Exhibit 99.2

Consolidated Financial Statements of American Capital Asset Management, LLC

The consolidated financial statements of American Capital Asset Management, LLC, a wholly-owned portfolio company of American Capital, Ltd., are being provided pursuant to Rule 3-09 of Regulation S-X. These consolidated financial statements are as of December 31, 2015 and 2014 and for each of the three years ended December 31, 2015 and are prepared in accordance with accounting principles generally accepted in the United States.

In accordance with Rule 3-09 of Regulation S-X, only the 2014 consolidated financial statement is required to be audited under U.S. Generally Accepted Auditing Standards as 2014 was the only year in which American Capital Asset Management, LLC met the conditions of a significant subsidiary under Rule 1-02(w) of Regulation S-X. The consolidated financial statements as of and for the years ended December 31, 2015 and December 31, 2013 are unaudited.

1

REPORT OF INDEPENDENT AUDITORS

To the Board of Managers of American Capital Asset Management, LLC

We have audited the accompanying consolidated financial statements of American Capital Asset Management, LLC (the “Company”), which comprise the consolidated balance sheet as of December 31, 2014, and the related consolidated statement of operations and comprehensive income, changes in member’s equity and cash flows for the year then ended, and the related notes to the consolidated financial statements.

Management's Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error.

Auditor's Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audits in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the consolidated financial position of American Capital Asset Management, LLC at December 31, 2014, and the consolidated results of its operations and its cash flows for the year then ended in conformity with U.S. generally accepted accounting principles.

Other Matter

The accompanying consolidated balance sheet of American Capital Asset Management, LLC as of December 31, 2015 and the consolidated statements of operations and comprehensive income, changes in members' equity and cash flows for the years ended December 31, 2015 and 2013 were not audited, reviewed, or compiled by us and, accordingly, we do not express an opinion or any other form of assurance on them.

/s/ Ernst & Young LLP

McLean, Virginia

March 2, 2015

2

AMERICAN CAPITAL ASSET MANAGEMENT, LLC
CONSOLIDATED BALANCE SHEETS
(in thousands)
	December 31,
	2015			2014
	(unaudited)
Assets
Cash and cash equivalents	$	70,258		$	60,850
Restricted cash and cash equivalents	18,143			15,945
Management fee and other receivables	13,513			17,618
Incentive fee receivables	74,681			76,926
Compensation plan investments, at fair value	42,223			41,276
Other investments, at fair value	101,842			31,003
Intangible assets, net	21,035			23,931
Deferred tax assets, net	41,672			44,748
Other assets	4,562			4,203
Assets of consolidated collateralized loan obligation entities:
Restricted cash	235,031			114,031
Investments, at fair value	3,207,663			2,785,159
Other assets	143,667			50,183
Total assets	$	3,974,290		$	3,265,873
Liabilities, Redeemable Non-controlling Interests and Member’s Equity
Liabilities
Debt	$	35,000		$	33,000
Dividend payable	27,243			31,668
Deferred tax liabilities	20,394			37,292
Accounts payable and other accrued liabilities	82,961			65,738
Non-recourse liabilities of consolidated collateralized loan obligation entities:
Senior and subordinated note obligations, at fair value	3,082,609			2,515,721
Accrued interest	24,059			14,819
Unsettled trade obligations and other liabilities	238,825			229,285
Total liabilities	3,511,091			2,927,523
Redeemable non-controlling interests	—			—
Member’s Equity
Member’s contributions	1,234,684			923,662
Retained earnings, net of accumulated distributions	(770,350		)	(583,957		)
Accumulated other comprehensive loss	(1,135		)	(1,355		)
Total Member’s Equity	463,199			338,350
Non-controlling interests	44,309			15,253
Total American Capital Asset Management, LLC Member’s Equity	418,890			323,097
Total Liabilities, Redeemable Non-controlling Interests and Member’s Equity	$	3,974,290		$	3,265,873

See accompanying notes.

3

AMERICAN CAPITAL ASSET MANAGEMENT, LLC
CONSOLIDATED STATEMENTS OF OPERATIONS
(in thousands)
	Year Ended December 31,
	2015			2014			2013
	(unaudited)						(unaudited)
Operating Revenue
Management and incentive fee revenue	$	200,606		$	210,418		$	194,249
Other fees and revenue	13,952			23,740			19,158
Interest and other investment income on consolidated collateralized loan obligation entities	146,450			92,054			56,422
Total operating revenue	361,008			326,212			269,829
Operating Expenses
Administrative fees, related party	29,343			27,810			27,919
Salaries, benefits and incentive compensation	75,391			66,938			51,027
Stock-based and other compensation	12,097			59,241			55,367
Depreciation and amortization	9,187			10,238			4,366
General and administrative	25,441			28,276			18,537
Interest expense on consolidated collateralized loan obligation entities	91,728			58,249			36,921
Other expense on consolidated collateralized loan obligation entities	11,650			12,673			10,720
Total operating expenses	254,837			263,425			204,857
Net Operating Income	106,171			62,787			64,972
Other non-operating (expense) income, net	(374		)	3,231			(6,431		)
Net realized and unrealized gains on consolidated collateralized loan obligation entities	6,832			10,603			10,274
Net Income Before Income Taxes and Non-controlling Interests	112,629			76,621			68,815
Income tax provision	(52,121		)	(36,517		)	(40,760		)
Net Income	60,508			40,104			28,055
Net Income Attributable to Non-controlling Interests	12,328			13,127			2,450
Net Income Attributable to American Capital Asset Management, LLC	$	48,180		$	26,977		$	25,605

See accompanying notes.

4

AMERICAN CAPITAL ASSET MANAGEMENT, LLC
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(in thousands)
	Year Ended December 31,
	2015		2014			2013
	(unaudited)					(unaudited)
Net income	$	60,508	$	40,104		$	28,055
Other comprehensive income (loss):
Currency translation adjustment	220		(1,064		)	1,720
Other comprehensive income	60,728		39,040			29,775
Comprehensive income attributable to non-controlling interest	12,328		13,127			2,450
Comprehensive income attributable to American Capital Asset Management, LLC	$	48,400	$	25,913		$	27,325

See accompanying notes.

5

AMERICAN CAPITAL ASSET MANAGEMENT, LLC
CONSOLIDATED STATEMENTS OF CASH FLOWS
(in thousands)
	Year Ended December 31,
	2015			2014			2013
	(unaudited)						(unaudited)
Operating Activities
Net income	$	60,508		$	40,104		$	28,055
Adjustments to reconcile net income to net cash provided by operating activities:
Depreciation and amortization	9,187			10,238			4,366
Stock-based and other compensation	12,097			59,241			55,367
Net realized and unrealized losses (gains) on compensation plan investments	4,305			(5,489		)	5,968
Net realized and unrealized (gains) losses on other investments	(742		)	2,059			(1,290		)
Effects of exchange rate changes on monetary assets and liabilities denominated in foreign currencies	(1,797		)	(3,760		)	541
Changes in operating assets and liabilities:
Other assets	50,407			(591		)	2,649
Other liabilities	9,811			(4,816		)	19,657
Consolidated collateralized loan obligation entities operating activities:
Net realized and unrealized gains	(6,832		)	(10,603		)	(10,274		)
Accretion of payment-in-kind income in investments	—			—			(69		)
Net change in other assets and liabilities	(47,915		)	(2,046		)	744
Net cash provided by operating activities	89,029			84,337			105,714
Investing Activities
Capital expenditures for property and equipment	(377		)	(176		)	(367		)
Cash paid for intangible assets	—			(7,962		)	—
Purchases of investments	(74,743		)	(47,163		)	(162,305		)
Proceeds from sales of investments	4,644			6,895			494
Principal repayments on other investments	—			—			3,894
Proceeds from repayment of revolving credit facility investments	—			194,748			—
Decrease in cash due to deconsolidation of American Capital Senior Floating, Ltd.	—			(4,649		)	—
Consolidated collateralized loan obligation entities investing activities:
Increase in cash due to consolidation of collateralized loan obligation entity	—			12,955			—
Purchases of bank loans and other investments	(2,836,447		)	(1,854,243		)	(1,487,692		)
Draws on revolving credit facility investments, net	—			(4,389		)	(7,295		)
Proceeds from sales and maturities of bank loans and other investments	1,501,954			446,930			224,093
Principal repayments and bond redemptions	778,280			517,031			521,768
Net cash used in investing activities	(626,689		)	(740,023		)	(907,410		)
Financing Activities
Member distributions	(268,054		)	(348,584		)	(114,257		)
Member distributions to non-controlling interest	(10,199		)	(4,455		)	(4,244		)
Member contributions	263,464			327,292			170,080
Repurchase of redeemable non-controlling interest	—			(85,000		)	—
Draws on revolving lines of credit, net	2,000			—			24,000
Increase in deferred financing fees	—			—			(474		)
Consolidated collateralized loan obligation entities financing activities:
Draws on bridge financing, net	(167,812		)	(65,188		)	(29,346		)
Repayments of debt	(145,103		)	(103,528		)	—
Proceeds from issuances of debt	993,100			960,000			789,463
Net cash provided by financing activities (1)	667,396			680,537			835,222
Effect of currency rate changes on cash and cash equivalents	672			353			586
Net increase in cash and cash equivalents	130,408			25,204			34,112
Cash and cash equivalents, beginning of year (2)	174,881			149,677			115,565
Cash and cash equivalents, end of year (2)	$	305,289		$	174,881		$	149,677
Supplemental Cash Flow Information
Cash paid for interest	$	1,781		$	1,673		$	1,144
Cash paid for interest by consolidated collateralized loan obligation entities	$	82,488		$	55,782		$	32,877
Cash paid for income taxes	$	434		$	435		$	327
Non-cash Investing Activities
Non-cash contribution of investments from Member	$	—		$	—		$	24,748
Non-cash contribution of management contract intangible from Member	$	6,055		$	22,008		$	—
(1) During the years ended December 31, 2015, 2014 and 2013, excludes deemed contributions from the Member of $62,052 (unaudited), 31,125 and $36,429 (unaudited), respectively, that would have otherwise been used to pay income taxes had the Company been subject to United States and state income taxes.
(2) During the years ended December 31, 2015, 2014 and 2013, includes cash and cash equivalents of $70,258 (unaudited), $60,850 and $64,798 (unaudited), respectively, and restricted cash of consolidated collateralized loan obligation entities of $235,031 (unaudited), $114,031 and $84,879 (unaudited), respectively.

