and Gas |   | $ | 38,050 |  |   | 38,463 |  |   | 38,573 |  |
| TOTAL UNSECURED DEBT                                                                         |   | $ | 912,453 |  |   | $ | 941,728 |  |
| TOTAL CORPORATE DEBT                                                                         |   | $ | 2,517,196 |  |   | $ | 2,583,243 |  |
|                                                                                         |
| STRUCTURED PRODUCTS AND OTHER—3.9%                                                     |
| Craft 2013-1, Credit Linked Note ‡                                                     |   | 9.49% (L+925) |   | 4/17/22 |   | Diversified Investment Vehicle |   | $ | 20,000 |  |   | $ | 20,000 |  |   | $ | 19,802 |  |
| Dark Castle Holdings, LLC                                                                    |   | N/A |   | N/A |   | Media |   | 25,302 |  |   | 2,094 |  |   | 3,077 |  |
| JP Morgan Chase & Co., Credit-Linked Note ‡                                        |   | 12.50% (L+1225) |   | 12/20/21 |   | Diversified Investment Vehicle |   | 43,250 |  |   | 43,010 |  |   | 42,935 |  |
| Renaissance Umiat, LLC, ACES ****†‡                                              |   | N/A |   | N/A |   | Oil and Gas |   | — |  |   | 7,153 |  |   | 7,799 |  |
| Renaissance Umiat, LLC, ACES ****†‡                                              |   | N/A |   | N/A |   | Oil and Gas |   | — |  |   | 6,351 |  |   | 6,391 |  |
| TOTAL STRUCTURED PRODUCTS AND OTHER                                                          |   | $ | 78,608 |  |   | $ | 80,004 |  |
|                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |
| PREFERRED EQUITY—2.0%                                                                  |  | Shares |  |  |  |  |
| CA Holding, Inc. (Collect America, Ltd.), Series A Preferred Stock **‡                 |   | N/A |   | N/A |   | Financial Services |   | 7,961 |  |   | $ | 788 |  |   | $ | 1,592 |  |
| Crowley Holdings, Series A Preferred Stock                                                   |   | 12.00% (10.00% Cash / 2.00% PIK) |   | N/A |   | Cargo Transport |   | 22,500 |  |   | 22,623 |  |   | 22,620 |  |
| Gryphon Colleges Corp. (Delta Educational Systems, Inc.), Preferred Stock ***                |   | 13.50% PIK |   | N/A |   | Education |   | 12,360 |  |   | 27,685 |  |   | 13,802 |  |
| Gryphon Colleges Corp. (Delta Educational Systems, Inc.), Preferred Stock ***                |   | 12.50% PIK |   | N/A |   | Education |   | 332,500 |  |   | 6,863 |  |   | — |  |
| Varietal Distribution Holdings, LLC, Class A Preferred Unit                                  |   | 8.00% PIK |   | N/A |   | Distribution |   | 3,097 |  |   | 5,288 |  |   | 3,275 |  |
| TOTAL PREFERRED EQUITY                                                                       |  | $ | 63,247 |  |  | $ | 41,289 |  |

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Table of Contents

| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS (continued)March 31, 2014(in thousands, except shares and warrants) |
|--------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED INVESTMENTS—134.1%                                                    |   | Interest Rate |   | Maturity Date |   | Industry |   | Shares |   | Cost |   | Fair Value (1) |
| EQUITY—2.3%                                                                                                        |
| Common Equity/Interests—1.8%                                                                                       |
| Accelerate Parent Corp. (American Tire Distributors), Common Stock **                                                    |   | N/A |   | N/A |   | Distribution |   | 3,225,514 |  |   | $ | 3,276 |  |   | $ | 4,710 |  |
| AHC Mezzanine, LLC (Advanstar), Common Stock **                                                                          |   | N/A |   | N/A |   | Media |   | 25,016 |  |   | 1,063 |  |   | 350 |  |
| Altegrity Holding Corp., Common Stock **                                                                                 |   | N/A |   | N/A |   | Diversified Service |   | 353,399 |  |   | 13,797 |  |   | — |  |
| CA Holding, Inc. (Collect America, Ltd.), Series A Common Stock **‡                                                |   | N/A |   | N/A |   | Financial Services |   | 25,000 |  |   | 2,500 |  |   | 1,380 |  |
| CA Holding, Inc. (Collect America, Ltd.), Series AA Common Stock  **‡                                              |   | N/A |   | N/A |   | Financial Services |   | 4,294 |  |   | 430 |  |   | 859 |  |
| Caza Petroleum Inc., Net Profits Interest **                                                                             |   | N/A |   | N/A |   | Oil and Gas |   | — |  |   | 940 |  |   | 946 |  |
| Caza Petroleum Inc., Overriding Royalty Interest **                                                                      |   | N/A |   | N/A |   | Oil and Gas |   | — |  |   | 265 |  |   | 228 |  |
| Clothesline Holdings, Inc. (Angelica Corporation), Common Stock **                                                       |   | N/A |   | N/A |   | Healthcare |   | 6,000 |  |   | 6,000 |  |   | 3,282 |  |
| Explorer Coinvest, LLC (Booz Allen), Common Stock  **‡                                                             |   | N/A |   | N/A |   | Business Services |   | 340,090 |  |   | 2,603 |  |   | 6,958 |  |
| Garden Fresh Restaurant Holdings, LLC., Common Stock **                                                                  |   | N/A |   | N/A |   | Restaurants |   | 50,000 |  |   | 5,000 |  |   | 138 |  |
| Gryphon Colleges Corp. (Delta Educational Systems, Inc.), Common Stock **                                                |   | N/A |   | N/A |   | Education |   | 17,500 |  |   | 175 |  |   | — |  |
| GS Prysmian Co-Invest L.P. (Prysmian Cables & Systems), Limited Partnership **(2)(3)‡                          |   | N/A |   | N/A |   | Manufacturing |   | — |  |   | — |  |   | 17 |  |
| JV Note Holdco, LLC (DSI Renal Inc.), Common Equity / Interest **                                                        |   | N/A |   | N/A |   | Healthcare |   | 9,303 |  |   | 85 |  |   | — |  |
| Pelican Energy, LLC, Net Profit Interest  **‡                                                                      |   | N/A |   | N/A |   | Oil and Gas |   | 696,656 |  |   | 697 |  |   | 477 |  |
| RC Coinvestment, LLC (Ranpak Corp.), Common Stock **                                                                     |   | N/A |   | N/A |   | Packaging |   | 50,000 |  |   | 5,000 |  |   | 7,674 |  |
| Sorenson Communications Holdings, LLC, Class A, Common Stock **                                                          |   | N/A |   | N/A |   | Consumer Products |   | 454,828 |  |   | 45 |  |   | 61 |  |
| Univar Inc., Common Stock **                                                                                             |   | N/A |   | N/A |   | Distribution |   | 900,000 |  |   | 9,000 |  |   | 9,680 |  |
| Varietal Distribution Holdings, LLC, Class A Common Unit **                                                              |   | N/A |   | N/A |   | Distribution |   | 28,028 |  |   | 28 |  |   | — |  |
| Total Common Equity/Interests                                                                                            |   | $ | 50,904 |  |   | $ | 36,760 |  |
|                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
| Warrants—0.5%                                                                                                      |   |   |   |   |   |   |   | Warrants |   |   |   |   |
| CA Holding, Inc. (Collect America, Ltd.), Common Stock Warrants **‡                                                |   | N/A |   | N/A |   | Financial Services |   | 7,961 |  |   | $ | 8 |  |   | $ | — |  |
| Energy & Exploration Partners, Inc., Common Stock Warrants **                                                        |   | N/A |   | N/A |   | Oil and Gas |   | 60,778 |  |   | 2,374 |  |   | 1,829 |  |
| Fidji Luxco (BC) S.C.A., Common Stock Warrants **‡(2)                                                              |   | N/A |   | N/A |   | Electronics |   | 18,113 |  |   | 182 |  |   | 5,069 |  |
| Gryphon Colleges Corp. (Delta Educational Systems, Inc.), Common Stock **                                                |   | N/A |   | N/A |   | Education |   | 9,820 |  |   | 98 |  |   | — |  |
| Gryphon Colleges Corp. (Delta Educational Systems, Inc.), Class A-1 Preferred Stock Warrants **                          |   | N/A |   | N/A |   | Education |   | 45,947 |  |   | 459 |  |   | — |  |
| Gryphon Colleges Corp. (Delta Educational Systems, Inc.), Class B-1 Preferred Stock Warrants **                          |   | N/A |   | N/A |   | Education |   | 104,314 |  |   | 1,043 |  |   | — |  |
| Osage Exploration & Development, Inc., Common Stock Warrants **‡                                               |   | N/A |   | N/A |   | Oil and Gas |   | 1,496,843 |  |   | — |  |   | 1,398 |  |
| Spotted Hawk Development, LLC, Common Stock Warrants **‡                                                           |   | N/A |   | N/A |   | Oil and Gas |   | 54,545 |  |   | 852 |  |   | 2,304 |  |
| Total Warrants                                                                                                           |   | $ | 5,016 |  |   | $ | 10,600 |  |
| TOTAL EQUITY                                                                                                             |   | $ | 55,920 |  |   | $ | 47,360 |  |
| Total Investments in Non-Controlled/ Non-Affiliated Investments                                                          |   | $ | 2,714,971 |  |   | $ | 2,751,896 |  |

