SSETS

Investments, at fair value (cost: $246,697,816 @ 6/30/10; $260,752,699 @ 12/31/09)

Non-affiliated/non-control investments (cost: $227,776,883 @ 6/30/10; $241,169,345 @ 12/31/09)

Control investments (cost: $18,920,933 @ 6/30/10; $19,583,354 @ 12/31/09)

Total investments at fair value

Cash and cash equivalents

Interest receivable

Securities sold not settled

Prepaid expenses and other assets

Total assets

LIABILITIES

Investment advisory fee payable to affiliate

Securities purchased not settled

Accrued expenses

Total liabilities

NET ASSETS

Common stock, $0.01 par value, 100,000,000 shares authorized, and 26,932,340 and 26,813,216 issued and outstanding, respectively

Capital in excess of par value

Net unrealized depreciation on investments

Accumulated net realized losses on investments

Distributions in excess of investment income

Total net assets

Total liabilities and net assets

Net asset value per common share

COMPANY⁽¹⁾

INDUSTRY

INVESTMENT

senior secured notes⁽⁴⁾⁽⁶⁾

(4.93%, due March 20, 2013)

Algorithmic Implementations, Inc.

(d/b/a “Ai Squared”)

senior secured notes^(4)(5)(6)

(9.84%, due September 11, 2013)

second lien senior secured notes^(3)(4)(5)

(13.00%, due April 19, 2014)

senior secured notes⁽⁴⁾⁽⁵⁾

(11.75%, due December 31, 2013)

second lien senior secured notes⁽⁴⁾⁽⁵⁾

(7.10%, due October 13, 2013)

Band Digital Inc.

(F/K/A “WHITTMANHART, Inc.”)

senior secured notes⁽⁴⁾⁽⁶⁾

(13.58%, due December 31, 2010)

senior secured notes⁽⁴⁾

(15.00%, due June 21, 21015)

CLO secured notes⁽⁴⁾⁽⁵⁾

(4.62%, due June 19, 2021)

first lien senior secured notes^(3)(4)(5)(6)

(10.50%, due December 31, 2012)

CLO secured notes^(4)(5)(6)

(4.25%, due July 25, 2018)

first lien senior secured notes^(4)(5)(6)

(9.50%, due August 31, 2014)

first lien senior secured notes⁽⁴⁾⁽⁵⁾

(12.00%, due October 1, 2014)

first lien senior secured notes^(4)(5)(6)

(3.10%, due September 24, 2014)

CLO secured notes⁽⁴⁾⁽⁵⁾

(5.29%, due June 1, 2017)

subordinated notes^(4)(5)(6)

(11.74%, due October 2, 2011)

senior secured notes^(4)(5)(7)

(0.0%, due October 30, 2014)

COMPANY⁽¹⁾

INDUSTRY

INVESTMENT

senior secured notes⁽⁵⁾

(9.75%, due June 15, 2015)

CDO secured notes^(4)(5)(6)

(7.17%, due November 12, 2019)

CDO secured notes⁽⁴⁾⁽⁵⁾

(6.07%, due August 9, 2017)

senior secured notes⁽⁴⁾⁽⁵⁾

(10.50%, due March 30, 2015)

CLO secured notes⁽⁴⁾⁽⁵⁾

(7.01%, due October 15, 2016)

second lien senior secured notes⁽⁴⁾⁽⁵⁾

(6.94%, due July 31, 2014)

first lien senior secured notes^(4)(5)(6)

(10.75% , due February 16, 2014)

CDO senior secured notes^(4)(5)(6)

(5.79%, due June 1, 2017)

CLO senior secured notes^(4)(5)(6)

(4.29%, due August 15, 2018)

CLO secured notes⁽⁴⁾⁽⁵⁾

(4.04%, due April 11, 2021)

CLO secured notes⁽⁴⁾⁽⁵⁾

(6.80%, due July 25, 2018)

CLO secured notes⁽⁴⁾⁽⁵⁾

(4.17%, due October 26, 2020)

senior secured notes⁽⁴⁾⁽⁶⁾

(9.50%, due May 1, 2011)

CLO subordinated secured notes⁽⁴⁾⁽⁵⁾

(4.80%, due June 27, 2022)

first lien senior secured notes^(4)(5)(6)

(5.75%, due April 24, 2014)

second lien senior secured notes^(3)(5)(6)

(13.00%, due April 15, 2014)

senior secured notes^(4)(5)(6)

(12.00%, due May 16, 2014)

second lien senior secured notes⁽⁴⁾⁽⁵⁾

(8.35%, due November 29, 2013)

COMPANY⁽¹⁾

INDUSTRY

INVESTMENT

first lien senior secured notes^(4)(5)(6)

(8.25%, due August 10, 2014)

second lien senior secured notes⁽⁴⁾

(6.53%, due May 30, 2013)

subordinated notes^(3)(4)(5)

(15.00%, due March 31, 2016)

first lien high yield notes⁽⁵⁾

(12.00%, due March 29, 2015)

senior secured notes⁽⁴⁾⁽⁵⁾

(9.25%, due August 4, 2011)

second lien senior secured notes^{(4)(7)(10)(11)}

(9.31%, due July 31, 2009)

first lien senior secured notes^(3)(4)(5)(6)

(8.00%, due November 30, 2011)

first lien senior secured notes^(4)(5)(6)

(7.49%, due October 24, 2012)