See accompanying notes.

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AMERICAN CAPITAL ASSET MANAGEMENT, LLC
CONSOLIDATED STATEMENTS OF CHANGES IN MEMBER’S EQUITY
(in thousands)
	Member’s Contributions			Retained Earnings, Net of Accumulated Distributions			Accumulated Other Comprehensive Income (Loss)			Total American Capital Asset Management, LLC Member’s Equity			Non-controlling Interest in Consolidated Entities			Total Member’s Equity
Balance as of December 31, 2012	280,025			(182,426		)	(2,011		)	95,588			(2,294		)	93,294
Net income (unaudited)	—			25,605			—			25,605			2,450			28,055
Stock-based compensation (unaudited)	34,205			—			—			34,205			—			34,205
Contributions from Member (unaudited)	231,255			—			—			231,255			—			231,255
Distributions (unaudited)	—			(114,345		)	—			(114,345		)	(4,993		)	(119,338		)
Change in value of Employee Membership Units (unaudited)	6,856			—			—			6,856			—			6,856
Currency translation adjustments, net (unaudited)	—			—			1,720			1,720			—			1,720
Balance as of December 31, 2013 (unaudited)	552,341			(271,166		)	(291		)	280,884			(4,837		)	276,047
Net income	—			26,977			—			26,977			13,127			40,104
Stock-based compensation	19,117			—			—			19,117			—			19,117
Contributions from Member	383,295			—			—			383,295			—			383,295
Contributions from Non-controlling Interest	—			—			—			—			3,446			3,446
Distributions	—			(355,021		)	—			(355,021		)	(2,849		)	(357,870		)
Change in value of Employee Membership Units	(24,725		)	—			—			(24,725		)	—			(24,725		)
Repurchase of Redeemable Non-controlling Interest	(6,366		)	—			—			(6,366		)	6,366			—
Currency translation adjustments, net	—			—			(1,064		)	(1,064		)	—			(1,064		)
Balance as of December 31, 2014	923,662			(599,210		)	(1,355		)	323,097			15,253			338,350
Net income (unaudited)	—			48,180			—			48,180			12,328			60,508
Stock-based compensation (unaudited)	1,059			—			—			1,059			—			1,059
Contributions from Member (unaudited)	309,963			—			—			309,963			—			309,963
Contributions from Non-controlling Interest (unaudited)	—			—			—			—			26,927			26,927
Distributions (unaudited)	—			(263,629		)	—			(263,629		)	(10,199		)	(273,828		)
Currency translation adjustments, net (unaudited)	—			—			220			220			—			220
Balance as of December 31, 2015 (unaudited)	$	1,234,684		$	(814,659	)	$	(1,135	)	$	418,890		$	44,309		$	463,199

See accompanying notes.

7

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS

(in thousands, except per share data)

Note 1. Organization

American Capital Asset Management, LLC (which is referred to as “ACAM”, “we”, “our” and, collectively with its consolidated subsidiaries and affiliates, the “Company”), through its subsidiaries, manages alternative asset investment funds consisting primarily of debt and equity investments of middle market companies and mortgage-related investments, including European Capital Limited (“European Capital”), European Capital UK Debt LP (“ECAS UK SME Debt”), European Capital debt fund (“ECAS debt fund”), American Capital CLO Fund I, LP (“ACAS CLO Fund I”), American Capital Agency Corp. (“AGNC”), American Capital Mortgage Investment Corp. (“MTGE”), American Capital Equity I, LLC (“ACE I”), American Capital Equity II, LP (“ACE II”) and American Capital Equity III, LP (“ACE III”). We refer to these funds as the “Alternative Asset Funds.” The Company also manages, through its subsidiary American Capital Leveraged Finance Management, LLC (“ACLFM”) and its subsidiaries, collateralized loan obligation (“CLO”) funds, including ACAS CLO 2007-1, Ltd. (“ACAS CLO 2007-1”), ACAS CLO 2012-1, Ltd. (“ACAS CLO 2012-1”), ACAS CLO 2013-1, Ltd. (“ACAS CLO 2013-1”), ACAS CLO 2013-2, Ltd. (“ACAS CLO 2013-2”), ACAS CLO 2014-1, Ltd. (“ACAS CLO 2014-1”), ACAS CLO 2014-2, Ltd. (“ACAS CLO 2014-2”), ACAS CLO 2015-1, Ltd. (“ACAS CLO 2015-1”) and ACAS CLO 2015-2, Ltd. (“ACAS CLO 2015-2”) collectively referred to as the “CLO Funds,” and American Capital Senior Floating, Ltd. (“ACSF”), a closed-end investment management company. The Alternative Asset Funds, CLO Funds and ACSF are collectively referred to as the “Managed Funds.” The subsidiaries that manage the Alternative Asset Funds, CLO Funds and ACSF are collectively referred to as the “Fund Managers.”

ACAM is wholly-owned by American Capital, Ltd. (“American Capital”), which is an internally managed, non-diversified closed-end publicly traded investment company that is regulated as a business development company under the Investment Company Act of 1940, as amended (“1940 Act”). ACAM is not consolidated by American Capital and is not regulated under the 1940 Act.

Note 2. Summary of Significant Accounting Policies

Basis of Presentation

The accompanying consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).

Reclassifications

We have reclassified certain prior period amounts in our consolidated financial statements to conform to our current period presentation. These reclassifications had no impact on the prior periods’ net income or member’s equity.

Use of Estimates in Preparation of Financial Statements

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and revenues and expenses during the periods reported. Actual results could differ from those estimates.

Principles of Consolidation

The consolidated financial statements include the accounts of ACAM and its subsidiaries. The Company consolidates subsidiaries in which it either holds, directly or indirectly, a controlling financial interest through the ownership of more than 50% of the voting rights or exercises control as a managing member or general partner. Where the Company is a managing member or general partner, it considers substantive removal rights held by other members or partners in determining if it exercises control. As discussed below, the Company also consolidates variable interest entities (“VIEs”) for which it is deemed to be the primary beneficiary. All significant intercompany accounts and transactions have been eliminated.

Variable Interest Entities

The CLO Funds have been determined to be VIEs. Under the requirements of Financial Accounting Standards (“FASB”) Accounting Standards Codification (“ASC”) Topic 810, Consolidation, (“ASC 810”), an enterprise that has the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance, and the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE, is the VIE’s primary beneficiary and is required to consolidate the VIE.

The Company has determined that it is the primary beneficiary of each of the CLO Funds, as it has the power to direct the activities of the CLO Funds that most significantly impact the CLO Funds’ economic performance, such as managing the collateral portfolio and its credit risk, and the right to receive benefits in the form of senior and subordinate management fees as well as the potential to earn an incentive fee in certain funds from the CLO Funds that could potentially be significant to the CLO Funds.

8

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

Cash and Cash Equivalents

Cash and cash equivalents consist of demand deposits and highly liquid investments with original maturities of three months or less. Cash and cash equivalents are carried at cost which approximates fair value.

Restricted Cash

Restricted cash includes cash held in accounts for the benefit of European Capital Financial Services (Guernsey) Limited (“ECAM”), a European subsidiary of ACAM, for office rental guarantees, bank guarantees and cash held for the benefit of the employees under the discontinued French Stock Loan plan as discussed in Note 13 to our consolidated financial statements.

Restricted Cash of CLO Funds

Restricted cash of CLO Funds includes cash held for reinvestment, quarterly interest and principal distributions, if any, to holders of CLO Fund liabilities and payment of CLO Fund expenses.

Property and Equipment

Property and equipment are carried at cost and depreciated using the straight-line method over the estimated useful lives of the related assets ranging from three to ten years, or the shorter of the estimated useful life or lease term for leasehold improvements. Property and equipment are included in other assets on the consolidated balance sheets.

Management and Incentive Fee Revenue Recognition

Management fees, which are generally calculated as a percentage of assets or equity under management, are recognized when earned and collection is probable. Certain contracts for management services also provide for performance-based fees (“Incentive Fees”), which are generally earned when a predefined minimum investment return (“Return Threshold”) for the Managed Funds are earned. When applicable, Incentive Fees are recognized in the consolidated statements of operations based on the contractual conditions set forth in the agreements governing the Managed Fund as if the Managed Fund were terminated and liquidated at the reporting date and the Managed Fund’s investments were realized at the then estimated fair values. Incentive Fees are earned by the Fund Managers of those Managed Funds to the extent that Return Thresholds have been met. If these investment returns decrease or turn negative in subsequent periods, previously recognized Incentive Fees will be reversed and, to the extent that the aggregate amount of carried distributions received by the Fund Managers during the term of the Managed Fund exceed the amount to which the Fund Manager was ultimately entitled, a liability (“Clawback Obligation”) would be recorded. The Clawback Obligation, if any, is reflected as a reduction of the Company’s Incentive Fee revenue.

Through their ownership of a certain class of shares in a subsidiary of the Company, employees of a subsidiary of the Company (the “Employee Investors”) have rights to receive a portion of the Incentive Fees earned from one of the Company’s Managed Funds. The portion of the incentive fee recognized as revenue that would be paid to the Employee Investors is classified as Net Income Attributable to Non-controlling Interests in the accompanying consolidated statements of operations.

Interest Income Recognition

Interest income is recorded on an accrual basis on interest-bearing loans and bond assets. The Company stops accruing interest on its interest-earning investments when it determines that interest is no longer collectible. When an investment is placed on non-accrual, the Company may record reserves on uncollected interest income recorded in prior periods as a reduction of interest income in the current period. Conversely, when an interest-bearing investment is removed from non-accrual, the Company records interest income in the current period on prior period uncollected interest income that was reserved in prior periods. As of December 31, 2015 (unaudited), December 31, 2014 and December 31, 2013 (unaudited), there were no loans on non-accrual.

Interest income earned on CLO Fund investments is recorded in interest and other investment income on consolidated collateralized loan obligation entities on the consolidated statements of operations. Other interest income is recorded in other non-operating (expense) income, net on the consolidated statements of operations.