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Table of Contents

| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS (continued)March 31, 2014(in thousands, except shares and warrants) |
|--------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN NON-CONTROLLED/AFFILIATED INVESTMENTS—7.0%(4)                                                       |   | Interest Rate |   | Maturity Date |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| CORPORATE DEBT—0.7%                                                                                                |
| SECURED DEBT—0.7%                                                                                                  |
| 1st Lien Secured Debt—0.7%                                                                                         |
| Aventine Renewable Energy Holdings, Inc. †                                                                         |   | 15.00% (12.00% Cash/3.00% PIK) |   | 9/23/16 |   | Chemicals |   | $ | 2,737 |  |   | $ | 2,621 |  |   | $ | 2,405 |  |
| Aventine Renewable Energy Holdings, Inc. †                                                                         |   | 15.00% PIK or 10.50% Cash |   | 9/22/17 |   | Chemicals |   | 14,068 |  |   | 16,391 |  |   | 8,884 |  |
| Aventine Renewable Energy Holdings, Inc. †                                                                         |   | 25.00% PIK |   | 9/24/16 |   | Chemicals |   | 3,769 |  |   | 3,769 |  |   | 3,769 |  |
| Total 1st Lien Secured Debt                                                                                              |   | $ | 22,781 |  |   | $ | 15,058 |  |
| TOTAL SECURED DEBT                                                                                                       |   | $ | 22,781 |  |   | $ | 15,058 |  |
| TOTAL CORPORATE DEBT                                                                                                     |   | $ | 22,781 |  |   | $ | 15,058 |  |
|                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
| STRUCTURED PRODUCTS AND OTHER—6.3%                                                                                 |
| Golden Hill CLO I, LLC, Equity ‡¢                                                                             |   | N/A |   | N/A |   | Diversified Investment Vehicle |   | $ | 1,097 |  |   | $ | 1,631 |  |   | $ | 1,097 |  |
| Highbridge Loan Management 3-2014, Ltd., Class D Notes †‡¢                                              |   | 5.22% (L+500) |   | 1/18/25 |   | Diversified Investment Vehicle |   | 5,000 |  |   | 4,638 |  |   | 4,680 |  |
| Highbridge Loan Management 3-2014, Ltd., Class E Notes †‡¢                                              |   | 6.22% (L+600) |   | 1/18/25 |   | Diversified Investment Vehicle |   | 2,485 |  |   | 2,263 |  |   | 2,314 |  |
| Highbridge Loan Management 3-2014, Ltd., Subordinated Notes †‡¢                                         |   | N/A |   | 1/18/25 |   | Diversified Investment Vehicle |   | 8,163 |  |   | 7,527 |  |   | 7,278 |  |
| Jamestown CLO I LTD, Subordinated Notes ‡¢                                                                    |   | N/A |   | 11/5/24 |   | Diversified Investment Vehicle |   | 4,325 |  |   | 3,553 |  |   | 3,828 |  |
| MCF CLO I LLC, Class E Notes ‡¢                                                                               |   | 5.99% (L+575) |   | 4/20/23 |   | Diversified Investment Vehicle |   | 13,000 |  |   | 12,330 |  |   | 12,357 |  |
| MCF CLO I LLC, Membership Interests ‡¢                                                                        |   | N/A |   | N/A |   | Diversified Investment Vehicle |   | 38,918 |  |   | 37,560 |  |   | 40,391 |  |
| MCF CLO III LLC, Class E Notes ‡¢                                                                             |   | 4.81% (L+445) |   | 1/20/24 |   | Diversified Investment Vehicle |   | 12,750 |  |   | 11,349 |  |   | 11,325 |  |
| MCF CLO III LLC, Membership Interests ‡¢                                                                      |   | N/A |   | 1/20/24 |   | Diversified Investment Vehicle |   | 41,900 |  |   | 39,183 |  |   | 38,266 |  |
| Slater Mill Loan Fund LP, LP Certificates ‡¢                                                                  |   | N/A |   | N/A |   | Diversified Investment Vehicle |   | 8,375 |  |   | 6,222 |  |   | 7,361 |  |
| TOTAL STRUCTURED PRODUCTS AND OTHER                                                                                      |   | $ | 126,256 |  |   | $ | 128,897 |  |
|                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
| EQUITY—0.0%                                                                                                        |
| Common Equity/Interests—0.0%                                                                                       |   | Shares |   |   |   |   |
| Aventine Renewable Energy Holdings, Inc., Common Stock **                                                                |   | N/A |   | N/A |   | Chemicals |   | 262,036 |  |   | $ | 688 |  |   | $ | 99 |  |
| Total Common Equity/Interests                                                                                            |   | $ | 688 |  |   | $ | 99 |  |
|                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
| Warrants—0.0%                                                                                                      |   |   |   |   |   |   |   | Warrants |   |   |   |   |
| Aventine Renewable Energy Holdings, Inc., Common Stock Warrants **                                                       |   | N/A |   | N/A |   | Chemicals |   | 1,521,193 |  |   | $ | 3,996 |  |   | $ | 574 |  |
| Total Warrants                                                                                                           |   | $ | 3,996 |  |   | $ | 574 |  |
| TOTAL EQUITY                                                                                                             |   | $ | 4,684 |  |   | $ | 673 |  |
| Total Investments in Non-Controlled/Affiliated Investments                                                               |   | $ | 153,721 |  |   | $ | 144,628 |  |

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| APOLLO INVESTMENT CORPORATIONSCHEDULE OF INVESTMENTS (continued)March 31, 2014(in thousands, except shares) |
|-------------------------------------------------------------------------------------------------------------|
|                                                                                                             |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| INVESTMENTS IN CONTROLLEDINVESTMENTS—28.4%(5)                                                         |   | Interest Rate |   | Maturity Date |   | Industry |   | Par Amount* |   | Cost |   | Fair Value (1) |
| CORPORATE DEBT—14.3%                                                                                  |
| SECURED DEBT—14.3%                                                                                    |
| 1st Lien Secured Debt—13.8%                                                                           |
| Merx Aviation Finance Holdings II, LLC (Revolver)                                                           |   | 12.00% Funded,  0.00% Unfunded |   | 10/31/18 |   | Aviation |   | $ | 282,334 |  |   | $ | 282,334 |  |   | $ | 282,334 |  |
| Total 1st Lien Secured Debt                                                                                 |   | $ | 282,334 |  |   | $ | 282,334 |  |
|                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |
| Unfunded Revolver Obligation—0.0%                                                                     |
| Merx Aviation Finance Holdings II, LLC                                                                      |   | 12.00% Funded,  0.00% Unfunded |   | 10/31/18 |   | Aviation |   | $ | 117,666 |  |   | $ | — |  |   | $ | — |  |
| Total Unfunded Revolver Obligation                                                                          |   | $ | — |  |   | $ | — |  |
|                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |
| Letters of Credit—0.0%                                                                                |
| Merx Aviation Finance Assets Ireland Limited, LLC, Letter of Credit                                         |   | 2.250% |   | 9/30/14 |   | Aviation |   | $ | 1,800 |  |   | $ | — |  |   | $ | — |  |
| Merx Aviation Finance Assets Ireland Limited, LLC, Letter of Credit                                         |   | 2.250% |   | 9/30/14 |   | Aviation |   | 1,800 |  |   | — |  |   | — |  |
| Total Letters of Credit                                                                                     |   | $ | — |  |   | $ | — |  |
|                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |
| 2nd Lien Secured Debt—0.5%                                                                            |
| LVI Parent Corp. (LVI Services, Inc.)                                                                       |   | 12.500% |   | 4/20/14 |   | Environmental Services |   | $ | 10,000 |  |   | $ | 10,013 |  |   | $ | 10,200 |  |
| Total 2nd Lien Secured Debt                                                                                 |   | $ | 10,013 |  |   | $ | 10,200 |  |
| TOTAL SECURED DEBT                                                                                          |   | $ | 292,347 |  |   | $ | 292,534 |  |
| TOTAL CORPORATE DEBT                                                                                        |   | $ | 292,347 |  |   | $ | 292,534 |  |
|                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |
| PREFERRED EQUITY—2.5%                                                                                 |   | Shares |   |   |   |   |
| Playpower Holdings, Inc., Series A Preferred                                                                |   | 14.00% PIK |   | 11/15/20 |   | Leisure |   | 49,178 |  |   | $ | 51,773 |  |   | $ | 51,773 |  |
| TOTAL PREFFERED EQUITY                                                                                      |   | $ | 51,773 |  |   | $ | 51,773 |  |
|                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |
| EQUITY—11.6%                                                                                          |
| Common Equity/Interests—11.6%                                                                         |
|  Generation Brands Holdings, Inc. (Quality Home Brands), Basic Common Stock **                         |   | N/A |   | N/A |   | Home and Office Furnishings and Durable Consumer Products |   | 9,007 |  |   | $ | — |  |   | $ | 1,615 |  |
|  Generation Brands Holdings, Inc. (Quality Home Brands), Series H Common Stock **                      |   | N/A |   | N/A |   | Home and Office Furnishings and Durable Consumer Products |   | 7,500 |  |   | 2,297 |  |   | 1,345 |  |
|  Generation Brands Holdings, Inc. (Quality Home Brands), Series 2L Common Stock **                     |   | N/A |   | N/A |   | Home and Office Furnishings and Durable Consumer Products |   | 36,700 |  |   | 11,242 |  |   | 6,582 |  |
| LVI Parent Corp., Common Stock **                                                                           |   | N/A |   | N/A |   | Environmental Services |   | 14,981 |  |   | 16,097 |  |   | 34,020 |  |
| Merx Aviation Finance Holdings II, LLC, Partnership Interest **                                             |   | N/A |   | N/A |   | Aviation |   | — |  |   | 138,582 |  |   | 140,465 |  |
| Playpower Holdings, Inc., Common Stock **                                                                   |   | N/A |   | N/A |   | Leisure |   | 1,000 |  |   | 77,722 |  |   | 53,813 |  |
| Total Common Equity/Interests                                                                               |   | $ | 245,940 |  |   | $ | 237,840 |  |
| TOTAL EQUITY                                                                                                |   | $ | 245,940 |  |   | $ | 237,840 |  |
| Total Investments in Controlled Investments                                                                 |   | $ | 590,060 |  |   | $ | 582,147 |  |
| Total Investments—169.5%(6)(7)                                                                        |   | $ | 3,458,752 |  |   | $ | 3,478,671 |  |
| Liabilities in Excess of Other Assets—(69.5)%                                                         |   | $ | (1,427,061 | ) |
| Net Assets—100.0%                                                                                     |   | $ | 2,051,611 |  |

