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<SEC-DOCUMENT>0000950133-01-000963.txt : 20010322
<SEC-HEADER>0000950133-01-000963.hdr.sgml : 20010322
ACCESSION NUMBER:		0000950133-01-000963
CONFORMED SUBMISSION TYPE:	10-K
PUBLIC DOCUMENT COUNT:		3
CONFORMED PERIOD OF REPORT:	20001231
FILED AS OF DATE:		20010321

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			ALLIED CAPITAL CORP
		CENTRAL INDEX KEY:			0000003906
		STANDARD INDUSTRIAL CLASSIFICATION:	 []
		IRS NUMBER:				521081052
		STATE OF INCORPORATION:			MD
		FISCAL YEAR END:			1231

	FILING VALUES:
		FORM TYPE:		10-K
		SEC ACT:		
		SEC FILE NUMBER:	811-02708
		FILM NUMBER:		1574513

	BUSINESS ADDRESS:	
		STREET 1:		1919 PENNSYLVANIA AVENUE NW
		CITY:			WASHINGTON
		STATE:			DC
		ZIP:			20006
		BUSINESS PHONE:		2023311112

	MAIL ADDRESS:	
		STREET 1:		1919 PENNSYLVANIA AVENUE NW
		STREET 2:		1666 K STREET NW
		CITY:			WASHINGTON
		STATE:			DC
		ZIP:			20006

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	ALLIED CAPITAL LENDING CORP
		DATE OF NAME CHANGE:	19931116

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	ALLIED LENDING CORP
		DATE OF NAME CHANGE:	19920703
</SEC-HEADER>
<DOCUMENT>
<TYPE>10-K
<SEQUENCE>1
<FILENAME>w46303e10-k.txt
<DESCRIPTION>FORM 10-K ALLIED CAPITAL CORPORATION
<TEXT>

<PAGE>   1

- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549
                            ------------------------

                                   FORM 10-K
   FOR ANNUAL AND TRANSITION REPORTS PURSUANT TO SECTIONS 13 OR 15(d) OF THE
                        SECURITIES EXCHANGE ACT OF 1934

[X]   ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
      ACT OF 1934

                  FOR THE FISCAL YEAR ENDED DECEMBER 31, 2000

                                       OR

[ ]   TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
      EXCHANGE ACT OF 1934

                          COMMISSION FILE NO. 0-22832

                           ALLIED CAPITAL CORPORATION
             (EXACT NAME OF REGISTRANT AS SPECIFIED IN ITS CHARTER)

<TABLE>
<S>                                            <C>
                   MARYLAND                                      52-1081052
         (STATE OR OTHER JURISDICTION                         (I.R.S. EMPLOYER
              OF INCORPORATION)                             IDENTIFICATION NO.)

         1919 PENNSYLVANIA AVENUE NW                               20006
               WASHINGTON, D.C.                                  (ZIP CODE)
   (ADDRESS OF PRINCIPAL EXECUTIVE OFFICE)
</TABLE>

       REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (202) 331-1112

          SECURITIES REGISTERED PURSUANT TO SECTION 12(b) OF THE ACT:

<TABLE>
<CAPTION>
                                                           NAME OF EACH EXCHANGE
             TITLE OF EACH CLASS                            ON WHICH REGISTERED
             -------------------                           ---------------------
<S>                                            <C>
                     NONE                                           NONE
</TABLE>

          SECURITIES REGISTERED PURSUANT TO SECTION 12(g) OF THE ACT:

                        COMMON STOCK, $0.0001 PAR VALUE
                                (TITLE OF CLASS)

Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter period that the registrant was
required to file such reports) and (2) has been subject to such filing
requirements for the past 90 days.  YES [X]  NO [ ]

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405
of Regulation S-K is not contained herein, and will not be contained, to the
best of registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
Form 10-K.  [ ]

The aggregate market value of the registrant's common stock held by
non-affiliates of the registrant as of March 16, 2001 was approximately
$1,815,780,000 based upon the last sale price for the registrant's common stock
on that date. As of March 16, 2001 there were 85,877,875 shares of the
registrant's common stock outstanding.

                      DOCUMENTS INCORPORATED BY REFERENCE

Portions of the registrant's Annual Report to Shareholders for the year ended
December 31, 2000 are incorporated by reference into Parts II and IV of this
Report. Portions of the registrant's definitive Proxy Statement for the Annual
Meeting of Stockholders to be held on May 8, 2001 are incorporated by reference
into Part III of this Report.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<PAGE>   2

BUSINESS

As a business development company, we provide private investment capital to
private companies and undervalued public companies in a variety of different
industries and in diverse geographic locations throughout the United States. We
have been investing in growing businesses for over 40 years and have financed
thousands of private companies nationwide. Today, our investment activity is
focused in two areas:

     - Private finance and

     - Commercial real estate finance, primarily the purchase of CMBS.

Our investment portfolio consists primarily of long-term unsecured loans with
equity features, commercial mortgage-backed securities, and commercial mortgage
loans. At December 31, 2000, our investment portfolio totaled $1.8 billion. The
Company's investment objective is to achieve current income and capital gains.

PRIVATE FINANCE

We provide long-term debt and equity financing to private companies nationwide.
Our private finance activities target a market niche between the senior debt
financing provided by traditional lenders, such as banks, commercial finance
companies and insurance companies, and the equity capital provided by private
equity investors.

Our private financing is generally used to fund growth, buyouts, note purchases,
acquisitions, recapitalizations, and bridge financings. We generally invest in
private companies though, from time to time, we may invest in undervalued public
companies that lack access to public capital and whose securities may not be
marginable. We target two types of companies when seeking new investments. The
first type of company we seek is a market leader in a stable industry that has
demonstrated over many years of operations that it can successfully achieve its
business plan and thereby achieve our investment objective. The second type of
company we seek is an emerging company in a growing industry that is positioned
for significant growth. We have spent over 40 years refining our highly
selective investment discipline, which is founded on seeking portfolio companies
having key characteristics and targeting specific industries.

We originate investments generally ranging in size from $5 million to $30
million, and for the year ended December 31, 2000 our average investment size
was $14.0 million. Our private finance investments are generally structured as
an unsecured, subordinated loan that carries a relatively high fixed interest
rate (generally 12% to 18%), with interest-only payments in the early years and
payments of both principal and interest in the later years, with maturities of
five to ten years. Approximately 98% of the investments in the private finance
portfolio have fixed rates of interest. Our private finance investments
typically include equity features, such as warrants or options to buy a minority
interest in the portfolio company. We also make preferred and common equity
investments, particularly when we see unique opportunities to profit from the
growth of an emerging company. At December 31, 2000, 75% of the private finance
portfolio consisted of debt securities, and 25% consisted of equity securities.
Our nationwide private finance portfolio includes investments in a wide variety
of industries, including business services, consumer products, education, light
industrial products and broadcasting.