Stock-Based Compensation

The Company accounts for all share-based payments to employees under FASB ASC Topic 718, Compensation-Stock Compensation (“ASC 718”). The Company estimates the fair value of its employee share-based payment awards using certain subjective assumptions, such as expected future cash flows. Awards accounted for as liability awards are measured at fair value on the grant and reporting dates. The valuation assumptions used in estimating the fair value of share-based awards may change in future periods. The Company recognizes the fair value of awards over the vesting period or the requisite service period only for those awards expected to vest using an estimated forfeiture rate.

9

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

Non-controlling Interest

Where the Company does not own a 100% interest in a consolidated entity, the portion of net income (loss) and the related equity interest is allocated to the investors other than the Company. Non-controlling interests in the consolidated entities are third-party investors’ or employee investors’ interests in the Company’s consolidated voting interest entities. The Company records redeemable non-controlling interest at redemption value as temporary equity in the consolidated financial statements. As discussed in Note 14 to our consolidated financial statements, all of the redeemable non-controlling interests were redeemed during 2014.

Fair Value Measurements

The Company has elected the fair value option under FASB ASC Topic 825, Financial Instruments (“ASC 825”), to measure the assets and liabilities of all consolidated CLO Funds at fair value to reduce the likelihood of accounting mismatches between the carrying value of the assets and liabilities, and to simplify accounting operations. The Company has also elected the fair value option under ASC 825 to value its investments purchased in conjunction with the Company’s compensation plans (the “Compensation Plan Investments”) in its other investments (“Other Investments”).

CLO Fund investments, investment assets held by ACSF (the “ACSF Investments”) through the date of deconsolidation as discussed in Note 4 to our consolidated financial statements, Compensation Plan Investments and Other Investments are stated at fair value. FASB ASC Topic 820, Fair Value Measurement and Disclosures (“ASC 820”), which provides a framework for measuring the fair value of assets and liabilities and guidance regarding a fair value hierarchy, which prioritizes information used to measure fair value and the effect of fair value measurements on earnings. Due to the uncertainty inherent in the valuation process, estimates of fair value may differ significantly from the values that would have been used had a ready market for our investments existed, and the differences could be material. Additionally, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different than the valuations currently assigned.

ASC 820 defines fair value in terms of the price that would be received upon the sale of an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. Under ASC 820, the fair value measurement also assumes that the transaction to sell an asset occurs in the principal market for the asset or, in the absence of a principal market, the most advantageous market for the asset. The principal market for an asset is the market in which the reporting entity would sell or transfer the asset with the greatest volume and level of activity for the asset. In determining the principal market for an asset under ASC 820, it is assumed that the reporting entity has access to the market as of the measurement date. If no market for the asset exists or if the reporting entity does not have access to the principal market, the reporting entity should use a hypothetical market. The market in which the Company would sell its CLO Fund investments and ACSF Investments is the syndicated loan market.

CLO Fund and ACSF Investments

The loan assets of the CLO Funds and ACSF are predominantly valued using pricing service quotations from a nationally recognized service provider. When possible, the Company makes inquiries of the third-party pricing sources to understand their use of significant inputs and assumptions. The Company reviews the third-party fair value estimate and performs procedures to validate their reasonableness, including an analysis of the range and dispersion of third-party estimates, frequency of pricing updates, comparison of recent trading activity for similar securities, and review for consistency with market conditions observed as of the measurement date. The Company may estimate the fair value of certain of its investments using a market yield valuation methodology that generally combines market, income and cost approaches. Bonds and asset-backed securities (“ABS”) are valued using quotes from third-party brokers, pricing services, a market yield valuation methodology, or a combination thereof. In the event that a third-party pricing source is unable to price an investment, or in cases where the Company believes that pricing service quotations do not provide sufficient evidence to support a market participant’s view of the fair value of the asset being valued, other relevant factors, data and information are considered, including:

• price quotations for and trading in similar investments and the market environment;

• the characteristics of and fundamental analytical data relating to the investment, including the cost, size, current interest rate, period until next interest rate reset, maturity and base lending rate, the terms and conditions of the loan and any related agreements, and the position of the loan in the issuer’s debt structure;

• the nature, adequacy and value of the collateral;

• the creditworthiness of the borrower; and

• general economic and market conditions affecting the fair value of the senior secured corporate loan.

10

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

The Company estimates the fair value of investments in subordinated tranches of CLO securities using third-party broker quotes, purchases or sales of the same or similar securities, and the Company’s cash flow forecasts. The cash flow forecasts are subject to assumptions a market participant would use regarding the investments’ underlying collateral including, but not limited to, assumptions of default and recovery rates, reinvestment spreads and prepayment rates. Cash flow forecasts are discounted using a market participant’s market yield assumptions that are derived from multiple sources including, but not limited to, third-party broker quotes, industry research reports and transactions of securities and indices with similar structure and risk characteristics. When using third-party broker quotes in determining fair value, the Company weighs its understanding of the level of actual transactions used by the broker to develop the quote, whether the quote was an indicative price or binding offer, the depth and consistency of broker quotes, and the correlation of changes in broker quotes with underlying performance and other market indices.

Compensation Plan Investments

Assets held for employee compensation plans, which consist entirely of actively traded equity securities, are valued using quoted prices from the NASDAQ Global Select Market at the reporting date.

Accounting for Income Taxes

As a single member limited liability company, the Company is taxed as a disregarded entity and most of its subsidiaries are either disregarded entities or partnerships for United States federal income tax purposes and, accordingly, are not generally subject to United States federal, state and local income taxes. However, the Company is included in the consolidated federal tax return of American Capital, and for financial statement reporting purposes the Company is required to calculate and record income taxes as if it was a division of its parent. Provisions for income taxes recorded are reflected in the consolidated statement of changes in member’s equity as Contributions from Member. Deferred taxes were recorded by the Company upon American Capital’s conversion to taxable C corporation status in 2011. One of the Company’s subsidiaries is organized and taxable as a corporation in the United Kingdom with branches in other European countries, where it is subject to corporate tax in those countries.

Income taxes are accounted for under the asset and liability method. Deferred tax assets and liabilities are recorded to reflect the future tax consequences of temporary differences between the financial reporting bases of assets and liabilities and their tax bases at each year end. Deferred tax assets and liabilities are measured using the enacted income tax rates in effect for the year in which those temporary differences are expected to be recovered or settled. Deferred tax assets and liabilities are adjusted for future income tax rate changes in the year the changes are enacted. Deferred tax assets are recognized for operating loss and tax credit carryforwards if management believes, based upon existing evidence, that it is more likely than not that the carryforwards will be utilized. All deferred tax assets are reviewed for realizability and valuation allowances are recorded if it is more likely than not that the deferred tax assets will not be realized. The Company recognizes interest and penalties for uncertain tax position as a component of its income tax expense.

Foreign Currency Translation and Transactions

The Company’s assets and liabilities denominated in foreign currencies are translated at foreign exchange rates in effect at the balance sheet date, while results of operations are translated at average foreign exchange rates for the respective periods. The resulting translation gains or losses are included as a separate component of member’s equity in accumulated other comprehensive loss in the consolidated balance sheets. For the years ended December 31, 2015, 2014 and 2013, foreign currency transaction gains (losses) of $2,115 (unaudited), $2,150 and $(521) (unaudited), respectively, are included in other non-operating income (expense), net in our consolidated statements of operations.

Concentration of Credit Risk

The Company places its cash and cash equivalents with major financial institutions and cash held in checking accounts may exceed the Federal Deposit Insurance Corporation insured limit.

Trade Date Accounting

The Company records its investment purchases and sales on a trade date basis, as the trades represent a binding commitment to buy or sell the security traded. In the event that a trade is not probable of settlement, the original transaction is reversed in the period in which we make that determination.

11

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

Intangible Assets

The Company’s finite-lived intangible assets are amortized over their estimated useful lives. Finite-lived intangible assets are reviewed for impairment annually or when events or changes in circumstances that indicate that the carrying amount of an asset may not be recoverable. An impairment is recognized if the carrying amount is not recoverable and exceeds the fair value of the intangible asset.

Impairment of Long-Lived Assets

The Company assesses the recoverability of long-lived assets annually or when an indicator of impairment exists. When an indicator of impairment is present, the Company determines if a long-lived asset or asset group is recoverable by comparing the carrying value of these assets to their estimated undiscounted future operating cash flows. If the long-lived asset or asset group is not recoverable, a charge is recognized for the difference between the long-lived asset or asset group’s carrying value and fair value.

Recent Accounting Pronouncements

In May 2014, the FASB issued Accounting Standards Update (“ASU”) 2014-09, Revenue from Contracts with Customers (“ASU 2014-9”). In August 2015, the FASB issued ASU 2015-14, Revenue from Contracts with Customers (Topic 606): Deferral of the Effective Date (“ASU 2015-14”) which defers the effective date of ASU 2014-09 for all entities by one year. ASU 2014-9 requires revenue recognition to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. The guidance also specifies the accounting for some costs to obtain or fulfill a contract with a customer, as well as qualitative and quantitative disclosure aimed to enable financial statement users to understand the nature, amount, timing, and uncertainty of revenue and cash flows arising from contracts with customers. Entities have the option of using either a full retrospective or a modified retrospective approach for the adoption of the new standard. ASU 2014-9, as amended by ASU 2015-14, is effective for a public business entity for annual reporting periods beginning after December 15, 2017, including interim periods within that reporting period. Early application is permitted only as of annual reporting periods beginning after December 15, 2016, including interim reporting periods within that reporting period. The Company is currently evaluating the impact of ASU 2014-9 on its consolidated financial statements.