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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) | 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. |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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 March 31, 2014 along with transactions during the fiscal year ended March 31, 2014 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 March 31, 2014 | 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 |  | $ | 85 |  | $ | (1,314 | ) | $ | (232 | ) | $ | 2,405 |  | $ | — |  | $ | 606 |  |
| Aventine Renewable Energy Holdings, Inc., 10.50% Cash or 15.00% PIK, 9/22/17      | 9,682 |  | 1,965 |  | (1,581 | ) | (1,182 | ) | 8,884 |  | — |  | 370 |  |
| Aventine Renewable Energy Holdings, Inc., 25.00% PIK, 9/24/16                     | N/A |  | 5,348 |  | (1,578 | ) | — |  | 3,769 |  | — |  | 1,044 |  |
| Aventine Renewable Energy Holdings, Inc., Common Stock                            | 2,347 |  | — |  | (3,995 | ) | 1,747 |  | 99 |  | — |  | — |  |
| Aventine Renewable Energy Holdings, Inc., Common Stock Warrants                   | N/A |  | 3,995 |  | — |  | (3,422 | ) | 574 |  | — |  | — |  |
| Golden Hill CLO I, LLC, Equity                                                    | N/A |  | 1,631 |  | — |  | (534 | ) | 1,097 |  | — |  | — |  |
| Highbridge Loan Management 3-2014, Ltd., Class D Notes L+500, 1/18/25             | N/A |  | 4,638 |  | — |  | 42 |  | 4,680 |  | — |  | 49 |  |
| Highbridge Loan Management 3-2014, Ltd., Class E Notes L+600, 1/18/25             | N/A |  | 2,263 |  | — |  | 50 |  | 2,314 |  | — |  | 28 |  |
| Highbridge Loan Management 3-2014, Ltd., Subordinated Notes, 1/18/25              | N/A |  | 7,527 |  | — |  | (249 | ) | 7,278 |  | — |  | 96 |  |
| Highbridge Loan, Ltd., Preference Shares                                          | 6,174 |  | 6,655 |  | (12,829 | ) | — |  | — |  | — |  | 1,876 |  |
| Jamestown CLO I LTD, Class C L+400, 11/5/24                                       | 1,109 |  | 3 |  | (1,027 | ) | (86 | ) | — |  | 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 |  | — |  | (10,500 | ) | 761 |  | 3,828 |  | 1,758 |  | 1,473 |  |
| 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 |  | 52 |  | — |  | 32 |  | 12,357 |  | — |  | 854 |  |
| MCF CLO I LLC, Membership Interests                                               | 38,918 |  | — |  | (1,358 | ) | 2,832 |  | 40,391 |  | — |  | 8,108 |  |
| MCF CLO III LLC, Class E Notes L+445, 1/20/24                                     | N/A |  | 11,349 |  | — |  | (24 | ) | 11,325 |  | — |  | 165 |  |
| MCF CLO III LLC, Membership Interests, 1/20/24                                    | N/A |  | 39,183 |  | — |  | (918 | ) | 38,266 |  | — |  | 1,165 |  |
| Slater Mill Loan Fund LP, LP Certificates                                         | 6,951 |  | — |  | (897 | ) | 1,306 |  | 7,361 |  | — |  | 1,088 |  |
|                                                                              | $ | 141,569 |  | $ | 84,708 |  | $ | (79,534 | ) | $ | (2,115 | ) | $ | 144,628 |  | $ | 2,078 |  | $ | 23,017 |  |

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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, 2013 and March 31, 2014 along with transactions during the fiscal year ended March 31, 2014 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 March 31, 2014 | Net Realized Gain (Loss) | Interest/Dividend/ Other Income |
| AIC Credit Opportunity Fund, LLC Common Equity                                             | $ | 50,697 |  | $ | 20,386 |  | $ | (68,489 | ) | $ | (2,594 | ) | $ | — |  | $ | (2,338 | ) | $ | 2,306 |  |
|  Generation Brands Holdings, Inc. (Quality Home Brands), Basic Common Stock           | 432 |  | — |  | — |  | 1,183 |  | 1,615 |  | — |  | — |  |
|  Generation Brands Holdings, Inc. (Quality Home Brands), Series 2L Common Stock       | 360 |  | — |  | — |  | 985 |  | 1,345 |  | — |  | — |  |
|  Generation Brands Holdings, Inc. (Quality Home Brands), Series H Common Stock        | 1,760 |  | — |  | — |  | 4,822 |  | 6,582 |  | — |  | — |  |
| Grand Prix Holdings, LLC, Series A Preferred Interests, 12.00% PIK                         |  N/A |  |  N/A |  |  N/A |  |  N/A |  |  N/A |  | 98 |  | — |  |
| LVI Parent Corp. (LVI Services, Inc.), 12.50%, 4/20/14                                     | 10,000 |  | 198 |  | — |  | 2 |  | 10,200 |  | — |  | 1,448 |  |
| LVI Services, Inc., Common Stock                                                           | 30,575 |  | — |  | — |  | 3,444 |  | 34,020 |  | — |  | 153 |  |
| 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 | ) | — |  | — |  | — |  | 346 |  |
| 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 II, LLC, (Revolver) 12.00% Funded, 0.00% Unfunded, 10/31/18 | N/A |  | 282,334 |  | — |  | — |  | 282,334 |  | — |  | 9,205 |  |
| Merx Aviation Finance Holdings II, LLC, Partnership Interest                               | 33,820 |  | 107,120 |  | (2,358 | ) | 1,883 |  | 140,465 |  | — |  | — |  |
| Merx Aviation Finance Assets Ireland Limited, Letter of Credit, 2.25%, 9/30/14             | — |  | — |  | — |  | — |  | — |  | — |  | — |  |
| Merx Aviation Finance Assets Ireland Limited, Letter of Credit, 2.25%, 9/30/14             | — |  | — |  | — |  | — |  | — |  | — |  | — |  |
| Playpower Holdings, Inc., 14.00% PIK, 12/15/15                                             | 24,174 |  | 2,293 |  | (27,578 | ) | 1,111 |  | — |  | 442 |  | 2,271 |  |
| Playpower, Inc., 12.50% PIK, 12/31/15                                                      | 18,458 |  | 1,713 |  | (20,551 | ) | 380 |  | — |  | 870 |  | 1,686 |  |
| Playpower Holdings, Inc., Series A Preferred, 14.00% PIK, 11/15/20                         | N/A |  | 51,773 |  | — |  | — |  | 51,773 |  | — |  | 3,303 |  |
| Playpower Holdings, Inc., Common Stock                                                     | 38,157 |  | — |  | — |  | 15,657 |  | 53,813 |  | — |  | — |  |
|                                                                                       | $ | 310,418 |  | $ | 533,668 |  | $ | (288,811 | ) | $ | 26,872 |  | $ | 582,147 |  | $ | (927 | ) | $ | 29,137 |  |