                                        2
<PAGE>   3

Capital providers for the finance of private companies can be generally
categorized as shown in the diagram below:

<TABLE>
<S>                    <C>             <C>             <C>             <C>             <C>             <C>
CAPITAL PROVIDER       Banks           Commercial      Insurance       Allied Capital  Private         Private
                                       Finance         Companies/                      Mezzanine       Equity
                                       Companies       High Yield                      Funds           Funds
                                                       Market
- ----------------------------------------------------------------------------------------------------------------
PRIMARY                Senior, short-  Asset-based     Large           Unsecured       Unsecured       Equity
BUSINESS               term debt       lending         >$30 million    long-term debt  long-term debt
FOCUS                                                  credits         with equity     with equity
                                                                       upside          upside
                                                                       Preferred and   Preferred and
                                                                       common equity   common equity
- ----------------------------------------------------------------------------------------------------------------
TYPICAL PRICING        LIBOR+          [graphic of arrow stretching between 'LIBOR+' and '30%+']       30%+
SPECTRUM*
</TABLE>

- ---------------
* Based on market experience of our marketing and investment professionals.

Banks are primarily focused on providing senior secured and unsecured short-term
debt. They typically do not provide meaningful long-term unsecured loans.
Commercial finance companies are primarily focused on providing senior secured
long-term debt. The private insurance company and high-yield debt markets are
focused primarily on very large financing transactions, typically in excess of
the financings we do. We generally do not compete with banks, commercial finance
companies, or the insurance company/high yield market. Instead, we compete
directly with the private mezzanine sector of the private equity market. Private
mezzanine funds are also focused on providing unsecured long-term debt to
private companies for the types of transactions discussed above. We believe that
we have key structural and operational advantages when compared to private
mezzanine funds.

Our scale of operations, equity capital base, and successful track record as a
private finance investor has enabled us to borrow long-term capital to leverage
our returns on our common equity. Therefore, our access to debt capital reduces
our total cost of capital. In many cases, a private mezzanine fund is unable to
access the debt capital markets, and therefore must achieve an unleveraged
equity return for their investors. Our lower cost of capital gives us a pricing
advantage when competing for new investments. In addition, the perpetual nature
of our corporate structure enables us to be a better long-term partner for our
portfolio companies than a traditional mezzanine fund, which typically has a
finite life.

We estimate that we fund approximately 2% of all the private finance investments
that we review. When assessing a prospective investment, we look for a company
that has achieved, or has the potential to achieve, market leadership in a
niche, critical mass, and a sustainable cash flow. We also look for companies
that, because of their industry and business plan, can demonstrate minimal
vulnerability to changes in economic cycles. Since our debt securities are
primarily unsecured in nature, we look for companies in industries that are
non-cyclical, cash flow intensive, and can demonstrate a high return on their
invested capital. We generally do not target companies in industries where
businesses tend to be vulnerable to changes in economic cycles, are capital
intensive, and have low returns on their invested capital. We generally target
and do not target the following industries, though we will consider investments

                                        3
<PAGE>   4

in any industry if the prospective company demonstrates unique characteristics
that make it an attractive investment opportunity:

                              INDUSTRIES TARGETED
                       NON-CYCLICAL/CASH FLOW INTENSIVE/
                             HIGH RETURN ON CAPITAL
                    ---------------------------------------
         Business services
         Education
         Consumer products
         Light industrial products
         Broadcasting

                            INDUSTRIES NOT TARGETED
                          CYCLICAL/CAPITAL INTENSIVE/
                             LOW RETURN ON CAPITAL
                    ---------------------------------------
         Heavy manufacturing
         Natural resources
         Most retail
         Low value-add distribution
         Agriculture
         Transportation
         Construction

Another critical element of our investment discipline is to invest in companies
with a significant equity capital base, and a strong private equity sponsor. For
example, in 2000, 75% of our private financings were completed in conjunction
with private equity firms, which provided capital that is junior to ours. We
believe strong equity sponsorship significantly strengthens our position as a
long-term lender. A strong equity sponsor provides not only strong equity
capital beneath our investment, but also provides a reliable source of
additional equity capital if the portfolio company requires additional
financing. Private equity sponsors also help us confirm our own due diligence
findings when assessing a new investment opportunity, and they provide
assistance and leadership to the portfolio company's management team throughout
our investment period.

We target a total return of 18% to 25% for our private finance investments. The
typical private finance structure focuses, first and foremost, on the protection
of our investment principal. Our debt instruments generally provide for a
contractual interest rate ranging from 12% to 18%, which provides current
interest income. The debt instruments also have restrictive covenants that
protect our interests in the transaction. The warrants we receive with our debt
securities generally require only a minimal cost to exercise, and thus as the
portfolio company appreciates in value, we achieve additional investment return
from this equity interest. We seek to achieve additional investment returns of
up to 10% from the appreciation and sale of our warrants.

Generally, our warrants expire five years after the related debt is repaid. The
warrants typically include registration rights, which allow us to sell the
securities if the portfolio company completes a public offering. In most cases,
the warrants also have a put option that requires that the borrower repurchase
our equity position after a specified period of time at a formula price or at
its fair market value. Most of the gains we realize from our warrant portfolio
arise as a result of the sale of the portfolio company to another business, or
through a recapitalization. Historically, we have not been dependent on the
public equity markets for the sale of our warrant positions. With respect to
preferred or common equity investments, we target an investment return of 25% to
40%.

We hold a portion of our private finance investments in a wholly owned
subsidiary, Allied Investment Corporation. Allied Investment is a BDC and is
licensed and regulated by the Small Business Administration to operate as a
small business investment company ("SBIC"). See "Certain Government Regulations"
below for further information about SBIC regulation.

In addition to funding private finance investments as described above, during
the second quarter of 2000 we made commitments to invest in select
technology-oriented private equity funds. In addition to the return we expect to
achieve from these investments, we believe we can achieve strategic benefits
from these funds, including technology expertise from private finance portfolio
companies, co-investment opportunities and increased dealflow. We may make
additional commitments to other such funds, but expect our total investment in
this area to remain a small percentage of our total portfolio.

                                        4
<PAGE>   5

COMMERCIAL REAL ESTATE FINANCE

COMMERCIAL MORTGAGE LOANS.  We have been a commercial real estate lender for
many years, and maintain a small whole commercial mortgage loan portfolio.
During 1998, we significantly reduced our middle-market commercial real estate
lending activities, because we believed that the market was under-pricing
commercial real estate loans, and that the returns on senior commercial real
estate loans were below a level that would result in a fair return on equity for
our shareholders.