In August 2014, the FASB issued ASU 2014-13, Consolidation (Topic 810): Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity (a consensus of the FASB Emerging Issues Task Force) (“ASU 2014-13”). ASU 2014-13 provides guidance on the accounting for the consolidation of a collateralized financing entity (“CFE”) and provides a measurement alternative to the accounting under ASC Topic No. 820, Fair Value Measurement in situations where the reporting entity measures the financial assets (“FA”) and financial liabilities (“FL”) of the consolidated CFE at fair value and recognizes the change in fair value in earnings. ASU 2014-13 clarifies that under ASC 820, the difference at consolidation between the fair value of financial assets and the fair value of the financial liabilities of the consolidated CFE should be recognized in earnings and attributed to the reporting entity in the consolidated statement of income (loss). This applies even if there is no material equity interest in the CFE and the beneficial interest only has recourse to the assets of the CFE. If the measurement alternative is elected, the reporting entity’s consolidated net income (loss) reflects only its economic interests in the CFE, including (1) changes in the fair value of beneficial interests retained by the reporting entity and (2) beneficial interests that represent compensation for services. Under the measurement alternative, the reporting entity should measure both the financial assets and the financial liabilities of the CFE in its consolidated financial statements using the more observable of the fair value of financial assets and the financial liabilities. If the fair value of financial assets is more observable, those financial assets should be measured at fair value and the financial liabilities should be measured in consolidation as (1) the sum of the fair value of the financial assets and the carrying value of any nonfinancial assets held temporarily, less (2) the sum of the fair value of any beneficial interests retained by the reporting entity (other than those that represent compensation for services) and the reporting entity’s carrying value of any beneficial interests that represent compensation for services. The resulting amount should be allocated to the individual financial liabilities (other than the beneficial interests retained by the reporting entity) using a reasonable and consistent methodology. If the fair value of financial liabilities is more observable, those financial liabilities should be measured at fair value and the financial assets should be measured in consolidation as (1) the sum of the fair value of financial liabilities (other than the beneficial interests retained by the reporting entity), the fair value any beneficial interests retained by the reporting entity (other than those that represent compensation for services), and the reporting entity’s carrying value of any beneficial interests that represent compensation for services, less (2) the carrying value of any nonfinancial assets held temporarily. The resulting amount should be allocated to the individual financial assets using a reasonable and consistent methodology. The amendments can be adopted using a modified or full retrospective approach. ASU 2014-13 is effective for public business entities for annual periods, and interim periods within those annual periods, beginning after December 15, 2015. For entities other than public business entities, ASU 2014-13 is effective for annual periods ending after December 15, 2016, and interim periods beginning after December 15,

12

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

2016. Early adoption is permitted as of the beginning of an annual period. The Company is in the process of determining the impact of ASU 2014-13 on its consolidated financial statements.

In February 2015, the FASB issued ASU 2015-2, Consolidation (Topic 820): Amendments to the Consolidation Analysis (“ASU 2015-2”). ASU 2015-2 provides a revised consolidation model for all reporting entities to use in evaluating whether they should consolidate certain legal entities. All legal entities will be subject to reevaluation under this revised consolidation model. Among other things, ASU 2015-2 (1) modifies the evaluation of whether limited partnerships and similar legal entities are VIEs or voting interest entities, (2) eliminates the presumption that a general partner should consolidate a limited partnership, and (3) modifies the consolidation analysis of reporting entities that are involved with VIEs, particularly those that have fee arrangements and related party relationships. The guidance in ASU 2015-2 is effective for public business entities for fiscal years, and for interim periods within those fiscal years, beginning after December 15, 2015. For all other entities, ASU 2015-2 is effective for fiscal years beginning after December 15, 2016, and for interim periods within fiscal years beginning after December 15, 2017. Early adoption is permitted, including adoption in an interim period. ASU 2015-2 can be adopted using a modified or full retrospective approach. The Company has evaluated the impact of adopting ASU 2015-02 and does not expect that it will have a material effect on its consolidated financial statements.

In January 2016, the FASB issued ASU No. 2016-01, Financial Instruments-Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities (“ASU 2016-01”), which makes targeted improvements to the recognition, measurement, presentation, and disclosure of certain financial instruments. The Update focuses primarily on the accounting for equity investments, financial liabilities under the fair value option, and the presentation and disclosure requirements for certain financial instruments. Among its provisions for public business entities, ASU 2016-01 eliminates the requirement to disclose the method(s) and significant assumptions used to estimate the fair value of financial instruments measured at amortized cost, requires the use of the exit price notion when measuring the fair value of financial instruments for disclosure purposes, requires the separate presentation in other comprehensive income of the change in fair value of a liability due to instrument-specific credit risk for a liability for which the reporting entity has elected the fair value option, requires separate presentation of financial assets and financial liabilities by measurement category and form of financial asset (that is, securities or loans and receivables) and clarifies guidance related to the valuation allowance assessment when recognizing deferred tax assets resulting from unrealized losses on available-for-sale debt securities. The guidance in ASU 2016-01 is effective for public business entities for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. Early application is permitted for a limited number of provisions. The Company is currently evaluating the impact of adopting ASU 2016-01 on its consolidated financial statements.

Note 3. CLO Funds

CLO Fund General Information

The CLO Funds are special purpose vehicles that own portfolios of investments (the “CLO Fund Investments”), including privately issued and broadly syndicated senior secured corporate loans from a variety of industries and, to a lesser extent, bonds, ABS and equity securities. ACAS CLO 2007-1 was created in 2007, ACAS CLO 2012-1 and ACAS CLO 2013-1 were each created in 2012, ACAS CLO 2013-2 and ACAS CLO 2014-1 were created in 2013, ACAS CLO 2014-2, ACAS CLO 2015-1 and ACAS CLO 2015-2 were created in 2014 and ACAS CLO IX, Ltd. (“ACAS CLO IX”) and ACAS CLO X, Ltd. (“ACAS CLO X”) were created in 2015. The CLO Funds’ Investment activities are governed by guidelines (the “Investment Guidelines”) outlined in the CLO Fund indentures (the “Indentures”), which place limitations on the types and credit quality of the investments, as well as limits on concentrations within industries, geographic locations and among issuers. The CLO Funds have a defined investment period during which they are allowed to make investments or reinvest capital (the “Reinvestment Period”) as it becomes available. After the Reinvestment Period, proceeds from principal payments or bond redemptions from the CLO Fund Investments are either paid to each of the CLO Fund noteholders in accordance with the established priority of payments, commonly referred to as the “waterfall” or, in certain circumstances defined in the Indentures, may be reinvested. Interest and fees collected from the CLO Fund Investments, net of certain CLO Fund expenses, are used to pay interest to the holders of the CLO Fund notes.

The CLO Funds are primarily financed through the issuance of CLO Fund notes to third-parties. The Company’s risk in the CLO Funds it manages is limited to any uncollected management fees and its investments in the subordinated notes of ACAS CLO 2012-1, ACAS CLO 2013-1, ACAS CLO 2014-1, ACAS CLO 2014-2, ACAS CLO 2015-1, ACAS CLO 2015-2, ACAS CLO IX and ACAS CLO X (the “ACAM CLO Investments”). The Company has no right to the benefits from, nor does it bear the risks associated with, anything beyond the ACAM CLO Investments and the investment management fees which ACLFM earns, including senior management fees and subordinated management fees (together, the “CLO Management Fees”). If the Company were to liquidate, the CLO Fund Investments would not be available to any general creditors of the Company. Additionally, the CLO Fund Investments are held solely to satisfy the obligations of the CLO Funds, and the investors in the CLO Funds have no recourse to the general credit of the Company for the CLO Fund notes.

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AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

CLO Fund Investments

The CLO Fund Investments mature at various dates between 2016 and 2023, typically pay interest at the London Interbank Offering Rate (“LIBOR”) or Prime plus a spread, and typically range in credit rating categories from BBB to B- at purchase. As of December 31, 2015 and 2014, the unpaid principal balance of the senior secured corporate loans, bonds and other investments exceeded the fair value by $153,577 (unaudited) and $48,742, respectively. As of December 31, 2015, 2014 and 2013 (unaudited), there were no CLO Fund Investments in default.

CLO Fund Notes

The CLO Funds finance the purchase of the CLO Fund Investments through the issuance of various tranches of debt and subordinated note securities (the “CLO Fund Notes”) that are collateralized by the CLO Fund Investments. The most senior CLO Fund Notes (the “CLO Fund Senior Notes”) represent the majority of the total liabilities of the CLO Funds and carry the highest credit rating, generally AAA at issuance, and have the first priority of payment on the cash flows of the CLO Funds, after payment of certain of the CLO Funds’ expenses, through the waterfall. The majority of the CLO Fund Senior Notes are issued at a specified spread above LIBOR, which varies from 0.21% to 1.60%. Other subordinated tranches of CLO Fund Notes (the “CLO Fund Mezzanine Notes”), generally rated AA through B at issuance, have the priority of payment after the CLO Fund Senior Notes. The majority of the CLO Fund Mezzanine Notes are issued at a specified spread over LIBOR, which varies from 0.50% for the more senior tranches to 6.65% for the more junior tranches. The most junior tranches of Notes (the “CLO Fund Subordinated Notes”) do not have stated interest rates, but are entitled to the residual cash flows of the CLO Funds’ after payment of interest on the CLO Fund Senior Notes and the CLO Fund Mezzanine Notes, and payment of the expenses of the CLO Funds. The CLO Fund Senior Notes and the CLO Fund Mezzanine Notes may be redeemed at the option of the majority of the holders of the CLO Fund Subordinated Notes after a period of time defined in the respective Indentures.

The CLO Fund Notes have stated maturity dates between 2021 and 2027 and are issued in various tranches with different risk profiles and ratings. As of December 31, 2015 and 2014, the outstanding principal balance on the CLO Fund Notes exceeds its fair value by approximately $231,454 (unaudited) and $107,831, respectively.

ACAS CLO 2014-1 Consolidation

ACAS CLO 2014-1 was initially formed in 2013 to purchase investments in anticipation of launching a CLO Fund. It initially funded the purchase of its investments with senior and subordinated financing (the “Warehouse Financing”). The subordinated financing was provided by American Capital. In July 2014, ACAS CLO 2014-1 consummated a transaction (the “CLO 2014-1 Warehouse Closing”) in which it entered into a management contract with the Company, issued $618,750 of new CLO Fund Notes, including $31,000 of Subordinated Notes to the Company (the “ACAM Subordinated Notes”), and repaid the Warehouse Financing with accrued interest, including the ACAS Subordinated Loan. In the period prior to the CLO 2014-1 Warehouse Closing the Company did not consolidate ACAS CLO 2014-1 because it was not deemed to be its primary beneficiary, as defined in ASC 810. The Company began consolidating ACAS CLO 2014-1 at the consummation of the CLO Warehouse Closing. All transactions associated with the CLO 2014-1 Warehouse Closing and the results of operations subsequent to the CLO 2014-1 Warehouse Closing are included in the accompanying financial statements.