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|     |                                                                                                                                                                                                                             |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (6) | Aggregate gross unrealized gain for federal income tax purposes is $124,819; aggregate gross unrealized loss for federal income tax purposes is $154,176. Net unrealized loss is $29,357 based on a tax cost of $3,508,028. |

|     |                                                                                                                                                                                                                        |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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/letter of credit being valued below par. |

|     |                |
|-----|----------------|
| N/A | Not applicable |

|   |                                                                                                                                                                                                                            |
|---|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 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 2) |

|      |                                                                                                                                                                                                                                                                                            |
|------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| **** | 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 March 31, 2014 |
| Business Services                                           | 14.6% |
| Aviation                                                    | 12.2% |
| Oil and Gas                                                 | 11.8% |
| Financial Services                                          | 7.4% |
| Healthcare                                                  | 6.6% |
| Diversified Investment Vehicle                              | 5.5% |
| Distribution                                                | 4.9% |
| Chemicals                                                   | 4.2% |
| Diversified Service                                         | 3.7% |
| Insurance                                                   | 3.5% |
| Leisure                                                     | 3.1% |
| Environmental Services                                      | 2.5% |
| Transportation                                              | 2.1% |
| Mining                                                      | 1.8% |
| Containers, Packaging, and Glass                            | 1.6% |
| Telecommunications                                          | 1.5% |
| Energy                                                      | 1.3% |
| Media                                                       | 1.3% |
| Buildings and Real Estate                                   | 1.2% |
| Education                                                   | 1.1% |
| Restaurants                                                 | 1.0% |
| Diversified Natural Resources, Precious Metals and Minerals | 1.0% |
| Hotels, Motels, Inns and Gaming                             | 0.9% |
| Packaging                                                   | 0.9% |
| Broadcasting & Entertainment                            | 0.8% |
| Retail                                                      | 0.7% |
| Cargo Transport                                             | 0.6% |
| Auto Sector                                                 | 0.5% |
| Consumer Products                                           | 0.4% |
| Beverage, Food and Tobacco                                  | 0.3% |
| Home and Office Furnishings and Durable Consumer Products   | 0.3% |
| Aerospace and Defense                                       | 0.3% |
| Grocery                                                     | 0.2% |
| Electronics                                                 | 0.2% |
| Manufacturing                                               | —% |
| Total Investments                                           | 100.0% |

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

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

|     |                                                                                                                                                                                                                          |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | independent valuation firms are engaged by our board of directors to conduct independent appraisals by reviewing our investment adviser’s preliminary valuations and then making their own independent assessment; |

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

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

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|                                                                                                |
|------------------------------------------------------------------------------------------------|
|                                                                                                |  |  |  |  |  |  |  |
|                                                                                           | Three Months Ended June 30, |
|                                                                                           | 2014 |   | 2013 |
| Earnings per share — basicNumerator for increase in net assets per share:                | $ | 64,636 |  |   | $ | 18,804 |  |
| Denominator for basic weighted average shares:                                                 | 236,741,351 |  |   | 212,975,966 |  |
| Basic earnings per share:                                                                      | $ | 0.27 |  |   | $ | 0.09 |  |
| Earnings per share — diluted*Numerator for increase in net assets per share:             | $ | 64,636 |  |   | $ | 18,804 |  |
| Adjustment for interest on convertible notes and for incentive fees, net                       | 2,556 |  |   | 3,895 |  |
| Numerator for increase in net assets per share, as adjusted                                    | $ | 67,192 |  |   | $ | 22,699 |  |
| Denominator for weighted average shares, as adjusted for dilutive effect of convertible notes: | 251,289,451 |  |   | 227,524,066 |  |
| Diluted earnings per share:                                                                    | $ | 0.27 |  |   | $ | 0.09 |  |

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|                                            |
|--------------------------------------------|
|                                            |  |  |  |
|                                       | Fiscal Year End Three Months Ended June 30, 2013 |
| Net Operating Income (Loss)                |   |
| Apollo FDC(1)                              | $ | 1,559 |  |
| Apollo TXU(1)                              | 329 |  |
| Apollo Boots(1)                            | 8 |  |
| Other                                      | 10 |  |
| Total Operating Income                     | $ | 1,906 |  |
| Net Realized Gain (Loss)                   |   |
| Apollo FDC                                 | $ | 9,634 |  |
| Total Net Realized Gain (Loss)             | $ | 9,634 |  |
| Net Change in Unrealized Gain (Loss)       |   |
| Apollo FDC                                 | $ | (11,509 | ) |
| Apollo TXU                                 | (386 | ) |
| Total Net Change in Unrealized Gain (Loss) | $ | (11,895 | ) |
| Net Income (Loss)(2)                       |   |
| Apollo FDC                                 | $ | (316 | ) |
| Apollo TXU                                 | (57 | ) |
| Apollo Boots                               | 8 |  |
| Other                                      | 10 |  |
| Total Net Income (Loss)                    | $ | (355 | ) |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | 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. |

|     |                                                                                                           |
|-----|-----------------------------------------------------------------------------------------------------------|
| (2) | Net income is the sum of operating income, realized gain (loss) and net change in unrealized gain (loss). |

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|                                              |
|----------------------------------------------|
|                                              |  |  |  |  |  |  |  |
|                                         | June 30, 2014 (unaudited) |   | March 31, 2014 |
| Assets                                       |   |   |   |
| Cash                                         | $ | 1,720 |  |   | $ | 735 |  |
| Dividend receivable and other assets         | 20,623 |  |   | 18,850 |  |
| Aircraft held for lease, net of depreciation | 32,345 |  |   | 33,963 |  |
| Controlled aircraft interests                | 441,264 |  |   | 376,013 |  |
| Total assets                                 | $ | 495,952 |  |   | $ | 429,561 |  |
|                                         |   |   |   |
| Liabilities                                  |   |   |   |
| Notes payable                                | $ | 346,051 |  |   | $ | 295,190 |  |
| Interest payable and other liabilities       | 4,139 |  |   | 2,703 |  |
| Total liabilities                            | $ | 350,190 |  |   | $ | 297,893 |  |
|                                         |   |   |   |
| Member’s equity                        |   |   |   |
| Contributed equity                           | $ | 152,082 |  |   | $ | 138,582 |  |
| Accumulated deficit                          | (6,320 | ) |   | (6,914 | ) |
| Total member's equity                        | $ | 145,762 |  |   | $ | 131,668 |  |

|                                     |
|-------------------------------------|
|                                     |  |  |  |  |  |  |  |
|                                | Three Months Ended June 30, 2014 (unaudited) |   | Three Months Ended June 30, 2013 (unaudited) |
| Revenues                            |   |   |   |
| Lease rental revenue                | $ | 2,812 |  |   | $ | 1,555 |  |
| Dividend income and other income    | 9,678 |  |   | 2,617 |  |
| Total revenues                      | $ | 12,490 |  |   | $ | 4,172 |  |
|                                |   |   |   |
| Expenses                            |   |   |   |
| Interest expense and other expenses | $ | 10,272 |  |   | $ | 4,165 |  |
| Depreciation expense                | 1,617 |  |   | 1,215 |  |
| Total expenses                      | $ | 11,889 |  |   | $ | 5,380 |  |
|                                |   |   |   |
| Net gain (loss) before taxes        | $ | 601 |  |   | $ | (1,208 | ) |
| Net gain (loss) after taxes         | $ | 594 |  |   | $ | (1,208 | ) |

----

Table of Contents

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                          |   |   |   |   | Fair Value Measurement at Reporting Date Using: |
| Description                   | Cost |  | Fair Value |   | Quoted Prices inActive Marketsfor IdenticalAssets(Level 1) |   | SignificantOtherObservableInputs(Level 2) |   | SignificantUnobservableInputs(Level 3) |
| Secured Debt                  | $ | 2,135,295 |  |   | $ | 2,159,352 |  |   | $ | — |  |   | $ | 964,836 |  |   | $ | 1,194,516 |  |
| Unsecured Debt                | 763,203 |  |   | 790,392 |  |   | — |  |   | 370,348 |  |   | 420,044 |  |
| Structured Products and Other | 269,302 |  |   | 275,604 |  |   | — |  |   | — |  |   | 275,604 |  |
| Preferred Equity              | 125,796 |  |   | 103,624 |  |   | — |  |   | — |  |   | 103,624 |  |
| Common Equity/Interests       | 297,426 |  |   | 301,857 |  |   | — |  |   | 52 |  |   | 301,805 |  |
| Warrants                      | 9,012 |  |   | 13,879 |  |   | — |  |   | — |  |   | 13,879 |  |
| Total Investments             | $ | 3,600,034 |  |  | $ | 3,644,708 |  |   | $ | — |  |   | $ | 1,335,236 |  |   | $ | 2,309,472 |  |