Since 1999, we have been liquidating a significant portion of our whole
commercial mortgage loan portfolio. We believe that we can redeploy the proceeds
into higher yielding investments. We continue to derive income from the interest
charged on the whole commercial mortgage loan portfolio through contractual
interest and amortization of discounts.

COMMERCIAL MORTGAGE-BACKED SECURITIES.  The same pricing pressures that caused
us to reduce our origination of commercial mortgage loans in 1998 created
significant liquidity problems for many other real estate lenders who had
remained active lenders as pricing declined throughout 1998. In the fourth
quarter of 1998, many of these lenders experienced severe liquidity constraints
that caused them to exit the commercial mortgage-backed securities market. This
liquidity turmoil in the real estate capital markets created a unique
opportunity for us to acquire newly issued, non-investment grade commercial
mortgage-backed securities ("Purchased CMBS") at significant discounts from the
face amount of the bonds and at attractive yields.

As an investor, we believe that Purchased CMBS has attractive risk/return
characteristics. The Purchased CMBS in which we invest are non-investment grade,
which means that nationally recognized statistical rating organizations rate
them below the top four investment-grade rating categories (i.e., "AAA" through
"BBB"), and are sometimes referred to as "junk bonds." Unlike most "junk bonds,"
which are typically unsecured debt instruments, the non-investment grade
Purchased CMBS in which we invest are secured by mortgage loans with real estate
collateral. Our Purchased CMBS are fully collateralized by senior mortgage loans
on commercial real estate properties where the loans are, on average, supported
by a 30% equity investment. We acquire our Purchased CMBS on the initial
issuance of the CMBS bond offering, and are able to underwrite and negotiate to
purchase the securities at a significant discount from their face amount,
generally resulting in an estimated yield to maturity ranging from 13% to 16%.
Our negotiated discount and estimated yield to maturity assumes a 1% loss rate
on the entire underlying commercial mortgage loan collateral pool, which takes
into consideration certain business and economic uncertainties and
contingencies. We find the yields for Purchased CMBS very attractive given their
collateral protection.

We believe this risk/return dynamic exists in this market today because there
are significant barriers to entry for a non-investment grade CMBS investor.
First, non-investment grade CMBS are long-term investments and require long-term
investment capital. Our capital structure, which is in excess of 50% equity
capital, is well suited for this asset class. Second, when we purchase CMBS in
an initial issuance, we re-underwrite every mortgage loan in the underlying
collateral pool, and we meet with the issuer to discuss the nature and type of
loans we will accept into the pool. We have significant commercial mortgage loan
underwriting expertise, both in terms of the number of professionals we employ
and the depth of their commercial real estate experience. Access to this type of
expertise is another barrier to entry into this market.

As a non-investment grade CMBS investor, we recognize that non-investment grade
securities have a higher degree of risk than do investment grade bonds.
Non-investment grade securities are considered speculative, and their capacity
to pay principal and interest in accordance with the terms of their issue is not
ensured. They tend to be less liquid, may have a higher risk of default, and may
be more difficult to value. We invest in non-investment grade CMBS represented
by the "BB" to non-rated tranches of a CMBS issuance. Due to the underlying
structure of the CMBS issuances, our CMBS tranches receive principal payments
only after the securities that are senior to our securities are repaid. Thus, if
losses are incurred in the underlying mortgage loan collateral pool, we would
experience these losses.

                                        5
<PAGE>   6

To mitigate this risk, we perform extensive due diligence prior to an investment
in Purchased CMBS. When we evaluate a CMBS investment, we use the same
underwriting procedures and criteria for the mortgage loans in the collateral
pool as we do for all of the loans we originate. These underwriting procedures
and criteria are described in detail below. We will only invest in CMBS when we
believe, as a result of our underwriting procedures, that the underlying
mortgage pool adequately secures our position. Our portfolio of CMBS is secured
by approximately 2,600 commercial real estate properties located in diverse
geographic locations across the United States in a wide variety of property
types, including retail, multi-family housing, office, and hospitality. See
"Management's Discussion and Analysis of Financial Condition and Results of
Operations" for a summary of the loan to value ratios and debt service coverage
ratios of the mortgage loans securing our Purchased CMBS investments.

Our Purchased CMBS activity complements our private finance activity because it
provides a steady stream of recurring interest income. In order to maintain a
balanced investment portfolio, we expect to limit our Purchased CMBS activity to
approximately 20% to 25% of total assets.

SMALL BUSINESS FINANCE -- ALLIED CAPITAL EXPRESS

On December 31, 2000, Allied Capital and BLC Financial Services, Inc. ("BLC")
completed a merger whereby Allied Capital acquired BLC. The effect of the merger
was to create an independently managed, private portfolio company of Allied
Capital to focus exclusively on small business lending, including the
origination of SBA 7(a) loans. BLC has changed its name to Business Loan
Express, Inc. ("BLX").

As part of this transaction, on December 28, 2000, we recapitalized our wholly
owned small business lending subsidiary, Allied Capital SBLC Corporation, as an
independently managed private portfolio company. Allied SBLC established a
separate board of directors, and the employees and operations attributed to
Allied Capital Express, including the online loan origination technology, were
transferred to Allied SBLC. We restructured previous intercompany debt owed to
us by Allied SBLC as $74.8 million in subordinated debt now owed by the new
portfolio company. Allied SBLC was subsequently merged into BLX and we received
approximately $25 million in BLX preferred stock in exchange for our equity in
Allied SBLC.

BLX is currently financed with a combination of senior and subordinated debt,
and preferred and common equity. Allied Capital, directly and indirectly, owns
94.9% of BLX. Allied Capital's investment in BLX is expected to generate
interest income, dividends and fee income. In addition, we believe there is
opportunity to add value to the new portfolio company and to position the
investment for a future capital gain. The Company has entered into a management
contract with BLX to provide management services, including certain technology
and transition services. Our investment in BLX is included in our private
finance portfolio.

BLX is a non-bank small business lender licensed as a participant in the SBA
7(a) Guaranteed Loan Program. BLX has a total of 22 offices nationwide, and SBA
Preferred Lender status in 64 markets. BLX believes it will be a technology
leader in online small business loan origination, and will have significant
online loan origination relationships as well as solid core broker relationships
in the small business community. BLX is licensed by the SBA as a Small Business
Lending Company ("SBLC"), and therefore, changes in the laws or regulations that
govern SBLCs could have a material impact on BLX or its operations.

