On August 10, 2011, we closed a $225 million debt securitization financing transaction, in which a wholly-owned subsidiary of the Company holds the equity. The senior notes of the debt securitization vehicle have an initial face amount of $101,250,000, were rated AAA/Aaa by Standard & Poor’s Ratings Services and Moody’s Investors Service, Inc., respectively, and bear interest at three-month LIBOR plus 2.25%. The senior notes have a stated maturity date of July 25, 2021 and are subject to a three year non-call period. The debt securitization vehicle has a three year reinvestment period.

Total investment income for the third quarter of 2011 amounted to approximately $11.1 million, which remained essentially the same from the second quarter of 2011.

For the quarter ended September 30, 2011, we recorded net investment income of approximately $11.6 million, or approximately $0.36 per share. Excluding the impact of a capital gains incentive fee accrual reduction of approximately $4.1 million, our core net investment income⁽¹⁾ was approximately $7.5 million, or approximately $0.23 per share. We also recorded net unrealized depreciation of approximately $20.1 million and net realized capital gains of approximately $0.1 million. In total, we had a net decrease in net assets resulting from operations of approximately $8.4 million or approximately $0.26 per share for the third quarter.

As of the end of the third quarter of 2011 there were no loans on non-accrual status.

Our operating expenses before the capital gains incentive fee for the quarter ended September 30, 2011 were approximately $3.6 million, which were up from the second quarter of 2011 by approximately $0.6 million.

Our weighted average credit rating on a fair value basis was 2.2 at the end of the third quarter of 2011 (compared to 2.2 at the end of the second quarter of 2011).

The capital gains portion of our incentive fee expense was reduced by approximately $4.1 million for the quarter ended September 30, 2011. The previous quarter’s accrual of approximately $5.0 million was reduced to approximately $900,000 based on the change in net realized and unrealized gains and losses during the third quarter of 2011. The capital gains incentive fee expense, as reported under generally accepted accounting principles, is calculated on the basis of net realized and unrealized gains and losses at the end of each period. The expense related to the hypothetical liquidation of the portfolio (and assuming no other changes in realized or unrealized gains and losses) would only become payable to our investment adviser in the event of a complete liquidation of our portfolio as of period end and the termination of the Investment Advisory Agreement (the “Agreement”) on such date. The $5.0 million capital gains incentive fee accrual as of the second quarter of 2011, as well as the $4.1 million reduction for the quarter ended September 30, 2011, relate entirely to the hypothetical liquidation calculation.

Our Board of Directors has declared a distribution of $0.25 per share for the fourth quarter of 2011.

Payable Date: December 30, 2011

Record Date: December 16, 2011

During the third quarter of 2011, we deployed approximately $81.0 million in 21 investments. For the same period, we received proceeds of approximately $9.0 million from repayments and amortization payments on our debt investments. As of September 30, 2011, we had approximately $35.0 million of uncommitted funds remaining in the securitization vehicle; as of today, we have approximately $6.0 million remaining uncommitted.

With respect to our CLO investments for the quarter ending September 30, 2011, we recorded approximately $1.0 million in interest payments, $56,000 in principal payments at par and approximately $3.1 million in CLO equity distributions. In total, since we began investing in this asset class through September 30, 2011, we have recorded approximately $6.0 million in interest payments, $2.7 million in principal payments at par and $12.4 million in CLO equity distributions.

At the end of the third quarter, this asset class represented approximately 20.5% of our total assets on a fair value basis.

At September 30, 2011, the weighted average yield of our debt investments was approximately 11.4%, down from 12.9% at June 30, 2011.

At September 30, 2011, net asset value per share was $9.34 compared with the net asset value per share at December 31, 2010 of $9.85. The September 30, 2011 net asset value incorporates the impact of the capital gains incentive fee accrual.

Supplemental Information Regarding Core Net Investment Income

Net investment income

Capital gains incentive fee

Core net investment income

ASSETS

Non-affiliated/non-control investments (cost: $340,438,614 @ 6/30/11; $207,854,154 @ 12/31/10)

Control investments (cost: $17,513,698 @ 6/30/11; $18,346,533 @ 12/31/10)

Total investments at fair value

Cash and cash equivalents

Restricted cash

Deferred debt issuance costs

Interest receivable

Other assets

Total assets

LIABILITIES

Notes payable, net of discount

Accrued interest payable

Investment advisory fee payable to affiliate

Accrued capital gains incentive fee to affiliate

Securities purchased not settled

Accrued expenses

Total liabilities

NET ASSETS

Common stock, $0.01 par value, 100,000,000 shares authorized, and 32,745,881 and 31,886,367 issued and outstanding, respectively

Capital in excess of par value

Net unrealized appreciation 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

INVESTMENT INCOME

From non-affiliated/non-control investments:

Interest income - debt investments

Distributions from securitization vehicles and equity investments

Commitment, amendment fee income and other income

Total investment income from non-affiliated/non-control investments

From control investments:

Interest income - debt investments

Total investment income

EXPENSES

Compensation expense

Investment advisory fees

Professional fees

Interest expense

General and administrative

Total expenses before incentive fees

Net investment income incentive fees

Capital gains incentive fees

Total incentive fees

Total expenses

Net investment income

Net change in unrealized appreciation on investments

Net realized gains (losses) on investments

Net (decrease) increase in net assets resulting from operations

Net increase in net assets resulting from net investment income per common share:

Basic and diluted

Net (decrease) increase in net assets resulting from operations per common share:

Basic and diluted

Weighted average shares of common stock outstanding:

Basic and diluted

Per Share Data

Net asset value at beginning of period

Net investment income ⁽¹⁾

Net realized and unrealized capital (losses) gains ⁽²⁾

Total from investment operations

Total distributions ⁽³⁾

Effect of shares issued, net of offering expenses

Net asset value at end of period

Per share market value at beginning of period

Per share market value at end of period

Total return ⁽⁴⁾

Shares outstanding at end of period

Ratios/Supplemental Data

Net assets at end of period (000’s)

Average net assets (000’s)

Ratio of expenses to average net assets:

Expenses before incentive fees⁽⁵⁾

Net investment income incentive fees⁽⁵⁾

Capital gains incentive fees⁽⁵⁾

Total ratio of expenses to average net assets ⁽⁵⁾

Ratio of net investment income to average net assets ⁽⁵⁾

Represents per share net investment income for the period, based upon average shares outstanding.

Net realized and unrealized capital gains include rounding adjustments to reconcile change in net asset value per share.

Management monitors available taxable earnings, including net investment income and realized capital gains, to determine if a tax return of capital may occur for the year. To the extent the Company’s taxable earnings fall below the total amount of the Company’s distributions for that fiscal year, a portion of those distributions may be deemed a tax return of capital to the Company’s stockholders. The tax character of distributions will be determined at the end of the fiscal year. However, if the character of such distributions were determined as of September 30, 2011, none of the distributions for 2011 would have been characterized as a tax return of capital to the Company’s stockholders; this tax return of capital may differ from the return of capital calculated with reference to net investment income for financial reporting purposes.

Total return equals the increase or decrease of ending market value over beginning market value, plus distributions, divided by the beginning market value, assuming dividend reinvestment prices obtained under the Company’s dividend reinvestment plan. Total return is not annualized.

Annualized.