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                          |   |   |   |   | Fair Value Measurement at Reporting Date Using: |
| Description                   | Cost |   | Fair Value |   | Quoted Prices inActive Marketsfor IdenticalAssets(Level 1) |   | SignificantOtherObservableInputs(Level 2) |   | SignificantUnobservableInputs(Level 3) |
| Secured Debt                  | $ | 1,919,871 |  |   | $ | 1,949,107 |  |   | $ | — |  |   | $ | 1,013,424 |  |   | $ | 935,683 |  |
| Unsecured Debt                | 912,453 |  |   | 941,728 |  |   | — |  |   | 526,649 |  |   | 415,079 |  |
| Structured Products and Other | 204,864 |  |   | 208,901 |  |   | — |  |   | — |  |   | 208,901 |  |
| Preferred Equity              | 115,020 |  |   | 93,062 |  |   | — |  |   | — |  |   | 93,062 |  |
| Common Equity/Interests       | 297,532 |  |   | 274,699 |  |   | — |  |   | — |  |   | 274,699 |  |
| Warrants                      | 9,012 |  |   | 11,174 |  |   | — |  |   | — |  |   | 11,174 |  |
| Total Investments             | $ | 3,458,752 |  |   | $ | 3,478,671 |  |   | $ | — |  |   | $ | 1,540,073 |  |   | $ | 1,938,598 |  |

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Table of Contents

|                                                                                                                                                                                                                                                                                                          |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                                                                                                                                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                                                                                                                                                                                                                                     | Fair Value Measurements Using Significant Unobservable Inputs (Level 3)* |
|                                                                                                                                                                                                                                                                                                     | Secured Debt (2) |   | UnsecuredDebt |   | StructuredProducts and Other |   | PreferredEquity |   | CommonEquity/Interests |   | Warrants |   | Total |
| Beginning Balance, March 31, 2014                                                                                                                                                                                                                                                                   | $ | 935,683 |  |   | $ | 415,079 |  |   | $ | 208,901 |  |   | $ | 93,062 |  |   | $ | 274,699 |  |   | $ | 11,174 |  |   | $ | 1,938,598 |  |
| Total realized gains (losses) included in earnings                                                                                                                                                                                                                                                       | 362 |  |   | (1,752 | ) |   | (107 | ) |   | — |  |   | (13,104 | ) |   | — |  |   | (14,601 | ) |
| Total change in unrealized gain (loss) included in earnings                                                                                                                                                                                                                                              | 1,434 |  |   | (404 | ) |   | 2,264 |  |   | (214 | ) |   | 27,212 |  |   | 2,705 |  |   | 32,997 |  |
| Net amortization on investments                                                                                                                                                                                                                                                                          | 1,229 |  |   | 364 |  |   | 54 |  |   | — |  |   | — |  |   | — |  |   | 1,647 |  |
| Purchases, including capitalized PIK                                                                                                                                                                                                                                                                     | 335,217 |  |   | 11,651 |  |   | 78,724 |  |   | 10,776 |  |   | 14,080 |  |   | — |  |   | 450,448 |  |
| Sales                                                                                                                                                                                                                                                                                                    | (66,564 | ) |   | (24,794 | ) |   | (14,232 | ) |   | — |  |   | (1,037 | ) |   | — |  |   | (106,627 | ) |
| Transfers out of Level 3 (1)                                                                                                                                                                                                                                                                             | (12,845 | ) |   | — |  |   | — |  |   | — |  |   | (45 | ) |   | — |  |   | (12,890 | ) |
| Transfers into Level 3 (1)                                                                                                                                                                                                                                                                               | — |  |   | 19,900 |  |   | — |  |   | — |  |   | — |  |   | — |  |   | 19,900 |  |
| Ending Balance, June 30, 2014                                                                                                                                                                                                                                                                       | $ | 1,194,516 |  |   | $ | 420,044 |  |   | $ | 275,604 |  |   | $ | 103,624 |  |   | $ | 301,805 |  |   | $ | 13,879 |  |   | $ | 2,309,472 |  |
| The amount of total gains or losses for the period included in earnings attributable to the change in unrealized gain (loss) relating to our Level 3 assets still held at the reporting date and reported within the net change in unrealized gain (loss) on investments in our Statement of Operations. | $ | 2,247 |  |   | $ | (1,903 | ) |   | $ | 3,275 |  |   | $ | (214 | ) |   | $ | 31,930 |  |   | $ | 2,705 |  |   | $ | 38,040 |  |

|     |                                                                                                                                                                                                                                                                                                                                                                                                          |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Transfers out of Level 3 are due to an increase in the availability of qualified observable inputs and transfers into Level 3 are due to a decrease in the availability of qualified observable inputs 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 and letters of credit measured at fair value of $(3,405). |

|   |                                                                                                                                    |
|---|------------------------------------------------------------------------------------------------------------------------------------|
| * | 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 |   | StructuredProducts and 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 or losses included in earnings                                                                                                                                                                                                                                                     | (23,089 | ) |   | (39,126 | ) |   | 7,966 |  |   | — |  |   | — |  |   | — |  |   | (54,249 | ) |
| Total change in unrealized gain (loss) included in earnings                                                                                                                                                                                                                                             | 17,302 |  |   | 36,239 |  |   | (16,992 | ) |   | 1,147 |  |   | 9,436 |  |   | (3,068 | ) |   | 44,064 |  |
| Net amortization on investments                                                                                                                                                                                                                                                                         | 719 |  |   | 645 |  |   | 55 |  |   | — |  |   | — |  |   | — |  |   | 1,419 |  |
| Purchases, including capitalized PIK                                                                                                                                                                                                                                                                    | 202,340 |  |   | 77,449 |  |   | 61,231 |  |   | 97 |  |   | 28,441 |  |   | 6,228 |  |   | 375,786 |  |
| Sales                                                                                                                                                                                                                                                                                                   | (179,175 | ) |   | (94,741 | ) |   | (17,165 | ) |   | — |  |   | (3,995 | ) |   | — |  |   | (295,076 | ) |
| Transfers out of Level 3 (1)                                                                                                                                                                                                                                                                            | (55,946 | ) |   | (120,703 | ) |   | (38,728 | ) |   | — |  |   | — |  |   | — |  |   | (215,377 | ) |
| Transfers into Level 3 (1)                                                                                                                                                                                                                                                                              | 68,531 |  |   | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | 68,531 |  |
| Ending Balance, June 30, 2013                                                                                                                                                                                                                                                                      | $ | 671,491 |  |   | $ | 490,810 |  |   | $ | 182,362 |  |   | $ | 12,794 |  |   | $ | 196,462 |  |   | $ | 12,433 |  |   | $ | 1,566,352 |  |
| The amount of total gains or losses for the period included in earnings attributable to the change in unrealized gain (loss) relating to our Level 3 assets still held at the reporting date and reported within the net change in unrealized gain (loss) on investments in our Statement of Operations | $ | (345 | ) |   | $ | (4,498 | ) |   | $ | (17,477 | ) |   | $ | 1,146 |  |   | $ | 6,776 |  |   | $ | (405 | ) |   | $ | (14,803 | ) |

|     |                                                                                                                                                                                                                                                                                                                                                                                                          |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Transfers out of Level 3 are due to an increase in the availability of qualified observable inputs and transfers into Level 3 are due to a decrease in the availability of qualified observable inputs 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

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |
|                          |   |   | Quantitative Information about Level 3 Fair Value  Measurements |
|                          | Fair Value as of June 30, 2014 |   | Valuation Techniques/Methodologies |   | UnobservableInput |   | Range | Weighted Average |
| Secured Debt                  | $ | 932,750 |  |   | Yield Analysis |   | Discount Rate |   | 8.7% | 25.0% | 12.8% |
|                          | 25,000 |  |   | Recent Transaction |   | Recent Transactions |   | N/A | N/A | N/A |
|                          | 236,767 |  |   | Broker Quoted |   | Broker Quote |   | N/A | N/A | N/A |
| Unsecured Debt                | 400,144 |  |   | Yield Analysis |   | Discount Rate |   | 9.8% | 18.4% | 11.1% |
|                          | 19,900 |  |   | Broker Quoted |   | Broker Quote |   | N/A | N/A | N/A |
| Structured Products and Other | 2,158 |  |   | Yield Analysis |   | Discount Rate |   | 15.0% | 15.0% | 15.0% |
|                          | 250,512 |  |   | Discounted Cash Flow |   | Discount Rate |   | 10.5% | 15.5% | 12.8% |
|                          | 22,934 |  |   | Broker Quoted |   | Broker Quote |   | N/A | N/A | N/A |
| Preferred Equity              | 72,064 |  |   | Market Comparable Approach |   | Comparable Multiple |   | 2.0x | 10.0x | 7.0x |
|                          | 31,560 |  |   | Yield Analysis |   | Discount Rate |   | 12.4% | 17.6% | 13.8% |
| Common Equity/Interests  | 134,111 |  |   | Market Comparable Approach |   | Comparable Multiple |   | 2.0x | 12.0x | 8.1x |
|                          | 161,731 |  |   | Yield Analysis |   | Discount Rate |   | 12.8% | 30.0% | 13.0% |
|                          | 5,830 |  |   | Other |   | Illiquidity/ Restrictive discount |   | 7.0% | 7.0% | 7.0% |
|                          | 133 |  |   | Recent Transaction |   | Recent Transaction |   | N/A | N/A | N/A |
| Warrants                      | 7,457 |  |   | Market Comparable Approach |   | Comparable Multiple |   | 5.0x | 7.4x | 6.2x |
|                          | 1,386 |  |   | Other |   | Illiquidity/ Restrictive discount |   | 20.0% | 20.0% | 20.0% |
|                          | 5,035 |  |   | Recent Transaction |   | Recent Transaction |   | N/A | N/A | N/A |
| Total                         | $ | 2,309,472 |  |   |   |   |   |   |   |   |   |