On consolidation, the Company recognized $12,955 in restricted cash, investments with a fair value of $473,928 and debt and other liabilities with a fair value of $486,883. In accordance with the principles of consolidation, the amounts related to the ACAM Subordinated Notes have been eliminated in consolidation.

ACAS CLO IX Total Return Swap

On July 9, 2015, ACAS CLO IX entered into a total return swap (“TRS”) transaction with Citibank, N.A. (“Citibank”). The TRS replicates the performance of a reference pool of loans (“Reference Portfolio”) and was funded with a $50 million unsecured subordinated promissory note with American Capital CLO Management, LLC (“CLOM”), the ramp up collateral manager of ACAS CLO IX and an indirect, wholly-owned and consolidated subsidiary of the Company. The maximum portfolio notional amount of loans that can be included in the Reference Pool for the TRS was $250 million. On November 18, 2015, the CLOM amended the agreement to increase the unsecured promissory note to $70 million and increased the maximum notional amount of the loans in the Reference Pool to $350 million. Under the terms of the TRS, ACAS CLO IX receives from Citibank an amount equal to the interest, fees and other amounts paid during the period on the loans included in the Reference Portfolio and ACAS CLO IX pays to Citibank a pre-agreed upon spread on the average outstanding amount of the loans and letters of credit included in the Reference Pool. The TRS is accounted for as a derivative pursuant to ASC 815, Derivatives and Hedging (“ASC 815”). During the year ended December 31, 2015, the Company received $454 (unaudited) in cash settlements from the TRS, which was recorded as a net realized gain in the financial statement line item net realized and unrealized gains on consolidated collateralized loan obligation entities in the accompanying consolidated statements of operations.

14

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

ACAS CLO IX is required to post cash collateral of a certain portion of the notional amount of the loans in the Reference Portfolio, subject to a minimum collateral amount of $5 million. As of December 31, 2015, ACAS CLO IX had provided $55,000 (unaudited) of cash collateral which was recorded in the financial statement line item Other assets on Assets of consolidated collateralized loan obligation entities in the accompanying consolidated balance sheets. ACAS CLO IX may also be required to post additional collateral from time to time as a result of unrealized losses on the loans included in the Reference Portfolio. If ACAS CLO IX does not deposit additional cash collateral when required to do so, then Citibank will have the right to terminate the TRS and seize all or a portion of the cash collateral posted by ACAS CLO IX to cover any losses it incurs in such early termination. The Company’s exposure under the TRS is limited to the value of assets held at ACAS CLO IX, which consists primarily of cash collateral on deposit with Citibank.

As of December 31, 2015, the fair value liability of the TRS was approximately $3,137 (unaudited) and the loans in the Reference Pool had a cost basis of approximately $242,758 (unaudited). Realized gains and losses on total return swaps are composed of any gains or losses on the Reference Pool as well as the net interest received or owed at the time of the monthly settlement. Unrealized gains and losses on total return swaps are composed of the net interest income earned or interest expense owed during the period that was not previously settled as well as the change in fair value of the Reference Pool.

ACAS CLO X Warehouse

As of December 31, 2015, ACAS CLO X was in the “warehouse” phase of their existence and had not yet issued CLO Fund Senior Notes or CLO Fund Mezzanine Notes. ACAS CLO X had financed the purchase of its CLO Fund Investments through the issuance of a subordinated note (the “ACAS CLO X Warehouse Subordinated Note”) issued by a subsidiary of the company of up to $50,000, and through a senior loan facility (the “ACAS CLO X Warehouse Facility”) that allowed for draws to fund the settlement of investment purchases after the funds received from the issuance of the ACAS CLO X Warehouse Subordinated Note had been depleted, up to $200,000. The ACAS CLO X Warehouse Facility bears interest at rates generally based on three-month LIBOR, plus an applicable margin of 1.25%. It matures on the earlier of July 22, 2016 or the date CLO Fund Notes are issued, and may be terminated by the Company earlier.

The CLO Manager

The Company, through a subsidiary of ACLFM, is the investment manager (the “CLO Manager”) of the CLO Funds. In its capacity as the CLO Manager, ACLFM makes investment decisions on behalf of the CLO Funds, subject to the Investment Guidelines. For managing the CLO Fund Investments, ACLFM earns CLO Management Fees, which are based on a fixed percentage of the collateral in the respective portfolio, as defined in the Indentures. In the event one or more of the CLO Funds achieves a predefined minimum investment return to holders of their Subordinated Notes at some time in the future, ACLFM may earn additional fees.

In accordance with the principles of consolidation, the CLO Management Fees and the ACAM CLO Investments have been eliminated in consolidation.

Note 4. American Capital Senior Floating, Ltd.

ACSF General Information

In January 2014, ACSF completed its initial public offering (“ACSF IPO”) of common stock at $15.00 per share for total gross proceeds of $150,000. Upon the completion of the ACSF IPO, ACAM owned approximately 3% of the outstanding common stock of ACSF and no longer exercised voting control. Accordingly, the Company deconsolidated ACSF (the “ACSF Deconsolidation”) as of the date of the ACSF IPO. The Company recognized a gain of $1,368 on the deconsolidation, which is reported in Other non-operating income (expense), net in the accompanying financial statements. Subsequent to the ACSF IPO, ACSF repaid a $200,000 revolving credit facility with ACAM (the “ACAM Facility”). Immediately after the repayment of the ACAM Facility it was canceled. In connection with the ACSF IPO, an underwriting commission of $7,952 was incurred and paid by ACSF Management.

In accordance with the principles of consolidation, amounts related to the ACAM Facility were eliminated in consolidation prior to the ACSF Deconsolidation.

Note 5. American Capital Equity III, LP

ACE III General Information

ACE III, a Delaware limited partnership, was formed on March 27, 2014. On April 28, 2014, American Capital entered into a Contribution and Redemption Agreement (the “CRA”) with ACE III pursuant to which American Capital agreed to contribute

15

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

all of its equity and equity-related investments in seven portfolio companies to ACE III and to provide ACE III with an option to acquire another portfolio company in exchange for limited partnership interests in ACE III. The closing of the transactions under the CRA occurred on September 23, 2014 (the “ACE III Closing Date”). American Capital Equity GP III, LP (the “ACE III GP”), a majority-owned affiliate of the Company, manages ACE III pursuant to a management contract (the “ACE III Management Agreement”). Pursuant to the limited partnership agreement of ACE III (the “Limited Partnership Agreement”), ACE III will continue in existence until September 23, 2021, unless extended in accordance with the terms outlined in the Limited Partnership Agreement.

The ACE III Investment

The Company committed to investing $204,500 in ACE III (the “ACE III Investment Commitment”), subject to certain adjustments for transactions occurring between April 28, 2014 and the ACE III Closing Date. On the ACE III Closing Date, the Company invested $2,686 towards its commitment. The Company invested an additional $48,603 (unaudited) and $26,679 during the years ended December 31, 2015 and 2014, respectively, to fund additional ACE III investments and to fund the payment of ACE III expenses, including the ACE III Management Fee. As of December 31, 2015, the remaining ACE III Investment Commitment is $125,388 (unaudited). Pursuant to the Limited Partnership Agreement, ACE III may recall distributions previously made in order to pay management fees and to settle certain liabilities incurred by ACE III, subject to certain restrictions.

The ACE III GP Non-controlling Interest

In conjunction with closing the ACE III transaction, certain employees of a subsidiary of the Company (the “Employee Investors”) purchased an interest in ACE III GP (the “ACE III Non-controlling Interest”) and committed to investing $4,500 in ACE III GP, which is to be used to fund a portion of the ACE III Investment Commitment. In addition to pro rata participation in the returns from the investments of ACE III, the ACE III Non-controlling Interest also allows the Employee Investors to participate in any incentive fees earned by ACE III GP and, at the discretion of the Company, a portion of the distribution of any earnings of the ACE III GP. Earnings attributable to the ACE III Non-controlling Interests are reflected as net income attributable to non-controlling interests in the consolidated statements of operations. At the ACE III Closing Date, the fair value of the ACE III Non-controlling Interest purchased by the Employee Investors exceeded the purchase price by $18,219. This excess was deemed to be compensatory under ASC 718 and is recorded in stock-based and other compensation in the accompanying consolidated statements of operations.

The ACE III Management Agreement

On the ACE III Closing Date, the Company, through ACE III GP, became the investment manager of ACE III. In its capacity as the investment manager of ACE III, ACE III GP makes investment decisions on behalf of ACE III, subject to the approval of its investment committee. For managing ACE III, ACE III GP earns a management fee (the “ACE III Management Fee”). As defined in the ACE III Management Agreement, the ACE III Management Fee is comprised of a secondary management fee based on a percentage of the unaffiliated Partners’ aggregate commitments attributed to secondary investments and aggregate uncalled follow-on commitments, and a primary management fee based on the unaffiliated Partners’ aggregate primary commitments as of such management fee due date. The management fee payable is reduced by any transaction and monitoring fees related to ACE III portfolio company investments that are received by American Capital or an affiliate, which are attributable to ACE III, during the immediately preceding quarterly period.

Note 6. Fair Value of Financial Instruments

The levels of fair value inputs used to measure our investments are characterized in accordance with the fair value hierarchy established by ASC 820. Where inputs for an asset or liability fall in more than one level in the fair value hierarchy, the asset or liability is classified in its entirety based on the lowest level input that is significant to that investment’s fair value measurement. We use judgment and consider factors specific to the investment in determining the significance of an input to a fair value measurement. Our policy is to recognize transfers in and out of levels as of the beginning of each reporting period. The three levels of the fair value hierarchy, and investments that fall into each of the levels are described below:

• Level 1: Level 1 inputs are unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities.

• Level 2: Level 2 inputs are inputs, other than quoted prices included within Level 1, which are observable for the asset or liability, either directly or indirectly.

• Level 3: Level 3 inputs are unobservable and cannot be corroborated by observable market data. Financial instruments that are included in this category include investments in privately-held entities, non-investment grade residual interests in securitizations and CLOs.

16

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

Investments held by the CLO Funds and the CLO Fund Notes are recognized at fair value.

