##### Table of Contents





UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549





FORM 10-Q







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

FOR THE QUARTER ENDED SEPTEMBER 30, 2010



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

COMMISSION FILE NUMBER: 814-00646





APOLLO
INVESTMENT CORPORATION

(Exact name of registrant as specified in its charter)







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

(212)
515-3450

(Registrants telephone number, including area code)





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

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

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



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

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

The number of shares of the registrants Common Stock, $.001 par value, outstanding as of November 4, 2010 was 195,044,683.









---

##### Table of Contents



APOLLO INVESTMENT CORPORATION

FORM 10-Q

FOR THE QUARTER ENDED SEPTEMBER 30, 2010

TABLE OF CONTENTS



|         |  |                                                                                                                   |  |      |    | 
|-------- |  | ----------------------------------------------------------------------------------------------------------------- |  | ---- | -- | 
|         |  |                                                                                                                   |  | Page |   
|         |  | PART I. FINANCIAL INFORMATION                                                                                     |  |      |    | 
|         |  |                                                                                                                  
|Item 1.  |  | Financial Statements                                                                                              |  |      | 3  | 
|         |  |                                                                                                                  
|         |  | Statements of Assets and Liabilities as of September 30, 2010 and March 31, 2010                                  |  |      | 3  | 
|         |  |                                                                                                                  
|         |  | Statements of Operations for the three and six months ended September 30, 2010 and September 
30, 2009            |  |      | 4  | 
|         |  |                                                                                                                  
|         |  | Statements of Changes in Net Assets for the six months ended September 30, 2010 and the year ended March 31,
2010 |  |      | 5  | 
|         |  |                                                                                                                  
|         |  | Statements of Cash Flows for the six months ended September 30, 2010 and
September 30, 2009                       |  |      | 6  | 
|         |  |                                                                                                                  
|         |  | Schedule of Investments as of September 30, 2010                                                                  |  |      | 7  | 
|         |  |                                                                                                                  
|         |  | Schedule of Investments as of March 31, 2010                                                                      |  |      | 17 | 
|         |  |                                                                                                                  
|         |  | Notes to Financial Statements                                                                                     |  |      | 27 | 
|         |  |                                                                                                                  
|         |  | Report of Independent Registered Public Accounting Firm                                                           |  |      | 43 | 
|         |  |                                                                                                                  
|Item 2.  |  | Managements Discussion and Analysis of Financial Condition and Results of
Operations                             |  |      | 44 | 
|         |  |                                                                                                                  
|Item 3.  |  | Quantitative and Qualitative Disclosures About Market Risk                                                        |  |      | 54 | 
|         |  |                                                                                                                  
|Item 4.  |  | Controls and Procedures                                                                                           |  |      | 55 | 
|         |  |                                                                                                                  
|         |  | PART 
II. OTHER INFORMATION                                                                                       |  |      |    | 
|         |  |                                                                                                                  
|Item 1.  |  | Legal Proceedings                                                                                                 |  |      | 56 | 
|         |  |                                                                                                                  
|Item 1A. |  | Risk Factors                                                                                                      |  |      | 56 | 
|         |  |                                                                                                                  
|Item 2.  |  | Unregistered Sales of Equity Securities and Use of Proceeds                                                       |  |      | 56 | 
|         |  |                                                                                                                  
|Item 3.  |  | Defaults upon Senior Securities                                                                                   |  |      | 56 | 
|         |  |                                                                                                                  
|Item 5.  |  | Other Information                                                                                                 |  |      | 56 | 
|         |  |                                                                                                                  
|Item 6.  |  | Exhibits                                                                                                          |  |      | 57 | 
|         |  |                                                                                                                  
|         |  | Signatures                                                                                                        |  |      | 58 | 



2



---

##### Table of Contents



PART I. FINANCIAL INFORMATION

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

Item 1. Financial Statements

APOLLO INVESTMENT CORPORATION

STATEMENTS OF ASSETS AND LIABILITIES

(in thousands, except per share
amounts)



|                                                                                                                                                                  |  |                               |           |   |                |   |           |  
|----------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ----------------------------- | --------- | - | -------------- | - | --------- | -
|                                                                                                                                                                  |  | September 30, 2010(unaudited) |           |   | March 31, 2010 |  
|Assets                                                                                                                                                            |  |                               |           |   |                |   |           |  
|Non-controlled/non-affiliated investments, at value (cost$2,896,423 and $2,782,880, respectively)                                                                |  | $                             | 2,774,955 |   |                | $ | 2,677,893 |  
|Non-controlled/affiliated investments, at value (cost$103,178 and $102,135, respectively)                                                                        |  |                               | 102,771   |   |                |   | 83,136    |  
|Controlled investments, at value (cost$359,290 and $357,590, respectively)                                                                                       |  |                               | 74,244    |   |                |   | 92,551    |  
|Cash equivalents, at value (cost$0 and $449,852, respectively)                                                                                                   |  |                               |          |   |                |   | 449,828   |  
|Cash                                                                                                                                                              |  |                               | 26,005    |   |                |   | 7,040     |  
|Foreign currency (cost$1,695 and $30,705, respectively)                                                                                                          |  |                               | 1,699     |   |                |   | 30,717    |  
|Receivable for investments sold                                                                                                                                   |  |                               |          |   |                |   | 49,643    |  
|Interest receivable                                                                                                                                               |  |                               | 48,366    |   |                |   | 43,139    |  
|Dividends receivable                                                                                                                                              |  |                               | 6,044     |   |                |   | 5,700     |  
|Miscellaneous income receivable                                                                                                                                   |  |                               | 939       |   |                |   | 788       |  
|Receivable from investment adviser                                                                                                                                |  |                               |          |   |                |   | 611       |  
|Prepaid expenses and other assets                                                                                                                                 |  |                               | 19,611    |   |                |   | 24,070    |  
|                                                                                                                                                                  |  |                               |           |   |                |   |           |  
|Total assets                                                                                                                                                      |  | $                             | 3,054,634 |   |                | $ | 3,465,116 |  
|                                                                                                                                                                  |  |                               |           |   |                |   |           |  
|Liabilities                                                                                                                                                       |  |                               |           |   |                |   |           |  
|Credit facility payable (see note 7 & 12)                                                                                                                         |  | $                             | 1,093,419 |   |                | $ | 1,060,616 |  
|Payable for investments and cash equivalents purchased                                                                                                            |  |                               | 13,012    |   |                |   | 549,009   |  
|Dividends payable                                                                                                                                                 |  |                               | 54,449    |   |                |   | 49,340    |  
|Management and performance-based incentive fees payable (see note 3)                                                                                              |  |                               | 27,575    |   |                |   | 26,363    |  
|Interest payable                                                                                                                                                  |  |                               | 1,972     |   |                |   | 2,132     |  
|Accrued administrative expenses                                                                                                                                   |  |                               | 616       |   |                |   | 1,722     |  
|Other liabilities and accrued expenses                                                                                                                            |  |                               | 1,277     |   |                |   | 3,128     |  
|                                                                                                                                                                  |  |                               |           |   |                |   |           |  
|Total liabilities                                                                                                                                                 |  | $                             | 1,192,320 |   |                | $ | 1,692,310 |  
|                                                                                                                                                                  |  |                               |           |   |                |   |           |  
|Net Assets                                                                                                                                                        |  |                               |           |   |                |   |           |  
|Common stock, par value $.001 per share, 400,000 and 400,000 common shares authorized, respectively, and 194,460 and 176,214
issued and outstanding, respectively |  | $                             | 194       |   |                | $ | 176       |  
|Paid-in capital in excess of par (see note 2f)                                                                                                                    |  |                               | 2,860,047 |   |                |   | 2,645,687 |  
|Undistributed net investment income (see note 2f)                                                                                                                 |  |                               | 87,161    |   |                |   | 104,878   |  
|Accumulated net realized loss (see note 2f)                                                                                                                       |  |                               | (668,781  | ) |                |   | (583,270  | )
|Net unrealized depreciation                                                                                                                                       |  |                               | (416,307  | ) |                |   | (394,665  | )
|                                                                                                                                                                  |  |                               |           |   |                |   |           |  
|Total net assets                                                                                                                                                  |  | $                             | 1,862,314 |   |                | $ | 1,772,806 |  
|                                                                                                                                                                  |  |                               |           |   |                |   |           |  
|Total liabilities and net assets                                                                                                                                  |  | $                             | 3,054,634 |   |                | $ | 3,465,116 |  
|                                                                                                                                                                  |  |                               |           |   |                |   |           |  
|Net Asset Value Per Share                                                                                                                                         |  | $                             | 9.58      |   |                | $ | 10.06     |  
|                                                                                                                                                                  |  |                               |           |   |                |   |           |  

See notes to financial statements.



3



---

##### Table of Contents



APOLLO INVESTMENT CORPORATION

STATEMENTS OF OPERATIONS (unaudited)

(in thousands, except per share
amounts)



|                                                                                                  |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|------------------------------------------------------------------------------------------------- |  | ------------------------------- | ------- | - | ----------------------------- | - | ------- | ---- |  | - | -------- | - |  | - | -------- | -
|                                                                                                  |  | Three months endedSeptember 30, |         |   | Six months endedSeptember 30, |  
|                                                                                                  |  | 2010                            |         |   | 2009                          |   |         | 2010 |  |   | 2009     |  
|INVESTMENT INCOME:                                                                                |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|From non-controlled/non-affiliated investments:                                                   |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|Interest                                                                                          |  | $                               | 76,841  |   |                               | $ | 71,875  |      |  | $ | 149,346  |   |  | $ | 147,172  |  
|Dividends                                                                                         |  |                                 | 1,800   |   |                               |   | 3,584   |      |  |   | 2,720    |   |  |   | 6,820    |  
|Other income                                                                                      |  |                                 | 3,639   |   |                               |   | 482     |      |  |   | 5,308    |   |  |   | 1,751    |  
|From non-controlled/affiliated investments:                                                       |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|Interest                                                                                          |  |                                 | 3,188   |   |                               |   |        |      |  |   | 6,342    |   |  |   |         |  
|From controlled investments:                                                                      |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|Dividends                                                                                         |  |                                 | 6,031   |   |                               |   | 8,462   |      |  |   | 6,031    |   |  |   | 11,221   |  
|                                                                                                  |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|Total Investment Income                                                                           |  |                                 | 91,499  |   |                               |   | 84,403  |      |  |   | 169,747  |   |  |   | 166,964  |  
|                                                                                                  |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|EXPENSES:                                                                                         |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|Management fees (see note 3)                                                                      |  | $                               | 15,030  |   |                               | $ | 13,214  |      |  | $ | 29,584   |   |  | $ | 25,936   |  
|Performance-based incentive fees (see note 3)                                                     |  |                                 | 12,545  |   |                               |   | 12,848  |      |  |   | 22,752   |   |  |   | 25,180   |  
|Interest and other credit facility expenses                                                       |  |                                 | 10,752  |   |                               |   | 4,409   |      |  |   | 20,646   |   |  |   | 9,477    |  
|Administrative services expense                                                                   |  |                                 | 1,412   |   |                               |   | 1,198   |      |  |   | 2,808    |   |  |   | 2,507    |  
|Other general and administrative expenses                                                         |  |                                 | 1,578   |   |                               |   | 1,344   |      |  |   | 2,948    |   |  |   | 3,144    |  
|                                                                                                  |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|Total expenses                                                                                    |  |                                 | 41,317  |   |                               |   | 33,013  |      |  |   | 78,738   |   |  |   | 66,244   |  
|                                                                                                  |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|Net investment income                                                                             |  | $                               | 50,182  |   |                               | $ | 51,390  |      |  | $ | 91,009   |   |  | $ | 100,720  |  
|                                                                                                  |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, CASH EQUIVALENTS AND FOREIGN CURRENCIES:      |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|Net realized gain (loss):                                                                         |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|Investments and cash equivalents                                                                  |  | $                               | (87,907 | ) |                               | $ | (3,321  | )    |  | $ | (87,127  | ) |  | $ | (101,399 | )
|Foreign currencies                                                                                |  |                                 | (1,471  | ) |                               |   | 224     |      |  |   | 1,616    |   |  |   | 67       |  
|                                                                                                  |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|Net realized loss                                                                                 |  |                                 | (89,378 | ) |                               |   | (3,097  | )    |  |   | (85,511  | ) |  |   | (101,332 | )
|                                                                                                  |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|Net change in unrealized gain (loss):                                                             |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|Investments and cash equivalents                                                                  |  |                                 | 120,011 |   |                               |   | 69,386  |      |  |   | (17,948  | ) |  |   | 221,221  |  
|Foreign currencies                                                                                |  |                                 | (12,649 | ) |                               |   | (8,523  | )    |  |   | (3,694   | ) |  |   | (26,978  | )
|                                                                                                  |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|Net change in unrealized gain (loss)                                                              |  |                                 | 107,362 |   |                               |   | 60,863  |      |  |   | (21,642  | ) |  |   | 194,243  |  
|                                                                                                  |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|Net realized and unrealized gain (loss) from investments, cash equivalents and foreign currencies |  |                                 | 17,984  |   |                               |   | 57,766  |      |  |   | (107,153 | ) |  |   | 92,911   |  
|                                                                                                  |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS                                   |  | $                               | 68,166  |   |                               | $ | 109,156 |      |  | $ | (16,144  | ) |  | $ | 193,631  |  
|                                                                                                  |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  
|EARNINGS (LOSS) PER SHARE (see note 5)                                                            |  | $                               | 0.35    |   |                               | $ | 0.71    |      |  | $ | (0.08    | ) |  | $ | 1.31     |  
|                                                                                                  |  |                                 |         |   |                               |   |         |      |  |   |          |   |  |   |          |  

See notes to financial statements.



4



---

##### Table of Contents



APOLLO INVESTMENT CORPORATION

STATEMENTS OF CHANGES IN NET ASSETS

(in thousands, except shares)



|                                                                |  |                                               |            |   |                          |   |            |  
|--------------------------------------------------------------- |  | --------------------------------------------- | ---------- | - | ------------------------ | - | ---------- | -
|                                                                |  | Six months
endedSeptember 30, 2010(unaudited) |            |   | Year
endedMarch 31, 2010 |  
|Increase (Decrease) in net assets from operations:              |  |                                               |            |   |                          |   |            |  
|Net investment income                                           |  | $                                             | 91,009     |   |                          | $ | 199,410    |  
|Net realized loss                                               |  |                                               | (85,511    | ) |                          |   | (473,027   | )
|Net change in unrealized gain (loss)                            |  |                                               | (21,642    | ) |                          |   | 536,907    |  
|                                                                |  |                                               |            |   |                          |   |            |  
|Net increase (decrease) in net assets resulting from operations |  |                                               | (16,144    | ) |                          |   | 263,290    |  
|                                                                |  |                                               |            |   |                          |   |            |  
|Dividends and distributions to stockholders:                    |  |                                               | (108,726   | ) |                          |   | (181,356   | )
|                                                                |  |                                               |            |   |                          |   |            |  
|Capital share transactions:                                     |  |                                               |            |   |                          |   |            |  
|Net proceeds from shares sold                                   |  |                                               | 204,275    |   |                          |   | 280,823    |  
|Less offering costs                                             |  |                                               | (427       | ) |                          |   | (618       | )
|Reinvestment of dividends                                       |  |                                               | 10,530     |   |                          |   | 14,529     |  
|                                                                |  |                                               |            |   |                          |   |            |  
|Net increase in net assets from capital share transactions      |  |                                               | 214,378    |   |                          |   | 294,734    |  
|                                                                |  |                                               |            |   |                          |   |            |  
|Total increase in net assets:                                   |  |                                               | 89,508     |   |                          |   | 376,668    |  
|Net assets at beginning of period                               |  |                                               | 1,772,806  |   |                          |   | 1,396,138  |  
|                                                                |  |                                               |            |   |                          |   |            |  
|Net assets at end of period                                     |  | $                                             | 1,862,314  |   |                          | $ | 1,772,806  |  
|                                                                |  |                                               |            |   |                          |   |            |  
|Capital share activity:                                         |  |                                               |            |   |                          |   |            |  
|Shares sold                                                     |  |                                               | 17,250,000 |   |                          |   | 32,200,000 |  
|Shares issued from reinvestment of dividends                    |  |                                               | 996,410    |   |                          |   | 1,792,583  |  
|                                                                |  |                                               |            |   |                          |   |            |  
|Net increase in capital share activity                          |  |                                               | 18,246,410 |   |                          |   | 33,992,583 |  
|                                                                |  |                                               |            |   |                          |   |            |  

See notes to financial statements.



5



---

##### Table of Contents



APOLLO INVESTMENT CORPORATION

STATEMENTS OF CASH FLOWS (unaudited)

(in thousands)



|                                                                                                                                           |  |                               |          |   |      |   |          |  
|------------------------------------------------------------------------------------------------------------------------------------------ |  | ----------------------------- | -------- | - | ---- | - | -------- | -
|                                                                                                                                           |  | Six months endedSeptember 30, |         
|                                                                                                                                           |  | 2010                          |          |   | 2009 |  
|Cash Flows from Operating Activities:                                                                                                      |  |                               |          |   |      |   |          |  
|Net Increase (Decrease) in Net Assets Resulting from Operations                                                                            |  | $                             | (16,144  | ) |      | $ | 193,631  |  
|Adjustments to reconcile net increase (decrease):                                                                                          |  |                               |          |   |      |   |          |  
|Purchase of investments (including net amortization and capitalized PIK)                                                                   |  |                               | (443,085 | ) |      |   | (159,641 | )
|Proceeds from disposition of investment securities and cash equivalents                                                                    |  |                               | 239,620  |   |      |   | 120,085  |  
|Increase from foreign currency transactions                                                                                                |  |                               | 1,690    |   |      |   | 222      |  
|Increase in interest and dividends receivable                                                                                              |  |                               | (5,571   | ) |      |   | (2,235   | )
|Decrease in prepaid expenses and other assets                                                                                              |  |                               | 4,919    |   |      |   | 2,000    |  
|Increase in management and performance-based incentive fees payable                                                                        |  |                               | 1,212    |   |      |   | 748      |  
|Decrease in interest payable                                                                                                               |  |                               | (160     | ) |      |   | (354     | )
|Decrease in accrued expenses                                                                                                               |  |                               | (2,957   | ) |      |   | (2,300   | )
|Increase (decrease) in payable for investments and cash equivalents purchased                                                              |  |                               | (535,997 | ) |      |   | 18,012   |  
|Decrease (increase) in receivables for investments sold                                                                                    |  |                               | 49,643   |   |      |   | (800     | )
|Net change in unrealized depreciation (appreciation) on investments, cash equivalents, foreign currencies and other assets and
liabilities |  |                               | 21,642   |   |      |   | (194,243 | )
|Net realized loss on investments and cash equivalents                                                                                      |  |                               | 85,511   |   |      |   | 101,332  |  
|                                                                                                                                           |  |                               |          |   |      |   |          |  
|Net Cash Provided (Used) by Operating Activities                                                                                           |  | $                             | (599,677 | ) |      | $ | 76,457   |  
|                                                                                                                                           |  |                               |          |   |      |   |          |  
|Cash Flows from Financing Activities:                                                                                                      |  |                               |          |   |      |   |          |  
|Net proceeds from the issuance of common stock                                                                                             |  | $                             | 204,275  |   |      | $ | 172,974  |  
|Offering costs from the issuance of common stock                                                                                           |  |                               | (427     | ) |      |   | (385     | )
|Dividends paid in cash                                                                                                                     |  |                               | (93,086  | ) |      |   | (69,318  | )
|Borrowings under credit facility                                                                                                           |  |                               | 920,799  |   |      |   | 261,090  |  
|Payments under credit facility                                                                                                             |  |                               | (891,757 | ) |      |   | (443,500 | )
|                                                                                                                                           |  |                               |          |   |      |   |          |  
|Net Cash Provided (Used) by Financing Activities                                                                                           |  | $                             | 139,804  |   |      | $ | (79,139  | )
|                                                                                                                                           |  |                               |          |   |      |   |          |  
|NET DECREASE IN CASH AND CASH EQUIVALENTS                                                                                                  |  | $                             | (459,873 | ) |      | $ | (2,682   | )
|Effect of exchange rates on cash balances                                                                                                  |  |                               | (8       | ) |      |   | (12      | )
|CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD                                                                                             |  | $                             | 487,585  |   |      | $ | 6,607    |  
|                                                                                                                                           |  |                               |          |   |      |   |          |  
|CASH AND CASH EQUIVALENTS, END OF PERIOD                                                                                                   |  | $                             | 27,704   |   |      | $ | 3,913    |  
|                                                                                                                                           |  |                               |          |   |      |   |          |  

Non-cash financing activities consist of the reinvestment of dividends totaling $10,530 and $4,637, respectively (in
thousands).

See notes to financial statements.