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Table of Contents

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |
|                          |   |   | Quantitative Information about Level 3 Fair Value  Measurements |
|                          | Fair Value as of March 31, 2014 |   | Valuation Techniques/Methodologies |   | UnobservableInput |   | Range | Weighted Average |
| Secured Debt                  | $ | 714,999 |  |   | Yield Analysis |   | Discount Rate |   | 8.2% | 27.3% | 13.2% |
|                          | 26,370 |  |   | Recent Transactions |   | Recent Transactions |   | N/A | N/A | N/A |
|                          | 194,313 |  |   | Broker Quoted |   | Broker Quote |   | N/A | N/A | N/A |
| Unsecured Debt                | 395,630 |  |   | Yield Analysis |   | Discount Rate |   | 9.3% | 45.0% | 11.7% |
|                          | 19,450 |  |   | Broker Quoted |   | Broker Quote |   | N/A | N/A | N/A |
| Structured Products and Other | 30,158 |  |   | Yield Analysis |   | Discount Rate |   | 11.6% | 15.0% | 12.3 |
|                          | 146,970 |  |   | Discounted Cash Flow |   | Discount Rate |   | 10.0% | 15.5% | 13.9% |
|                          | 1,097 |  |   | Recent Transactions |   | Recent Transactions |   | N/A | N/A | N/A |
|                          | 30,675 |  |   | Broker Quoted |   | Broker Quote |   | N/A | N/A | N/A |
| Preferred Equity              | 70,442 |  |   | Market Comparable Approach |   | Comparable Multiple |   | 2.0x | 10.0x | 7.1x |
|                          | 22,620 |  |   | Yield Analysis |   | Discount Rate |   | 12.3% | 12.3% | 12.3% |
| Common Equity/Interests  | 125,608 |  |   | Market Comparable Approach |   | Comparable Multiple |   | 2.0x | 12.0x | 8.1x |
|                          | 17 |  |   | Net Asset Value |   | Underlying Assets/Liabilities |   | N/A | N/A | N/A |
|                          | 142,117 |  |   | Yield Analysis |   | Discount Rate |   | 13.1% | 30.0% | 13.2% |
|                          | 6,958 |  |   | Other |   | Illiquidity/Restrictive discount |   | 7.0% | 7.0% | 7.0% |
| Warrants                      | 4,707 |  |   | Market Comparable Approach |   | Comparable Multiple |   | 5.3x | 6.0x | 6.0x |
|                          | 1,398 |  |   | Other |   | Illiquidity/ Restrictive discount |   | 20.0% | 20.0% | 20.0% |
|                          | 5,069 |  |   | Recent Transactions |   | Recent Transactions |   | N/A | N/A | N/A |
| Total                         | $ | 1,938,598 |  |   |   |   |   |   |   |   |   |

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Table of Contents

|                                     |
|-------------------------------------|
|                                     |  |  |  |  |  |  |
|                                | Three Months Ended, |
|                                | June 30, 2014 | June 30, 2013 |
| PIK balance at beginning of period  | $ | 58,185 |  | $ | 45,658 |  |
| Gross PIK income capitalized        | 11,545 |  | 12,098 |  |
| Adjustments due to investment exits | — |  | (26 | ) |
| PIK income received in cash         | — |  | (818 | ) |
| PIK balance at end of period        | $ | 69,730 |  | $ | 56,912 |  |

|                              |
|------------------------------|
|                              |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative Instruments  |   | Unrealized Gain/(Loss) |   | Realized Gain/(Loss) |   | Total Gain (Loss) |
| Interest rate swaps          |   | $ | 10,088 |  |   | $ | — |  |   | $ | 10,088 |  |
| Interest rate caps           |   | (3,233 | ) |   | — |  |   | (3,233 | ) |
| Total                        |   | $ | 6,855 |  |   | $ | — |  |   | $ | 6,855 |  |

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Table of Contents

|                  |
|------------------|
|                  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                  | As of June 30, 2014 |
| Foreign Currency | LocalCurrency |  | OriginalBorrowingCost |  | CurrentValue |  | Reset Date |  | UnrealizedLoss |
| British Pounds   | £ | 21,100 |  |  | $ | 33,722 |  |  | $ | 36,078 |  |  | 7/31/2014 |  | $ | (2,356 | ) |
| Euros            | € | 18,200 |  |  | 24,474 |  |  | 24,919 |  |  | 7/31/2014 |  | (445 | ) |
| Euros            | € | 9,500 |  |  | 12,680 |  |  | 13,007 |  |  | 7/28/2014 |  | (327 | ) |
| Canadian Dollars | CAD    34,100 |  |  | 31,766 |  |  | 32,014 |  |  | 7/28/2014 |  | (248 | ) |
|                  |  |  | $ | 102,642 |  |  | $ | 106,018 |  |  |  |  | $ | (3,376 | ) |

|                  |
|------------------|
|                  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|             | As of March 31, 2014 |
| Foreign Currency | LocalCurrency |   | OriginalBorrowingCost |   | CurrentValue |   | Reset Date |   | UnrealizedGain/(Loss) |
| British Pounds   | £ | 45,100 |  |   | $ | 72,078 |  |   | $ | 75,188 |  |   | 4/30/2014 |   | $ | (3,110 | ) |
| Euros            | € | 18,200 |  |   | 24,474 |  |   | 25,084 |  |   | 4/30/2014 |   | (610 | ) |
| Euros            | € | 9,500 |  |   | 12,680 |  |   | 13,093 |  |   | 4/24/2014 |   | (413 | ) |
| Canadian Dollars | CAD    34,100 |  |   | 31,766 |  |   | 30,895 |  |   | 4/24/2014 |   | 871 |  |
|             |   |   | $ | 140,998 |  |   | $ | 144,260 |  |   |   |   | $ | (3,262 | ) |

----

Table of Contents

|                                                                     |
|---------------------------------------------------------------------|
|                                                                     |  |  |  |  |  |  |  |
|                                                                | Three Months Ended June 30, 2014 (unaudited) |   | Fiscal Year Ended March 31, 2014 |
| Per Share Data:                                                     |   |   |   |
| Net asset value, beginning of period                                | $ | 8.67 |  |   | $ | 8.27 |  |
| Net investment income (1)                                           | 0.23 |  |   | 0.91 |  |
| Net realized and unrealized gain (loss)                             | 0.04 |  |   | 0.30 |  |
| Net increase in net assets resulting from operations (2)            | 0.27 |  |   | 1.20 |  |
| Dividends to stockholders from  income (3)                          | (0.20 | ) |   | (0.80 | ) |
| Dividends to stockholders from return of capital (3)                | — |  |   | — |  |
| Effect of dilution                                                  | — |  |   | — |  |
| Offering costs (4)                                                  | — |  |   | — |  |
| Net asset value at end of period                                    | $ | 8.74 |  |   | $ | 8.67 |  |
| Per share market value at end of period                             | $ | 8.61 |  |   | $ | 8.31 |  |
| Total return (5)                                                    | 6.0 | % |   | 9.4 | % |
| Shares outstanding at end of period                                 | 236,741,351 |  |   | 236,741,351 |  |
| Ratio/Supplemental Data:                                            |   |   |   |
| Net assets at end of period (in millions)                           | $ | 2,068.9 |  |   | $ | 2,051.6 |  |
| Ratio of net investment income to average net assets (7)            | 10.43 | % |   | 10.85 | % |
| Ratio of operating expenses to average net assets (6) (7)           | 5.87 | % |   | 6.01 | % |
| Ratio of interest and other debt expenses to average net assets (7) | 3.68 | % |   | 3.70 | % |
| Ratio of net expenses to average net assets (6) (7)                 | 9.55 | % |   | 9.71 | % |
| Average debt outstanding                                            | $ | 1,552,268 |  |   | $ | 1,238,940 |  |
| Average debt per share                                              | $ | 6.56 |  |   | $ | 5.56 |  |
| Portfolio turnover ratio (7)                                        | 58.2 | % |   | 75.9 | % |

|     |                                                                            |
|-----|----------------------------------------------------------------------------|
| (1) | Per share net investment income is based on the average shares outstanding |

|     |                                                                                                                            |
|-----|----------------------------------------------------------------------------------------------------------------------------|
| (2) | For fiscal year ended March 31, 2014, the net increase in net assets resulting from operations represents rounded numbers. |

|     |                                                                                                                                                                                                                                                                                   |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | Dividends and distributions are determined based on taxable income calculated in accordance with income tax regulations which may differ from amounts determined under GAAP. Per share amounts reflect total dividends paid divided by average shares for the respective periods. |

|     |                                                                                                                                                            |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (4) | Offering costs per share represent less than one cent per average share for the three months ended June 30, 2014 and fiscal year ended March 31, 2014. |