INVESTMENT ADVISORY SERVICES

We are a registered investment adviser, pursuant to the Investment Advisers Act
of 1940, and have certain investment advisory agreements to manage private
investment funds. The revenue generated from these agreements is not material to
the Company's operations.

                                        6
<PAGE>   7

LOAN SOURCING

Over the last two years, we have significantly increased the scope of our sales
and marketing activity by opening new regional offices and increasing our sales
and marketing staff. To source new investment opportunities, we work with
thousands of intermediaries including:

     - private mezzanine and equity investors;

     - investment banks;

     - business and mortgage brokers;

     - national retail financial services companies; and

     - banks, law firms and accountants.

We believe that our experience and reputation provide a competitive advantage in
originating new investments. We have established an extensive network of
investment referral relationships over our history. We are recognized as a
pioneer in the private finance industry, and have developed a reputation in the
commercial real estate finance market for our ability to finance complex
transactions.

INVESTMENT APPROVAL AND UNDERWRITING PROCEDURES

In assessing new investment opportunities, we maintain conservative credit
standards based on our underwriting guidelines, a thorough due diligence
process, and a centralized credit approval process requiring committee review,
all of which are described below. The combination of conservative underwriting
standards and our credit-oriented culture has resulted in a record of minimal
realized losses.

PRIVATE FINANCE.  We generally require that the companies in which we invest
demonstrate strong market position, sales growth, positive cash flow, and
profitability, as discussed above. We emphasize the quality of management, and
seek experienced entrepreneurs with a management track record, relevant industry
experience and a significant equity stake in the business. In a typical private
financing, we thoroughly review, analyze and substantiate, through due
diligence, the business plan and operations of the potential portfolio company.
We perform financial due diligence, often with assistance of an accounting firm;
perform operational due diligence, often with the assistance of an industry
consultant; study the industry and competitive landscape; and conduct numerous
reference checks with current and former employees, customers, suppliers and
competitors. The typical private finance transaction requires two to three
months of diligence and structuring before funding occurs.

Private finance transactions are approved by an investment committee consisting
of our most senior private finance professionals and chaired by our Chairman and
Chief Executive Officer. The private finance approval process benefits from the
experience of the investment committee members and from the experience of our
other investment professionals who together with the committee members, on
average, have over eleven years of professional experience. For every
transaction of $10 million or greater, we also require approval from the
Executive Committee of the Board of Directors in addition to the investment
committee approval. Even after all such approvals are received, due diligence
must be successfully completed with final investment committee approval before
funds are disbursed to a new portfolio company.

PURCHASED CMBS.  We receive extensive packages of information regarding the
mortgage loans comprising a CMBS pool. We work with the issuer, the investment
bank, and the rating agencies in performing our diligence on a CMBS purchase.
The typical CMBS purchase takes between two to three months to complete because
of the breadth and depth of our diligence procedures. We re-underwrite all of
the underlying commercial mortgage loans securing the CMBS. We challenge the
estimate of underwriteable cash flow and challenge necessary carve-outs, such as
replacement reserves. We study the trends of the industry and geographic
location of each property, and independently assess our own estimate of the
anticipated cash flow over the period of the loan. Our loan officers physically
inspect most of the collateral properties, and assess appraised values based on
our own opinion of comparable market values.

                                        7
<PAGE>   8

Based on the findings of our diligence procedures, we may reject certain
mortgage loans from inclusion in the pool. We then formulate our negotiated
purchase price and discount to achieve an effective yield on our investment over
a ten-year period to approximate 13% to 16%. In computing this estimated yield,
we assume a 1% loss rate on the entire underlying mortgage pool.

CMBS transactions are approved by an investment committee and, because of their
size, every CMBS transaction is reviewed and approved by the Executive Committee
of the Board of Directors. The investment committee for CMBS transactions
consists of our most senior commercial real estate professionals and is chaired
by our Chairman and Chief Executive Officer.

PORTFOLIO MANAGEMENT

PORTFOLIO DIVERSITY.  We monitor the portfolio to maintain both industry and
geographic diversity. We currently do not have a policy with respect to
"concentrating" (i.e., investing 25% or more of our total assets) in any
industry or group of industries and currently our portfolio is not concentrated.
We may or may not concentrate in any industry or group of industries in the
future.

LOAN SERVICING.  Our loan servicing staff is responsible for routine loan
servicing, which includes:

     - delinquency monitoring;

     - payment processing;

     - borrower inquiries;

     - escrow analysis and processing;

     - third-party reporting; and

     - insurance and tax administration.

In addition, our staff is responsible for special servicing activities including
delinquency monitoring and collection, workout administration and management of
foreclosed assets.

PORTFOLIO MONITORING AND VALUATION

We use a grading system in order to help us monitor the credit quality of our
portfolio and the potential for capital gains. The grading system assigns grades
to investments from 1 to 5, and the portfolio was graded at December 31, 2000 as
follows:

<TABLE>
<CAPTION>
                                                                                      PERCENTAGE
                                                                      PORTFOLIO AT     OF TOTAL
GRADE                           DESCRIPTION                               VALUE       PORTFOLIO
- -----                           -----------                           -------------   ----------
                                                                      (IN MILLIONS)
<C>     <S>                                                           <C>             <C>
  1     Probable capital gain                                           $  208.3         11.7%
  2     Performing security                                              1,461.7         81.7%
        Close monitoring -- no loss of principal or interest
  3     expected                                                            15.4          0.9%
  4     Workout -- Some loss of interest expected                           76.0          4.2%
  5     Workout -- Some loss of principal expected                          26.6          1.5%
                                                                        --------        ------
                                                                        $1,788.0        100.0%
                                                                        ========        ======
</TABLE>

The 1940 Act requires that the Board of Directors value each asset in the
portfolio on a quarterly basis. We are not permitted to have a general loan loss
reserve, but instead must value each specific investment. We have a written
valuation policy that governs the valuation of our assets, and we follow a
consistent valuation process quarterly. In valuing each individual investment,
we consider the financial performance of each portfolio company, loan payment
histories, indications of potential equity realization events, current
collateral values and determine whether the value of the asset should be
increased through unrealized appreciation or decreased through unrealized
depreciation. After each investment professional has made his or her
determination of value, members of senior management review the valuations.
These valuations are then presented to the board of directors for review and
approval.