The following fair value hierarchy tables set forth our assets and liabilities that are measured at fair value on a recurring basis by level as of December 31, 2015 (unaudited) and 2014:

	2015 (unaudited)
	Level 1		Level 2		Level 3		Total
Assets
CLO Fund Investments
Loans	$	—	$	3,161,938	$	38,534	$	3,200,472
Other CLO Fund Investments	—		—		7,191		7,191
CLO Fund Investments	—		3,161,938		45,725		3,207,663
Other investments	2,883		—		98,959		101,842
Compensation plan investments	42,223		—		—		42,223
Total	$	45,106	$	3,161,938	$	144,684	$	3,351,728
Liabilities
CLO Fund Notes	$	—	$	—	$	3,082,609	$	3,082,609
	2014
	Level 1		Level 2		Level 3		Total
Assets
CLO Fund Investments
Loans	$	—	$	2,729,074	$	47,253	$	2,776,327
Other CLO Fund Investments	—		—		8,832		8,832
CLO Fund Investments	—		2,729,074		56,085		2,785,159
Other investments	3,552		—		27,451		31,003
Compensation plan investments	41,276		—		—		41,276
Total	$	44,828	$	2,729,074	$	83,536	$	2,857,438
Liabilities
CLO Fund Notes	$	—	$	—	$	2,515,721	$	2,515,721

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AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

The following tables set forth the summary of changes in the fair value of investments measured using Level 3 inputs for the years ended December 31, 2015 (unaudited) and 2014:

	Loans			Other CLO Fund Investments			Total CLO Fund Investments			Other Investments			Total
Balances, January 1, 2015	$	47,253		$	8,832		$	56,085		$	27,451		$	83,536
Purchases	17,605			—			17,605			74,743			92,348
Sales	(7,884		)	—			(7,884		)	—			(7,884		)
Settlements, net(1)	(9,916		)	(1,500		)	(11,416		)	(4,625		)	(16,041		)
Realized and unrealized (losses) gains, net	(88		)	(141		)	(229		)	1,390			1,161
Transfers into Level 3	12,726			—			12,726			—			12,726
Transfers out of Level 3	(21,162		)				(21,162		)				(21,162		)
Balances, December 31, 2015 (unaudited)	$	38,534		$	7,191		$	45,725		$	98,959		$	144,684
(1) Includes amortization of discounts and premiums.

	Loans			Other CLO Fund Investments		Total CLO Fund Investments			ACSF Investments			Other Investments			Total
Balances, January 1, 2014	$	25,414		$	8,673	$	34,087		$	69,965		$	—		$	104,052
Purchases	24,872			—		24,872			—			29,364			54,236
Sales	(2,911		)	—		(2,911		)	—			—			(2,911		)
Settlements, net(1)	(9,596		)	—		(9,596		)	(3,000		)	(212		)	(12,808		)
Realized and unrealized (losses) gains, net	(2,241		)	159		(2,082		)	(11		)	(1,701		)	(3,794		)
Transfers into Level 3	21,830			—		21,830			—			—			21,830
Transfers out of Level 3	(10,115		)			(10,115		)							(10,115		)
Deconsolidation of ACSF	—			—		—			(66,954		)	—			(66,954		)
Balances, December 31, 2014	$	47,253		$	8,832	$	56,085		$	—		$	27,451		$	83,536
(1) Includes amortization of discounts and premiums.

18

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

The following tables set forth the summary of changes in the fair value of CLO Fund Notes measured using Level 3 inputs for the years ended December 31, 2015 (unaudited) and 2014:

	CLO Fund Notes
Balances, January 1, 2015	$	2,515,721
Issues	993,100
Settlements, net	(312,915		)
Debt acquired on consolidation of CLO Fund	—
Unrealized gains, net	(113,297		)
Balances, December 31, 2015 (unaudited)	$	3,082,609
	CLO Fund Notes
Balances, January 1, 2014	$	1,497,269
Issues	960,000
Settlements, net	(168,717		)
Debt acquired on consolidation of CLO Fund	284,382
Unrealized gains, net	(57,213		)
Balances, December 31, 2014	$	2,515,721

The following table summarizes the significant unobservable inputs in the fair value measurements of our Level 3 assets by category of investment and valuation technique as of December 31, 2015 (unaudited):

					Range
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum	Maximum	Weighted Average
Market Yield Valuation Methodology
Loans	$	38,534	Third party pricing service	Bid/Ask	6	101	86
Other CLO Fund Investments	$	7,191	Discounted cash flow	Discount rate	2.34%	5.51%	3.18%
				Constant prepayment rate	30%	30%	30%
Total	$	45,725		Constant default rate	2%	2%	2%

The following table summarizes the significant unobservable inputs in the fair value measurements of our Level 3 assets by category of investment and valuation technique as of December 31, 2014:

					Range
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum	Maximum	Weighted Average
Market Yield Valuation Methodology
Loans	$	3,069	Discounted cash flow	Market yield	16%	16%	16%
				Estimated remaining life	4.25 yrs	4.25 yrs	4.25 yrs
	$	44,184	Third party pricing service	Bid/Ask	80	101	94
Other CLO Fund Investments	$	8,832	Discounted cash flow	Discount rate	1.73%	4.98%	3.02%
				Constant prepayment rate	30%	30%	30%
Total	$	56,085		Constant default rate	2%	2%	2%

The significant unobservable inputs used in the fair value measurement of the Company’s Level 3 investments in Loans are market yields and estimated remaining life. Significant increases in market yields would result in a significantly lower fair value measurement. Significant increases in estimated remaining life in isolation would result in a significantly lower fair value measurement. The significant unobservable inputs used in the fair value measurement of the Company’s Level 3 investments in Other CLO Fund Investments, which are made up primarily of ABS, are discount rate, constant prepayment rate and/or constant default rate. Significant increases in discount rates, constant prepayment rates and/or constant default rates will result in a

19

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

significantly lower fair value measurement. However, given the interrelationship between loss estimates and the discount rate, overall market conditions would likely have had a more significant impact than changes in any one unobservable input.

The measurement objective of determining the fair value of the CLO Fund Investments and the CLO Fund Notes is to present these assets and liabilities consistently with how market participants would price the Company’s net risk exposure to the CLO Funds. We determined the fair value of the CLO Fund Notes based on the fair value of the CLO Fund Investments. There is not an active market for the CLO Fund Notes and had we determined the fair value of the CLO Fund Notes independently, the significant unobservable inputs we would have considered include assumptions for underlying loan collateral default rates, loss severities in the event of default, discount rates as well as the market conditions and expectations of the movement in interest rates. An increase in any one of these individual inputs in isolation would likely result in a decrease in fair value measurement. However, given the interrelationship between loss estimates and the discount rate, overall market conditions would likely have had a more significant impact than changes in any one unobservable input.

The Company measures the fair value of its investments in ACAS CLO Fund I and ACE III predominantly based on its net asset values, which are calculated in a manner consistent with the measurement principles of ASC 946, Financial Services-Investment Companies, as of the measurement date, including measurement of all or substantially all of the underlying investments of ACAS CLO Fund I and ACE III in accordance with ASC 820. The Company measures the fair value of its investment in ECAS UK SME Debt based on its cost basis which approximates fair value.

Note 7. Managed Funds’ Management Contracts

The Company, through the Fund Managers, provides investment management services to each of the Managed Funds pursuant to various management contracts (the “Management Agreements”). Under the Management Agreements, the Company’s responsibilities include, but are not limited to, sourcing, analyzing and executing investments and asset sales, delivering financial and compliance reports to investors of the Managed Funds, administering the daily business and affairs of the Managed Funds, and performing other asset management duties.

AGNC and MTGE Management Agreements

The management fees are generally equal to a percentage per annum of the aggregate cost basis of all investments or a percentage per annum of equity, as defined in the Management Agreements, held by the respective Managed Fund at specified points during each quarter, and are payable monthly or quarterly. Certain Management Agreements also provide for Incentive Fees, which are generally earned when a predefined minimum investment return for the Alternative Asset Funds are earned. The Management Agreements with AGNC and MTGE may only be terminated without cause, as defined in the respective Management Agreements, by either party, after the completion of the current renewal term, or the expiration of any automatic subsequent renewal term, provided that either party provides 180-days prior written notice of non-renewal. The current renewal terms of the Management Agreements for AGNC and MTGE are through May 20, 2016 and August 9, 2016, respectively. If AGNC or MTGE were not to renew the respective Management Agreements without cause, they would be required to pay a termination fee on the last day of the applicable term, equal to three times the average annual management fee earned by the Fund Manager during the prior 24-month period immediately preceding the most recently completed month prior to the effective date of termination. If the termination fees for AGNC and MTGE were calculated for the period ending December 31, 2015, they would have been $351,207 and $52,305, respectively.

ECAS debt fund Management Agreement

The European Capital Private Debt LP (“ECAS debt fund”) is a private debt fund that closed during the second quarter of 2015 with €318 million of capital commitments, of which €165 million was committed by European Capital and its affiliates. The ECAS debt fund will be managed by European Capital Debt Management Ltd (“ECDM”), a subsidiary of the Company, for an annual management fee of 1.50% on deployed capital and up to a 15% carried interest, subject to certain hurdles. The ECAS debt fund management agreement with ECDM will continue until March 19, 2025, unless extended.

ECAS UK SME Debt Management Agreement

European Capital UK SME Debt LP (“ECAS UK SME Debt”) is a private equity fund, which was established in 2014 with £100 million ($148 million) of committed capital with the ability to add £50 million of leverage. The British Business Bank has committed £50 million to the fund under the British Business Bank Investment Programme. The remaining £50 million has been committed by European Capital and its affiliates. ECDM manages ECAS UK SME Debt for an annual management fee of 1.50% on deployed capital and up to a 15% Carried Interest, subject to certain hurdles. The ECAS UK SME Debt management agreement with ECDM will continue until August 17, 2024, unless extended.

20

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

ACAS CLO Fund I Management Agreement

ACAS CLO Fund I, a Delaware limited partnership, was formed on July 24, 2015. On August 5, 2015, American Capital entered into a definitive agreement to sell certain CLO equity investments to ACAS CLO Fund I for $300 million (unaudited). The purchase price was the aggregate fair value of the CLO equity investments as of June 30, 2015, subject to customary adjustments. The closing of the sale occurred on November 2, 2015 (the “CLO Fund I Closing Date”). American Capital CLO GP I, LP (the “CLO GP I”), a majority-owned affiliate of the Company, manages ACAS CLO Fund I pursuant to a management contract (the “CLO GP I Management Agreement”). Pursuant to the limited partnership agreement of ACAS CLO Fund I (the “CLO GP I Limited Partnership Agreement”), ACAS CLO Fund I will continue in existence until November 2, 2022, unless extended in accordance with the terms outlined in the Limited Partnership Agreement.