|     |                                                                                                                                                                                                                                                      |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (5) | Total return is based on the change in market price per share during the respective periods. Total return also takes into account dividends and distributions, if any, reinvested in accordance with the Company’s dividend reinvestment plan. |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (6) | The ratio of operating expenses to average net assets and the ratio of total expenses to average net assets are shown inclusive of all voluntary management and incentive fee waivers (see note 3). For the three months ended June 30, 2014, the ratio of operating expenses to average net assets and the ratio of total expenses to average net assets would be 6.68% and 10.35%, respectively, without the voluntary fee waivers. For the fiscal year ended March 31, 2014, the ratio of operating expenses to average net assets and the ratio of total expenses to average net assets would be 6.66% and 10.36%, respectively, without the voluntary fee waivers. |

|     |            |
|-----|------------|
| (7) | Annualized |

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Table of Contents

|                                     |
|-------------------------------------|
|                                     |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Class and Year                      | Total AmountOutstanding(1) |   | AssetCoveragePer Unit(2) |   | InvoluntaryLiquidatingPreferencePer Unit(3) |   | EstimatedMarket Value |   |
| Senior Secured Facility             |   |   |   |   |   |   |   |   |
| Fiscal 2015 (through June 30, 2014) | $ | 801,018 |  |   | $ | 1,181 |  |   | — |  |   | $ | 800,215 |  | (4) |
| Fiscal 2014                         | 602,261 |  |  | 1,095 |  |  | — |  |  | 602,983 |  | (4) |
| 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 2015 (through June 30, 2014) | $ | 270,000 |  |   | $ | 399 |  |   | — |  |   | $ | 277,054 |  | (4) |
| Fiscal 2014                         | 270,000 |  |   | 491 |  |   | — |  |   | 280,067 |  | (4) |
| 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 2015 (through June 30, 2014) | $ | 150,000 |  |   | $ | 221 |  |   | — |  |   | $ | 147,480 |  | (5) |
| Fiscal 2014                         | 150,000 |  |   | 273 |  |   | — |  |   | 145,680 |  | (5) |
| 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 2015 (through June 30, 2014) | $ | 150,000 |  |   | $ | 221 |  |   | — |  |   | $ | 132,570 |  | (5) |
| Fiscal 2014                         | 150,000 |  |   | 273 |  |   | — |  |   | 128,250 |  | (5) |
| Fiscal 2013                         | — |  |   | — |  |   | — |  |   | N/A |  |   |

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|                                     |
|-------------------------------------|
|                                     |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Class and Year                      | Total AmountOutstanding(1) |   | AssetCoveragePer Unit(2) |   | InvoluntaryLiquidatingPreferencePer Unit(3) |   | EstimatedMarket Value |   |
| 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 |  |   |
| Convertible Notes                   |  |  |  |  |  |  |  |  |  |  |  |   |
| Fiscal 2015 (through June 30, 2014) | $ | 200,000 |  |  | $ | 295 |  |  | — |  |  | $ | 209,900 |  | (5) |
| Fiscal 2014                         | 200,000 |  |  | 364 |  |  | — |  |  | 212,734 |  | (5) |
| 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 |  |   |
| Total Debt Securities               |   |   |   |   |   |   |   |   |
| Fiscal 2015 (through June 30, 2014) | $ | 1,571,018 |  |   | $ | 2,317 |  |   | $ | — |  |   | $ | 1,567,219 |  |   |
| Fiscal 2014                         | 1,372,261 |  |   | 2,496 |  |   | — |  |   | 1,369,714 |  |   |
| Fiscal 2013                         | 1,156,067 |  |   | 2,451 |  |   | — |  |   | 1,194,190 |  |   |
| Fiscal 2012                         | 1,009,337 |  |   | 2,670 |  |   | — |  |   | N/A |  |   |
| Fiscal 2011                         | 1,053,443 |  |   | 2,862 |  |   | — |  |   | 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 |  |   |

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

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | The asset coverage ratio for a class of senior securities representing indebtedness is calculated as our consolidated total assets, less all liabilities and indebtedness not represented by senior securities, divided by senior securities representing indebtedness. This asset coverage ratio is multiplied by one thousand 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 fair value of these debt obligations are categorized as Level 3 under ASC 820 as of June 30, 2014 and March 31, 2014. The valuation is based on a yield analysis and discount rate commensurate with the market yields for similar types of debt. |

|     |                                                                                                                                                                                                                             |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (5) | The fair value of these debt obligations are categorized as Level 1 under ASC 820 as of June 30, 2014 and March 31, 2014. The valuation is based on quoted prices of identical liabilities in active markets. |

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|                                 |
|---------------------------------|
|                                 |  |  |  |  |  |  |  |  |  |  |  |
|                            | June 30, 2014 |
|                            | Date Issued /Amended |   | Total AggregatePrincipalAmountCommitted |   | Principal AmountOutstanding |   | FinalMaturityDate |
| Senior Secured Facility         | 2013 |   | $ | 1,270,000 |  |   | $ | 801,018 |  |   | 8/31/2018 |
| Senior Secured Notes            | 2010 |   | 225,000 |  |   | 225,000 |  |   | 10/4/2015 |
| Senior Secured Notes (Series A) | 2011 |   | 29,000 |  |   | 29,000 |  |   | 9/26/2016 |
| Senior Secured Notes (Series B) | 2011 |   | 16,000 |  |   | 16,000 |  |   | 9/29/2018 |
| 2042 Notes                      | 2012 |   | 150,000 |  |   | 150,000 |  |   | 10/15/2042 |
| 2043 Notes                      | 2013 |   | 150,000 |  |   | 150,000 |  |   | 7/15/2043 |
| Convertible Notes               | 2011 |   | 200,000 |  |   | 200,000 |  |   | 1/15/2016 |
| Total Debt Obligations          |   |   | $ | 2,040,000 |  |   | $ | 1,571,018 |  |   |   |

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|                                                                                                             |
|-------------------------------------------------------------------------------------------------------------|
|                                                                                                             |  |  |  |  |  |  |
|                                                                                                        | Three Months Ended June 30, 2014 | Three Months Ended June 30, 2013 |
| Average outstanding debt balance                                                                            | $ | 1,552,268 |  | $ | 1,181,527 |  |
| Maximum amount of debt outstanding                                                                          | 1,685,389 |  | 1,353,063 |  |
|                                                                                                        |  |  |  |  |
| Weighted average annualized interest cost, including commitment fees, but excluding debt issuance costs (1) | 4.44 | % | 4.75 | % |
| Annualized amortized debt issuance cost                                                                     | 0.43 | % | 0.62 | % |
| Total annualized interest cost                                                                              | 4.87 | % | 5.37 | % |

|     |                                                                                                                                    |
|-----|------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Commitment fees for the three months ended June 30, 2014 and June 30, 2013  were $441 and $583, respectively. |

|                                                                                                                           |
|---------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                           |  |  |  |  |  |  |  |
|                                                                                                                      | As of June 30, 2014 |   | As of March 31, 2014 |
| Unfunded revolver obligations and bridge loans commitments (1) (2)                                                        | $ | 373,407 |  |   | $ | 408,554 |  |
| Unfunded delayed draw commitments on senior loans to portfolio companies                                                  | 128,448 |  |   | 138,680 |  |
| Unfunded delayed draw commitments on senior loans to portfolio companies (performance thresholds not met) (3)             | 48,591 |  |   | 48,923 |  |
| Standby letters of credit issued for certain portfolio companies for which the Company and portfolio companies are liable | 26,295 |  |   | 16,379 |  |

|     |                                                                                                                                                                                                             |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Included in this amount is $65,916 and $114,066 of the unfunded revolver commitment for Merx Aviation Finance Holdings II, LLC. as of June 30, 2014 and March 31, 2014, respectively. |

|     |                                                                                                                                                                                                                                                                                                                             |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | The unfunded revolver obligations may or may not be funded to the borrowing party in the future. The amounts relate to loans with various maturity dates, but the entire amount was eligible for funding to the borrowers as of June 30, 2014, subject to the terms of each loan’s respective credit agreements. |

|     |                                                                                                                                                                                                    |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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 June 30, 2014. |

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|         |                               |
|---------|-------------------------------|
| • | our future operating results; |