                                        8
<PAGE>   9

As a general rule, we do not value our loans above principal balance, but loans
are subject to depreciation events when the asset is considered impaired. Also
as a general rule, equity securities may be assigned appreciation if
circumstances warrant. With respect to private equity securities, each
investment is valued using industry valuation benchmarks, and then the value is
assigned a discount reflecting the illiquid nature of the investments as well as
our minority, non-control position. When an external event such as a purchase
transaction, public offering, or subsequent equity sale occurs, the pricing
indicated by the external event is used to corroborate our private equity
valuation. Equity securities in public companies that carry certain restrictions
on sale are generally valued at a discount from the public market value of the
securities. Restricted and unrestricted publicly traded stocks may also be
valued at discounts due to the size of our investment, restrictions on trading
or market liquidity concerns.

We monitor loan delinquencies in order to assess the appropriate course of
action and overall portfolio quality. With respect to our private finance
portfolio, investment professionals closely monitor the status and performance
of each individual investment throughout each quarter. Through the process,
investments that may require closer monitoring are generally detected early, and
for each such investment, an appropriate course of action is determined. For the
private finance portfolio, loan delinquencies or payment default is not
necessarily an indication of credit quality or the need to pursue active workout
of a portfolio investment. Because we are a provider of long-term privately
negotiated investment capital, it is not atypical for us to defer payment of
principal or interest from time to time. As a result, the amount of our private
finance portfolio that is delinquent may vary. The terms of our private finance
agreements frequently provide an opportunity for our portfolio companies to
restructure their debt and equity capital. During such restructuring, we may not
receive or accrue interest or dividend payments. Our senior investment
professionals actively work with the portfolio company in these instances to
negotiate an appropriate course of action.

We price our private finance investment portfolio to provide adequate current
returns for our shareholders assuming that a portion of the portfolio at any
time may not be accruing interest currently. We also price our investments for a
total return including current interest or dividends plus capital gains from
sale of equity securities. Therefore, the amount of loans that are delinquent is
not necessarily an indication of future principal loss or loss of anticipated
investment return. The Company's portfolio grading system is used as a means to
assess loss of investment return (Grade 4 assets) or loss of investment
principal (Grade 5 assets).

With respect to our commercial real estate portfolio, the following outlines the
treatment of each delinquency category:

30 Days Past Due        Our loan servicing staff monitors loans and contacts
                        borrowers for collection.

60 Days Past Due        We generally transfer loans to professionals responsible
                        for special servicing activity for monitoring,
                        collection and development of a workout plan, if
                        necessary.

90 Days Past Due        Our accounting department reviews loans in conjunction
                        with the professional responsible for special servicing
                        to determine whether the loans should be placed on a
                        non-accrual status or whether a valuation adjustment is
                        required.

120 Days Past Due       Generally, we place such loans on non-accrual status and
                        the loan is an active workout.

INVESTMENT GAINS AND LOSSES

As an investor focused primarily on debt investments, our investment decisions
are based on credit dynamics. Our underwriting focuses on the preservation of
principal, and we will pursue our available means to recover our capital
investment. As a result of this investment discipline and credit culture, we
have a history of low levels of loan losses, and have a demonstrated track
record of successfully resolving

                                        9
<PAGE>   10

troubled credit situations with minimal losses. Our realized gains from the sale
of our equity interests have historically exceeded losses, as is reflected in
the chart below.

<TABLE>
<CAPTION>
                                                                  YEAR ENDED DECEMBER 31,
                                                  --------------------------------------------------------
                                                     2000         1999        1998       1997       1996
                                                  ----------   ----------   --------   --------   --------
<S>                                               <C>          <C>          <C>        <C>        <C>
Realized gains..................................  $   28,604   $   31,536   $ 25,757   $ 15,804   $ 30,417
Realized losses.................................  $  (13,081)  $   (6,145)  $ (3,216)  $ (5,100)  $(11,262)
Net realized gains..............................  $   15,523   $   25,391   $ 22,541   $ 10,704   $ 19,155
Total assets....................................  $1,853,817   $1,290,038   $856,079   $807,775   $713,360
Realized losses/ Total assets...................        0.7%         0.5%       0.4%       0.6%       1.6%
</TABLE>

EMPLOYEES

At December 31, 2000, we employed 97 individuals including investment and
portfolio management professionals, operations professionals and administrative
staff. The majority of these individuals are located in the Washington, DC
office. As part of the BLC merger, 37 Allied Capital employees were transferred
to BLX as full-time employees of the new portfolio company. We believe that our
relations with our employees are excellent.

LEGAL PROCEEDINGS

We are a party to certain lawsuits in the normal course of our business. While
the outcome of these legal proceedings cannot at this time be predicted with
certainty, we do not expect that these proceedings will have a material effect
upon our financial condition or results of operations.

CERTAIN GOVERNMENT REGULATIONS

We operate in a highly regulated environment. The following discussion generally
summarizes certain regulations.

BUSINESS DEVELOPMENT COMPANY ("BDC"). A business development company is defined
and regulated by the Investment Company Act of 1940. It is a unique kind of
investment company that primarily focuses on investing in or lending to small
private companies and making managerial assistance available to them. A BDC may
use capital provided by public shareholders and from other sources to invest in
long-term, private investments in growing small businesses. A BDC provides
shareholders the ability to retain the liquidity of a publicly traded stock,
while sharing in the possible benefits, if any, of investing in privately owned
growth companies.

As a BDC, we may not acquire any asset other than "Qualifying Assets" unless, at
the time it makes the acquisition, our Qualifying Assets represent at least 70%
of the value of our total assets (the "70% test"). The principal categories of
Qualifying Assets relevant to our business are:

     (1) Securities purchased in transactions not involving any public offering,
        the issuer of which is an eligible portfolio company. An eligible
        portfolio company is defined to include any issuer that (a) is organized
        and has its principal place of business in the United States, (b) is not
        an investment company other than an SBIC wholly owned by a BDC (our
        investments in Allied Investment, Allied SBLC and certain other
        subsidiaries generally are Qualifying Assets), and (c) does not have any
        class of publicly traded securities with respect to which a broker may
        extend margin credit;

     (2) Securities received in exchange for or distributed with respect to
        securities described in (1) above or pursuant to the exercise of
        options, warrants, or rights relating to such securities; and

     (3) Cash, cash items, government securities, or high quality debt
        securities (within the meaning of the 1940 Act), maturing in one year or
        less from the time of investment.

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<PAGE>   11

To include certain securities described above as Qualifying Assets for the
purpose of the 70% test, a BDC must make available to the issuer of those
securities significant managerial assistance such as providing significant
guidance and counsel concerning the management, operations, or business
objectives and policies of a portfolio company, or making loans to a portfolio
company. We will provide managerial assistance on a continuing basis to any
portfolio company that requests it, whether or not difficulties are perceived.