6



---

##### Table of Contents



APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited)

September 30, 2010

(in thousands)



|                                                                         |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|------------------------------------------------------------------------ |  | -------- | --------------------------- |  | ---------- | - | ------- | ---- |  | - | ------------ |  |  | - | ------- | 
|INVESTMENTS IN NON-CONTROLLED/NON AFFILIATEDPORTFOLIO COMPANIES  149.0% |  | Industry |                             |  | ParAmount* |   |         | Cost |  |   | FairValue(1) | 
|CORPORATE DEBT  136.7%                                                  |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|BANK DEBT/SENIOR SECURED LOANS 45.0%(2)                                 |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|1st Lien Bank Debt/Senior Secured Loans  3.7%                           |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|Allied Security Holdings LLC, 2/20/15                                    |  |          | Business Services           |  |            | $ | 9,940   |      |  | $ | 9,892        |  |  | $ | 10,002  | 
|Altegrity, Inc., 2/21/15                                                 |  |          | Diversified Service         |  |            |   | 12,469  |      |  |   | 12,225       |  |  |   | 12,539  | 
|ATI Acquisition Company, 12/30/14                                        |  |          | Education                   |  |            |   | 13,374  |      |  |   | 12,903       |  |  |   | 12,103  | 
|Educate, Inc., 6/14/14                                                   |  |          | Education                   |  |            |   | 9,950   |      |  |   | 9,950        |  |  |   | 9,702   | 
|Fox Acquisition Sub LLC, 7/14/15                                         |  |          | Broadcasting &Entertainment |  |            |   | 1,874   |      |  |   | 1,695        |  |  |   | 1,853   | 
|Multiplan, Inc., 8/26/17                                                 |  |          | Business Services           |  |            |   | 4,981   |      |  |   | 4,882        |  |  |   | 5,001   | 
|NBTY, Inc., 10/1/17                                                      |  |          | Consumer Products           |  |            |   | 8,000   |      |  |   | 7,920        |  |  |   | 8,110   | 
|Playpower, Inc., 6/30/12                                                 |  |          | Leisure Equipment           |  |            |   | 10,890  |      |  |   | 9,994        |  |  |   | 9,855   | 
|                                                                         |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|Total 1st Lien Bank Debt/Senior Secured Loans                            |  |          |                             |  |            |   |         |      |  | $ | 69,461       |  |  | $ | 69,165  | 
|                                                                         |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|2nd Lien Bank Debt/Senior Secured Loans  41.3%                          |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|AB Acquisitions UK Topco 2 Limited (Alliance Boots), 7/9/16             |  |          | Retail                      |  |            | £ | 11,400  |      |  | $ | 20,084       |  |  | $ | 16,168  | 
|AB Acquisitions UK Topco 2 Limited (Alliance Boots), 7/9/16             |  |          | Retail                      |  |            |  | 3,961   |      |  |   | 5,530        |  |  |   | 4,867   | 
|Advantage Sales & Marketing, Inc., 5/5/17                                |  |          | Grocery                     |  |            | $ | 50,000  |      |  |   | 50,713       |  |  |   | 50,250  | 
|Asurion Corporation, 7/3/15                                              |  |          | Insurance                   |  |            |   | 121,300 |      |  |   | 120,320      |  |  |   | 115,614 | 
|BNY ConvergEx Group, LLC, 4/2/14                                         |  |          | Business Services           |  |            |   | 83,229  |      |  |   | 80,987       |  |  |   | 81,398  | 
|Clean Earth, Inc., 13.00%, 8/1/14                                        |  |          | Environmental               |  |            |   | 25,000  |      |  |   | 25,000       |  |  |   | 25,125  | 
|Datatel, Inc., 12/9/16                                                   |  |          | Education                   |  |            |   | 20,000  |      |  |   | 19,927       |  |  |   | 20,450  | 
|Dresser, Inc., 5/4/15                                                    |  |          | Industrial                  |  |            |   | 42,938  |      |  |   | 42,680       |  |  |   | 41,891  | 
|Garden Fresh Restaurant Corp., 12/11/13                                  |  |          | Retail                      |  |            |   | 46,600  |      |  |   | 46,600       |  |  |   | 48,883  | 
|Generics International, Inc., 4/30/15                                    |  |          | Healthcare                  |  |            |   | 20,000  |      |  |   | 19,937       |  |  |   | 20,000  | 
|Infor Enterprise Solutions Holdings, Inc., Tranche B-1, 3/2/14          |  |          | Business Services           |  |            |   | 5,000   |      |  |   | 5,000        |  |  |   | 3,275   | 
|Infor Enterprise Solutions Holdings, Inc., 3/2/14                       |  |          | Business Services           |  |            |   | 15,000  |      |  |   | 14,897       |  |  |   | 9,891   | 
|Infor Global Solutions European Finance S.á.R.L., 3/2/14                 |  |          | Business Services           |  |            |  | 6,210   |      |  |   | 8,263        |  |  |   | 5,413   | 
|IPC Systems, Inc., 6/1/15                                                |  |          | Telecommunications          |  |            | $ | 44,250  |      |  |   | 41,394       |  |  |   | 37,253  | 
|Kronos, Inc., 6/11/15                                                    |  |          | Electronics                 |  |            |   | 60,000  |      |  |   | 60,000       |  |  |   | 56,700  | 
|Ozburn-Hessey Holding Company LLC, 10/8/16                               |  |          | Logistics                   |  |            |   | 38,000  |      |  |   | 37,964       |  |  |   | 37,620  | 
|Ranpak Corp., 12/27/14(3)                                               |  |          | Packaging                   |  |            |   | 43,550  |      |  |   | 38,031       |  |  |   | 41,808  | 
|Ranpak Corp., 12/27/14(4)                                               |  |          | Packaging                   |  |            |  | 21,970  |      |  |   | 27,398       |  |  |   | 28,794  | 
|Sedgwick Holdings, Inc., 5/26/17                                         |  |          | Business Services           |  |            | $ | 25,000  |      |  |   | 24,637       |  |  |   | 25,000  | 



See notes to financial statements.



7



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited) (continued)

September 30, 2010

(in thousands)



|                                                                         |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|------------------------------------------------------------------------ |  | -------- | --------------------------- |  | ---------- | - | ------- | ---- |  | - | ------------ |  |  | - | ------- | 
|INVESTMENTS IN NON-CONTROLLED/NON AFFILIATEDPORTFOLIO COMPANIES  149.0% |  | Industry |                             |  | ParAmount* |   |         | Cost |  |   | FairValue(1) | 
|2nd Lien Bank Debt/Senior Secured Loans  (continued)                    |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|Sheridan Holdings, Inc., 6/15/15                                         |  |          | Healthcare                  |  |            | $ | 67,847  |      |  | $ | 67,017       |  |  | $ | 64,183  | 
|TransFirst Holdings, Inc., 6/15/15                                       |  |          | Financial Services          |  |            |   | 37,512  |      |  |   | 36,641       |  |  |   | 34,286  | 
|                                                                         |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|Total 2nd Lien Bank Debt/Senior Secured Loans                            |  |          |                             |  |            |   |         |      |  | $ | 793,020      |  |  | $ | 768,869 | 
|                                                                         |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|TOTAL BANK DEBT/SENIOR SECURED LOANS                                     |  |          |                             |  |            |   |         |      |  | $ | 862,481      |  |  | $ | 838,034 | 
|                                                                         |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|Subordinated Debt/Corporate Notes  91.7%                                |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|AB Acquisitions UK Topco 2 Limited (Alliance Boots), GBP L+650, 7/9/17   |  |          | Retail                      |  |            | £ | 41,657  |      |  | $ | 80,549       |  |  | $ | 58,422  | 
|Allied Security Holdings LLC, 13.75%, 8/21/15                            |  |          | Business Services           |  |            | $ | 20,000  |      |  |   | 19,683       |  |  |   | 20,513  | 
|Altegrity Inc., 0.00%, 8/2/16  ̈                                         |  |          | Diversified Service         |  |            |   | 3,545   |      |  |   | 1,737        |  |  |   | 1,703   | 
|Altegrity Inc., 11.75%, 5/1/16  ̈                                        |  |          | Diversified Service         |  |            |   | 14,639  |      |  |   | 10,046       |  |  |   | 14,346  | 
|Altegrity Inc., 12.00%, 11/1/15  ̈                                       |  |          | Diversified Service         |  |            |   | 100,000 |      |  |   | 100,000      |  |  |   | 105,100 | 
|Altegrity Inc., 10.50%, 11/1/15  ̈                                       |  |          | Diversified Service         |  |            |   | 13,475  |      |  |   | 11,981       |  |  |   | 13,441  | 
|American Tire Distributors, Inc., 11.50%,6/1/18  ̈                       |  |          | Distribution                |  |            |   | 25,000  |      |  |   | 25,000       |  |  |   | 26,375  | 
|American Tire Distributors, Inc., 9.75%,6/1/17  ̈                        |  |          | Distribution                |  |            |   | 10,000  |      |  |   | 9,880        |  |  |   | 10,625  | 
|Angelica Corporation, 15.00%, 2/4/14                                     |  |          | Healthcare                  |  |            |   | 60,000  |      |  |   | 60,000       |  |  |   | 64,500  | 
|ATI Acquisition Company, L+1100, 12/30/15                                |  |          | Education                   |  |            |   | 38,500  |      |  |   | 37,795       |  |  |   | 36,960  | 
|BNY ConvergEx Group, LLC, 14.00%, 10/2/14                                |  |          | Business Services           |  |            |   | 43,160  |      |  |   | 36,801       |  |  |   | 45,145  | 
|Booz Allen Hamilton Inc., 13.00%, 7/31/16                                |  |          | Consulting Services         |  |            |   | 19,813  |      |  |   | 19,901       |  |  |   | 20,259  | 
|Catalina Marketing Corporation, 11.625%,10/1/17  ̈                       |  |          | Grocery                     |  |            |   | 42,175  |      |  |   | 41,694       |  |  |   | 46,815  | 
|Catalina Marketing Corporation, 10.50%,10/1/15  ̈                        |  |          | Grocery                     |  |            |   | 5,000   |      |  |   | 5,101        |  |  |   | 5,350   | 
|Ceridian Corp., 12.25%, 11/15/15                                        |  |          | Diversified Service         |  |            |   | 55,950  |      |  |   | 55,768       |  |  |   | 52,593  | 
|Ceridian Corp., 11.25%, 11/15/15                                        |  |          | Diversified Service         |  |            |   | 33,300  |      |  |   | 32,748       |  |  |   | 30,636  | 
|Delta Educational Systems, Inc., 14.20%, 5/12/13                         |  |          | Education                   |  |            |   | 19,634  |      |  |   | 19,289       |  |  |   | 20,223  | 
|Dura-Line Merger Sub, Inc., 14.00%, 9/22/14                              |  |          | Telecommunications          |  |            |   | 42,654  |      |  |   | 42,130       |  |  |   | 43,081  | 
|First Data Corporation, 11.25%, 3/31/16                                 |  |          | Financial Services          |  |            |   | 35,040  |      |  |   | 29,902       |  |  |   | 27,506  | 
|First Data Corporation, 9.875%, 9/24/15                                 |  |          | Financial Services          |  |            |   | 20,500  |      |  |   | 18,155       |  |  |   | 16,769  | 
|FleetPride Corporation, 11.50%, 10/1/14  ̈                               |  |          | Transportation              |  |            |   | 47,500  |      |  |   | 47,500       |  |  |   | 45,600  | 
|Fox Acquisition Sub LLC, 13.375%,7/15/16  ̈                               |  |          | Broadcasting &Entertainment |  |            |   | 26,125  |      |  |   | 25,915       |  |  |   | 27,170  | 
|FPC Holdings, Inc. (FleetPride Corporation), 14.00%, 6/30/15  ̈          |  |          | Transportation              |  |            |   | 37,846  |      |  |   | 38,047       |  |  |   | 38,413  | 
|General Nutrition Centers, Inc., 10.75%, 3/15/15                        |  |          | Retail                      |  |            |   | 24,500  |      |  |   | 24,771       |  |  |   | 25,327  | 
|General Nutrition Centers, Inc., L+450, 3/15/14                         |  |          | Retail                      |  |            |   | 12,275  |      |  |   | 12,242       |  |  |   | 12,122  | 



See notes to financial statements.



8



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited) (continued)

September 30, 2010

(in thousands)



|                                                                         |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |           | 
|------------------------------------------------------------------------ |  | -------- | --------------------------- |  | ---------- | - | ------- | ---- |  | - | ------------ |  |  | - | --------- | 
|INVESTMENTS IN NON-CONTROLLED/NON AFFILIATEDPORTFOLIO COMPANIES  149.0% |  | Industry |                             |  | ParAmount* |   |         | Cost |  |   | FairValue(1) | 
|Subordinated Debt/Corporate Notes  (continued)                          |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |           | 
|Goodman Global Inc., 13.50%, 2/15/16                                     |  |          | Manufacturing               |  |            | $ | 25,000  |      |  | $ | 25,665       |  |  | $ | 27,500    | 
|Hub International Holdings, 10.25%,6/15/15  ̈                             |  |          | Insurance                   |  |            |   | 36,232  |      |  |   | 34,882       |  |  |   | 34,964    | 
|Intelsat Bermuda Ltd., 11.25%, 2/4/17                                    |  |          | Broadcasting &Entertainment |  |            |   | 90,000  |      |  |   | 91,996       |  |  |   | 97,013    | 
|Laureate Education, Inc., 11.75%, 8/15/17  ̈                              |  |          | Education                   |  |            |   | 53,540  |      |  |   | 51,677       |  |  |   | 56,351    | 
|LVI Services, Inc., 17.25%, 11/16/12 ***                                 |  |          | Environmental               |  |            |   | 55,560  |      |  |   | 53,263       |  |  |   | 5,419     | 
|MW Industries, Inc., 14.50%, 5/1/14                                      |  |          | Manufacturing               |  |            |   | 61,876  |      |  |   | 61,141       |  |  |   | 65,650    | 
|NCO Group Inc., 11.875%, 11/15/14                                        |  |          | Consumer Finance            |  |            |   | 16,630  |      |  |   | 14,264       |  |  |   | 15,133    | 
|N.E.W. Holdings I, LLC, L+750, 3/23/17                                   |  |          | Consumer Services           |  |            |   | 40,000  |      |  |   | 40,000       |  |  |   | 39,700    | 
|Nielsen Finance LLC, 0% / 12.50%, 8/1/16                                 |  |          | Market Research             |  |            |   | 61,000  |      |  |   | 58,029       |  |  |   | 61,114    | 
|Pacific Crane Maintenance Company, L.P., 15.00%, 2/15/14 ***             |  |          | Machinery                   |  |            |   | 54,070  |      |  |   | 36,825       |  |  |   | 703       | 
|Playpower Holdings Inc., 15.50%,12/31/12  ̈                               |  |          | Leisure Equipment           |  |            |   | 104,716 |      |  |   | 104,716      |  |  |   | 78,013    | 
|Ranpak Holdings, Inc., 15.00%, 12/27/15                                  |  |          | Packaging                   |  |            |   | 72,753  |      |  |   | 72,753       |  |  |   | 72,935    | 
|Sorenson Communications, Inc., 10.50%,2/1/15  ̈                           |  |          | Consumer Services           |  |            |   | 32,500  |      |  |   | 31,949       |  |  |   | 19,094    | 
|SquareTwo Financial Corp. (Collect America, Ltd.), 11.625%, 4/1/17  ̈     |  |          | Consumer Finance            |  |            |   | 53,000  |      |  |   | 52,123       |  |  |   | 47,700    | 
|The Servicemaster Company, 10.75%,7/15/15  ̈                              |  |          | Diversified Service         |  |            |   | 52,173  |      |  |   | 50,111       |  |  |   | 55,673    | 
|TL Acquisitions, Inc. (Thomson Learning), 13.25%, 7/15/15  ̈             |  |          | Education                   |  |            |   | 72,500  |      |  |   | 72,270       |  |  |   | 72,681    | 
|TL Acquisitions, Inc. (Thomson Learning), 10.50%, 1/15/15  ̈             |  |          | Education                   |  |            |   | 22,000  |      |  |   | 20,812       |  |  |   | 21,973    | 
|US Foodservice, 10.75%, 6/30/15  ̈                                        |  |          | Beverage, Food &Tobacco     |  |            |   | 81,543  |      |  |   | 64,555       |  |  |   | 83,173    | 
|U.S. Renal Care, Inc., 13.25%, 5/24/17                                   |  |          | Healthcare                  |  |            |   | 20,132  |      |  |   | 20,132       |  |  |   | 20,132    | 
|Varietal Distribution, 10.75%, 6/30/17                                   |  |          | Distribution                |  |            |  | 1,127   |      |  |   | 1,384        |  |  |   | 1,497     | 
|Varietal Distribution, 10.75%, 6/30/17                                   |  |          | Distribution                |  |            | $ | 22,204  |      |  |   | 21,689       |  |  |   | 21,605    | 
|                                                                         |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |           | 
|Total Subordinated Debt/Corporate Notes                                  |  |          |                             |  |            |   |         |      |  | $ | 1,786,871    |  |  | $ | 1,707,017 | 
|                                                                         |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |           | 
|TOTAL CORPORATE DEBT                                                     |  |          |                             |  |            |   |         |      |  | $ | 2,649,352    |  |  | $ | 2,545,051 | 
|                                                                         |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |           | 



See notes to financial statements.



9



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited) (continued)

September 30, 2010

(in thousands, except shares)



|                                                                                     |  |          |                     |  |            |   |           |      |  |   |              |  |  |   |        | 
|------------------------------------------------------------------------------------ |  | -------- | ------------------- |  | ---------- | - | --------- | ---- |  | - | ------------ |  |  | - | ------ | 
|INVESTMENTS IN NON-CONTROLLED/NON AFFILIATEDPORTFOLIO COMPANIES  149.0%             |  | Industry |                     |  | ParAmount* |   |           | Cost |  |   | FairValue(1) | 
|COLLATERALIZED LOAN OBLIGATIONS  1.3%                                               |  |          |                     |  |            |   |           |      |  |   |              |  |  |   |        | 
|Babson CLO Ltd., Series 2008-2A Class E, L+975, 7/15/18  ̈                            |  |          | Asset Management    |  |            | $ | 11,000    |      |  | $ | 10,126       |  |  | $ | 10,472 | 
|Babson CLO Ltd., Series 2008-1A Class E, L+550, 7/20/18  ̈                            |  |          | Asset Management    |  |            |   | 10,150    |      |  |   | 7,604        |  |  |   | 7,880  | 
|Westbrook CLO Ltd., Series 2006-1A, L+370, 12/20/20  ̈                                |  |          | Asset Management    |  |            |   | 11,000    |      |  |   | 6,779        |  |  |   | 7,014  | 
|                                                                                     |  |          |                     |  |            |   |           |      |  |   |              |  |  |   |        | 
|TOTAL COLLATERALIZED LOAN OBLIGATIONS                                                |  |          |                     |  |            |   |           |      |  | $ | 24,509       |  |  | $ | 25,366 | 
|                                                                                     |  |          |                     |  |            |   |           |      |  |   |              |  |  |   |        | 
|                                                                                     |  |          |                     | 
|                                                                                     |  |          |                     |  | Shares     |   |           |      |  |   |              | 
|PREFERRED EQUITY  1.7%                                                              |  |          |                     |  |            |   |           |      |  |   |              |  |  |   |        | 
|AHC Mezzanine LLC (Advanstar) **                                                     |  |          | Media               |  |            |   |          |      |  | $ | 1,063        |  |  | $ | 304    | 
|CA Holding, Inc. (Collect America, Ltd.) Series A **                                 |  |          | Consumer Finance    |  |            |   | 7,961     |      |  |   | 788          |  |  |   | 1,592  | 
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), 13.50%, 5/12/14      |  |          | Education           |  |            |   | 12,360    |      |  |   | 20,765       |  |  |   | 21,473 | 
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), 12.50% (Convertible) |  |          | Education           |  |            |   | 332,500   |      |  |   | 5,706        |  |  |   | 5,706  | 
|Varietal Distribution Holdings, LLC, 8.00%                                           |  |          | Distribution        |  |            |   | 3,097     |      |  |   | 4,008        |  |  |   | 2,083  | 
|                                                                                     |  |          |                     |  |            |   |           |      |  |   |              |  |  |   |        | 
|TOTAL PREFERRED EQUITY                                                               |  |          |                     |  |            |   |           |      |  | $ | 32,330       |  |  | $ | 31,158 | 
|                                                                                     |  |          |                     |  |            |   |           |      |  |   |              |  |  |   |        | 
|EQUITY  9.3%                                                                        |  |          |                     |  |            |   |           |      |  |   |              |  |  |   |        | 
|Common Equity/Interests  8.9%                                                       |  |          |                     |  |            |   |           |      |  |   |              |  |  |   |        | 
|AB Capital Holdings LLC (Allied Security)                                            |  |          | Business Services   |  |            |   | 2,000,000 |      |  | $ | 2,000        |  |  | $ | 2,130  | 
|Accelerate Parent Corp. (American Tire)                                              |  |          | Distribution        |  |            |   | 312,500   |      |  |   | 3,125        |  |  |   | 3,800  | 
|A-D Conduit Holdings, LLC (Duraline) **                                              |  |          | Telecommunications  |  |            |   | 2,778     |      |  |   | 2,778        |  |  |   | 3,848  | 
|Altegrity Holding Corp.                                                              |  |          | Diversified Service |  |            |   | 353,399   |      |  |   | 13,797       |  |  |   | 13,797 | 
|CA Holding, Inc. (Collect America, Ltd.)Series A **                                  |  |          | Consumer Finance    |  |            |   | 25,000    |      |  |   | 2,500        |  |  |   | 396    | 
|CA Holding, Inc. (Collect America, Ltd.)Series AA **                                 |  |          | Consumer Finance    |  |            |   | 4,294     |      |  |   | 429          |  |  |   | 859    | 
|Clothesline Holdings, Inc. (Angelica) **                                             |  |          | Healthcare          |  |            |   | 6,000     |      |  |   | 6,000        |  |  |   | 7,515  | 
|Explorer Coinvest LLC (Booz Allen)                                                   |  |          | Consulting Services |  |            |   | 430       |      |  |   | 4,300        |  |  |   | 9,963  | 
|FSC Holdings Inc. (Hanley Wood LLC) **                                               |  |          | Media               |  |            |   | 10,000    |      |  |   | 10,000       |  |  |   |       | 
|Garden Fresh Restaurant Holding, LLC **                                              |  |          | Retail              |  |            |   | 50,000    |      |  |   | 5,000        |  |  |   | 9,588  | 
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.) **                    |  |          | Education           |  |            |   | 17,500    |      |  |   | 175          |  |  |   | 1,705  | 
|GS Prysmian Co-Invest L.P. (Prysmian Cables & Systems)(5,6)                          |  |          | Industrial          |  |            |   |          |      |  |   |             |  |  |   | 256    | 
|LVI Acquisition Corp. (LVI Services, Inc.) **                                        |  |          | Environmental       |  |            |   | 6,250     |      |  |   | 2,500        |  |  |   |       | 
|MEG Energy Corp.(7)                                                                  |  |          | Oil & Gas           |  |            |   | 2,176,722 |      |  |   | 55,006       |  |  |   | 76,069 | 



See notes to financial statements.