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

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

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

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

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

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

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

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

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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)                                 |   | Three Months Ended June 30, 2014 |   | Three Months Ended June 30, 2013 |
| Investment made in portfolio companies (1)            |   | $ | 650 |  |   | $ | 788 |  |
| Investments sold                                      |   | (397 | ) |   | (105 | ) |
| Net activity before repaid investments                |   | 253 |  |   | 683 |  |
| Investments repaid (2)                                |   | (120 | ) |   | (475 | ) |
| Net investment activity           |   | $ | 133 |  |   | $ | 208 |  |
|                                                  |   |   |   |   |
| Portfolio companies, at beginning of period           |   | 111 |  |   | 81 |  |
| Number of new portfolio companies                     |   | 25 |  |   | 23 |  |
| Number of exited companies                            |   | (19 | ) |   | (10 | ) |
| Portfolio companies, at end of period                 |   | 117 |  |   | 94 |  |
|                                                  |   |   |   |   |
| Number of investments in existing portfolio companies |   | 24 |  |   | 23 |  |

|     |                                                                                                  |
|-----|--------------------------------------------------------------------------------------------------|
| (1) | Investments were primarily made through a combination of primary and secondary debt investments. |

|     |                                                                                                                                                                                           |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Investments repaid includes prepayments of $6.1 million and $7.8 million during the three months ended June 30, 2014  and three months ended June 30, 2013, respectively. |

|                                                                                                    |
|----------------------------------------------------------------------------------------------------|
|                                                                                                    |  |  |  |  |  |  |  |  |
|                                                                                               |   | June 30, 2014 |   | March 31, 2014 |
| Portfolio composition, measured at fair value:                                                     |   |   |   |   |
| Secured debt                                                                                       |   | 59% |  |   | 56% |  |
| Unsecured debt                                                                                     |   | 22% |  |   | 27% |  |
| Structured products and other (1)                                                                  |   | 8% |  |   | 6% |  |
| Common equity, preferred equity and warrants                                                       |   | 11% |  |   | 11% |  |
| Weighted average yields, at current cost basis, exclusive of securities on non-accrual status (2): |   |   |   |   |
| Secured debt portfolio                                                                             |   | 10.9% |  |   | 10.8% |  |
| Unsecured debt portfolio                                                                           |   | 11.5% |  |   | 11.5% |  |
| Total debt portfolio                                                                               |   | 11.1% |  |   | 11.1% |  |
| Income-bearing investment portfolio composition, measured at fair value:                           |   |   |   |   |
| Fixed rate amount                                                                                  |   | $ | 1.7 |  billion |   | $ | 1.7 |  billion |
| Floating rate amount                                                                               |   | $ | 1.5 |  billion |   | $ | 1.3 |  billion |
| Fixed rate %                                                                                       |   | 53% |  |   | 58% |  |
| Floating rate %                                                                                    |   | 47% |  |   | 42% |  |
| Income-bearing investment portfolio composition, measured at cost:                                 |   |   |   |   |
| Fixed rate amount                                                                                  |   | $ | 1.7 |  billion |   | $ | 1.7 |  billion |
| Floating rate amount                                                                               |   | $ | 1.5 |  billion |   | $ | 1.2 |  billion |
| Fixed rate %                                                                                       |   | 53% |  |   | 58% |  |
| Floating rate %                                                                                    |   | 47% |  |   | 42% |  |

|     |                                                                                                                                                                                                                                                                                                             |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Structured products and other such as collateralized loan obligations (“CLOs”) and credit-linked notes (“CLNs”) are typically a form of securitization in which the cash flows of a portfolio of loans are pooled and passed on to different classes of owners in various tranches. |

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|     |                                                                                                  |
|-----|--------------------------------------------------------------------------------------------------|
| (2) | An investor's yield may be lower than the portfolio yield due to sales loads and other expenses. |

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|                                                                                                                |
|----------------------------------------------------------------------------------------------------------------|
|                                                                                                                |  |  |  |  |  |  |  |
| (in thousands)                                                                                                 | Three Months Ended June 30, 2014 |   | Three Months Ended June 30, 2013 |
| Investment income                                                                                              |   |   |   |
| Interest                                                                                                       | $ | 93,623 |  |   | $ | 81,174 |  |
| Dividends                                                                                                      | 6,595 |  |   | 10,985 |  |
| Other                                                                                                          | 2,362 |  |   | 4,514 |  |
| Total investment income                                                                                        | $ | 102,580 |  |   | $ | 96,673 |  |
| Expenses                                                                                                       |   |   |   |
| Base management fees and performance-based incentive fees, net of amounts waived                               | $ | (26,426 | ) |   | $ | (25,232 | ) |
| Interest and other debt expenses, net of expense reimbursements                                                | (18,882 | ) |   | (15,845 | ) |
| Administrative services expenses                                                                               | (1,433 | ) |   | (1,097 | ) |
| Other general and administrative expenses                                                                      | (2,288 | ) |   | (2,132 | ) |
| Net expenses                                                                                                   | (49,029 | ) |   | (44,306 | ) |
| Net investment income                                                                                          | $ | 53,551 |  |   | $ | 52,367 |  |
| Realized and unrealized gain (loss) on investments, cash equivalents, derivatives and foreign currencies       |   |   |   |
| Net realized loss                                                                                              | $ | (13,333 | ) |   | $ | (95,934 | ) |
| Net change in unrealized gain                                                                                  | 24,418 |  |   | 62,371 |  |
| Net realized and unrealized gain (loss) from investments, cash equivalents, derivatives and foreign currencies | 11,085 |  |   | (33,563 | ) |
| Net increase (decrease) in net assets resulting from operations                                                | $ | 64,636 |  |   | $ | 18,804 |  |
|                                                                                                           |   |   |   |
| Net investment income per share on per average share basis                                                     | $ | 0.23 |  |   | $ | 0.25 |  |
| Earnings per share - basic                                                                                     | $ | 0.27 |  |   | $ | 0.09 |  |
| Earnings per share - diluted                                                                                   | $ | 0.27 |  |   | $ | 0.09 |  |

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|                                 |
|---------------------------------|
|                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                            | Payments due by Period as of June 30, 2014 (in millions) |
|                            | Total |   | Less than1 year |   | 1-3 years |   | 3-5 years |   | More than5 years |
| Senior Secured Facility (1)     | $ | 801 |  |   | $ | — |  |   | $ | — |  |   | $ | 801 |  |   | $ | — |  |
| 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 June 30, 2014, there was $25.2 million of letters of credit issued under the Senior Secured Facility that are not recorded as liabilities on the Company's Statement of Assets and Liabilities, and the Company had  $443.7 million of unused capacity under its Senior Secured Facility. |

|                                                                                                                           |
|---------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                           |  |  |  |  |  |  |  |
| (in millions)                                                                                                             | As of June 30, 2014 |   | As of March 31, 2014 |
| Unfunded revolver obligations and bridge loans commitments (1) (2)                                                        | $ | 373 |  |   | $ | 409 |  |
| Unfunded delayed draw commitments on senior loans to portfolio companies                                                  | 128 |  |   | 139 |  |
| Unfunded delayed draw commitments on senior loans to portfolio companies (performance thresholds not met) (3)             | 49 |  |   | 49 |  |
| Standby letters of credit issued for certain portfolio companies for which the Company and portfolio companies are liable | 26 |  |   | 16 |  |

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|     |                                                                                                                                                                                                         |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Included in this amount is $65.9 and $114.1 of the unfunded revolver commitment for Merx Aviation Finance Holdings II, LLC. as of June 30, 2014 and March 31, 2014, respectively. |

|     |                                                                                                                                                                                                                                                                                                                             |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | The unfunded revolver obligations may or may not be funded to the borrowing party in the future. The amounts relate to loans with various maturity dates, but the entire amount was eligible for funding to the borrowers as of June 30, 2014, subject to the terms of each loan’s respective credit agreements. |

|     |                                                                                                                                                                                                    |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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 June 30, 2014. |

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|                                            |
|--------------------------------------------|
|                                            |  |  |  |
|                                       | Three Months Ended June 30, 2013 |
| Net Operating Income (Loss)                |   |
| Apollo FDC(1)                              | $ | 1,559 |  |
| Apollo TXU(1)                              | 329 |  |
| Apollo Boots(1)                            | 8 |  |
| Other                                      | 10 |  |
| Total Operating Income                     | $ | 1,906 |  |
| Net Realized Gain (Loss)                   |   |
| Apollo FDC                                 | $ | 9,634 |  |
| Apollo TXU                                 | — |  |
| Apollo Boots                               | — |  |
| Total Net Realized Gain (Loss)             | $ | 9,634 |  |
| Net Change in Unrealized Gain (Loss)       |   |
| Apollo FDC                                 | $ | (11,509 | ) |
| Apollo TXU                                 | (386 | ) |
| Apollo Boots                               | — |  |
| Total Net Change in Unrealized Gain (Loss) | $ | (11,895 | ) |
| Net Income (Loss)(2)                       |   |
| Apollo FDC                                 | $ | (316 | ) |
| Apollo TXU                                 | (57 | ) |
| Apollo Boots                               | 8 |  |
| Other                                      | 10 |  |
| Total Net Income (Loss)                    | $ | (355 | ) |

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | 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. |

|     |                                                                                                           |
|-----|-----------------------------------------------------------------------------------------------------------|
| (2) | Net income is the sum of operating income, realized gain (loss) and net change in unrealized gain (loss). |

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|                                                        |
|--------------------------------------------------------|
|                                                        |  |  |  |  |  |  |  |
| (in thousands except per share data)Basis Point Change | Net Investment  Income |   | Net Investment  Income per Share |
| Up 400 basis points                                    | $ | 11,248 |  |   | $ | 0.048 |  |
| Up 300 basis points                                    | $ | 5,673 |  |   | $ | 0.024 |  |
| Up 200 basis points                                    | $ | (12 | ) |   | $ | 0.000 |  |
| Up 100 basis points                                    | $ | (3,639 | ) |   | $ | (0.015 | ) |

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Table of Contents

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Table of Contents

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

|        |
|--------|
|        |  |  |
|   | 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 |