In conjunction with closing the ACAS CLO Fund I transaction, certain employees of a subsidiary of the Company (the “CLO GP I Employee Investors”) purchased an interest in CLO GP I (the “CLO GP I Non-controlling Interest”) and committed to investing in ACAS CLO Fund I. In addition to pro rata participation in the returns from the investments of ACAS CLO Fund I, the CLO GP I Non-controlling Interest also allows the Employee Investors to participate in any incentive fees earned by CLO GP I and, at the discretion of the Company, a portion of the distribution of any earnings of the CLO GP I. Earnings attributable to the CLO GP I Non-controlling Interests are reflected as net income attributable to non-controlling interests in the consolidated statements of operations.

On the CLO Fund I Closing Date, the Company, through CLO GP I, became the investment manager of ACAS CLO Fund I. In its capacity as the investment manager of ACAS CLO Fund I, CLO GP I makes investment decisions on behalf of ACAS CLO Fund I, subject to the approval of its investment committee. For managing ACAS CLO Fund I, CLO GP I earns a customary management fee and incentive fees.

During the years ended December 31, 2015, 2014 and 2013, the Company’s management fee revenue of $171,978 (unaudited), $173,180 and $193,457 (unaudited), respectively, was earned from the Managed Funds, excluding incentive fees. During the years ended December 31, 2015, 2014 and 2013, incentive fee revenue of $28,628 (unaudited), $37,238 and $792 (unaudited), respectively, was earned from the Managed Funds.

Note 8. Intangibles

The Company’s intangible assets consist entirely of finite-lived asset management contract intangibles and are amortized over the expected term of the respective management contracts. The weighted average remaining amortization period as of December 31, 2015 and 2014 was 3.1 years (unaudited) and 2.8 years, respectively.

The gross carrying amount and accumulated amortization for the management contract intangibles as of December 31, 2015 and 2014 were as follows:

	2015 (unaudited)			2014
Gross carrying amount	$	65,033		$	58,978
Less: accumulated amortization	(43,998		)	(35,047		)
Intangibles, net	$	21,035		$	23,931

Amortization expense for the years ended December 31, 2015, 2014 and 2013 was $8,950 (unaudited), $9,983 and $4,057 (unaudited), respectively. The estimated aggregate amortization expense as of December 31, 2015 (unaudited) for each of the five succeeding fiscal years is:

2016	$	4,559
2017	3,240
2018	3,225
2019	3,094
2020	2,823
Thereafter	4,094
Total	$	21,035

21

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

Note 9. Long-Term Debt

American Capital Revolver

On April 5, 2013 a revolving line of credit was established between American Capital Mortgage Management, LLC (“ACMM”), a subsidiary of the Company, and American Capital (the “American Capital Revolver”) under which it is able to borrow up to $33,000. Interest accrues at a variable rate equal to (a) the greater of (i) the Prime rate or (ii) the Federal funds rate plus one half of one percent (0.5%), or (b) the one-month LIBOR plus 3.75%, subject to a 1.25% LIBOR floor, at ACMM’s election for each draw, and is payable monthly. On March 19, 2015, American Capital Revolver was amended to increase the commitment to $44,000 (unaudited). The American Capital Revolver is scheduled to mature on September 28, 2016, or earlier if paid in full and terminated in accordance with the terms of the credit agreement. ACMM is required to pay a commitment fee in an amount equal to 0.5% on the actual daily unused amount of the lender commitments under the American Capital Revolver from May 1, 2013 to the commitment termination date, payable monthly in arrears.

As of December 31, 2015 and 2014, $35,000 (unaudited) and $33,000 were outstanding under the American Capital Revolver.

CLO Fund Notes

The CLO Fund Notes represent the fair value of notes issued to third parties by consolidated CLO Funds and were issued to finance the purchase of the CLO Fund Investments. See Note 3 to our consolidated financial statements for further discussion on the terms of the CLO Fund Notes.

Future Debt Maturity

The following table sets forth the scheduled amortization on the Company’s long-term debt as of December 31, 2015 (unaudited):

	CLO Fund Notes		American Capital Revolver		Total
2016	$	—	$	35,000	$	35,000
2017	—		—		—
2018	—		—		—
2019	—		—		—
2020	—		—		—
Thereafter	3,314,063		—		3,314,063
Total	$	3,314,063	$	35,000	$	3,349,063

22

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

Note 10. Income Taxes

The Company’s net income before income taxes and non-controlling interests for the years ended December 31, 2015 (unaudited), 2014 and 2013 (unaudited) consist of the following:

	2015 (unaudited)			2014			2013 (unaudited)
Net income before income taxes and non-controlling interests
Domestic	$	126,807		$	81,882		$	101,803
Foreign	(14,178		)	(5,261		)	(32,988		)
Net income before income taxes and non-controlling interests	$	112,629		$	76,621		$	68,815

The Company’s income tax provision for the years ended December 31, 2015 (unaudited), 2014 and 2013 (unaudited) consist of the following:

	2015 (unaudited)			2014			2013 (unaudited)
Current tax provision
Federal	$	57,653		$	24,273		$	34,411
State	7,156			4,028			5,538
Foreign	(239		)	(50		)	413
Total current tax provision	64,570			28,251			40,362
Deferred tax (benefit) provision
Federal	(11,169		)	6,027			28
State	(1,567		)	951			50
Foreign	287			1,288			320
Total deferred tax (benefit) provision	(12,449		)	8,266			398
Total provision for income taxes	$	52,121		$	36,517		$	40,760

The provision for income taxes differs from the amount computed by applying the statutory federal income tax rate to income before income taxes for the years ended December 31, 2015 (unaudited), 2014 and 2013 (unaudited) as follows:

	2015 (unaudited)		2014		2013 (unaudited)
Tax on income computed at Federal statutory tax rate	35.00	%	35.00	%	35.00	%
State tax, net of federal benefit	4.89	%	5.38	%	7.56	%
Permanent difference compensation	1.59	%	2.61	%	13.95	%
Foreign income tax	2.85	%	2.66	%	0.64	%
Other	1.94	%	2.01	%	2.08	%
Total income tax provision	46.27	%	47.66	%	59.23	%

23

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

The components of the Company’s net deferred tax assets and liabilities as of December 31, 2015 (unaudited) and 2014 consisted of the following:

	2015 (unaudited)			2014
Deferred tax assets
Foreign net operating losses	$	3,227		$	2,902
Employee benefit programs	—			—
Non-controlling interest units	31,677			36,841
Vesting of equity compensation	—			—
Other	10,237			8,186
Total deferred tax assets	45,141			47,929
Less valuation allowance	(3,469		)	(3,181		)
Net deferred tax assets	41,672			44,748
Deferred tax liabilities
Management contracts	(4,798		)	(6,560		)
Incentive management fee	(15,589		)	(30,732		)
Deferred compensation	(7		)	—
Total deferred tax liabilities	(20,394		)	(37,292		)
Net deferred tax asset (liability)	$	21,278		$	7,456

Assessing the recoverability of a deferred tax asset requires management to determine whether it is more likely than not that the deferred tax assets are realizable. As of December 31, 2015 and 2014, the Company has provided a valuation allowance of $3,469 (unaudited) and $3,181, respectively, for the portion of foreign deferred tax assets that it believes are more likely than not to be unrealizable.

As of December 31, 2015 and 2014, the Company had $16,135 (unaudited) and $13,819, respectively, of accumulated foreign net operating loss carryforwards attributable to the United Kingdom that generally do not expire.

The Company recognizes tax benefits for uncertain tax positions only when the position is more likely than not to be sustained assuming examination by tax authorities.

A reconciliation of the beginning and ending balances of unrecognized tax benefits is as follows:

	2015 (unaudited)		2014			2013 (unaudited)
Unrecognized tax benefits, at beginning of the year	$	—	$	1,506		$	753
(Decrease) increase for tax positions of prior years	—		(1,506		)	753
Unrecognized tax benefits, at end of the year	$	—	$	—		$	1,506

As of December 31, 2015, there are no unrecognized tax benefits that would affect the effective tax rate. As of December 31, 2015, 2014, and 2013, the amount of accrued interest and penalties was $0 (unaudited), $0, and $315 (unaudited), respectively.

We identify our major tax jurisdictions as federal, New York and Maryland. The statute of limitations for the federal, New York and Maryland income tax returns for American Capital for the tax periods beginning with the tax fiscal year ended September 30, 2012 remain open to assessment. The statute of limitations remain open for various foreign jurisdictions for tax fiscal years ended December 31, 2008 or later. The federal income tax return of American Capital for the tax fiscal year ended September 30, 2008 was under examination by the Internal Revenue Service but during 2014, the examination was closed with no changes to taxable income.

24

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

Note 11. Related Parties

American Capital Administrative Services Agreement

The Company has entered into administrative services agreements with American Capital (the “Administrative Services Agreements”). Through these agreements, American Capital provides investment advisory and oversight services to the Company, as well as access to its employees, infrastructure, business relationships, management expertise and capital raising capabilities. American Capital charges the Company a fee for these services. Under certain Administrative Services Agreements, American Capital calculates their fee as a percentage of management fees earned by the Fund Manager. In other agreements, American Capital bases their fee on an allocation of costs that contribute to the operation of the Fund Managers’ businesses. As of December 31, 2015 and 2014, we recorded administrative fee payables of $12,041 (unaudited) and $12,635, respectively.

American Capital Investments in Managed Funds

American Capital holds investments in the CLO Mezzanine Notes and CLO Subordinated Notes issued by ACAS CLO 2007-1. American Capital also holds investments, including certain controlling ownership interests, in certain issuers of the securities in which the CLO Funds have invested and owns 100% of the outstanding common stock of European Capital. Employees of ECAM hold mandatory redeemable preferred stock interests in European Capital through the ECAM Long-Term Incentive Plan. See Note 13 to our consolidated financial statements for further discussion on the ECAM Long-Term Incentive Plan. Employees of a subsidiary of the Company own interests in ACE III GP and CLO GP I. See Note 5 and Note 7 to our consolidated financial statements for further discussion on ACE III GP and CLO GP I Non-controlling Interest.