10



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited) (continued)

September 30, 2010

(in thousands, except shares and warrants)



|                                                                                       |  |          |                    |  |          |  |            |      |  |   |              |  |  |   |           | 
|-------------------------------------------------------------------------------------- |  | -------- | ------------------ |  | -------- |  | ---------- | ---- |  | - | ------------ |  |  | - | --------- | 
|INVESTMENTS IN NON-CONTROLLED/NON AFFILIATEDPORTFOLIO COMPANIES 
149.0%               |  | Industry |                    |  | Shares   |  |            | Cost |  |   | FairValue(1) | 
|Common Equity/Interests  (continued)                                                  |  |          |                    |  |          |  |            |      |  |   |              |  |  |   |           | 
|New Omaha Holdings Co-Invest LP(First Data) **                                         |  |          | Financial Services |  |          |  | 13,000,000 |      |  | $ | 65,000       |  |  | $ | 18,555    | 
|PCMC Holdings, LLC (Pacific Crane) **                                                  |  |          | Machinery          |  |          |  | 50,000     |      |  |   | 4,000        |  |  |   |          | 
|Penton Business Media Holdings, LLC                                                    |  |          | Media              |  |          |  | 124        |      |  |   | 4,950        |  |  |   | 4,950     | 
|Pro Mach Co-Investment, LLC **                                                         |  |          | Machinery          |  |          |  | 150,000    |      |  |   | 1,500        |  |  |   | 3,570     | 
|RC Coinvestment, LLC (Ranpak Corp.) **                                                 |  |          | Packaging          |  |          |  | 50,000     |      |  |   | 5,000        |  |  |   | 6,470     | 
|Sorenson Communications Holdings, LLC Class A                                          |  |          | Consumer Services  |  |          |  | 454,828    |      |  |   | 45           |  |  |   | 2,010     | 
|Varietal Distribution Holdings, LLC Class A **                                         |  |          | Distribution       |  |          |  | 28,028     |      |  |   | 28           |  |  |   |          | 
|                                                                                       |  |          |                    |  |          |  |            |      |  |   |              |  |  |   |           | 
|Total Common Equity/Interests                                                          |  |          |                    |  |          |  |            |      |  | $ | 188,133      |  |  | $ | 165,481   | 
|                                                                                       |  |          |                    |  |          |  |            |      |  |   |              |  |  |   |           | 
|                                                                                       |  |          |                    | 
|                                                                                       |  |          |                    |  | Warrants |  |            |      |  |   |              | 
|Warrants  0.4%                                                                        |  |          |                    |  |          |  |            |      |  |   |              |  |  |   |           | 
|CA Holding, Inc. (Collect America, Ltd.),Common **                                     |  |          | Consumer Finance   |  |          |  | 7,961      |      |  | $ | 8            |  |  |   |          | 
|Fidji Luxco (BC) S.C.A., Common (FCI) (5) **                                           |  |          | Electronics        |  |          |  | 48,769     |      |  |   | 491          |  |  | $ | 4,366     | 
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), Common **              |  |          | Education          |  |          |  | 9,820      |      |  |   | 98           |  |  |   | 957       | 
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), Class A-1 Preferred ** |  |          | Education          |  |          |  | 45,947     |      |  |   | 459          |  |  |   | 788       | 
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), Class B-1 Preferred ** |  |          | Education          |  |          |  | 104,314    |      |  |   | 1,043        |  |  |   | 1,788     | 
|                                                                                       |  |          |                    |  |          |  |            |      |  |   |              |  |  |   |           | 
|Total Warrants                                                                         |  |          |                    |  |          |  |            |      |  | $ | 2,099        |  |  | $ | 7,899     | 
|                                                                                       |  |          |                    |  |          |  |            |      |  |   |              |  |  |   |           | 
|TOTAL EQUITY                                                                           |  |          |                    |  |          |  |            |      |  | $ | 190,232      |  |  | $ | 173,380   | 
|                                                                                       |  |          |                    |  |          |  |            |      |  |   |              |  |  |   |           | 
|Total Investments in Non-Controlled/ Non-Affiliated Portfolio Companies                |  |          |                    |  |          |  |            |      |  | $ | 2,896,423    |  |  | $ | 2,774,955 | 
|                                                                                       |  |          |                    |  |          |  |            |      |  |   |              |  |  |   |           | 



See notes to financial statements.



11



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited) (continued)

September 30, 2010

(in thousands, except shares and warrants)



|                                                                       |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|---------------------------------------------------------------------- |  | -------- | ---------- |  | ---------- | - | --------- | ---- |  | - | ------------ |  |  | - | ------- | 
|INVESTMENTS IN NON-CONTROLLED/AFFILIATED
PORTFOLIO COMPANIES  5.5%(8) |  | Industry |            |  | ParAmount* |   |           | Cost |  |   | FairValue(1) | 
|CORPORATE DEBT  4.4%                                                  |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|BANK DEBT/SENIOR SECURED LOANS  3.8%(2)                               |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|1st Lien Bank Debt/Senior Secured Loans  0.1%                         |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|Gray Wireline Service, Inc., 10/22/12                                  |  |          | Oil & Gas  |  |            | $ | 1,000     |      |  | $ | 1,000        |  |  | $ | 1,000   | 
|                                                                       |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|2nd Lien Bank Debt/Senior Secured Loans  3.7%                         |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|Gray Wireline Service, Inc., 14.00%, 10/22/12                          |  |          | Oil & Gas  |  |            | $ | 78,039    |      |  | $ | 78,039       |  |  | $ | 69,455  | 
|                                                                       |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|TOTAL BANK DEBT/SENIOR SECURED LOANS                                   |  |          |            |  |            |   |           |      |  | $ | 79,039       |  |  | $ | 70,455  | 
|                                                                       |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|Subordinated Debt/Corporate Notes  0.6%                               |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|DSI Renal Inc., 17.00%, 4/7/14                                         |  |          | Healthcare |  |            | $ | 10,419    |      |  | $ | 10,419       |  |  | $ | 10,862  | 
|                                                                       |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|TOTAL CORPORATE DEBT                                                   |  |          |            |  |            |   |           |      |  | $ | 89,458       |  |  | $ | 81,317  | 
|                                                                       |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|                                                                       |  |          |            |  | Shares     |   |           |      |  |   |              | 
|EQUITY  1.1%                                                          |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|Common Equity/Interests  0.8%                                         |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|CDSI I Holding Company, Inc. (DSI Renal Inc.)                          |  |          | Healthcare |  |            |   | 9,303     |      |  | $ | 9,300        |  |  | $ | 16,286  | 
|Gray Energy Services, LLC Class H(Gray Wireline) **                    |  |          | Oil & Gas  |  |            |   | 1,081     |      |  |   | 2,000        |  |  |   |        | 
|                                                                       |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|Total Common Equity/Interests                                          |  |          |            |  |            |   |           |      |  | $ | 11,300       |  |  | $ | 16,286  | 
|                                                                       |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|                                                                       |  |          |            |  | Warrants   |   |           |      |  |   |              | 
|Warrants  0.3%                                                        |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|CDSI I Holding Company, Inc. Series A (DSI Renal Inc.)                 |  |          | Healthcare |  |            |   | 2,031     |      |  | $ | 773          |  |  | $ | 1,635   | 
|CDSI I Holding Company, Inc. Series B (DSI Renal Inc.)                 |  |          | Healthcare |  |            |   | 2,031     |      |  |   | 645          |  |  |   | 1,421   | 
|CDSI I Holding Company, Inc. (DSI Renal Inc.) §                        |  |          | Healthcare |  |            |   | 6,093,750 |      |  |   | 1,002        |  |  |   | 2,112   | 
|Gray Holdco, Inc. (Gray Wireline)                                      |  |          | Oil & Gas  |  |            |   | 3,559     |      |  |   |             |  |  |   |        | 
|                                                                       |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|Total Warrants                                                         |  |          |            |  |            |   |           |      |  | $ | 2,420        |  |  | $ | 5,168   | 
|                                                                       |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|TOTAL EQUITY                                                           |  |          |            |  |            |   |           |      |  | $ | 13,720       |  |  | $ | 21,454  | 
|                                                                       |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 
|Total Investments in Non-Controlled/Affiliated Portfolio Companies     |  |          |            |  |            |   |           |      |  | $ | 103,178      |  |  | $ | 102,771 | 
|                                                                       |  |          |            |  |            |   |           |      |  |   |              |  |  |   |         | 



See notes to financial statements.



12



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited) (continued)

September 30, 2010

(in thousands, except shares)



|                                                                   |  |          |                              |  |        |  |            |      |  |   |              |  |  |   |            |  
|------------------------------------------------------------------ |  | -------- | ---------------------------- |  | ------ |  | ---------- | ---- |  | - | ------------ |  |  | - | ---------- | -
|INVESTMENTS IN CONTROLLED
PORTFOLIO COMPANIES  4.0%(9)            |  | Industry |                              |  | Shares |  |            | Cost |  |   | FairValue(1) | 
|Preferred Equity  0.0%                                            |  |          |                              |  |        |  |            |      |  |   |              |  |  |   |            |  
|Grand Prix Holdings, LLC Series A, 12.00% (Innkeepers USA)(10) *** |  |          | Hotels, Motels, Inns& Gaming |  |        |  | 2,989,431  |      |  | $ | 101,346      |  |  | $ |           |  
|                                                                   |  |          |                              |  |        |  |            |      |  |   |              |  |  |   |            |  
|EQUITY                                                             |  |          |                              |  |        |  |            |      |  |   |              |  |  |   |            |  
|Common Equity/Interests  4.0%                                     |  |          |                              |  |        |  |            |      |  |   |              |  |  |   |            |  
|AIC Credit Opportunity Fund LLC(11)                                |  |          | Asset Management             |  |        |  |           |      |  | $ | 71,741       |  |  | $ | 67,587     |  
|Generation Brands Holdings, Inc. (Quality Home Brands)             |  |          | Consumer Products            |  |        |  | 750        |      |  |   |             |  |  |   | 111        |  
|Generation Brands Holdings, Inc. Series H (Quality Home Brands)    |  |          | Consumer Products            |  |        |  | 7,500      |      |  |   | 2,297        |  |  |   | 1,111      |  
|Generation Brands Holdings, Inc. Series 2L (Quality Home Brands)   |  |          | Consumer Products            |  |        |  | 36,700     |      |  |   | 11,242       |  |  |   | 5,435      |  
|Grand Prix Holdings, LLC (Innkeepers USA)(10) **                   |  |          | Hotels, Motels, Inns& Gaming |  |        |  | 17,335,834 |      |  |   | 172,664      |  |  |   |           |  
|                                                                   |  |          |                              |  |        |  |            |      |  |   |              |  |  |   |            |  
|Total Common Equity/Interests                                      |  |          |                              |  |        |  |            |      |  | $ | 257,944      |  |  | $ | 74,244     |  
|                                                                   |  |          |                              |  |        |  |            |      |  |   |              |  |  |   |            |  
|TOTAL EQUITY                                                       |  |          |                              |  |        |  |            |      |  | $ | 257,944      |  |  | $ | 74,244     |  
|                                                                   |  |          |                              |  |        |  |            |      |  |   |              |  |  |   |            |  
|Total Investments in Controlled Portfolio Companies                |  |          |                              |  |        |  |            |      |  | $ | 359,290      |  |  | $ | 74,244     |  
|                                                                   |  |          |                              |  |        |  |            |      |  |   |              |  |  |   |            |  
|Total Investments  158.5%(12)                                     |  |          |                              |  |        |  |            |      |  | $ | 3,358,891    |  |  | $ | 2,951,970  |  
|                                                                   |  |          |                              |  |        |  |            |      |  |   |              |  |  |   |            |  
|Liabilities in Excess of Other Assets  (58.5%)                    |  |          |                              |  |        |  |            |      |  |   |              |  |  |   | (1,089,656 | )
|                                                                   |  |          |                              |  |        |  |            |      |  |   |              |  |  |   |            |  
|Net Assets  100.0%                                                |  |          |                              |  |        |  |            |      |  |   |              |  |  | $ | 1,862,314  |  
|                                                                   |  |          |                              |  |        |  |            |      |  |   |              |  |  |   |            |  



See notes to financial
statements.



13



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited) (continued)

September 30, 2010

(in thousands)





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

|(2) | Includes floating rate instruments that accrue interest at a predetermined spread relative to an index, typically the LIBOR (London Inter-bank Offered Rate), EURIBOR
(Euro Inter-bank Offered Rate), GBP LIBOR (London Inter-bank Offered Rate for British Pounds), or the prime rate. At September 30, 2010, the range of interest rates on floating rate bank debt was 4.77% to 11.75%.
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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

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

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

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

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

|(8) | Denotes investments in which we are an Affiliated Person, as defined in the 1940 Act, due to owning, controlling, or holding the power to vote, 5% or more
of the outstanding voting securities of the investment. Transactions during the six months ended September 30, 2010 in these Affiliated investments are as follows:
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|                                                          |  |                             |        |  |                |   |       |                 |  |   |                         |  |  |                                 |       |  |  |   |         | 
|--------------------------------------------------------- |  | --------------------------- | ------ |  | -------------- | - | ----- | --------------- |  | - | ----------------------- |  |  | ------------------------------- | ----- |  |  | - | ------- | 
|Name of Issuer                                            |  | Fair Value atMarch 31, 2010 |        |  | GrossAdditions |   |       | GrossReductions |  |   | Interest/DividendIncome |  |  | Fair Value atSeptember 30, 2010 |      
|Gray Wireline Service, Inc. 1st Out                       |  | $                           | 1,000  |  |                | $ |      |                 |  | $ |                        |  |  | $                               | 41    |  |  | $ | 1,000   | 
|Gray Wireline Service, Inc. 2nd Out                       |  |                             | 59,251 |  |                |   | 485   |                 |  |   |                        |  |  |                                 | 5,437 |  |  |   | 69,455  | 
|DSI Renal, Inc., 17.00%                                   |  |                             | 10,057 |  |                |   | 559   |                 |  |   |                        |  |  |                                 | 864   |  |  |   | 10,862  | 
|CDSI I Holding Company, Inc. Common Equity                |  |                             | 10,206 |  |                |   |      |                 |  |   |                        |  |  |                                 |      |  |  |   | 16,286  | 
|Gray Energy Services, LLC Class H Common Equity           |  |                             |       |  |                |   |      |                 |  |   |                        |  |  |                                 |      |  |  |   |        | 
|CDSI I Holding Company, Inc. Series A Warrant             |  |                             | 854    |  |                |   |      |                 |  |   |                        |  |  |                                 |      |  |  |   | 1,635   | 
|CDSI I Holding Company, Inc. Series B Warrant             |  |                             | 693    |  |                |   |      |                 |  |   |                        |  |  |                                 |      |  |  |   | 1,421   | 
|CDSI I Holding Company, Inc. Contingent Payment Agreement |  |                             | 1,075  |  |                |   |      |                 |  |   |                        |  |  |                                 |      |  |  |   | 2,112   | 
|Gray Holdco, Inc. Warrant                                 |  |                             |       |  |                |   |      |                 |  |   |                        |  |  |                                 |      |  |  |   |        | 
|                                                          |  |                             |        |  |                |   |       |                 |  |   |                         |  |  |                                 |       |  |  |   |         | 
|                                                          |  | $                           | 83,136 |  |                | $ | 1,044 |                 |  | $ |                        |  |  | $                               | 6,342 |  |  | $ | 102,771 | 
|                                                          |  |                             |        |  |                |   |       |                 |  |   |                         |  |  |                                 |       |  |  |   |         | 

|(9) | 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. Transactions during the six months ended September 30, 2010 in these Controlled investments
are as follows:
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|                                                         |  |                             |        |  |                |   |       |                 |  |   |                         |  |  |                                 |       |  |  |   |        | 
|-------------------------------------------------------- |  | --------------------------- | ------ |  | -------------- | - | ----- | --------------- |  | - | ----------------------- |  |  | ------------------------------- | ----- |  |  | - | ------ | 
|Name of Issuer                                           |  | Fair Value atMarch 31, 2010 |        |  | GrossAdditions |   |       | GrossReductions |  |   | Interest/DividendIncome |  |  | Fair Value atSeptember 30, 2010 |      
|Grand Prix Holdings, LLC Series A Preferred              |  | $                           | 5,268  |  |                | $ |      |                 |  | $ |                        |  |  | $                               |      |  |  | $ |       | 
|AIC Credit Opportunity Fund LLC Common Equity (10)       |  |                             | 73,514 |  |                |   | 1,700 |                 |  |   |                        |  |  |                                 | 6,031 |  |  |   | 67,587 | 
|Generation Brands Holdings, Inc. Common Equity           |  |                             | 230    |  |                |   |      |                 |  |   |                        |  |  |                                 |      |  |  |   | 111    | 
|Generation Brands Holdings, Inc. Series H Common Equity  |  |                             | 2,297  |  |                |   |      |                 |  |   |                        |  |  |                                 |      |  |  |   | 1,111  | 
|Generation Brands Holdings, Inc. Series 2L Common Equity |  |                             | 11,242 |  |                |   |      |                 |  |   |                        |  |  |                                 |      |  |  |   | 5,435  | 
|Grand Prix Holdings, LLC Common Equity                   |  |                             |       |  |                |   |      |                 |  |   |                        |  |  |                                 |      |  |  |   |       | 
|                                                         |  |                             |        |  |                |   |       |                 |  |   |                         |  |  |                                 |       |  |  |   |        | 
|                                                         |  | $                           | 92,551 |  |                | $ | 1,700 |                 |  | $ |                        |  |  | $                               | 6,031 |  |  | $ | 74,244 | 
|                                                         |  |                             |        |  |                |   |       |                 |  |   |                         |  |  |                                 |       |  |  |   |        | 



See notes to financial
statements.



14



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited) (continued)

September 30, 2010

(in thousands)



The Company has a 99%, 100%, and 27% equity ownership interest in Grand Prix Holdings LLC, AIC Credit Opportunity Fund LLC, and Generation Brands
Holdings, Inc., respectively.



|(10) | See note 14.
|---- | ------------

|(11) | See note 6.
|---- | -----------

|(12) | Aggregate gross unrealized appreciation for federal income tax purposes is $154,231; aggregate gross unrealized depreciation for federal income tax purposes is
$531,489. Net unrealized depreciation is $377,258 based on a tax cost of $3,329,228.
|---- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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

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

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

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

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

|§ | Position reflects a contingent payment agreement.
|- | -------------------------------------------------



See notes to financial statements.



15



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (unaudited) (continued)



|                              |  |                                                                       |       |  
|----------------------------- |  | --------------------------------------------------------------------- | ----- | -
|Industry Classification       |  | Percentage of TotalInvestments (atfair value) as
ofSeptember 30, 2010 |      
|Diversified Service           |  |                                                                       | 10.2  | %
|Education                     |  |                                                                       | 9.6   | %
|Healthcare                    |  |                                                                       | 7.1   | %
|Business Services             |  |                                                                       | 7.0   | %
|Retail                        |  |                                                                       | 5.9   | %
|Insurance                     |  |                                                                       | 5.1   | %
|Packaging                     |  |                                                                       | 5.1   | %
|Oil & Gas                     |  |                                                                       | 5.0   | %
|Broadcasting & Entertainment  |  |                                                                       | 4.3   | %
|Grocery                       |  |                                                                       | 3.5   | %
|Financial Services            |  |                                                                       | 3.3   | %
|Manufacturing                 |  |                                                                       | 3.2   | %
|Asset Management              |  |                                                                       | 3.1   | %
|Leisure Equipment             |  |                                                                       | 3.0   | %
|Telecommunications            |  |                                                                       | 2.8   | %
|Transportation                |  |                                                                       | 2.8   | %
|Beverage, Food & Tobacco      |  |                                                                       | 2.8   | %
|Distribution                  |  |                                                                       | 2.2   | %
|Consumer Finance              |  |                                                                       | 2.2   | %
|Market Research               |  |                                                                       | 2.1   | %
|Electronics                   |  |                                                                       | 2.1   | %
|Consumer Services             |  |                                                                       | 2.1   | %
|Industrial                    |  |                                                                       | 1.4   | %
|Logistics                     |  |                                                                       | 1.3   | %
|Environmental                 |  |                                                                       | 1.0   | %
|Consulting Services           |  |                                                                       | 1.0   | %
|Consumer Products             |  |                                                                       | 0.5   | %
|Media                         |  |                                                                       | 0.2   | %
|Machinery                     |  |                                                                       | 0.1   | %
|Hotels, Motels, Inns & Gaming |  |                                                                       | 0.0   | %
|Publishing                    |  |                                                                       | 0.0   | %
|                              |  |                                                                       |       |  
|Total Investments             |  |                                                                       | 100.0 | %
|                              |  |                                                                       |       |  



See notes to financial
statements.