As a BDC, the Company is entitled to issue senior securities in the form of
stock or senior securities representing indebtedness, as long as each class of
senior security has an asset coverage of at least 200% immediately after each
such issuance. This limitation is not applicable to borrowings by our SBIC or
SBLC subsidiaries, and therefore any borrowings by these subsidiaries are not
included in this asset coverage test. See "Risk Factors."

We may not change the nature of our business so as to cease to be, or withdraw
our election as, a BDC unless authorized by vote of a "majority of the
outstanding voting securities," as defined in the 1940 Act, of our shares. Since
we made our BDC election, we have not made any substantial change in the nature
of our business.

REGULATED INVESTMENT COMPANY ("RIC"). Our status as a RIC enables us to avoid
the cost of federal and state taxation, and as a result achieve pre-tax
investment returns. We believe that this tax advantage enables us to achieve
strong equity returns without having to aggressively leverage our balance sheet.

In order to qualify as a RIC, the Company must, among other things:

     (1) Derive at least 90% of its gross income from dividends, interest,
         payments with respect to securities loans, gains from the sale of stock
         or other securities or other income derived with respect to its
         business of investing in such stock or securities.

     (2) Diversify its holdings so that

        (a) at least 50% of the value of the Company's assets consists of cash,
            cash items, U.S. government securities, securities of other RICS and
            other securities if such other securities of any one issuer do not
            represent more than 5% of the Company's assets and 10% of the
            outstanding voting securities of the issuer, and

        (b) no more than 25% of the value of the Company's assets are invested
            in securities (other than U.S. government securities) of one issuer,
            or of two or more issuers that are controlled by the Company.

     (3) Distribute at least 90% of its "investment company taxable income" each
         tax year to its shareholders. In addition, if a RIC distributes in a
         timely manner (or treats as "deemed distributed") 98% of its capital
         gain net income for each one year period ending on December 31 and
         distributes 98% of its ordinary income for each calendar year, it will
         not be subject to the 4% nondeductible federal excise tax on certain
         undistributed income of RICs.

SBA REGULATIONS. Allied Investment, a wholly owned subsidiary of the Company, is
licensed by the SBA as an SBIC under Section 301(c) of the Small Business
Investment Act of 1958, as amended (the "1958 Act"), and has elected to be
regulated as a BDC.

SBICs are authorized to stimulate the flow of private equity capital to eligible
small businesses. Under present SBA regulations, eligible small businesses
include businesses that have a net worth not exceeding $18 million and have
average annual fully taxed net income not exceeding $6 million for the most
recent two fiscal years. In addition, an SBIC must devote 20% of its investment
activity to "smaller" concerns as defined by the SBA. A smaller concern is one
that has a net worth not exceeding $6 million and has average annual fully taxed
net income not exceeding $2 million for the most recent two fiscal years. SBA
regulations also provide alternative size standard criteria to determine
eligibility, which depend on the industry in which the business is engaged and
are based on such factors as the number of employees and gross sales. According
to SBA regulations, SBICs may make long-term loans to small businesses, invest
in

                                        11
<PAGE>   12

the equity securities of such businesses, and provide them with consulting and
advisory services. Allied Investment provides long-term loans to qualifying
small businesses; equity investments and consulting and advisory services are
typically provided only in connection with such loans.

Allied Investment is periodically examined and audited by the SBA staff to
determine its compliance with SBIC regulations.

Allied Investment has the opportunity to sell to the SBA subordinated debentures
with a maturity of up to ten years, up to an aggregate principal amount of
$108.8 million. This limit generally applies to all financial assistance
provided by the SBA to any licensee and its "associates," as that term is
defined in SBA regulations. Historically, an SBIC was also eligible to sell
preferred stock to the SBA. Allied Investment had received $78.3 million of
subordinated debentures and $7.0 million of preferred stock investments from the
SBA at December 31, 2000; as a result of the $108.8 million limit, the Company
is limited on its ability to apply for additional financing from the SBA.
Interest rates on the SBA debentures currently outstanding have a weighted
average interest cost of 8.3%.

FORWARD-LOOKING STATEMENTS

You should read the information contained in this Form 10-K in conjunction with
the Company's 2000 Consolidated Financial Statements and Notes thereto contained
in the Company's 2000 Annual Report to Shareholders. The 2000 Annual Report to
Shareholders and this Form 10-K contain certain forward-looking statements.
These statements include management's plans and objectives for future operations
and financial objectives, loan portfolio growth and availability of funds. There
are inherent uncertainties in predicting future results and conditions, and
certain factors could cause actual results and conditions to differ materially
from those projected in these forward-looking statements. These factors are
described in the "Risk Factors" section below. Other factors that could cause
actual results to differ materially include the uncertainties of economic,
competitive and market conditions, and future business decisions, all of which
are difficult or impossible to predict accurately and many of which are beyond
our control. Although we believe that the assumptions underlying the
forward-looking statements included or incorporated by reference in this
document are reasonable, any of the assumptions could be inaccurate and
therefore, we cannot assure you that the forward-looking statements included or
incorporated by reference in this document will prove to be accurate. Therefore,
you should not regard the inclusion of this information as an assurance that the
Company's plans and objectives will be achieved.

RISK FACTORS

INVESTING IN PRIVATE COMPANIES INVOLVES A HIGH DEGREE OF RISK.  Our portfolio
consists primarily of long-term loans to and investments in private companies.
Investments in private businesses involve a high degree of business and
financial risk, which can result in substantial losses and accordingly should be
considered speculative. There is generally no publicly available information
about the companies in which we invest, and we rely significantly on the
diligence of our employees and agents to obtain information in connection with
the Company's investment decisions. In addition, some smaller businesses have
narrower product lines and market shares than their competition, and may be more
vulnerable to customer preferences, market conditions or economic downturns,
which may adversely affect the return on, or the recovery of, our investment in
such businesses.

OUR FINANCIAL RESULTS COULD BE NEGATIVELY AFFECTED IF BLX FAILS TO PERFORM AS
EXPECTED.  Business Loan Express, Inc. ("BLX") is our largest portfolio
investment. Our financial results could be negatively affected if BLX, as a
portfolio company, fails to perform as expected.

OUR BORROWERS MAY DEFAULT ON THEIR PAYMENTS.  We make unsecured, subordinated
loans and invest in equity securities, which may involve a higher degree of
repayment risk. We primarily invest in and lend to companies that may have
limited financial resources and that may be unable to obtain financing from
traditional sources. Numerous factors may affect a borrower's ability to repay
its loan, including the failure to meet its business plan, a downturn in its
industry or negative economic conditions. Deterioration in a borrower's
financial condition and prospects may be accompanied by deterioration in any
collateral for the loan.
                                        12
<PAGE>   13

OUR PORTFOLIO OF INVESTMENTS IS ILLIQUID.  We acquire most of our investments
directly from private companies. The majority of the investments in our
portfolio will be subject to restrictions on resale or otherwise have no
established trading market. The illiquidity of most of our portfolio may
adversely affect our ability to dispose of loans and securities at times when it
may be advantageous for us to liquidate such investments.