Note 12. Commitments and Contingencies

Leases

The Company has entered into non-cancelable lease agreements for office space in the United States, United Kingdom, France and Singapore. The leases expire over the next 5 years. Each of the leases contains provisions for certain annual rental escalations.

Future minimum lease payments under non-cancelable operating leases as of December 31, 2015 (unaudited) were as follows:

2016	$	1,242
2017	1,245
2018	1,155
2019	1,018
2020	475
Thereafter	—
Total	$	5,135

Rent expense was $1,294 (unaudited), $1,196, and $1,038 (unaudited) for the years ended December 31, 2015, 2014 and 2013, respectively.

As discussed in Note 5 to our consolidated financial statements, as of December 31, 2015, the Company had a commitment to invest an additional $125,388 (unaudited) in ACE III.

25

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

Note 13. Employee Compensation Plans

ECAM Long-Term Incentive Plan

Employees of ECAM participate in a Long-Term Incentive Plan (the “LTIP”) whereby restricted mandatorily redeemable preferred shares in European Capital were purchased by the participating employees. The difference between the purchase price and the fair value, calculated by reference to the value of European Capital and certain of its investments, is recorded as compensation expense over the vesting period. At the end of each reporting period, the Company revises its estimate of the number of equity instruments expected to vest and the fair value of the awards. The impact of the revision of the original estimates, if any, is recognized as an expense such that the cumulative expense reflects the revised estimate. The total amount of compensation expense recorded in the years ended December 31, 2015, 2014 and 2013 was $1,059 (unaudited), $898 and $34,205 (unaudited), respectively. Compensation expense related to the LTIP Plan is included in stock-based and other compensation in the accompanying financial statements.

ECAM French Stock Loan Plan

In 2005 through 2007, pursuant to a long-term incentive plan (the “FSL Plan”), ECAM made non-recourse loans (the “French Stock Loans”) for the purchase of common shares in American Capital (the “American Capital Shares”) by employees of its French branch (the “FSL Participants”). The French Stock Loans were collateralized by the American Capital Shares acquired by the employees and have original maturity dates of April 2014 through March 2016, which may be extended with the permission of the FSL participants. Loans that had original maturity dates in 2014, 2015 and 2016 have been extended until 2018, 2019 and 2020, respectively. The Company originally accounted for the FSL Plan as if it was a stock option plan. During 2009, the Plan was modified such that participants forfeited their rights to the American Capital Shares and transferred control of them to ECAM in return for the indemnification by ECAM of their future income tax liabilities, if any, arising from the forgiveness of loans made under the FSL Plan. The indemnification was made pursuant to indemnification agreements (the “Indemnification Agreements”) entered into with the participants as part of the modification and was capped at a maximum of $15,309 (the “Original Indemnification Cap”) in the aggregate. Proceeds on the sale of shares of American Capital Shares controlled by ECAM will be used to offset participant indemnification liabilities. In conjunction with and as a condition of entering into the Indemnification Agreements, an escrow account was established and was funded with $15,309 (the “Indemnification Escrow”), which represents the maximum potential liability as calculated on the date the Indemnification Agreements were executed.

In 2014, ECAM notified FSL Participants of its intent to establish an annual mechanism (the “Escrow Remeasurement Mechanism”) to fund additional contributions to the Indemnification Escrow in the event its exposure (the “Indemnification Exposure”) exceeded the value of the Indemnification Escrow at the time of the calculation, and removed the Original Indemnification Cap. Under the Escrow Remeasurement Mechanism, any excess of the Indemnification Exposure over the value of the Indemnification Escrow would be contributed to the Indemnification Escrow.

As of December 31, 2015 and 2014, the carrying value of the obligation associated with the Indemnification Agreements is $20,835 (unaudited) and $20,133, respectively, and is included in the line item accounts payable and other accrued liabilities on the consolidated balance sheets. The Indemnification Escrow as of December 31, 2015 and 2014 of $18,143 (unaudited) and $15,547, respectively, is included in restricted cash and cash equivalents in the accompanying consolidated balance sheets. The expense associated with the FSL Plan is included in general and administrative expense in the accompanying consolidated statements of operations.

Amounts receivable on the sale of shares of American Capital stock controlled by ECAM that will be used to offset the participant indemnification liabilities was $4,184 (unaudited) and $4,426 as of December 31, 2015 and 2014, respectively, and are included in compensation plan investments, at fair value in our consolidated balance sheets.

Deferred Compensation Plans

Certain subsidiaries of the Company (the “Grantors”) have non-qualified deferred compensation plans (the “Deferred Plans”) for the purpose of granting cash bonus awards to certain of its employees. The Board of Managers of the Grantors are the administrators of the Deferred Plans. The Deferred Plans are funded through trusts (the “Trusts”) which are administered by third-party trustees. The Board of Managers of the Grantors determines cash bonus awards to be granted under the Deferred Plans and the terms of such awards, including vesting schedules. The Grantors contribute cash to the Trusts in the amount of the approved cash bonus awards, and the cash is invested by the Trusts in the common stock of certain Managed Funds and American Capital (the “Deferred Plan Investments”). Awards vest contingent on the employee’s continued employment. The Trusts provide certain protections of their assets from events other than claims against our assets in the case of bankruptcy. The assets and liabilities of the Trusts are consolidated in the consolidated financial statements.

26

AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

The Deferred Plans do not permit diversification and the cash bonus awards must be settled by the delivery of a fixed number of shares of the Deferred Plan Investments. The compensation cost for the awards is recognized over the requisite service period, initially using the grant date fair value, which is the amount of the cash bonus award, with adjustments made during the vesting period based on changes of the value of the underlying shares. Changes in the value and dividends related to shares held by the Trust are recognized in Other non-operating income (expense), net in the accompanying consolidated statements of operations. The Deferred Plan Investments held by the Trust are accounted for as Compensation plan investments, at fair value in the consolidated balance sheets. The cumulative expense for unvested awards is included in Accounts payable and other accrued liabilities in the consolidated balance sheets.

During the years ended December 31, 2015, 2014 and 2013, we recorded compensation expense of $11,038 (unaudited), $9,382 and $5,785 (unaudited), respectively, attributable to the Deferred Plans, which is included in stock-based and other compensation in the accompanying consolidated statements of operations. We calculated the compensation expense recognized during the years ended December 31, 2015 (unaudited), 2014 and 2013 (unaudited) assuming there would be no forfeitures. During the years ended December 31, 2015 and 2014, the Trust distributed shares with a value of $9,576 (unaudited) and $6,563, respectively. The liability associated with the Deferred Plans is $8,810 (unaudited) and $7,348 as of December 31, 2015 and 2014, respectively, and is included in accounts payable and other accrued liabilities in the accompanying consolidated balance sheets.

Note 14. Redeemable Non-Controlling Interest

In 2011, a subsidiary of the Company (the “Subsidiary Grantor”) granted restricted units (the “Employee Membership Units”) of the Subsidiary Grantor (the “Employee Grant”) to one of its employees (the “Employee Member”). Under the terms of the Amended and Restated Limited Liability Company Operating Agreement of the Subsidiary Grantor (the “Subsidiary Grantor LLC Agreement”), holders of the Employee Membership Units are entitled to a pro-rata share of any distributions paid by the Subsidiary Grantor to its members, including during the vesting period. Additionally, the Subsidiary Grantor LLC Agreement allows the Employee Member to require the Company to redeem vested Employee Membership Units at a value defined in the Subsidiary Grantor LLC Agreement in certain circumstances that are under the control of the Employee Member. The Company also has the option to call the Employee Membership Units upon termination of the Employee Member. The grant was originally scheduled to vest ratably over 5 years. After fully vesting, the Employee Membership Units would have represented an 18% equity interest in the Subsidiary Grantor. The grant was initially valued at $13,709. There have been no other Employee Grants. In accordance with ASC 718, the Employee Grant is accounted for as a liability award. As such, the value of the Employee Grant is measured at fair value at the end of each reporting period. After the Employee Member bears the risks and rewards normally associated with equity share ownership for a reasonable period of time from the date the requisite service is rendered, which is estimated to be six months after the vesting date, the fair value of the vested portion of the Employee Grant, as measured six months after the date of vest, is reclassified to Redeemable Non-controlling Interests (the “Maturation”).

In 2012, the Employee Grant was modified (the “2012 Modification”) to accelerate vesting on a portion of the original grant that had not yet vested prior to the 2012 Modification. An expense of $36,929 was recognized in 2012 as a result of the 2012 Modification. At the date of the 2012 Modification, ACAM purchased Employee Membership Units representing an 8% membership interest in the Subsidiary Grantor from the employee for $55,898.

In 2014, the Employee Grant was further modified (the “2014 Modification”) to accelerate vesting on a portion of the original grant that had not yet vested prior to the 2014 Modification. An expense of $19,657 was recognized in 2014 as a result of the 2014 Modification. At the date of the 2014 Modification, ACAM purchased Employee Membership Units representing the remaining 10% membership interest in the Subsidiary Grantor from the employee for $85,000.

During the year ended December 31, 2014, we recorded compensation expense of $30,742 attributable to the Employee Grant, including the expense associated with the 2014 Modification. During the year ended December 31, 2013, we recorded compensation expense of $15,377 (unaudited) attributable to the Employee Grant. We calculated the compensation expense recognized during the years ended 2014 and 2013 (unaudited) assuming there would be no forfeitures. Distributions of earnings to the Employee Member attributable to Employee Membership Units, which had not yet matured on the date of the distribution, of $1,781 and $6,433 (unaudited) were included in compensation expense during the years ended 2014 and 2013, respectively.

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AMERICAN CAPITAL ASSET MANAGEMENT, LLC

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(Continued)

(in thousands, except per share data)

A summary of the Employee Membership Units awards as of and for the year ended December 31, 2014 is as follows:

	Units
Non-vested, beginning of year	4.1
Vesting of Employee Membership Units	(4.1	)
Non-vested, end of year	—

A summary of the changes in the Redeemable Non-controlling Interests for the year ended December 31, 2014 are as follows:

	2014
Balance, beginning of the year	$	25,425
Maturation of Employee Membership Units	34,850
Change in value of Employee Membership Units	24,725
Redemption of Employee Membership Units	(85,000		)
Balance, end of the year	$	—

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