16



---

##### Table of Contents



APOLLO INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS

March 31, 2010

(in thousands)



|                                                                          |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|------------------------------------------------------------------------- |  | -------- | --------------------------- |  | ---------- | - | ------- | ---- |  | - | ------------ |  |  | - | ------- | 
|INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED PORTFOLIO COMPANIES  151.1% |  | Industry |                             |  | ParAmount* |   |         | Cost |  |   | FairValue(1) | 
|CORPORATE DEBT  137.2%                                                   |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|Bank Debt/Senior Secured Loans  44.2%(2)                                 |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|1st Lien Bank Debt/Senior Secured Loans  1.2%                            |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|ATI Acquisition Company, 12/30/14                                         |  |          | Education                   |  |            | $ | 18,454  |      |  | $ | 17,743       |  |  | $ | 18,038  | 
|FoxCo Acquisition Sub LLC, 7/14/15                                        |  |          | Broadcasting &Entertainment |  |            |   | 3,905   |      |  |   | 3,493        |  |  |   | 3,788   | 
|                                                                          |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|Total 1st Lien Bank Debt/Senior Secured Loans                             |  |          |                             |  |            |   |         |      |  | $ | 21,236       |  |  | $ | 21,826  | 
|                                                                          |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|2nd Lien Bank Debt/Senior Secured Loans  43.0%                           |  |          |                             |  |            |   |         |      |  |   |              |  |  |   |         | 
|AB Acquisitions UK Topco 2 Limited (Alliance Boots), 7/9/16              |  |          | Retail                      |  |            | £ | 11,400  |      |  | $ | 19,983       |  |  | $ | 15,321  | 
|AB Acquisitions UK Topco 2 Limited (Alliance Boots), 7/9/16              |  |          | Retail                      |  |            |  | 3,961   |      |  |   | 5,499        |  |  |   | 4,749   | 
|American Safety Razor Company, LLC, 1/30/14                               |  |          | Consumer Products           |  |            | $ | 1,000   |      |  |   | 774          |  |  |   | 625     | 
|Asurion Corporation, 7/3/15                                               |  |          | Insurance                   |  |            |   | 148,300 |      |  |   | 147,019      |  |  |   | 147,605 | 
|BNY ConvergEx Group, LLC, 4/2/14                                          |  |          | Business Services           |  |            |   | 83,229  |      |  |   | 80,722       |  |  |   | 83,229  | 
|C.H.I. Overhead Doors, Inc., 13.00%, 10/22/11                             |  |          | Building Products           |  |            |   | 15,000  |      |  |   | 15,012       |  |  |   | 15,000  | 
|Clean Earth, Inc., 13.00%, 8/1/14                                         |  |          | Environmental               |  |            |   | 25,000  |      |  |   | 25,000       |  |  |   | 24,875  | 
|Datatel, Inc., 12/9/16                                                    |  |          | Education                   |  |            |   | 20,000  |      |  |   | 19,923       |  |  |   | 20,350  | 
|Dresser, Inc., 5/4/15                                                     |  |          | Industrial                  |  |            |   | 62,938  |      |  |   | 62,656       |  |  |   | 60,289  | 
|Educate, Inc., 6/14/14                                                    |  |          | Education                   |  |            |   | 10,000  |      |  |   | 10,000       |  |  |   | 9,400   | 
|Garden Fresh Restaurant Corp., 12/22/11                                   |  |          | Retail                      |  |            |   | 33,600  |      |  |   | 32,880       |  |  |   | 33,600  | 
|Generics International, Inc., 4/30/15                                     |  |          | Healthcare                  |  |            |   | 20,000  |      |  |   | 19,931       |  |  |   | 20,000  | 
|Infor Enterprise Solutions Holdings, Inc.,Tranche B-1, 3/2/14            |  |          | Business Services           |  |            |   | 5,000   |      |  |   | 5,000        |  |  |   | 3,925   | 
|Infor Enterprise Solutions Holdings, Inc., 3/2/14                        |  |          | Business Services           |  |            |   | 15,000  |      |  |   | 14,883       |  |  |   | 12,581  | 
|Infor Global Solutions European Finance S.á.R.L., 3/2/14                  |  |          | Business Services           |  |            |  | 6,210   |      |  |   | 8,263        |  |  |   | 6,722   | 
|IPC Systems, Inc., 6/1/15                                                 |  |          | Telecommunications          |  |            | $ | 44,250  |      |  |   | 41,165       |  |  |   | 37,613  | 
|Kronos, Inc., 6/11/15                                                     |  |          | Electronics                 |  |            |   | 60,000  |      |  |   | 60,000       |  |  |   | 56,820  | 
|Ozburn-Hessey Holding Company LLC, 10/8/16                                |  |          | Logistics                   |  |            |   | 35,000  |      |  |   | 35,000       |  |  |   | 35,000  | 
|Ranpak Corp., 12/27/14(3)                                                |  |          | Packaging                   |  |            |   | 43,550  |      |  |   | 37,564       |  |  |   | 43,165  | 
|Ranpak Corp., 12/27/14(4)                                                |  |          | Packaging                   |  |            |  | 21,970  |      |  |   | 27,074       |  |  |   | 29,464  | 



See notes to financial statements.



17



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (continued)

March 31, 2010

(in thousands)



|                                                                           |  |          |                             |  |            |   |        |      |  |   |              |  |  |   |         | 
|-------------------------------------------------------------------------- |  | -------- | --------------------------- |  | ---------- | - | ------ | ---- |  | - | ------------ |  |  | - | ------- | 
|INVESTMENTS IN NON-CONTROLLED/NON-
AFFILIATED PORTFOLIO COMPANIES  151.1% |  | Industry |                             |  | ParAmount* |   |        | Cost |  |   | FairValue(1) | 
|2nd Lien Bank Debt/Senior Secured Loans  (continued)                      |  |          |                             |  |            |   |        |      |  |   |              |  |  |   |         | 
|Sheridan Holdings, Inc., 6/15/15                                           |  |          | Healthcare                  |  |            | $ | 67,847 |      |  | $ | 66,948       |  |  | $ | 67,169  | 
|TransFirst Holdings, Inc., 6/15/15                                         |  |          | Financial Services          |  |            |   | 36,632 |      |  |   | 35,687       |  |  |   | 33,519  | 
|                                                                           |  |          |                             |  |            |   |        |      |  |   |              |  |  |   |         | 
|Total 2nd Lien Bank Debt/Senior Secured Loans                              |  |          |                             |  |            |   |        |      |  | $ | 770,983      |  |  | $ | 761,021 | 
|                                                                           |  |          |                             |  |            |   |        |      |  |   |              |  |  |   |         | 
|TOTAL BANK DEBT/SENIOR SECURED LOANS                                       |  |          |                             |  |            |   |        |      |  | $ | 792,219      |  |  | $ | 782,847 | 
|                                                                           |  |          |                             |  |            |   |        |      |  |   |              |  |  |   |         | 
|Subordinated Debt/Corporate Notes  93.0%                                  |  |          |                             |  |            |   |        |      |  |   |              |  |  |   |         | 
|AB Acquisitions UK Topco 2 Limited (Alliance Boots), GBP L+650, 7/9/17     |  |          | Retail                      |  |            | £ | 40,847 |      |  | $ | 79,172       |  |  | $ | 56,817  | 
|Advantage Sales & Marketing, Inc., 12.00%, 3/29/14                         |  |          | Grocery                     |  |            | $ | 32,535 |      |  |   | 32,164       |  |  |   | 32,860  | 
|Allied Security Holdings LLC, 13.75%, 8/21/15                              |  |          | Business Services           |  |            |   | 20,000 |      |  |   | 19,661       |  |  |   | 20,500  | 
|Altegrity Inc., 11.75%, 5/1/16  ̈                                          |  |          | Diversified Service         |  |            |   | 14,639 |      |  |   | 9,716        |  |  |   | 13,644  | 
|Altegrity Inc., 10.50%, 11/1/15  ̈                                         |  |          | Diversified Service         |  |            |   | 13,475 |      |  |   | 11,852       |  |  |   | 12,693  | 
|Angelica Corporation, 15.00%, 2/4/14                                       |  |          | Healthcare                  |  |            |   | 60,000 |      |  |   | 60,000       |  |  |   | 64,260  | 
|ATI Acquisition Company, L+1100, 12/30/15                                  |  |          | Education                   |  |            |   | 38,500 |      |  |   | 37,750       |  |  |   | 38,115  | 
|BNY ConvergEx Group, LLC, 14.00%, 10/2/14                                  |  |          | Business Services           |  |            |   | 42,730 |      |  |   | 35,913       |  |  |   | 44,140  | 
|Booz Allen Hamilton Inc., 13.00%, 7/31/16                                  |  |          | Consulting Services         |  |            |   | 23,435 |      |  |   | 23,109       |  |  |   | 24,197  | 
|Catalina Marketing Corporation, 11.625%,10/1/17  ̈                         |  |          | Grocery                     |  |            |   | 42,175 |      |  |   | 40,997       |  |  |   | 45,549  | 
|Catalina Marketing Corporation, 10.50%,10/1/15  ̈                          |  |          | Grocery                     |  |            |   | 5,000  |      |  |   | 5,094        |  |  |   | 5,300   | 
|Ceridian Corp., 13.00%, 11/15/15                                          |  |          | Diversified Service         |  |            |   | 53,250 |      |  |   | 53,250       |  |  |   | 52,185  | 
|Ceridian Corp., 11.25%, 11/15/15                                          |  |          | Diversified Service         |  |            |   | 36,000 |      |  |   | 35,246       |  |  |   | 34,740  | 
|Cidron Healthcare C S.á.R.L. (Convatec) E+950, 8/1/17                      |  |          | Healthcare                  |  |            |  | 8,033  |      |  |   | 12,547       |  |  |   | 10,923  | 
|Delta Educational Systems, Inc., 14.20%, 5/12/13                           |  |          | Education                   |  |            | $ | 19,517 |      |  |   | 19,120       |  |  |   | 19,713  | 
|Dura-Line Merger Sub, Inc., 14.00%, 9/22/14                                |  |          | Telecommunications          |  |            |   | 42,363 |      |  |   | 41,792       |  |  |   | 42,787  | 
|European Directories (DH5) B.V., 15.735%,7/1/16  ***                      |  |          | Publishing                  |  |            |  | 3,452  |      |  |   | 4,475        |  |  |   |        | 
|European Directories (DH7) B.V., E+950,7/1/15  ***                        |  |          | Publishing                  |  |            |   | 17,454 |      |  |   | 21,846       |  |  |   | 5,810   | 
|First Data Corporation, 11.25%, 3/31/16                                   |  |          | Financial Services          |  |            | $ | 40,000 |      |  |   | 33,801       |  |  |   | 33,500  | 
|First Data Corporation, 9.875%, 9/24/15                                   |  |          | Financial Services          |  |            |   | 45,500 |      |  |   | 40,129       |  |  |   | 39,244  | 
|FleetPride Corporation, 11.50%,10/1/14  ̈                                  |  |          | Transportation              |  |            |   | 47,500 |      |  |   | 47,500       |  |  |   | 46,075  | 
|FoxCo Acquisition Sub LLC, 13.375%, 7/15/16  ̈                              |  |          | Broadcasting &Entertainment |  |            |   | 25,250 |      |  |   | 25,034       |  |  |   | 25,250  | 
|FPC Holdings, Inc. (FleetPride Corporation), 14.00%, 6/30/15  ̈            |  |          | Transportation              |  |            |   | 37,846 |      |  |   | 37,429       |  |  |   | 35,575  | 



See notes to financial statements.



18



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (continued)

March 31, 2010

(in thousands)



|                                                                            |  |          |                             |  |            |   |        |      |  |   |              |  |  |   |           | 
|--------------------------------------------------------------------------- |  | -------- | --------------------------- |  | ---------- | - | ------ | ---- |  | - | ------------ |  |  | - | --------- | 
|INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED PORTFOLIO COMPANIES  151.1%   |  | Industry |                             |  | ParAmount* |   |        | Cost |  |   | FairValue(1) | 
|Subordinated Debt/Corporate Notes  (continued)                             |  |          |                             |  |            |   |        |      |  |   |              |  |  |   |           | 
|General Nutrition Centers, Inc., L+450, 3/15/14                            |  |          | Retail                      |  |            | $ | 12,275 |      |  | $ | 12,149       |  |  | $ | 11,630    | 
|General Nutrition Centers, Inc., 10.75%,3/15/15                            |  |          | Retail                      |  |            |   | 24,500 |      |  |   | 24,906       |  |  |   | 25,113    | 
|Goodman Global Inc., 13.50%, 2/15/16                                        |  |          | Manufacturing               |  |            |   | 25,000 |      |  |   | 25,518       |  |  |   | 28,000    | 
|Hub International Holdings, 10.25%,6/15/15  ̈                                |  |          | Insurance                   |  |            |   | 33,732 |      |  |   | 32,498       |  |  |   | 32,214    | 
|Intelsat Bermuda Ltd., 11.25%, 2/4/17                                       |  |          | Broadcasting &Entertainment |  |            |   | 75,000 |      |  |   | 77,335       |  |  |   | 79,469    | 
|Laureate Education, Inc., 11.75%,8/15/17  ̈                                  |  |          | Education                   |  |            |   | 53,540 |      |  |   | 51,133       |  |  |   | 56,217    | 
|LVI Services, Inc., 17.25%, 11/16/12                                        |  |          | Environmental               |  |            |   | 51,061 |      |  |   | 51,061       |  |  |   | 15,000    | 
|MW Industries, Inc., 14.50%, 5/1/14                                         |  |          | Manufacturing               |  |            |   | 61,186 |      |  |   | 60,375       |  |  |   | 62,471    | 
|NCO Group Inc., 11.875%, 11/15/14                                           |  |          | Consumer Finance            |  |            |   | 22,630 |      |  |   | 18,974       |  |  |   | 21,758    | 
|N.E.W. Holdings I, LLC, L+750, 3/23/17                                      |  |          | Consumer Services           |  |            |   | 40,000 |      |  |   | 40,000       |  |  |   | 39,600    | 
|Nielsen Finance LLC, 0% / 12.50%, 8/1/16                                    |  |          | Market Research             |  |            |   | 61,000 |      |  |   | 54,275       |  |  |   | 58,255    | 
|Pacific Crane Maintenance Company, L.P., 15.00%, 2/15/14 ***                |  |          | Machinery                   |  |            |   | 50,172 |      |  |   | 36,825       |  |  |   | 1,505     | 
|PBM Holdings, Inc., 13.50%, 9/29/13                                         |  |          | Beverage, Food &Tobacco     |  |            |   | 17,723 |      |  |   | 17,723       |  |  |   | 18,210    | 
|Playpower Holdings Inc., 15.50%,12/31/12  ̈                                  |  |          | Leisure Equipment           |  |            |   | 97,184 |      |  |   | 97,184       |  |  |   | 82,325    | 
|Ranpak Holdings, Inc., 15.00%, 12/27/15                                     |  |          | Packaging                   |  |            |   | 67,643 |      |  |   | 67,643       |  |  |   | 68,557    | 
|RSA Holdings Corp. of Delaware (American Safety Razor), 13.50%, 1/30/15 *** |  |          | Consumer Products           |  |            |   | 57,351 |      |  |   | 55,479       |  |  |   | 6,882     | 
|Sorenson Communications, Inc., 10.50%,2/1/15  ̈                              |  |          | Consumer Services           |  |            |   | 32,500 |      |  |   | 31,901       |  |  |   | 31,444    | 
|SquareTwo Financial Corp. (Collect America, Ltd.), 11.625%, 4/1/17  ̈        |  |          | Consumer Finance            |  |            |   | 55,000 |      |  |   | 54,046       |  |  |   | 54,046    | 
|The Servicemaster Company, 10.75%,7/15/15  ̈                                 |  |          | Diversified Service         |  |            |   | 52,173 |      |  |   | 49,286       |  |  |   | 55,580    | 
|TL Acquisitions, Inc. (Cengage Learning), 13.25%, 7/15/15  ̈                |  |          | Education                   |  |            |   | 72,500 |      |  |   | 72,253       |  |  |   | 70,748    | 
|TL Acquisitions, Inc. (Cengage Learning), 10.50%, 1/15/15  ̈                |  |          | Education                   |  |            |   | 22,000 |      |  |   | 20,681       |  |  |   | 21,065    | 
|US Foodservice, 10.25%, 6/30/15  ̈                                           |  |          | Beverage, Food &Tobacco     |  |            |   | 81,543 |      |  |   | 62,034       |  |  |   | 84,498    | 
|Varietal Distribution, 10.75%, 6/30/17                                      |  |          | Distribution                |  |            |   | 22,204 |      |  |   | 21,664       |  |  |   | 20,983    | 
|                                                                            |  |          |                             |  |            |   |        |      |  |   |              |  |  |   |           | 
|Total Subordinated Debt/Corporate Notes                                     |  |          |                             |  |            |   |        |      |  | $ | 1,762,540    |  |  | $ | 1,649,447 | 
|                                                                            |  |          |                             |  |            |   |        |      |  |   |              |  |  |   |           | 
|TOTAL CORPORATE DEBT                                                        |  |          |                             |  |            |   |        |      |  | $ | 2,554,759    |  |  | $ | 2,432,294 | 
|                                                                            |  |          |                             |  |            |   |        |      |  |   |              |  |  |   |           | 



See notes to financial statements.



19



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (continued)

March 31, 2010

(in thousands, except shares)



|                                                                                     |  |          |                     |  |            |   |            |      |  |   |              |  |  |   |        | 
|------------------------------------------------------------------------------------ |  | -------- | ------------------- |  | ---------- | - | ---------- | ---- |  | - | ------------ |  |  | - | ------ | 
|INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED PORTFOLIO COMPANIES  151.1%            |  | Industry |                     |  | ParAmount* |   |            | Cost |  |   | FairValue(1) | 
|COLLATERALIZED LOAN OBLIGATIONS  1.5%                                               |  |          |                     |  |            |   |            |      |  |   |              |  |  |   |        | 
|Babson CLO Ltd., Series 2008-2A Class E, L+975, 7/15/18  ̈                            |  |          | Asset Management    |  |            | $ | 11,000     |      |  | $ | 10,097       |  |  | $ | 10,690 | 
|Babson CLO Ltd., Series 2008-1A Class E, L+550, 7/20/18  ̈                            |  |          | Asset Management    |  |            |   | 10,366     |      |  |   | 7,676        |  |  |   | 8,420  | 
|Westbrook CLO Ltd., Series 2006-1A, L+370, 12/20/20  ̈                                |  |          | Asset Management    |  |            |   | 11,000     |      |  |   | 6,684        |  |  |   | 6,756  | 
|                                                                                     |  |          |                     |  |            |   |            |      |  |   |              |  |  |   |        | 
|TOTAL COLLATERALIZED LOAN OBLIGATIONS                                                |  |          |                     |  |            |   |            |      |  | $ | 24,457       |  |  | $ | 25,866 | 
|                                                                                     |  |          |                     |  |            |   |            |      |  |   |              |  |  |   |        | 
|                                                                                     |  |          |                     | 
|                                                                                     |  |          |                     |  | Shares     |   |            |      |  |   |              | 
|PREFERRED EQUITY  1.6%                                                              |  |          |                     |  |            |   |            |      |  |   |              |  |  |   |        | 
|AHC Mezzanine LLC (Advanstar) **                                                     |  |          | Media               |  |            |   | 1          |      |  | $ | 1,063        |  |  | $ | 298    | 
|CA Holding, Inc. (Collect America, Ltd.) Series A                                    |  |          | Consumer Finance    |  |            |   | 7,961      |      |  |   | 788          |  |  |   | 1,592  | 
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), 13.50%, 5/12/14      |  |          | Education           |  |            |   | 12,360     |      |  |   | 19,286       |  |  |   | 19,443 | 
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), 12.50% (Convertible) |  |          | Education           |  |            |   | 332,500    |      |  |   | 5,364        |  |  |   | 5,360  | 
|Varietal Distribution Holdings, LLC, 8.00%                                           |  |          | Distribution        |  |            |   | 3,097      |      |  |   | 3,852        |  |  |   | 1,907  | 
|                                                                                     |  |          |                     |  |            |   |            |      |  |   |              |  |  |   |        | 
|TOTAL PREFERRED EQUITY                                                               |  |          |                     |  |            |   |            |      |  | $ | 30,353       |  |  | $ | 28,600 | 
|                                                                                     |  |          |                     |  |            |   |            |      |  |   |              |  |  |   |        | 
|EQUITY  10.8%                                                                       |  |          |                     |  |            |   |            |      |  |   |              |  |  |   |        | 
|Common Equity/Interests  10.4%                                                      |  |          |                     |  |            |   |            |      |  |   |              |  |  |   |        | 
|AB Capital Holdings LLC (Allied Security) **                                         |  |          | Business Services   |  |            |   | 2,000,000  |      |  | $ | 2,000        |  |  | $ | 2,628  | 
|A-D Conduit Holdings, LLC (Duraline) **                                              |  |          | Telecommunications  |  |            |   | 2,778      |      |  |   | 2,778        |  |  |   | 4,381  | 
|CA Holding, Inc. (Collect America, Ltd.)Series A **                                  |  |          | Consumer Finance    |  |            |   | 25,000     |      |  |   | 2,500        |  |  |   | 1,771  | 
|CA Holding, Inc. (Collect America, Ltd.)Series AA **                                 |  |          | Consumer Finance    |  |            |   | 4,294      |      |  |   | 429          |  |  |   | 859    | 
|Clothesline Holdings, Inc. (Angelica) **                                             |  |          | Healthcare          |  |            |   | 6,000      |      |  |   | 6,000        |  |  |   | 8,901  | 
|Explorer Coinvest LLC (Booz Allen)                                                   |  |          | Consulting Services |  |            |   | 430        |      |  |   | 4,300        |  |  |   | 8,849  | 
|FSC Holdings Inc. (Hanley Wood LLC) **                                               |  |          | Media               |  |            |   | 10,000     |      |  |   | 10,000       |  |  |   | 167    | 
|Garden Fresh Restaurant Holding, LLC **                                              |  |          | Retail              |  |            |   | 50,000     |      |  |   | 5,000        |  |  |   | 11,455 | 
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.) **                    |  |          | Education           |  |            |   | 17,500     |      |  |   | 175          |  |  |   | 4,014  | 
|GS Prysmian Co-Invest L.P. (Prysmian Cables & Systems)(5,6)                          |  |          | Industrial          |  |            |   | 1          |      |  |   |             |  |  |   | 385    | 
|LVI Acquisition Corp. (LVI Services, Inc.) **                                        |  |          | Environmental       |  |            |   | 6,250      |      |  |   | 2,500        |  |  |   |       | 
|MEG Energy Corp.(7)                                                                  |  |          | Oil & Gas           |  |            |   | 2,176,722  |      |  |   | 55,006       |  |  |   | 88,202 | 
|New Omaha Holdings Co-Invest LP (First Data) **                                      |  |          | Financial Services  |  |            |   | 13,000,000 |      |  |   | 65,000       |  |  |   | 31,590 | 



See notes to financial statements.