INVESTMENTS IN NON-INVESTMENT GRADE COMMERCIAL MORTGAGE-BACKED SECURITIES MAY BE
ILLIQUID AND MAY HAVE A HIGHER RISK OF DEFAULT.  The commercial mortgage-backed
securities ("CMBS") in which we invest are non-investment grade, which means
that nationally recognized statistical rating organizations rate them below the
top four investment-grade rating categories (i.e., "AAA" through "BBB"), and are
sometimes referred to as "junk bonds." The non-investment grade CMBS tend to be
less liquid, may have a higher risk of default and may be more difficult to
value. Non-investment grade securities usually provide a higher yield than do
investment-grade bonds, but with the higher return comes greater risk.
Non-investment grade securities are considered speculative, and their capacity
to pay principal and interest in accordance with the terms of their issue is not
ensured.

OUR PORTFOLIO INVESTMENTS ARE RECORDED AT FAIR VALUE AS DETERMINED BY THE BOARD
OF DIRECTORS IN ABSENCE OF READILY ASCERTAINABLE PUBLIC MARKET VALUES.  Pursuant
to the requirements of the Investment Company Act of 1940 ("1940 Act"), the
Board of Directors is required to value each asset quarterly, and we are
required to carry our portfolio at fair value as determined by the Board of
Directors. Since there is typically no public market for the loans and equity
securities of the companies in which we make investments, our Board of Directors
estimates the fair value of these loans and equity securities pursuant to a
written valuation policy and a consistently applied valuation process. Unlike
banks, we are not permitted to provide a general reserve for anticipated loan
losses; we are instead required by the 1940 Act to specifically value each
individual investment and record an unrealized loss for an asset that we believe
has become impaired. Without a readily ascertainable market value, the estimated
value of our portfolio of loans and equity securities may differ significantly
from the values that would be placed on the portfolio if there existed a ready
market for the loans and equity securities. We adjust quarterly the valuation of
our portfolio to reflect the Board of Directors' estimate of the current
realizable value of each investment in our portfolio. Any changes in estimated
value are recorded in the Company's statement of operations as "Net unrealized
gains (losses)."

WE BORROW MONEY WHICH MAGNIFIES THE POTENTIAL FOR GAIN OR LOSS ON AMOUNTS
INVESTED AND MAY INCREASE THE RISK OF INVESTING IN OUR COMPANY.  We borrow from,
and issue senior debt securities to, banks, insurance companies and other
lenders. Lenders of these senior securities have fixed dollar claims on our
consolidated assets that are superior to the claims of our common shareholders.
Borrowings, also known as leverage, magnify the potential for gain or loss on
amounts invested and, therefore, increase the risks associated with investing in
our securities. If the value of our consolidated assets increases, then
leveraging would cause the net asset value attributable to the Company's common
stock to increase more sharply than it would have had we not leveraged.
Conversely, if the value of our consolidated assets decreases, leveraging would
cause net asset value to decline more sharply than it otherwise would have had
we not leveraged. Similarly, any increase in our consolidated income in excess
of consolidated interest payable on the borrowed funds would cause our net
income to increase more than it would without the leverage, while any decrease
in our consolidated income would cause net income to decline more sharply than
it would have had we not borrowed. Such a decline could negatively affect our
ability to make common stock dividend payments. Leverage is generally considered
a speculative investment technique.

At December 31, 2000, the Company had $786.6 million of outstanding
indebtedness, bearing a weighted annual interest cost of 8.3%. In order for us
to cover these annual interest payments on indebtedness, we must achieve annual
returns on our December 31, 2000 portfolio of at least 3.4%.

WE MAY NOT BORROW MONEY UNLESS WE MAINTAIN ASSET COVERAGE FOR INDEBTEDNESS OF AT
LEAST 200% WHICH MAY AFFECT RETURNS TO SHAREHOLDERS.  We must maintain asset
coverage for a class of senior security representing indebtedness of at least
200%. Our ability to achieve our investment objective may depend in part on our
continued ability to maintain a leveraged capital structure by borrowing from
banks

                                        13
<PAGE>   14

or other lenders on favorable terms. There can be no assurance that we will be
able to maintain such leverage. If asset coverage declines to less than 200%, we
may be required to sell a portion of our investments when it is disadvantageous
to do so. As of December 31, 2000, our asset coverage for indebtedness was 245%.

CHANGES IN INTEREST RATES MAY AFFECT OUR COST OF CAPITAL AND NET OPERATING
INCOME.  Because we borrow money to make investments, our net operating income
is dependent upon the difference between the rate at which we borrow funds and
the rate at which we invest these funds. As a result, there can be no assurance
that a significant change in market interest rates will not have a material
adverse effect on our portfolio income. In periods of sharply rising interest
rates, our cost of funds would increase, which would reduce our net operating
income before net realized and unrealized gains. However, there would be no
effect on the return, if any, that could be generated from our equity interests.
We use a combination of long-term and short-term borrowings and equity capital
to finance our investing activities. The Company utilizes its short-term credit
facilities only as a means to bridge to long-term financing. Our long-term
fixed-rate investments are financed primarily with long-term fixed-rate debt and
equity. We may use interest rate risk management techniques in an effort to
limit our exposure to interest rate fluctuations. Such techniques may include
various interest rate hedging activities to the extent permitted by the 1940
Act.

BECAUSE WE MUST DISTRIBUTE INCOME, WE WILL CONTINUE TO NEED ADDITIONAL CAPITAL
TO GROW.  We will continue to need capital to fund incremental growth in our
investments. Historically, we have borrowed from financial institutions and have
issued equity securities. A reduction in the availability of new capital could
limit our ability to grow. We must distribute at least 90% of our taxable net
operating income excluding net realized long-term capital gains to our
stockholders to maintain our regulated investment company ("RIC") status. As a
result such earnings will not be available to fund investment originations. We
expect to continue to borrow from financial institutions and sell additional
equity securities. If we fail to obtain funds from such sources or from other
sources to fund our investments, it could limit our ability to grow, which could
have a material adverse effect on the value of the Company's common stock. In
addition, as a business development company ("BDC"), we are generally required
to maintain a ratio of at least 200% of total assets to total borrowings, which
may restrict our ability to borrow in certain circumstances.