20



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (continued)

March 31, 2010

(in thousands, except shares and warrants)



|                                                                                       |  |          |                  |  |          |  |         |      |  |   |              |  |  |   |           | 
|-------------------------------------------------------------------------------------- |  | -------- | ---------------- |  | -------- |  | ------- | ---- |  | - | ------------ |  |  | - | --------- | 
|INVESTMENTS IN NON-CONTROLLED/NON-AFFILIATED PORTFOLIO COMPANIES  151.1%              |  | Industry |                  |  | Shares   |  |         | Cost |  |   | FairValue(1) | 
|Common Equity/Interests  (continued)                                                  |  |          |                  |  |          |  |         |      |  |   |              |  |  |   |           | 
|PCMC Holdings, LLC (Pacific Crane) **                                                  |  |          | Machinery        |  |          |  | 50,000  |      |  | $ | 4,000        |  |  | $ |          | 
|Penton Business Media Holdings, LLC                                                    |  |          | Media            |  |          |  | 124     |      |  |   | 4,950        |  |  |   | 4,950     | 
|Pro Mach Co-Investment, LLC **                                                         |  |          | Machinery        |  |          |  | 150,000 |      |  |   | 1,500        |  |  |   | 4,200     | 
|RC Coinvestment, LLC (Ranpak Corp.) **                                                 |  |          | Packaging        |  |          |  | 50,000  |      |  |   | 5,000        |  |  |   | 5,088     | 
|Sorenson Communications Holdings, LLC Class A                                          |  |          | ConsumerServices |  |          |  | 454,828 |      |  |   | 45           |  |  |   | 6,080     | 
|Varietal Distribution Holdings, LLCClass A **                                          |  |          | Distribution     |  |          |  | 28,028  |      |  |   | 28           |  |  |   |          | 
|                                                                                       |  |          |                  |  |          |  |         |      |  |   |              |  |  |   |           | 
|Total Common Equity/Interests                                                          |  |          |                  |  |          |  |         |      |  | $ | 171,211      |  |  | $ | 183,520   | 
|                                                                                       |  |          |                  |  |          |  |         |      |  |   |              |  |  |   |           | 
|                                                                                       |  |          |                  | 
|                                                                                       |  |          |                  |  | Warrants |  |         |      |  |   |              | 
|Warrants  0.4%                                                                        |  |          |                  |  |          |  |         |      |  |   |              |  |  |   |           | 
|CA Holding, Inc. (Collect America, Ltd.), Common                                       |  |          | Consumer Finance |  |          |  | 7,961   |      |  | $ | 8            |  |  |   |          | 
|Fidji Luxco (BC) S.C.A., Common (FCI)(5) **                                            |  |          | Electronics      |  |          |  | 48,769  |      |  |   | 491          |  |  | $ | 2,939     | 
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), Common **              |  |          | Education        |  |          |  | 9,820   |      |  |   | 98           |  |  |   | 2,252     | 
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), Class A-1 Preferred ** |  |          | Education        |  |          |  | 45,947  |      |  |   | 460          |  |  |   | 741       | 
|Gryphon Colleges Corporation (Delta Educational Systems, Inc.), Class B-1 Preferred ** |  |          | Education        |  |          |  | 104,314 |      |  |   | 1,043        |  |  |   | 1,681     | 
|                                                                                       |  |          |                  |  |          |  |         |      |  |   |              |  |  |   |           | 
|Total Warrants                                                                         |  |          |                  |  |          |  |         |      |  | $ | 2,100        |  |  | $ | 7,613     | 
|                                                                                       |  |          |                  |  |          |  |         |      |  |   |              |  |  |   |           | 
|TOTAL EQUITY                                                                           |  |          |                  |  |          |  |         |      |  | $ | 173,311      |  |  | $ | 191,133   | 
|                                                                                       |  |          |                  |  |          |  |         |      |  |   |              |  |  |   |           | 
|Total Investments in Non-Controlled/ Non-Affiliated Portfolio Companies                |  |          |                  |  |          |  |         |      |  | $ | 2,782,880    |  |  | $ | 2,677,893 | 
|                                                                                       |  |          |                  |  |          |  |         |      |  |   |              |  |  |   |           | 



See notes to financial statements.



21



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (continued)

March 31, 2010

(in thousands, except shares and warrants)



|                                                                      |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|--------------------------------------------------------------------- |  | -------- | ---------- |  | ---------- | - | --------- | ---- |  | - | ------------ |  |  | - | ------ | 
|INVESTMENTS IN NON-CONTROLLED/AFFILIATEDPORTFOLIO COMPANIES  4.7%(8) |  | Industry |            |  | ParAmount* |   |           | Cost |  |   | FairValue(1) | 
|CORPORATE DEBT  4.0%                                                 |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|BANK DEBT/SENIOR SECURED LOANS  3.4%(2)                              |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|1st Lien Bank Debt/Senior Secured Loans  0.1%                        |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|Gray Wireline Service, Inc., 10/22/12                                 |  |          | Oil & Gas  |  |            | $ | 1,000     |      |  | $ | 1,000        |  |  | $ | 1,000  | 
|                                                                      |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|2nd Lien Bank Debt/Senior Secured Loans  3.3%                        |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|Gray Wireline Service, Inc., 14.00%, 10/22/12                         |  |          | Oil & Gas  |  |            | $ | 77,554    |      |  | $ | 77,554       |  |  | $ | 59,251 | 
|                                                                      |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|TOTAL BANK DEBT/SENIOR SECURED LOANS                                  |  |          |            |  |            |   |           |      |  | $ | 78,554       |  |  | $ | 60,251 | 
|                                                                      |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|Subordinated Debt/Corporate Notes  0.6%                              |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|DSI Renal Inc., 17.00%, 4/7/14                                        |  |          | Healthcare |  |            | $ | 9,860     |      |  | $ | 9,860        |  |  | $ | 10,057 | 
|                                                                      |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|TOTAL CORPORATE DEBT                                                  |  |          |            |  |            |   |           |      |  | $ | 88,414       |  |  | $ | 70,308 | 
|                                                                      |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|                                                                      |  |          |            | 
|                                                                      |  |          |            |  | Shares     |   |           |      |  |   |              | 
|EQUITY  0.7%                                                         |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|Common Equity/Interests  0.6%                                        |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|CDSI I Holding Company, Inc. (DSI Renal Inc.)                         |  |          | Healthcare |  |            |   | 9,303     |      |  | $ | 9,300        |  |  | $ | 10,206 | 
|Gray Energy Services, LLC Class H (Gray Wireline) **                  |  |          | Oil & Gas  |  |            |   | 1,081     |      |  |   | 2,000        |  |  |   |       | 
|                                                                      |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|Total Common Equity/Interests                                         |  |          |            |  |            |   |           |      |  | $ | 11,300       |  |  | $ | 10,206 | 
|                                                                      |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|                                                                      |  |          |            | 
|                                                                      |  |          |            |  | Warrants   |   |           |      |  |   |              | 
|Warrants  0.1%                                                       |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|CDSI I Holding Company, Inc. Series A (DSI Renal Inc.)                |  |          | Healthcare |  |            |   | 2,031     |      |  | $ | 773          |  |  | $ | 854    | 
|CDSI I Holding Company, Inc. Series B (DSI Renal Inc.)                |  |          | Healthcare |  |            |   | 2,031     |      |  |   | 645          |  |  |   | 693    | 
|CDSI I Holding Company, Inc. (DSI Renal Inc.) §                       |  |          | Healthcare |  |            |   | 6,093,750 |      |  |   | 1,003        |  |  |   | 1,075  | 
|Gray Holdco, Inc. (Gray Wireline)                                     |  |          | Oil & Gas  |  |            |   | 3,559     |      |  |   |             |  |  |   |       | 
|                                                                      |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|Total Warrants                                                        |  |          |            |  |            |   |           |      |  | $ | 2,421        |  |  | $ | 2,622  | 
|                                                                      |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|TOTAL EQUITY                                                          |  |          |            |  |            |   |           |      |  | $ | 13,721       |  |  | $ | 12,828 | 
|                                                                      |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 
|Total Investments in Non-Controlled/Affiliated Portfolio Companies    |  |          |            |  |            |   |           |      |  | $ | 102,135      |  |  | $ | 83,136 | 
|                                                                      |  |          |            |  |            |   |           |      |  |   |              |  |  |   |        | 



See notes to financial statements.



22



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (continued)

March 31, 2010

(in thousands, except shares)



|                                                                 |  |          |                              |  |            |   |            |      |  |   |              |  |  |   |            |  
|---------------------------------------------------------------- |  | -------- | ---------------------------- |  | ---------- | - | ---------- | ---- |  | - | ------------ |  |  | - | ---------- | -
|INVESTMENTS IN CONTROLLED
PORTFOLIO COMPANIES  5.2%(9)          |  | Industry |                              |  | Shares     |   |            | Cost |  |   | FairValue(1) | 
|Preferred Equity  0.3%                                          |  |          |                              |  |            |   |            |      |  |   |              |  |  |   |            |  
|Grand Prix Holdings, LLC Series A, 12.00% (Innkeepers USA) ***   |  |          | Hotels, Motels, Inns& Gaming |  |            |   | 2,989,431  |      |  | $ | 101,346      |  |  | $ | 5,268      |  
|                                                                 |  |          |                              |  |            |   |            |      |  |   |              |  |  |   |            |  
|EQUITY                                                           |  |          |                              |  |            |   |            |      |  |   |              |  |  |   |            |  
|Common Equity/Interests  4.9%                                   |  |          |                              |  |            |   |            |      |  |   |              |  |  |   |            |  
|AIC Credit Opportunity Fund LLC(10)                              |  |          | Asset Management             |  |            |   |            |      |  | $ | 70,041       |  |  | $ | 73,514     |  
|Generation Brands Holdings, Inc. (Quality Home Brands)           |  |          | Consumer Products            |  |            |   | 750        |      |  |   |             |  |  |   | 230        |  
|Generation Brands Holdings, Inc. Series H (Quality Home Brands)  |  |          | Consumer Products            |  |            |   | 7,500      |      |  |   | 2,297        |  |  |   | 2,297      |  
|Generation Brands Holdings, Inc. Series 2L (Quality Home Brands) |  |          | Consumer Products            |  |            |   | 36,700     |      |  |   | 11,242       |  |  |   | 11,242     |  
|Grand Prix Holdings, LLC (Innkeepers USA) **                     |  |          | Hotels, Motels, Inns& Gaming |  |            |   | 17,335,834 |      |  |   | 172,664      |  |  |   |           |  
|                                                                 |  |          |                              |  |            |   |            |      |  |   |              |  |  |   |            |  
|Total Common Equity/Interests                                    |  |          |                              |  |            |   |            |      |  | $ | 256,244      |  |  | $ | 87,283     |  
|                                                                 |  |          |                              |  |            |   |            |      |  |   |              |  |  |   |            |  
|TOTAL EQUITY                                                     |  |          |                              |  |            |   |            |      |  | $ | 256,244      |  |  | $ | 87,283     |  
|                                                                 |  |          |                              |  |            |   |            |      |  |   |              |  |  |   |            |  
|Total Investments in Controlled Portfolio Companies              |  |          |                              |  |            |   |            |      |  | $ | 357,590      |  |  | $ | 92,551     |  
|                                                                 |  |          |                              |  |            |   |            |      |  |   |              |  |  |   |            |  
|Total Investments  161.0%(11)                                   |  |          |                              |  |            |   |            |      |  | $ | 3,242,605    |  |  | $ | 2,853,580  |  
|                                                                 |  |          |                              |  |            |   |            |      |  |   |              |  |  |   |            |  
|                                                                 |  |          |                              | 
|                                                                 |  |          |                              |  | ParAmount* |   |            |      |  |   |              | 
|CASH EQUIVALENTS  25.3%                                         |  |          |                              |  |            |   |            |      |  |   |              |  |  |   |            |  
|U.S. Treasury Bill, 0.13%, 7/1/10                                |  |          | Government                   |  |            | $ | 450,000    |      |  | $ | 449,852      |  |  | $ | 449,828    |  
|                                                                 |  |          |                              |  |            |   |            |      |  |   |              |  |  |   |            |  
|Total Investments and Cash Equivalents  186.3%                  |  |          |                              |  |            |   |            |      |  | $ | 3,692,457    |  |  | $ | 3,303,408  |  
|Liabilities in Excess of Other Assets  (86.3%)                  |  |          |                              |  |            |   |            |      |  |   |              |  |  |   | (1,530,602 | )
|                                                                 |  |          |                              |  |            |   |            |      |  |   |              |  |  |   |            |  
|Net Assets  100.0%                                              |  |          |                              |  |            |   |            |      |  |   |              |  |  | $ | 1,772,806  |  
|                                                                 |  |          |                              |  |            |   |            |      |  |   |              |  |  |   |            |  



See notes to financial
statements.



23



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (continued)

March 31, 2010

(in thousands)





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

|(2) | Includes floating rate instruments that accrue interest at a predetermined spread relative to an index, typically the LIBOR (London Inter-bank Offered Rate), EURIBOR
(Euro Inter-bank Offered Rate), GBP LIBOR (London Inter-bank Offered Rate for British Pounds), or the prime rate. At March 31, 2010, the range of interest rates on floating rate bank debt was 4.59% to 10.50%.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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

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

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

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

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

|(8) | Denotes investments in which we are an Affiliated Person, as defined in the 1940 Act, due to owning, controlling, or holding the power to vote, 5% or more
of the outstanding voting securities of the investment. Transactions during the fiscal year ended March 31, 2010 in these Affiliated investments are as follows:
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|                                                          |  |                             |       |  |                |   |         |                 |  |   |                         |  |  |                             |       |  |  |   |        | 
|--------------------------------------------------------- |  | --------------------------- | ----- |  | -------------- | - | ------- | --------------- |  | - | ----------------------- |  |  | --------------------------- | ----- |  |  | - | ------ | 
|Name of Issuer                                            |  | Fair Value atMarch 31, 2009 |       |  | GrossAdditions |   |         | GrossReductions |  |   | Interest/DividendIncome |  |  | Fair Value atMarch 31, 2010 |      
|Gray Wireline Service, Inc. 1st Out                       |  | $                           |      |  |                | $ | 1,000   |                 |  | $ |                        |  |  | $                           | 5     |  |  | $ | 1,000  | 
|Gray Wireline Service, Inc. 2nd Out                       |  |                             |      |  |                |   | 77,554  |                 |  |   |                        |  |  |                             | 633   |  |  |   | 59,251 | 
|DSI Renal, Inc., 17.00%                                   |  |                             |      |  |                |   | 9,860   |                 |  |   |                        |  |  |                             | 364   |  |  |   | 10,057 | 
|CDSI I Holding Company, Inc. Common Equity                |  |                             |      |  |                |   | 9,300   |                 |  |   |                        |  |  |                             |      |  |  |   | 10,206 | 
|Gray Energy Services, LLC Class H Common Equity           |  |                             | 3,590 |  |                |   |        |                 |  |   |                        |  |  |                             |      |  |  |   |       | 
|CDSI I Holding Company, Inc. Series A Warrant             |  |                             |      |  |                |   | 773     |                 |  |   |                        |  |  |                             |      |  |  |   | 854    | 
|CDSI I Holding Company, Inc. Series B Warrant             |  |                             |      |  |                |   | 645     |                 |  |   |                        |  |  |                             |      |  |  |   | 693    | 
|CDSI I Holding Company, Inc. Contingent Payment Agreement |  |                             |      |  |                |   | 1,003   |                 |  |   |                        |  |  |                             |      |  |  |   | 1,075  | 
|Gray Holdco, Inc. Warrant                                 |  |                             |      |  |                |   |        |                 |  |   |                        |  |  |                             |      |  |  |   |       | 
|                                                          |  |                             |       |  |                |   |         |                 |  |   |                         |  |  |                             |       |  |  |   |        | 
|                                                          |  | $                           | 3,590 |  |                | $ | 100,135 |                 |  | $ |                        |  |  | $                           | 1,002 |  |  | $ | 83,136 | 
|                                                          |  |                             |       |  |                |   |         |                 |  |   |                         |  |  |                             |       |  |  |   |        | 

|(9) | 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. Transactions during the fiscal year ended March 31, 2010 in these Controlled investments are
as follows:
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|                                                         |  |                             |         |  |                |   |        |                 |  |   |                         |  |  |                             |        |  |  |   |        | 
|-------------------------------------------------------- |  | --------------------------- | ------- |  | -------------- | - | ------ | --------------- |  | - | ----------------------- |  |  | --------------------------- | ------ |  |  | - | ------ | 
|Name of Issuer                                           |  | Fair Value atMarch 31, 2009 |         |  | GrossAdditions |   |        | GrossReductions |  |   | Interest/DividendIncome |  |  | Fair Value atMarch 31, 2010 |       
|Grand Prix Holdings, LLC Series A Preferred              |  | $                           | 76,557  |  |                | $ | 11,272 |                 |  | $ |                        |  |  | $                           | 9,351  |  |  | $ | 5,268  | 
|AIC Credit Opportunity Fund LLC Common Equity (10)       |  |                             | 57,294  |  |                |   | 11,854 |                 |  |   | 21,190                  |  |  |                             | 11,309 |  |  |   | 73,514 | 
|Generation Brands Holdings, Inc. Common Equity           |  |                             |        |  |                |   |       |                 |  |   |                        |  |  |                             |       |  |  |   | 230    | 
|Generation Brands Holdings, Inc. Series H Common Equity  |  |                             |        |  |                |   | 2,297  |                 |  |   |                        |  |  |                             |       |  |  |   | 2,297  | 
|Generation Brands Holdings, Inc. Series 2L Common Equity |  |                             |        |  |                |   | 11,242 |                 |  |   |                        |  |  |                             |       |  |  |   | 11,242 | 
|Grand Prix Holdings, LLC Common Equity                   |  |                             | 7,570   |  |                |   |       |                 |  |   |                        |  |  |                             |       |  |  |   |       | 
|                                                         |  |                             |         |  |                |   |        |                 |  |   |                         |  |  |                             |        |  |  |   |        | 
|                                                         |  | $                           | 141,421 |  |                | $ | 36,665 |                 |  | $ | 21,190                  |  |  | $                           | 20,660 |  |  | $ | 92,551 | 
|                                                         |  |                             |         |  |                |   |        |                 |  |   |                         |  |  |                             |        |  |  |   |        | 



See notes to financial
statements.



24



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (continued)

March 31, 2010

(in thousands)



The Company has a 99%, 100%, and 27% equity ownership interest in Grand Prix Holdings LLC, AIC Credit Opportunity Fund LLC, and Generation Brands
Holdings, Inc., respectively.



|(10) | See note 6.
|---- | -----------

|(11) | Aggregate gross unrealized appreciation for federal income tax purposes is $164,234; aggregate gross unrealized depreciation for federal income tax purposes is
$524,226. Net unrealized depreciation is $359,992 based on a tax cost of $3,663,400.
|---- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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

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

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

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

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

|§ | Position reflects a contingent payment agreement.
|- | -------------------------------------------------



See notes to financial statements.



25



---

##### Table of Contents



APOLLO
INVESTMENT CORPORATION

SCHEDULE OF INVESTMENTS (continued)



|                              |  |                                                                   |       |  
|----------------------------- |  | ----------------------------------------------------------------- | ----- | -
|Industry Classification       |  | Percentage of TotalInvestments (atfair value) as ofMarch 31,
2010 |      
|Education                     |  |                                                                   | 10.1  | %
|Healthcare                    |  |                                                                   | 6.8   | %
|Insurance                     |  |                                                                   | 6.3   | %
|Business Services             |  |                                                                   | 6.1   | %
|Diversified Service           |  |                                                                   | 5.9   | %
|Retail                        |  |                                                                   | 5.6   | %
|Oil & Gas                     |  |                                                                   | 5.2   | %
|Packaging                     |  |                                                                   | 5.1   | %
|Financial Services            |  |                                                                   | 4.8   | %
|Broadcasting & Entertainment  |  |                                                                   | 3.8   | %
|Beverage, Food & Tobacco      |  |                                                                   | 3.6   | %
|Asset Management              |  |                                                                   | 3.5   | %
|Manufacturing                 |  |                                                                   | 3.2   | %
|Telecommunications            |  |                                                                   | 3.0   | %
|Grocery                       |  |                                                                   | 2.9   | %
|Leisure Equipment             |  |                                                                   | 2.9   | %
|Transportation                |  |                                                                   | 2.9   | %
|Consumer Finance              |  |                                                                   | 2.8   | %
|Consumer Services             |  |                                                                   | 2.7   | %
|Industrial                    |  |                                                                   | 2.1   | %
|Electronics                   |  |                                                                   | 2.1   | %
|Market Research               |  |                                                                   | 2.0   | %
|Environmental                 |  |                                                                   | 1.4   | %
|Logistics                     |  |                                                                   | 1.2   | %
|Consulting Services           |  |                                                                   | 1.2   | %
|Distribution                  |  |                                                                   | 0.8   | %
|Consumer Products             |  |                                                                   | 0.7   | %
|Building Products             |  |                                                                   | 0.5   | %
|Publishing                    |  |                                                                   | 0.2   | %
|Machinery                     |  |                                                                   | 0.2   | %
|Media                         |  |                                                                   | 0.2   | %
|Hotels, Motels, Inns & Gaming |  |                                                                   | 0.2   | %
|                              |  |                                                                   |       |  
|Total Investments             |  |                                                                   | 100.0 | %
|                              |  |                                                                   |       |  



See notes to financial
statements.



26



---

##### Table of Contents



APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited)

(in thousands except share and
per share amounts)

Note 1. Organization

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

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

Note 2. Significant Accounting Policies

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

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

The significant accounting policies consistently followed by Apollo Investment are:

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

(b) Under procedures established by our board of directors, we value investments, including certain senior secured debt,
subordinated debt and other debt securities with maturities greater than 60 days, for which market quotations are readily available, at such market quotations (unless they are deemed not to represent fair value). We attempt to obtain market
quotations from at least two brokers or dealers (if available, otherwise from a principal market maker or a primary market dealer or other independent pricing service). We utilize mid-market pricing as a practical expedient for fair value unless a
different point within the range is more representative. If and when market quotations are deemed not to represent fair value, we typically utilize independent third party valuation firms to assist us in determining fair value. Investments maturing
in 60 days or less are valued at cost plus accreted discount, or minus amortized premium, which approximates fair value. Investments that are not publicly traded or whose market quotations are not readily available are valued at fair value as
determined in good faith by or under the direction of our board of directors. Such determination of fair values may involve subjective judgments and estimates.

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

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



27



---

##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)





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

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

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

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

Investments in all asset classes are valued utilizing a market approach, an income
approach, or both approaches, as appropriate. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities (including a business). The income approach uses
valuation techniques to convert future amounts (for example, cash flows or earnings) to a single present amount (discounted). The measurement is based on the value indicated by current market expectations about those future amounts. In following
these approaches, the types of factors that we may take into account in fair value pricing our investments include, as relevant: available current market data, including relevant and applicable market trading and transaction comparables, applicable
market yields and multiples, security covenants, call protection provisions, information rights, the nature and realizable value of any collateral, the portfolio companys ability to make payments, its earnings and discounted cash flows, the
markets in which the portfolio company does business, comparisons of financial ratios of peer companies that are public, M&A comparables, our principal market (as the reporting entity) and enterprise values, among other factors. When readily
available, broker quotations and/or quotations provided by pricing services are considered in the valuation process of independent valuation firms. For the quarter ended September 30, 2010, there has been no change to the Companys
valuation techniques and related inputs considered in the valuation process.

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

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

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

Level 3: Unobservable
inputs for the asset or liability.

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



28



---

##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)





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

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

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

(e) The Company intends to comply with the applicable provisions of the Internal Revenue Code of
1986, as amended, pertaining to regulated investment companies to make distributions of taxable income sufficient to relieve it of substantially all Federal income taxes. The Company, at its discretion, may carry forward taxable income in excess of
calendar year distributions and pay a 4% excise tax on this income. The Company will accrue excise tax on estimated excess taxable income as required.

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

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

(h) In accordance with Regulation S-X and the AICPA Audit and Accounting Guide for Investment Companies and ASC
810Consolidation, the Company generally will not consolidate its interest in any company other than in investment company subsidiaries and controlled operating companies substantially all of whose business consists of providing services
to the Company. Consequently, the Company generally will not consolidate special purpose entities through which the special purpose entity acquires and holds investments subject to financing with third parties. At September 30, 2010, the
Company did not have any such subsidiaries or controlled operating companies that were consolidated. See note 6. In addition and



29



---

##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



pursuant to ASC 860Transfers and Servicing, the Company may in the future need to consolidate certain special purpose entities involving transfers of our portfolio investments.

(i) The accounting records of the Company are maintained in U.S. dollars. All assets and liabilities
denominated in foreign currencies are translated into U.S. dollars based on the rate of exchange of such currencies against U.S. dollars on the date of valuation. The Company does not isolate that portion of the results of operations resulting from
changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. The Companys
investments in foreign securities may involve certain risks, including without limitation: foreign exchange restrictions, expropriation, taxation or other political, social or economic risks, all of which could affect the market and/or credit risk
of the investment. In addition, changes in the relationship of foreign currencies to the U.S. dollar can significantly affect the value of these investments and therefore the earnings of the Company.

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

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

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

(m) Loans and other investments, including certain preferred equity investments are generally placed on
non-accrual status when principal or interest/dividend payments are past due 30 days or more and/or when there is reasonable doubt that principal or interest will be collected. Accrued, uncapitalized interest or dividends is generally reversed when
an investment is placed on non-accrual status. Interest or dividend payments received on non-accrual designated investments may be recognized as income or applied to principal depending upon managements judgment. Non-accrual investments are
restored to accrual status when past due principal and interest or dividends are paid and/or in managements judgment, are likely to remain current. To the extent PIK interest or dividends are not expected to be realized, a reserve will be
established as required by the AICPA Audit and Accounting Guide for Investment Companies.

(n) The Company
defines cash equivalents as securities that are readily convertible into known amounts of cash and so near their maturity that they present insignificant risk of changes in value because of changes in interest rates. Generally, only securities with
a maturity of three months or less from the date of purchase would qualify, with limited exceptions. The Company deems that certain U.S. Treasury bills, repurchase agreements and other high-quality, short-term debt securities would qualify as cash
equivalents.

Note 3. Agreements

Apollo Investment has an Investment Advisory and Management Agreement with Apollo Investment Management, L.P. (the Investment Adviser or AIM), under which the Investment Adviser,
subject to the overall supervision of Apollo Investments board of directors, will manage the day-to-day operations of, and provide investment advisory services to, Apollo Investment. For providing these services, the Investment Adviser
receives a fee from Apollo Investment, consisting of two componentsa base management fee and a performance-based incentive fee. The base management fee is determined by taking the average value of Apollo Investments gross assets at the
end of the two most recently completed calendar quarters calculated at an annual



30



---

##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



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

For the three and six months ended September 30, 2010, the Company accrued
$15,030 and $29,584, respectively, in base management fees and $12,545 and $22,752, respectively, in performance-based incentive fees. For the three and six months ended September 30, 2009, the Company accrued $13,214 and $25,936, respectively,
in base management fees and $12,848 and $25,180, respectively, in performance-based incentive fees.

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

For the three and six months ended September 30, 2010, the Company
accrued expenses under the Administration Agreement of $1,412 and $2,808, respectively. For the three and six months ended September 30, 2009, the Company accrued expenses under the Administration Agreement of $1,198 and $2,507, respectively.



31



---

##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)





On December 21, 2009, Apollo
Investment amended its Amended and Restated Senior Secured Revolving Credit Agreement dated March 31, 2006 (the Facility), among Apollo Investment, the lenders party thereto and JPMorgan Chase Bank, N.A. (JPMorgan), as
administrative agent for the lenders. The amendment extended the maturity date of certain lenders commitments totaling $1,178,750 until April 12, 2013, with the pricing reset to 300 basis points over LIBOR. Non-extended lenders whose
commitments will expire on April 13, 2011 totaled $380,000. Pricing with respect to the non-extended commitments remains at 100 basis points over LIBOR. The Facility permits Apollo Investment to seek additional commitments from new and existing
lenders in the future, up to an aggregate Facility size not to exceed $2,000,000. As of September 2010, Apollo Investment received an additional lender commitment with a maturity date of April 12, 2013 of $50,000 under the Facility. The
Facility is used to supplement Apollos equity capital to make additional portfolio investments and for general corporate purposes. From time to time, certain of the lenders provide customary commercial and investment banking services to Apollo
Investment and its affiliates. JPMorgan also serves as custodian and fund accounting agent for Apollo Investment.

Note 4. Net Asset
Value Per Share

At September 30, 2010, the Companys total net assets and net asset value per share were $1,862,314 and $9.58,
respectively. This compares to total net assets and net asset value per share at March 31, 2010 of $1,772,806 and $10.06, respectively.

Note 5. Earnings (Loss) Per Share

The following information sets forth the computation of basic and diluted earnings (loss) per share for the three and six months ended September 30,
2010 and September 30, 2009, respectively:



|                                                           |  |                                 |             |  |                               |   |             |      |  |   |             |   |  |   |             | 
|---------------------------------------------------------- |  | ------------------------------- | ----------- |  | ----------------------------- | - | ----------- | ---- |  | - | ----------- | - |  | - | ----------- | 
|                                                           |  | Three months endedSeptember 30, |             |  | Six months endedSeptember 30, |  
|                                                           |  | 2010                            |             |  | 2009                          |   |             | 2010 |  |   | 2009        |  
|Numerator for increase (decrease) in net assets per share: |  | $                               | 68,166      |  |                               | $ | 109,156     |      |  | $ | (16,144     | ) |  | $ | 193,631     | 
|Denominator for basic and diluted weighted average shares: |  |                                 | 194,460,328 |  |                               |   | 152,897,366 |      |  |   | 191,135,686 |   |  |   | 147,588,520 | 
|Basic and diluted earnings (loss) per share:               |  | $                               | 0.35        |  |                               | $ | 0.71        |      |  | $ | (0.08       | ) |  | $ | 1.31        | 

Note 6. Investments

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



32



---

##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



non-recourse obligation, Apollo FDC is exposed up to the amount of equity used by AIC Holdco to fund the purchase of the Junior Note plus any additional margin Apollo decides to post, if any,
during the term of the financing.

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

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

We do not consolidate AIC Holdco or its wholly owned subsidiaries and accordingly only the value of our investment in AIC Holdco is included on our statement of assets and liabilities. The Senior Note,
total return swap and Acquisition Loan are non-recourse to AIC Holdco, its subsidiaries and us and have standard events of default including failure to pay contractual amounts when due and failure by each of the underlying Apollo special purpose
entities to provide additional credit support, sell assets or prepay a portion of its obligations if the value of the FDC Reference Obligation, the TXU Reference Obligation or the Boots Reference Obligation, as applicable, declines below specified
levels. We may unwind any of these transactions at any time without penalty. From time to time Apollo Investment may provide additional capital to AIC Holdco for purposes of funding margin calls under one or more of the transactions described above
among other reasons. During the fiscal year ended March 31, 2009, we provided $18,480 in additional capital to AIC Holdco. During the fiscal year ended March 31, 2010, $9,336 of net capital was returned to us from AIC Holdco. During the
six months ended September 30, 2010, $1,700 of net capital was provided to AIC Holdco.



33



---

##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)





Investments consisted of the
following as of September 30, 2010 and March 31, 2010.



|                                  |  |                    |           |  |                |   |           |      |  |   |            |  |  |   |           | 
|--------------------------------- |  | ------------------ | --------- |  | -------------- | - | --------- | ---- |  | - | ---------- |  |  | - | --------- | 
|                                  |  | September 30, 2010 |           |  | March 31, 2010 |  
|                                  |  | Cost               |           |  | Fair Value     |   |           | Cost |  |   | Fair Value | 
|Bank Debt/Senior Secured Loans    |  | $                  | 941,520   |  |                | $ | 908,489   |      |  | $ | 870,773    |  |  | $ | 843,098   | 
|Subordinated Debt/Corporate Notes |  |                    | 1,797,290 |  |                |   | 1,717,879 |      |  |   | 1,772,400  |  |  |   | 1,659,504 | 
|Collateralized Loan Obligations   |  |                    | 24,509    |  |                |   | 25,366    |      |  |   | 24,457     |  |  |   | 25,866    | 
|Preferred Equity                  |  |                    | 133,676   |  |                |   | 31,158    |      |  |   | 131,699    |  |  |   | 33,868    | 
|Common Equity/Interests           |  |                    | 457,377   |  |                |   | 256,011   |      |  |   | 438,755    |  |  |   | 281,009   | 
|Warrants                          |  |                    | 4,519     |  |                |   | 13,067    |      |  |   | 4,521      |  |  |   | 10,235    | 
|Cash Equivalents                  |  |                    |          |  |                |   |          |      |  |   | 449,852    |  |  |   | 449,828   | 
|                                  |  |                    |           |  |                |   |           |      |  |   |            |  |  |   |           | 
|Totals                            |  | $                  | 3,358,891 |  |                | $ | 2,951,970 |      |  | $ | 3,692,457  |  |  | $ | 3,303,408 | 
|                                  |  |                    |           |  |                |   |           |      |  |   |            |  |  |   |           | 

At September 30, 2010, our investments were categorized as follows in the fair value hierarchy for ASC 820 purposes:



|                                       |  |                   |           |  |                                                            |   |        |                                           |  |   |                                        |  |  |   |           | 
|-------------------------------------- |  | ----------------- | --------- |  | ---------------------------------------------------------- | - | ------ | ----------------------------------------- |  | - | -------------------------------------- |  |  | - | --------- | 
|                                       |  |                   |           |  | Fair Value Measurement at Reporting Date Using:            |  
|Description                            |  | September 30,2010 |           |  | Quoted Prices inActive Marketsfor IdenticalAssets(Level 1) |   |        | SignificantOtherObservableInputs(Level 2) |  |   | SignificantUnobservableInputs(Level 3) | 
|Bank Debt/Senior Secured Loans         |  | $                 | 908,489   |  |                                                            | $ |       |                                           |  | $ |                                       |  |  | $ | 908,489   | 
|Subordinated Debt/Corporate Notes      |  |                   | 1,717,879 |  |                                                            |   |       |                                           |  |   |                                       |  |  |   | 1,717,879 | 
|Collateralized Loan Obligations        |  |                   | 25,366    |  |                                                            |   |       |                                           |  |   |                                       |  |  |   | 25,366    | 
|Preferred Equity                       |  |                   | 31,158    |  |                                                            |   |       |                                           |  |   |                                       |  |  |   | 31,158    | 
|Common Equity/Interests(1)             |  |                   | 256,011   |  |                                                            |   | 76,069 |                                           |  |   |                                       |  |  |   | 179,942   | 
|Warrants                               |  |                   | 13,067    |  |                                                            |   |       |                                           |  |   |                                       |  |  |   | 13,067    | 
|                                       |  |                   |           |  |                                                            |   |        |                                           |  |   |                                        |  |  |   |           | 
|Total Investments                      |  | $                 | 2,951,970 |  |                                                            | $ | 76,069 |                                           |  | $ |                                       |  |  | $ | 2,875,901 | 
|Cash Equivalents                       |  |                   |          |  |                                                            |   |       |                                           |  |   |                                       |  |  |   |          | 
|                                       |  |                   |           |  |                                                            |   |        |                                           |  |   |                                        |  |  |   |           | 
|Total Investments and Cash Equivalents |  | $                 | 2,951,970 |  |                                                            | $ | 76,069 |                                           |  | $ |                                       |  |  | $ | 2,875,901 | 
|                                       |  |                   |           |  |                                                            |   |        |                                           |  |   |                                        |  |  |   |           | 



|(1) | MEG Energy Corp. common stock was transferred from Level 3 to Level 1 due to its initial public offering. There were no other transfers into or out of Level 1, Level 2
or Level 3 during the period shown.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



34



---

##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)





At March 31, 2010, our
investments and cash equivalents were categorized as follows in the fair value hierarchy for ASC 820 purposes:



|                                       |  |               |           |  |                                                            |   |         |                                           |  |   |                                        |  |  |   |           | 
|-------------------------------------- |  | ------------- | --------- |  | ---------------------------------------------------------- | - | ------- | ----------------------------------------- |  | - | -------------------------------------- |  |  | - | --------- | 
|                                       |  |               |           |  | Fair Value Measurement at Reporting Date Using:            |  
|Description                            |  | March 31,2010 |           |  | Quoted Prices inActive Marketsfor IdenticalAssets(Level 1) |   |         | SignificantOtherObservableInputs(Level 2) |  |   | SignificantUnobservableInputs(Level 3) | 
|Bank Debt/Senior Secured Loans         |  | $             | 843,098   |  |                                                            | $ |        |                                           |  | $ |                                       |  |  | $ | 843,098   | 
|Subordinated Debt/Corporate Notes      |  |               | 1,659,504 |  |                                                            |   |        |                                           |  |   |                                       |  |  |   | 1,659,504 | 
|Collateralized Loan Obligations        |  |               | 25,866    |  |                                                            |   |        |                                           |  |   |                                       |  |  |   | 25,866    | 
|Preferred Equity                       |  |               | 33,868    |  |                                                            |   |        |                                           |  |   |                                       |  |  |   | 33,868    | 
|Common Equity/Interests                |  |               | 281,009   |  |                                                            |   |        |                                           |  |   |                                       |  |  |   | 281,009   | 
|Warrants                               |  |               | 10,235    |  |                                                            |   |        |                                           |  |   |                                       |  |  |   | 10,235    | 
|                                       |  |               |           |  |                                                            |   |         |                                           |  |   |                                        |  |  |   |           | 
|Total Investments                      |  | $             | 2,853,580 |  |                                                            | $ |        |                                           |  | $ |                                       |  |  | $ | 2,853,580 | 
|Cash Equivalents                       |  |               | 449,828   |  |                                                            |   | 449,828 |                                           |  |   |                                       |  |  |   |          | 
|                                       |  |               |           |  |                                                            |   |         |                                           |  |   |                                        |  |  |   |           | 
|Total Investments and Cash Equivalents |  | $             | 3,308,408 |  |                                                            | $ | 449,828 |                                           |  | $ |                                       |  |  | $ | 2,853,580 | 
|                                       |  |               |           |  |                                                            |   |         |                                           |  |   |                                        |  |  |   |           | 



35



---

##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)





The following chart shows the
components of change in our investments categorized as Level 3, for the six months ended September 30, 2010.



|                                                                                                                                                                                                                                                                                                                 |  |                                                                          |          |   |                                 |   |           |                               |  |   |                 |   |  |                        |        |   |          |   |         |       |  |   |        |  |  |   |           |  
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ------------------------------------------------------------------------ | -------- | - | ------------------------------- | - | --------- | ----------------------------- |  | - | --------------- | - |  | ---------------------- | ------ | - | -------- | - | ------- | ----- |  | - | ------ |  |  | - | --------- | -
|                                                                                                                                                                                                                                                                                                                 |  | Fair Value Measurements Using Significant Unobservable Inputs (Level 3)* |         
|                                                                                                                                                                                                                                                                                                                 |  | Bank Debt /Senior SecuredLoans                                           |          |   | SubordinatedDebt/CorporateNotes |   |           | CollateralizedLoanObligations |  |   | PreferredEquity |   |  | CommonEquity/Interests |        |   | Warrants |   |         | Total | 
|Beginning Balance, March 31, 2010                                                                                                                                                                                                                                                                                |  | $                                                                        | 843,098  |   |                                 | $ | 1,659,504 |                               |  | $ | 25,866          |   |  | $                      | 33,868 |   |          | $ | 281,009 |       |  | $ | 10,235 |  |  | $ | 2,853,580 |  
|Total realized gains or losses included in earnings                                                                                                                                                                                                                                                              |  |                                                                          | (821     | ) |                                 |   | (86,299   | )                             |  |   | 56              |   |  |                        |       |   |          |   |        |       |  |   |       |  |  |   | (87,064   | )
|Total unrealized gains or losses included in earnings                                                                                                                                                                                                                                                            |  |                                                                          | (5,355   | ) |                                 |   | 33,411    |                               |  |   | (553            | ) |  |                        | (4,686 | ) |          |   | (64,684 | )     |  |   | 2,832  |  |  |   | (39,035   | )
|Purchases, including capitalized PIK(1)                                                                                                                                                                                                                                                                          |  |                                                                          | 183,146  |   |                                 |   | 239,151   |                               |  |   | 213             |   |  |                        | 1,976  |   |          |   | 18,623  |       |  |   |       |  |  |   | 443,109   |  
|Sales                                                                                                                                                                                                                                                                                                            |  |                                                                          | (111,579 | ) |                                 |   | (127,888  | )                             |  |   | (216            | ) |  |                        |       |   |          |   |        |       |  |   |       |  |  |   | (239,683  | )
|Transfer in and/or out of Level 3(2)                                                                                                                                                                                                                                                                             |  |                                                                          |         |   |                                 |   |          |                               |  |   |                |   |  |                        |       |   |          |   | (55,006 | )     |  |   |       |  |  |   | (55,006   | )
|                                                                                                                                                                                                                                                                                                                 |  |                                                                          |          |   |                                 |   |           |                               |  |   |                 |   |  |                        |        |   |          |   |         |       |  |   |        |  |  |   |           |  
|Ending Balance, September 30, 2010                                                                                                                                                                                                                                                                               |  | $                                                                        | 908,489  |   |                                 | $ | 1,717,879 |                               |  | $ | 25,366          |   |  | $                      | 31,158 |   |          | $ | 179,942 |       |  | $ | 13,067 |  |  | $ | 2,875,901 |  
|                                                                                                                                                                                                                                                                                                                 |  |                                                                          |          |   |                                 |   |           |                               |  |   |                 |   |  |                        |        |   |          |   |         |       |  |   |        |  |  |   |           |  
|The amount of total gains or losses for the period included in earnings attributable to the change in unrealized gains or losses
relating to our Level 3 assets still held at the reporting date and reported within the net change in unrealized gains or losses on investments in our Statement of Operations. |  | $                                                                        | (5,806   | ) |                                 | $ | (35,717   | )                             |  | $ | (538            | ) |  | $                      | (4,686 | ) |          | $ | (31,488 | )     |  | $ | 2,831  |  |  | $ | (75,404   | )
|                                                                                                                                                                                                                                                                                                                 |  |                                                                          |          |   |                                 |   |           |                               |  |   |                 |   |  |                        |        |   |          |   |         |       |  |   |        |  |  |   |           |  



|(1) | Includes amortization of premium and/or discount of approximately $3,192, $12,358, $213, $96, $0, $0, and $15,859, respectively.
|--- | --------------------------------------------------------------------------------------------------------------------------------

|(2) | MEG Energy Corp. common stock was transferred from Level 3 to Level 1 due to its initial public offering. There were no other transfers into or out of Level 1, Level 2
or Level 3 during the period shown.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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



36



---

##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)





The following chart shows the
components of change in our investments categorized as Level 3, for the six months ended September 30, 2009.



|                                                                                                                                                                                                                                                                                                                 |   |                                                                         |           |   |        |        |         |                 |   |         |                               |   |   |       |        |   |   |         |           |  
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- | - | ----------------------------------------------------------------------- | --------- | - | ------ | ------ | ------- | --------------- | - | ------- | ----------------------------- | - | - | ----- | ------ | - | - | ------- | --------- | -
|                                                                                                                                                                                                                                                                                                                 |   | Fair Value Measurements Using Significant Unobservable Inputs(Level 3)* |          
|                                                                                                                                                                                                                                                                                                                 |   | CorporateDebt                                                           |           |   | Equity |        |         | PreferredEquity |   |         | CollateralizedLoanObligations |   |   | Total |       
|Beginning Balance, March 31, 2009                                                                                                                                                                                                                                                                               |   | $                                                                       | 2,072,680 |   |        | $      | 262,707 |                 |   | $       | 132,526                       |   |   | $     | 18,978 |   |   | $       | 2,486,891 |  
|Total realized gains or losses included in earnings                                                                                                                                                                                                                                                              |   |                                                                         | (101,596  | ) |        |        | 192     |                 |   |         |                              |   |   |       | 5      |   |   |         | (101,399  | )
|Total unrealized gains or losses included in earnings                                                                                                                                                                                                                                                            |   |                                                                         | 180,719   |   |        |        | 86,921  |                 |   |         | (49,563                       | ) |   |       | 3,144  |   |   |         | 221,221   |  
|Purchases, including capitalized PIK(1)                                                                                                                                                                                                                                                                          |   |                                                                         | 136,444   |   |        |        | 11,862  |                 |   |         | 10,504                        |   |   |       | 831    |   |   |         | 159,641   |  
|Sales                                                                                                                                                                                                                                                                                                            |   |                                                                         | (100,173  | ) |        |        | (19,858 | )               |   |         |                              |   |   |       | (54    | ) |   |         | (120,085  | )
|Transfer in and/or out of Level 3(2)                                                                                                                                                                                                                                                                             |   |                                                                         |          |   |        |        |        |                 |   |         |                              |   |   |       |       |   |   |         |          |  
|                                                                                                                                                                                                                                                                                                                 |   |                                                                         |           |   |        |        |         |                 |   |         |                               |   |   |       |        |   |   |         |           |  
|Ending Balance, September 30, 2009                                                                                                                                                                                                                                                                               |   | $                                                                       | 2,188,074 |   |        | $      | 341,824 |                 |   | $       | 93,467                        |   |   | $     | 22,904 |   |   | $       | 2,646,269 |  
|                                                                                                                                                                                                                                                                                                                 |   |                                                                         |           |   |        |        |         |                 |   |         |                               |   |   |       |        |   |   |         |           |  
|The amount of total gains or losses for the period included in earnings attributable to the change in unrealized
gains or losses relating to our Level 3 assets still held at the reporting date and reported within the net change in unrealized gains or losses on investments in our Statement of Operations. |   |                                                                         |           |   |        |        |         |                 |   |         |                               |   |   |       |        |   |   |         |           |  
|                                                                                                                                                                                                                                                                                                                 | $ | 87,346                                                                  |           |   | $      | 84,570 |         |                 | $ | (49,563 | )                             |   | $ | 3,144 |        |   | $ | 125,497 |          
|                                                                                                                                                                                                                                                                                                                 |   |                                                                         |           |   |        |        |         |                 |   |         |                               |   |   |       |        |   |   |         |           |  



|(1) | Includes amortization of discount on debt securities of approximately $11,392, $0, $119, $191, and $11,702, respectively.
|--- | -------------------------------------------------------------------------------------------------------------------------

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

|* | Pursuant to fair value measurement and disclosure guidance, the Company currently defines major asset categories as: corporate debt, equity, preferred equity, and
collateralized loan obligations.
|- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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



37



---

##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)





Note 7. Foreign Currency
Transactions and Translations

At September 30, 2010, the Company had outstanding non-US borrowings on its multicurrency revolving
credit facility denominated in euros, pounds sterling, and Canadian dollars. Unrealized appreciation or depreciation on these outstanding borrowings is indicated in the table below:



|                 |  |               |        |  |                       |   |         |              |  |   |            |  |  |                                      |            |  |  |   |        |  
|---------------- |  | ------------- | ------ |  | --------------------- | - | ------- | ------------ |  | - | ---------- |  |  | ------------------------------------ | ---------- |  |  | - | ------ | -
|Foreign Currency |  | LocalCurrency |        |  | OriginalBorrowingCost |   |         | CurrentValue |  |   | Reset Date |  |  | UnrealizedAppreciation(Depreciation) |           
|British Pound    |  | £             | 2,000  |  |                       | $ | 3,565   |              |  | $ | 3,152      |  |  |                                      | 10/18/2010 |  |  | $ | 413    |  
|Canadian Dollar  |  | C$            | 11,113 |  |                       |   | 10,505  |              |  |   | 10,833     |  |  |                                      | 10/21/2010 |  |  |   | (328   | )
|British Pound    |  | £             | 13,000 |  |                       |   | 21,471  |              |  |   | 20,485     |  |  |                                      | 10/28/2010 |  |  |   | 986    |  
|Euro             |  |              | 11,500 |  |                       |   | 15,058  |              |  |   | 15,700     |  |  |                                      | 10/28/2010 |  |  |   | (642   | )
|Euro             |  |              | 33,000 |  |                       |   | 43,209  |              |  |   | 45,052     |  |  |                                      | 10/29/2010 |  |  |   | (1,843 | )
|British Pound    |  | £             | 35,000 |  |                       |   | 55,435  |              |  |   | 55,153     |  |  |                                      | 10/29/2010 |  |  |   | 282    |  
|Canadian Dollar  |  | C$            | 29,700 |  |                       |   | 25,161  |              |  |   | 28,952     |  |  |                                      | 11/26/2010 |  |  |   | (3,791 | )
|Canadian Dollar  |  | C$            | 23,000 |  |                       |   | 19,615  |              |  |   | 22,420     |  |  |                                      | 12/08/2010 |  |  |   | (2,805 | )
|Canadian Dollar  |  | C$            | 10,000 |  |                       |   | 8,690   |              |  |   | 9,748      |  |  |                                      | 12/29/2010 |  |  |   | (1,058 | )
|Canadian Dollar  |  | C$            | 3,000  |  |                       |   | 2,318   |              |  |   | 2,924      |  |  |                                      | 12/30/2010 |  |  |   | (606   | )
|                 |  |               |        |  |                       |   |         |              |  |   |            |  |  |                                      |            |  |  |   |        |  
|                 |  |               |        |  |                       | $ | 205,027 |              |  | $ | 214,419    |  |  |                                      |            |  |  | $ | (9,392 | )
|                 |  |               |        |  |                       |   |         |              |  |   |            |  |  |                                      |            |  |  |   |        |  

At March 31, 2010, the Company had outstanding non-US borrowings on its multicurrency revolving credit facility
denominated in euros, pounds sterling, and Canadian dollars. Unrealized appreciation or depreciation on these outstanding borrowings is indicated in the table below:



|                 |  |               |        |  |                       |   |         |              |  |   |            |  |  |                                      |            |  |  |   |        |  
|---------------- |  | ------------- | ------ |  | --------------------- | - | ------- | ------------ |  | - | ---------- |  |  | ------------------------------------ | ---------- |  |  | - | ------ | -
|Foreign Currency |  | LocalCurrency |        |  | OriginalBorrowingCost |   |         | CurrentValue |  |   | Reset Date |  |  | UnrealizedAppreciation(Depreciation) |           
|British Pound    |  | £             | 2,000  |  |                       | $ | 3,565   |              |  | $ | 3,034      |  |  |                                      | 04/13/2010 |  |  | $ | 531    |  
|Euro             |  |              | 7,500  |  |                       |   | 11,131  |              |  |   | 10,148     |  |  |                                      | 04/16/2010 |  |  |   | 983    |  
|Euro             |  |              | 13,000 |  |                       |   | 18,591  |              |  |   | 17,590     |  |  |                                      | 04/16/2010 |  |  |   | 1,001  |  
|Canadian Dollar  |  | C$            | 11,113 |  |                       |   | 10,505  |              |  |   | 10,954     |  |  |                                      | 04/21/2010 |  |  |   | (449   | )
|British Pound    |  | £             | 37,500 |  |                       |   | 59,395  |              |  |   | 56,884     |  |  |                                      | 04/26/2010 |  |  |   | 2,511  |  
|Euro             |  |              | 45,000 |  |                       |   | 58,921  |              |  |   | 60,889     |  |  |                                      | 04/26/2010 |  |  |   | (1,968 | )
|Euro             |  |              | 11,500 |  |                       |   | 15,058  |              |  |   | 15,561     |  |  |                                      | 04/29/2010 |  |  |   | (503   | )
|British Pound    |  | £             | 13,000 |  |                       |   | 21,471  |              |  |   | 19,720     |  |  |                                      | 04/29/2010 |  |  |   | 1,751  |  
|Canadian Dollar  |  | C$            | 29,700 |  |                       |   | 25,161  |              |  |   | 29,274     |  |  |                                      | 05/25/2010 |  |  |   | (4,113 | )
|Canadian Dollar  |  | C$            | 22,500 |  |                       |   | 19,189  |              |  |   | 22,177     |  |  |                                      | 06/08/2010 |  |  |   | (2,988 | )
|Canadian Dollar  |  | C$            | 15,000 |  |                       |   | 13,035  |              |  |   | 14,785     |  |  |                                      | 06/29/2010 |  |  |   | (1,750 | )
|Canadian Dollar  |  | C$            | 3,000  |  |                       |   | 2,318   |              |  |   | 2,957      |  |  |                                      | 06/30/2010 |  |  |   | (639   | )
|                 |  |               |        |  |                       |   |         |              |  |   |            |  |  |                                      |            |  |  |   |        |  
|                 |  |               |        |  |                       | $ | 258,340 |              |  | $ | 263,973    |  |  |                                      |            |  |  | $ | (5,633 | )
|                 |  |               |        |  |                       |   |         |              |  |   |            |  |  |                                      |            |  |  |   |        |  

Note 8. Expense Offset Arrangement

The Company benefits from an expense offset arrangement with JPMorgan Chase Bank, N.A. (custodian bank) whereby the Company earns credits on any uninvested US dollar cash balances held by the
custodian bank. These credits are applied by the custodian bank as a reduction of the monthly custody fees charged to the Company. The total amount of credits earned during the three and six months ended September 30, 2010 were $0



38



---

##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



and $0, respectively. The total amount of credits earned during the three and six months ended September 30, 2009 were $0 and $0, respectively.

Note 9. Cash Equivalents

There
were $0 and $449,828 of cash equivalents held, at value, as of September 30, 2010 and March 31, 2010, respectively.

Note
10. Repurchase Agreements

The Company may enter into repurchase agreements as part of its investment program. The Companys
custodian takes possession of collateral pledged by the counterparty. The collateral is marked-to-market daily to ensure that the value, plus accrued interest, is at least equal to the repurchase price. In the event of default of the obligor to
repurchase, the Company has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the counterparty to the agreement, realization and/or
retention of the collateral or proceeds may be subject to legal proceedings. There were no repurchase agreements outstanding at September 30, 2010 or March 31, 2010.



39



---

##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)





Note 11. Financial
Highlights

The following is a schedule of financial highlights for the six months ended September 30, 2010 and the year ended
March 31, 2010:



|                                                                |  |                                               |             |    |                          |   |             |  
|--------------------------------------------------------------- |  | --------------------------------------------- | ----------- | -- | ------------------------ | - | ----------- | -
|                                                                |  | Six months endedSeptember 30, 2010(unaudited) |             |    | Year endedMarch 31, 2010 |  
|Per Share Data:                                                 |  |                                               |             |    |                          |   |             |  
|Net asset value, beginning of period                            |  | $                                             | 10.06       |    |                          | $ | 9.82        |  
|                                                                |  |                                               |             |    |                          |   |             |  
|Net investment income                                           |  |                                               | 0.48        |    |                          |   | 1.26        |  
|Net realized and unrealized gain (loss)                         |  |                                               | (0.54       | )  |                          |   | 0.45        |  
|                                                                |  |                                               |             |    |                          |   |             |  
|Net increase (decrease) in net assets resulting from operations |  |                                               | (0.06       | )  |                          |   | 1.71        |  
|Dividends to stockholders(1)                                    |  |                                               | (0.57       | )  |                          |   | (1.14       | )
|Effect of anti-dilution (dilution)                              |  |                                               | 0.15        |    |                          |   | (0.33       | )
|Offering costs*                                                 |  |                                               |            |    |                          |   |            |  
|                                                                |  |                                               |             |    |                          |   |             |  
|Net asset value at end of period                                |  | $                                             | 9.58        |    |                          | $ | 10.06       |  
|                                                                |  |                                               |             |    |                          |   |             |  
|Per share market price at end of period                         |  | $                                             | 10.23       |    |                          | $ | 12.73       |  
|                                                                |  |                                               |             |    |                          |   |             |  
|Total return(2)                                                 |  |                                               | (15.0       | %) |                          |   | 313.0       | %
|                                                                |  |                                               |             |    |                          |   |             |  
|Shares outstanding at end of period                             |  |                                               | 194,460,328 |    |                          |   | 176,213,918 |  
|                                                                |  |                                               |             |    |                          |   |             |  
|Ratio/Supplemental Data:                                        |  |                                               |             |    |                          |   |             |  
|Net assets at end of period (in millions)                       |  | $                                             | 1,862.3     |    |                          | $ | 1,772.8     |  
|                                                                |  |                                               |             |    |                          |   |             |  
|Ratio of net investment income to average net assets            |  |                                               | 4.86        | %  |                          |   | 12.36       | %
|                                                                |  |                                               |             |    |                          |   |             |  
|Ratio of operating expenses to average net assets               |  |                                               | 3.10        | %  |                          |   | 7.21        | %
|Ratio of credit facility related expenses to average net assets |  |                                               | 1.10        | %  |                          |   | 1.52        | %
|                                                                |  |                                               |             |    |                          |   |             |  
|Ratio of total expenses to average net assets                   |  |                                               | 4.20        | %  |                          |   | 8.73        | %
|                                                                |  |                                               |             |    |                          |   |             |  
|Average debt outstanding                                        |  | $                                             | 1,050,831   |    |                          | $ | 1,041,084   |  
|                                                                |  |                                               |             |    |                          |   |             |  
|Average debt per share                                          |  | $                                             | 5.50        |    |                          | $ | 6.53        |  
|                                                                |  |                                               |             |    |                          |   |             |  
|Portfolio turnover ratio                                        |  |                                               | 8.4         | %  |                          |   | 17.2        | %
|                                                                |  |                                               |             |    |                          |   |             |  



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

|(2) | Total return is based on the change in market price per share during the respective periods. Total return also takes into account dividends and distributions, if any,
reinvested in accordance with the Companys dividend reinvestment plan.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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

Note 12. Credit Agreement and Borrowings

Under the terms of the Amended and Restated Senior Secured Revolving Credit Agreement dated March 31, 2006 (the Facility), as amended on December 21, 2009, certain lenders agreed to
extend credit to Apollo Investment in an aggregate principal or face amount not exceeding $1,558,750 at any one time outstanding. The Facility permits Apollo Investment to seek additional commitments from new and existing lenders in the future,



40



---

##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)



up to an aggregate Facility size not to exceed $2,000,000. On December 21, 2009, Apollo Investment amended the Facility to extend the maturity date of certain lenders commitments
totaling $1,178,750 until April 12, 2013. The commitments of certain non-extended lenders totaling $380,000 will mature on April 13, 2011. As of September 2010, Apollo Investment received an additional lender commitment with a maturity
date of April 12, 2013 of $50,000 under the Facility. The Facility is secured by substantially all of the assets in Apollo Investments portfolio, including cash and cash equivalents. Pricing with respect to the commitments of extended
lenders is at 300 basis points over LIBOR while pricing with respect to the non-extended lenders remains at 100 basis points over LIBOR. The Facility contains affirmative and restrictive covenants, including: (a) periodic financial reporting
requirements, (b) maintaining minimum stockholders equity of the greater of (i) 40% of the total assets of Apollo Investment and its consolidated subsidiaries as at the last day of any fiscal quarter and (ii) the sum of
(A) $725,000 plus (B) 25% of the net proceeds from the sale of equity interests in Apollo Investment after the closing date of the Facility, (c) maintaining a ratio of total assets, less total liabilities (other than indebtedness) to
total indebtedness, in each case of Apollo Investment and its consolidated subsidiaries, of not less than 2.0:1.0, (d) maintaining minimum liquidity, (e) limitations on the incurrence of additional indebtedness, including a requirement to
meet a certain minimum liquidity threshold before Apollo Investment can incur such additional debt, (f) limitations on liens, (g) limitations on investments (other than in the ordinary course of Apollo Investments business),
(h) limitations on mergers and disposition of assets (other than in the normal course of Apollo Investments business activities), (i) limitations on the creation or existence of agreements that permit liens on properties of Apollo
Investments consolidated subsidiaries and (j) limitations on the repurchase or redemption of certain unsecured debt and debt securities. In addition to the asset coverage ratio described in clause (c) of the preceding sentence,
borrowings under the Facility (and the incurrence of certain other permitted debt) are subject to compliance with a borrowing base that applies different advance rates to different types of assets in Apollo Investments portfolio. The Facility
is used to supplement Apollo Investments equity capital to make additional portfolio investments and for other general corporate purposes.

The average debt outstanding on the Facility was $1,050,831 and $1,066,355 for the six months ended September 30, 2010 and 2009, respectively. The weighted average annual interest cost for the six
months ended September 30, 2010 was 2.98%, exclusive of 0.94% for commitment fees and for other prepaid expenses related to establishing the Facility. The weighted average annual interest cost for the six months ended September, 2009 was 1.51%,
exclusive of 0.26% for commitment fees and for other prepaid expenses related to establishing the Facility. This weighted average annual interest cost reflects the average interest cost for all borrowings, including EURIBOR, CAD LIBOR, GBP LIBOR and
USD LIBOR. The maximum amount borrowed during the six months ended September 30, 2010 and the fiscal year ended March 31, 2010 was $1,171,053 and $1,163,167, respectively, at value. The remaining capacity under the Facility was $515,331 at
September 30, 2010. At September 30, 2010, the Company was in compliance with all financial covenants required by the Facility.

Note 13. Commitments and Contingencies

The Company has the ability to issue standby letters of credit through its revolving credit facility. At September 30, 2010 and September 30,
2009, the Company had issued standby letters of credit through JPMorgan Chase Bank, N.A. totaling $3,708 and $3,508, respectively.

On
September 30, 2010, the Company entered into a note purchase agreement with certain institutional accredited investors providing for a private placement issuance of $225,000 in aggregate principal amount of five-year, senior secured notes with
a fixed interest rate of 6.25% and a maturity date of October 4, 2015 (the Senior Secured Notes).



41



---

##### Table of Contents

APOLLO INVESTMENT CORPORATION

NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)

(in thousands except share and per share amounts)





Note 14. Grand Prix Holdings,
LLC

On April 13, 2010, InnKeepers USA Trust (Innkeepers), a subsidiary of Grand Prix Holdings, LLC, a portfolio company
of the Company, disclosed that it had not made certain scheduled monthly interest payments on certain of its debt obligations, and had retained financial and legal advisors to assist it in an evaluation of financial alternatives, including a
potential restructuring of its balance sheet.

On July 19, 2010, Innkeepers and certain of its affiliates, including Grand Prix Holdings,
LLC, disclosed that they had filed voluntary petitions in the United States Bankruptcy Court for the Southern District of New York under Chapter 11 of the United States Bankruptcy Code. When Innkeepers and its affiliates filed for bankruptcy, they
had announced an intention to pursue a certain pre-arranged plan of reorganization. However, Innkeepers is no longer pursuing that pre-arranged plan. Instead, Innkeepers has embarked upon a comprehensive plan process and is engaged in ongoing
discussions with its key stakeholders regarding the terms of a successful reorganization.

On July 28, 2010, the Office of the United
States Trustee appointed a five (5) member Official Committee of Unsecured Creditors pursuant to section 1102(a)(1) of the Bankruptcy Code. No trustee, examiner or other statutory committee has been appointed in the Innkeepers chapter 11 cases.

Note 15. Subsequent Events

On October 4, 2010, the Senior Secured Notes issued by Apollo Investment were sold to certain institutional accredited investors pursuant to an
exemption from registration under the Securities Act of 1933, as amended. Interest on the Senior Secured Notes will be due semi-annually on April 4 and October 4, commencing on April 4, 2011. The proceeds from the issuance of the
Senior Secured Notes were used to fund new portfolio investments, reduce other outstanding borrowings and/or commitments on the Companys Facility and for general corporate purposes.



42



---

##### Table of Contents



Report of Independent Registered Public Accounting Firm

To the Board of Directors and Shareholders of

Apollo Investment Corporation

We have reviewed
the accompanying statements of assets and liabilities of Apollo Investment Corporation (the Company), including the schedule of investments, as of September 30, 2010 and the related statements of operations for the three and six
month periods ended September 30, 2010 and September 30, 2009, and the statement of cash flows for the six month periods ended September 30, 2010 and September 30, 2009, and the statement of changes in net assets for the six
month period ended September 30, 2010. These interim financial statements are the responsibility of the Companys management.

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

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

We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statement of assets
and liabilities, including the schedule of investments, as of March 31, 2010, and the related statement of operations, of cash flows, and statement of changes in net assets for the year then ended, and in our report dated May 26, 2010, we
expressed an unqualified opinion on those financial statements. In our opinion, the information set forth in the accompanying statement of assets and liabilities as of March 31, 2010 and in the statement of changes in net assets for the year
then ended, is fairly stated in all material respects in relation to the statement of assets and liabilities from which it has been derived.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

New York, New York

November 4, 2010



43



---

##### Table of Contents



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

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

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



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



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



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



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



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



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



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



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



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

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

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

OVERVIEW

Apollo Investment was
incorporated under the Maryland General Corporation Law in February 2004. We have elected to be treated as a BDC under the 1940 Act. As such, we are required to comply with certain regulatory requirements. For instance, we generally have to invest
at least 70% of our total assets in qualifying assets, including securities of private or thinly traded public U.S. companies, cash equivalents, U.S. government securities and high-quality debt investments that mature in one year or
less. In addition, for federal income tax purposes we have elected to be treated as a RIC under Subchapter M of the Internal Revenue Code of 1986, as amended. Pursuant to this election and assuming we qualify as a RIC, we generally do not have to
pay corporate-level federal income taxes on any income we distribute to our stockholders. Apollo Investment commenced operations on April 8, 2004 upon completion of its initial public offering that raised $870 million in net proceeds selling
62 million shares of its common stock at a price of $15.00 per share. Since then, and through September 30, 2010, we have raised approximately $1.9 billion in net proceeds from additional offerings of common stock.



44



---

##### Table of Contents



Investments

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

Revenue

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

Expenses

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



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



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



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



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



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



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



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



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



45



---

##### Table of Contents



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



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



| |  |  | taxes;
| | - |  | ------



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



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



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



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



| |  |  | 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.
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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

Portfolio and Investment Activity

During the three months ended September 30, 2010,
we invested $184 million across 2 new and 4 existing portfolio companies, through a mix of primary and opportunistic secondary market purchases. This compares to investing $39 million in 6 existing portfolio companies for the three months ended
September 30, 2009. Investments sold or prepaid during the three months ended September 30, 2010 totaled $127 million versus $30 million for the three months ended September 30, 2009.

At September 30, 2010, our net portfolio consisted of 67 portfolio companies and was invested 31% in senior secured loans, 59% in subordinated debt,
1% in preferred equity and 9% in common equity and warrants measured at fair value versus 71 portfolio companies invested 26% in senior secured loans, 57% in subordinated debt, 4% in preferred equity and 13% in common equity and warrants at
September 30, 2009.

The weighted average yields on our senior secured loan portfolio, subordinated debt portfolio and total debt
portfolio as of September 30, 2010 at our current cost basis were 8.9%, 13.3%, and 11.7%, respectively. At September 30, 2009, the yields were 7.9%, 13.2%, and 11.5%, respectively.

Since the initial public offering of Apollo Investment in April 2004 and through September 30, 2010, invested capital totaled $6.6 billion in 133 portfolio companies. Over the same period, Apollo
Investment completed transactions with more than 85 different financial sponsors.

At September 30, 2010, 63% or $1.7 billion of our
income-bearing investment portfolio is fixed rate and 37% or $1.0 billion is floating rate, measured at fair value. On a cost basis, 64% or $1.9 billion of our income-bearing investment portfolio is fixed rate and 36% or $1.0 billion is floating
rate. At September 30, 2009, 66% or $1.5 billion of our income-bearing investment portfolio was fixed rate and 34% or $0.8 billion was floating rate. On a



46



---

##### Table of Contents

cost basis, 66% or $1.9 billion of our income-bearing investment portfolio was fixed rate and 34% or $1.0 billion was floating rate.

Grand Prix Holdings, LLC

On April 13, 2010, InnKeepers USA Trust (Innkeepers), a subsidiary of Grand Prix Holdings, LLC, a portfolio company of the Company, disclosed that it had not made certain scheduled
monthly interest payments on certain of its debt obligations, and had retained financial and legal advisors to assist it in an evaluation of financial alternatives, including a potential restructuring of its balance sheet.

On July 19, 2010, Innkeepers and certain of its affiliates, including Grand Prix Holdings, LLC, disclosed that they had filed voluntary petitions in
the United States Bankruptcy Court for the Southern District of New York under Chapter 11 of the United States Bankruptcy Code. When Innkeepers and its affiliates filed for bankruptcy, they had announced an intention to pursue a certain pre-arranged
plan of reorganization. However, Innkeepers is no longer pursuing that pre-arranged plan. Instead, Innkeepers has embarked upon a comprehensive plan process and is engaged in ongoing discussions with its key stakeholders regarding the terms of a
successful reorganization.

On July 28, 2010, the Office of the United States Trustee appointed a five (5) member Official Committee
of Unsecured Creditors pursuant to section 1102(a)(1) of the Bankruptcy Code. No trustee, examiner or other statutory committee has been appointed in the Innkeepers chapter 11 cases.

CRITICAL ACCOUNTING POLICIES

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

Valuation of Portfolio Investments

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



47



---

##### Table of Contents



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

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

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

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

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

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

Investments in all asset classes are valued utilizing a market approach, an income approach, or both
approaches, as appropriate. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities (including a business). The income approach uses valuation techniques
to convert future amounts (for example, cash flows or earnings) to a single present amount (discounted). The measurement is based on the value indicated by current market expectations about those future amounts. In following these approaches, the
types of factors that we may take into account in fair value pricing our investments include, as relevant: available current market data, including relevant and applicable market trading and transaction comparables, applicable market yields and
multiples, security covenants, call protection provisions, information rights, the nature and realizable value of any collateral, the portfolio companys ability to make payments, its earnings and discounted cash flows, the markets in which the
portfolio company does business, comparisons of financial ratios of peer companies that are public, M&A comparables, our principal market (as the reporting entity) and enterprise values, among other factors. When readily available, broker
quotations and/or quotations provided by pricing services are considered in the valuation process of independent valuation firms. For the quarter ended September 30, 2010, there has been no change to the Companys valuation techniques and
related inputs considered in the valuation process.

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

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

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

Level 3: Unobservable inputs for the asset or liability.

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

On October 10, 2008, revised guidance was issued which provides examples of how to determine fair value in a market that is not active. It did not change the fair value measurement principles set
forth in ASC 820. Furthermore, on April 9, 2009, the FASB issued additional revised guidance which provides information on estimating fair value when the volume and level of activity for the asset or liability have significantly decreased.



48



---

##### Table of Contents

It also includes guidance on identifying circumstances that indicate a transaction is not orderly. According to this guidance in the above circumstances, more analysis and significant adjustments
to transaction or quoted prices may be necessary to estimate fair value. In addition, it requires disclosure of any changes in valuation techniques and related inputs resulting from the application. The total effect of the change in valuation
techniques and related inputs must also be disclosed by major asset category. This revised guidance was effective for periods ending after June 15, 2009. The adoption did not have a material effect on the Companys financial position or
results of operations.

Accounting Standards Update No. 2010-06, Improving Disclosure about Fair Value Measurements was released in
January 2010 and is effective for periods beginning after December 15, 2009. This update improves financial statement disclosure around transfers in and out of level 1 and 2 fair value measurements, around valuation techniques and inputs and
around other related disclosures. Transfers between levels, if any, are recognized at the end of the reporting period. See certain additional disclosures in note 6 to our financial statements. During the quarter ended September 30, 2010, MEG
Energy Corp. common stock was transferred from Level 3 to Level 1 due to its initial public offering. There were no other transfers into or out of Level 1, Level 2 or Level 3 during the period shown.

Revenue Recognition

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

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

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

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

RESULTS OF OPERATIONS

Results comparisons are for the three and six months ended September 30, 2010 and September 30, 2009.

Investment Income

For the three and six
months ended September 30, 2010, gross investment income totaled $91.5 million and $169.7 million, respectively. For the three and six months ended September 30, 2009, gross investment income totaled $84.4 million and $167.0
million, respectively. The increase in gross investment income for the three and six months ended September 30, 2010, was primarily due to a higher debt portfolio yield for the period as compared to the three and six months ended
September 30, 2009.



49



---

##### Table of Contents



Expenses

Expenses totaled $41.3 million and $78.7 million, respectively, for the three and six months ended September 30, 2010, of which $27.6 million and
$52.3 million, respectively, were base management fees and performance-based incentive fees and $10.7 million and $20.6 million, respectively, were interest and other credit facility expenses. Of these expenses, general and administrative expenses
totaled $3.0 million and $5.8 million, respectively, for the three and six months ended September 30, 2010. Expenses totaled $33.0 million and $66.2 million, respectively, for the three and six months ended September 30, 2009, of which
$26.1 million and $51.1 million, respectively, were base management fees and performance-based incentive fees and $4.4 million and $9.5 million, respectively, were interest and other credit facility expenses. Of these expenses, general and
administrative expenses totaled $2.5 million and $5.7 million, respectively, for the three and six months ended September 30, 2009. Expenses consist of base investment advisory and management fees, insurance expenses, administrative services
fees, legal fees, directors fees, audit and tax services expenses, and other general and administrative expenses. The increase in expenses from the three and six months periods ended September 2010 versus the three and six months periods ended
September 2009 was primarily related to the increase in interest and other credit facility expenses due to the December 2009 amendment to our revolving credit facility.

Net Investment Income

The Companys net investment income totaled $50.2 million and
$91.0 million, or $0.26, and $0.48, on a per average share basis, respectively, for the three and six months ended September 30, 2010. For the three and six months ended September 30, 2009, net investment income totaled $51.4 million and
$100.7 million, or $0.34, and $0.68, on a per average share basis, respectively.

Net Realized Gains (Losses)

The Company had investment sales and prepayments totaling $127 million and $241 million, respectively, for the three and six months ended
September 30, 2010. For the three and six months ended September 30, 2009, investment sales and prepayments totaled $30 million and $101 million, respectively. Net realized losses for the three and six months ended September 30, 2010
were $89.4 million and $85.5 million, respectively. For the three and six months ended September 30, 2009, net realized losses totaled $3.1 million and $101.3 million, respectively. Net realized losses for the three and six months ended
September 30, 2010 and the three and six months ended September 30, 2009 were primarily derived from selective exits of underperforming investments.

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

For the three months ended September 30, 2010, net change in unrealized appreciation on the Companys investments, cash equivalents, foreign currencies and other assets and liabilities totaled
$107.4 million. For the six months ended September 30, 2010, unrealized depreciation totaled $21.6 million. For the three and six months ended September 30, 2009, net change in unrealized appreciation totaled $60.9 million and $194.2
million, respectively. Net unrealized appreciation for the three months ended September 30, 2010 was primarily due to net changes in specific portfolio company fundamentals and stronger capital market conditions. For the six months ended
September 30, 2010, net unrealized depreciation was recognized from weaker market conditions present earlier in the fiscal year. For the three and six months ended September 30, 2009, the increase in unrealized appreciation was derived
from net changes in specific portfolio company fundamentals and stronger capital market conditions.

Net Increase (Decrease) in Net Assets
From Operations

For the three months ended September 30, 2010, the Company had a net increase in net assets resulting from operations
of $68.2 million. For the six months ended September 30, 2010, the Company had a net decrease in net assets resulting from operations of $16.1 million. For the three and six months ended September 30, 2009, the Company had a net increase
in net assets resulting from operations of $109.2 million and $193.6 million,



50



---

##### Table of Contents

respectively. The earnings per average share were $0.35 for the three months ended September 30, 2010. The loss per average share was $0.08 for the six months ended September 30, 2010.
For the three and six months ended September 30, 2009, earnings per average share were $0.71 and $1.31, respectively.

LIQUIDITY AND
CAPITAL RESOURCES

The Companys liquidity and capital resources are generated and generally available through periodic follow-on
equity offerings, our senior secured, multi-currency $1.61 billion revolving credit facility (see note 12 within the Notes to Financial Statements) (the Facility) , investments in special purpose entities in which we hold and finance
particular investments on a non-recourse basis, as well as from cash flows from operations, investment sales of liquid assets and prepayments of senior and subordinated loans and income earned from investments. At September 30, 2010, the
Company had $1.1 billion in borrowings outstanding and $515 million of unused capacity on its Facility. In the future, the Company may raise additional equity or debt capital, among other considerations. The primary use of funds will be investments
in portfolio companies, reductions in debt outstanding and other general corporate purposes. On May 3, 2010, the Company closed on its most recent follow-on public equity offering of 17.25 million shares of common stock at $12.40 per share
raising approximately $204 million in net proceeds. As of September 2010, Apollo Investment received an additional lender commitment with a maturity date of April 12, 2013 of $50,000 under the Facility. Additionally, on September 30, 2010,
the Company entered into a note purchase agreement, providing for a private placement issuance of $225,000 in aggregate principal amount of five-year, senior secured notes with a fixed interest rate of 6.25% and a maturity date of October 4,
2015 (the Senior Secured Notes). On October 4, 2010, the Senior Secured Notes were sold to certain institutional accredited investors pursuant to an exemption from registration under the Securities Act of 1933, as amended. Interest
on the Senior Secured Notes will be due semi-annually on April 4 and October 4, commencing on April 4, 2011. The proceeds from the issuance of the Senior Secured Notes were used to fund new portfolio investments, reduce other
outstanding borrowings and/or commitments on the Companys Facility and for general corporate purposes. As of October 4, 2010, the Companys Facility had outstanding commitments totaling $1.58 billion.

Cash Equivalents

The Company deems
certain U.S. Treasury bills, repurchase agreements and other high-quality, short-term debt securities as cash equivalents. (See note 2(n) within the accompanying financial statements.) At the end of each fiscal quarter, Apollo Investment considers
taking proactive steps utilizing cash equivalents with the objective of enhancing the Companys investment flexibility during the following quarter, pursuant to Section 55 of the 1940 Act. More specifically, Apollo Investment may purchase
U.S. Treasury bills from time-to-time on the last business day of the quarter and typically closes out that position on the following business day, settling the sale transaction on a net cash basis with the purchase, subsequent to quarter end.
Apollo Investment may also utilize repurchase agreements or other balance sheet transactions, including drawing down on its revolving credit facility, as it deems appropriate. The amount of these transactions or such drawn cash for this purpose is
excluded from total assets for purposes of computing the asset base upon which the management fee is determined. There were no cash equivalents as of September 30, 2010.



|                                            |  |                                                                      |       |  |                 |   |     |           |  |   |           |  |  |                  |   |  |  |   |   | 
|------------------------------------------- |  | -------------------------------------------------------------------- | ----- |  | --------------- | - | --- | --------- |  | - | --------- |  |  | ---------------- | - |  |  | - | - | 
|                                            |  | Payments due by Period as of September 30, 2010(dollars in millions) |      
|                                            |  | Total                                                                |       |  | Less than1 year |   |     | 1-3 years |  |   | 3-5 years |  |  | More than5 years |  
|Senior Secured Revolving Credit Facility(1) |  | $                                                                    | 1,093 |  |                 | $ | 258 |           |  | $ | 835       |  |  | $                |  |  |  | $ |  | 



|(1) | At September 30, 2010, $515 million remained unused under our senior secured revolving credit facility.
|--- | -------------------------------------------------------------------------------------------------------



51



---

##### Table of Contents



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



|                                         |  |                                                 |           |  |                          |   |       |                                             |  |   |                                |  |  |  |     | 
|---------------------------------------- |  | ----------------------------------------------- | --------- |  | ------------------------ | - | ----- | ------------------------------------------- |  | - | ------------------------------ |  |  |  | --- | 
|Class and Year                           |  | Total AmountOutstanding(dollars inthousands)(1) |           |  | AssetCoveragePer Unit(2) |   |       | InvoluntaryLiquidatingPreferencePer Unit(3) |  |   | AverageMarket ValuePer Unit(4) | 
|Revolving Credit Facility                |  |                                                 |           |  |                          |   |       |                                             |  |   |                                |  |  |  |     | 
|Fiscal 2011 (through September 30, 2010) |  | $                                               | 1,093,419 |  |                          | $ | 2,703 |                                             |  | $ |                               |  |  |  | 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 $1,000 to determine the Asset Coverage Per Unit.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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

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

Contractual Obligations

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

Off-Balance Sheet Arrangements (dollars in thousands)

The Company has the ability to issue standby letters of credit through its revolving credit facility. As of September 30, 2010 and September 30,
2009, the Company had issued through JPMorgan Chase Bank, N.A. standby letters of credit totaling $3,708 and $3,508, respectively.

On
September 30, 2010, the Company entered into a note purchase agreement with certain institutional accredited investors providing for a private placement issuance of $225,000 in aggregate principal amount of five-year, senior secured notes with
a fixed interest rate of 6.25% and a maturity date of October 4, 2015.



52



---

##### Table of Contents



AIC Credit Opportunity Fund LLC
(currencies in thousands)

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

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

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

We do not consolidate AIC Holdco or its wholly owned subsidiaries and accordingly only the value of our investment in AIC Holdco is included on our statement of assets and liabilities. The Senior Note,
total return swap and Acquisition Loan are non-recourse to AIC Holdco, its subsidiaries and us and have standard events of default including failure to pay contractual amounts when due and failure by each of the underlying Apollo special purpose
entities to provide additional credit support, sell assets or prepay a portion of its obligations if the value of the FDC Reference Obligation, the TXU Reference Obligation or the Boots Reference Obligation, as applicable, declines below specified
levels. We may unwind any of these transactions at any time without penalty. From time to time Apollo Investment may provide additional capital to AIC Holdco for purposes of funding margin calls under one or more of the transactions described above
among other reasons. During the fiscal year ended March 31, 2009, we provided $18,480 in additional capital to AIC Holdco. During the fiscal year ended March 31, 2010, $9,336 of net capital was returned to us from AIC Holdco. During the
six months ended September 30, 2010, $1,700 of net capital was provided to AIC Holdco.



53



---

##### Table of Contents



Dividends

Dividends paid to stockholders for the three and six months ended September 30, 2010 totaled $54.4 million or $0.28 per share, and $108.7 million or
$0.56 per share, respectively. For the three and six months ended September 30, 2009, dividends totaled $45.8 million or $0.28 per share, and $82.8 million or $0.54 per share, respectively. Tax characteristics of all dividends will be reported
to shareholders on Form 1099 after the end of the calendar year. Our quarterly dividends, if any, will be determined by our Board of Directors.

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

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

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

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

Item 3. Quantitative and Qualitative Disclosures
about Market Risk

We are subject to financial market risks, including changes in interest rates. During the three and six months ended
September 30, 2010, many of the loans in our portfolio had floating interest rates. These loans are usually based on floating LIBOR and typically have durations of one to six months after which they reset to current market interest rates. As
the percentage of our U.S. mezzanine and other subordinated loans increase as a percentage of our total investments, we expect that more of the loans in our portfolio will have fixed rates. At September 30, 2010, our floating-rate assets and
floating-rate liabilities were closely matched. As such, a change in interest rates would not have a material effect on our net investment income. However, we may hedge against interest rate fluctuations from time-to-time by using standard hedging
instruments such as futures, options and forward contracts subject to the requirements of the 1940 Act. While hedging activities may insulate us against adverse changes in interest rates, they may also limit our ability to participate in the
benefits of lower interest rates with respect to our portfolio of investments. During the three and six months ended September 30, 2010, we did not engage in interest rate hedging activities.



54



---

##### Table of Contents



Item 4. Controls and Procedures

(a) Evaluation of Disclosure Controls and Procedures

As of
September 30, 2010 (the end of the period covered by this report), the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of our disclosure controls and procedures (as defined in Rule
13a-15(e) of the 1934 Act). Based on that evaluation, our management, including the Chief Executive Officer and Chief Financial Officer, concluded that our disclosure controls and procedures were effective and provided reasonable assurance that
information required to be disclosed in our periodic SEC filings is recorded, processed, summarized and reported within the time periods specified in the SECs rules and forms, and that such information is accumulated and communicated to our management, including our Chief
Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosure. However, in evaluating the disclosure controls and procedures, management recognized that any controls and procedures, no matter
how well designed and operated can provide only reasonable assurance of achieving the desired control objectives, and management necessarily was required to apply its judgment in evaluating the cost-benefit relationship of such possible controls and
procedures.

(b) Changes in Internal Controls Over Financial Reporting

There have been no changes in the Companys internal control over financial reporting that occurred during the second quarter of fiscal 2011 that has materially affected, or is reasonably likely to
materially affect, the Companys internal control over financial reporting.



55



---

##### Table of Contents



PART II. OTHER INFORMATION

Item 1. Legal Proceedings

On April 13, 2010,
InnKeepers USA Trust (InnKeepers), a subsidiary of Grand Prix Holdings, LLC, a portfolio company of the Company, disclosed that it had not made certain scheduled monthly interest payments on certain of its debt obligations, and had
retained financial and legal advisors to assist it in an evaluation of financial alternatives, including a potential restructuring of its balance sheet.

On May 21, 2010, the special servicer with respect to certain of InnKeepers indebtedness, Midland Loan Services, Inc., filed a complaint against the Company in New York State Supreme Court, New
York County (the New York Court). The Complaint alleges that the Company guaranteed certain property improvement projects which InnKeepers has failed to timely complete. The Complaint asserts a single claim for specific performance of
the Companys guaranty. On June 30, 2010, the Company filed a motion to dismiss with the New York Court. Oral argument on the motion to dismiss was heard on November 4, 2010 wherein the judge dismissed Midlands complaint without
prejudice.

On July 19, 2010, Innkeepers disclosed that it had filed a voluntary petition in the United States Bankruptcy Court for the
Southern District of New York under Chapter 11 of the United States Bankruptcy Code in order to effectuate a pre-arranged plan of reorganization.

Item 1A. Risk Factors

In addition to the other
information set forth in this report, you should carefully consider the factors discussed in Part I Item 1A. Risk Factors in our Annual Report on Form 10-K for the fiscal year ended March 31, 2010, which could materially affect
our business, financial condition and/or operating results. The risks described in our Annual Report on Form 10-K are not the only risks facing our Company. Additional risks and uncertainties not currently known to us or that we currently deem
to be immaterial also may materially and adversely affect our business, financial condition and/or operating results.

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

None.

Item 3. Defaults Upon Senior Securities

None.

Item 5. Other Information

None.



56



---

##### Table of Contents



Item 6. Exhibits



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

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



3.1


Articles of Amendment and Restatement, as amended(1)3.2


Third Amended and Restated Bylaws(2)4.1


Form of Stock Certificate(3)4.2


In accordance with Item 601(b)(4)(iii)(A) of Regulation S-K, certain instruments respecting long-term debt of the registrant have been omitted but will be furnished to the
Commission upon request.10.1


Amended and Restated Investment Advisory Management Agreement between Registrant and Apollo Investment Management, L.P.(4)10.2


Amended and Restated Administration Agreement between Registrant and Apollo Investment Administration, LLC(4)10.3


Dividend Reinvestment Plan(3)10.4


Custodian Agreement(3)10.5


License Agreement between the Registrant and Apollo Management, L.P.(4)10.6


Form of Transfer Agency and Service Agreement(4)10.7


Amended and Restated Senior Secured Revolving Credit Agreement(5)22.1


Proxy Statement(6)31.1
*

Certification of Chief Executive Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934.31.2
*

Certification of Chief Financial Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934.32.1
*

Certification of Chief Executive Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350).32.2
*

Certification of Chief Financial Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350).




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

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

|(2) | Incorporated by reference from the Registrants Form 8-K filed on November 6, 2009.
|--- | -----------------------------------------------------------------------------------

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

|(4) | Incorporated by reference from the Registrants Form 10-K, filed on May 26, 2010.
|--- | ---------------------------------------------------------------------------------

|(5) | Incorporated by reference from the Registrants Form 8-K filed on December 23, 2009.
|--- | ------------------------------------------------------------------------------------

|(6) | Incorporated by reference from the Registrants 14A filed on June 18, 2010.
|--- | ---------------------------------------------------------------------------



57



---

##### Table of Contents



Signatures

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed
on its behalf by the undersigned, thereunto duly authorized on November 4, 2010.



APOLLO INVESTMENT CORPORATIONBy:

/s/ James C. ZelterJames C. Zelter
Chief Executive OfficerBy:

/s/ Richard L. PetekaRichard L. Peteka
Chief Financial Officer and Treasurer




58