OUR PRIVATE FINANCE INVESTMENTS MAY NOT PRODUCE CAPITAL GAINS.  Private finance
investments are typically structured as debt securities with a relatively high
fixed rate of interest and with an equity feature such as conversion rights,
warrants or options. As a result, private finance investments generate interest
income from the time they are made, and may also produce a realized gain from an
accompanying equity feature. We cannot be sure that our portfolio will generate
a current return or capital gains.

LOSS OF PASS-THROUGH TAX TREATMENT WOULD SUBSTANTIALLY REDUCE NET ASSETS AND
INCOME AVAILABLE FOR DIVIDENDS.  We have operated the Company so as to qualify
to be taxed as a RIC under Subchapter M of the Internal Revenue Code of 1986, as
amended ("Code"). If we meet source of income, diversification and distribution
requirements, the Company qualifies for pass-through tax treatment. If the
Company fails to qualify as a RIC, the Company would become subject to federal
income tax as if it were an ordinary corporation, which would substantially
reduce our net assets and the amount of income available for distribution to our
shareholders. The Company would cease to qualify for pass-through tax treatment
if it were unable to comply with these requirements, or if it ceased to qualify
as a BDC under the 1940 Act. We also could be subject to a 4% excise tax and/or
corporate level income tax if we fail to make required distributions.

                                        14
<PAGE>   15

WE OPERATE IN A COMPETITIVE MARKET FOR INVESTMENT OPPORTUNITIES.  We compete for
investments with many other companies and individuals, some of whom have greater
resources than we do. Increased competition would make it more difficult for us
to purchase or originate investments at attractive prices. As a result of this
competition, sometimes we may be precluded from making otherwise attractive
investments.

CHANGES IN THE LAW OR REGULATIONS THAT GOVERN THE COMPANY COULD HAVE A MATERIAL
IMPACT ON THE COMPANY OR OUR OPERATIONS.  We are regulated by the Securities and
Exchange Commission and the SBA. In addition, changes in the laws or regulations
that govern BDCs, RICs, real estate investment trusts ("REITs") and SBICs may
significantly affect our business. Any change in the law or regulations that
govern our business could have a material impact on the Company or its
operations. Laws and regulations may be changed from time to time, and the
interpretations of the relevant laws and regulations also are subject to change.

QUARTERLY RESULTS MAY FLUCTUATE AND MAY NOT BE INDICATIVE OF FUTURE QUARTERLY
PERFORMANCE.  The Company's quarterly operating results could fluctuate and
therefore, you should not rely on quarterly results to be indicative of the
Company's performance in future quarters. Factors that could cause quarterly
operating results to fluctuate include, among others, variations in the
investment origination volume, variation in timing of prepayments, variations in
and the timing of the recognition of realized and unrealized gains or losses,
the degree to which we encounter competition in our markets and general economic
conditions.

ITEM 2. PROPERTIES

Our principal offices are located on the third floor of 1919 Pennsylvania
Avenue, N.W., Washington, DC, in the heart of Washington's business and
financial district. Our lease for approximately 32,000 square feet of office
space at that location expires in July 2008. The office is equipped with an
integrated network of computers for word processing, financial analysis,
accounting and loan servicing. We believe our office space is suitable for our
needs for the foreseeable future. The Company also maintains offices in Chicago,
New York, San Francisco and Frankfurt, Germany.

ITEM 3. LEGAL PROCEEDINGS

We are a party to certain lawsuits in the normal course of our business. While
the outcome of these legal proceedings cannot at this time be predicted with
certainty, we do not expect that these actions will have a material effect upon
our financial condition or results of operations.

ITEM 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

On November 15, 2000, the Company held a Special Meeting of Shareholders to
amend the Company's charter to increase the number of authorized shares from
100,000,000 to 200,000,000. A total of 68,445,878 shares voted "for" the
proposal, 3,051,986 voted "against" the proposal and 533,465 shares abstained
from voting. No other matters were submitted for a vote.

ADDITIONAL ITEM. EXECUTIVE OFFICERS OF THE REGISTRANT

The following table sets forth the names, ages and positions of the executive
officers of the Company as of March 16, 2001, as well as certain other
information with respect to those persons. Periods of employment by the Company
include periods of employment by predecessor companies.

William L. Walton, age 51, has been the Chairman, Chief Executive Officer and
President of the Company since 1997. He has served on Allied Capital's board of
directors since 1986, and was named Chairman and CEO in February 1997. Mr.
Walton has an extensive background in general management, marketing, strategic
planning, mergers and acquisitions and financial analysis. Mr. Walton previously
served as Managing Director of New York-based Butler Capital Corporation
(1987-1991) and was the personal venture capital advisor for William S. Paley,
founder and Chairman of CBS. In addition, he was

                                        15
<PAGE>   16

a Senior Vice President in Lehman Brother Kuhn Loeb's Investment Banking Group.
Mr. Walton also founded and managed two start-up businesses in the emerging
education industry (1992-1996). Mr. Walton is a director of Nobel Learning
Communities, Inc. and Riggs National Corporation. He received both a B.A. and a
M.B.A. from Indiana University.

Joan M. Sweeney, age 41, Managing Director and Chief Operating Officer, has been
employed by the Company since 1993. Ms. Sweeney oversees all company operations
and is responsible for strategic planning, financial management, information
technology, marketing, investor relations, and all regulatory compliance. Prior
to joining the Company, Ms. Sweeney spent ten years of her career consulting
with private and small public companies at both Ernst & Young and Coopers &
Lybrand. Ms. Sweeney was a member of the SEC Division of Enforcement in the late
1980s.

Scott S. Binder, age 46, Managing Director, has worked with the Company since
1991 and is responsible for the Company's telecommunications and new media
investments within the private finance group. Prior to joining the Company, Mr.
Binder formed and was President of Overland Communications Group, which owned
and operated cable television systems and radio stations. He also has worked in
the specialty finance and leasing industry.

Samuel B. Guren, age 54, Managing Director, joined the Company in 1999. He
joined the Company to develop the Company's private equity investment business.
Mr. Guren has more than 26 years of venture capital investing experience. Prior
to joining the Company, Mr. Guren was the Senior Managing Partner at Baird
Capital. He also served as a Senior Managing Partner at William Blair Venture
Partners for 15 years.

Philip A. McNeill, age 41, Managing Director, has been employed by the Company
since 1993 and is responsible for co-managing the Company's private finance
group. Before joining the Company, he served as a vice president of M&T Capital
Corporation. Prior to entering the private finance industry, he was founding
director of Western Oklahoma National Bank, and structured and managed numerous
privately negotiated investments.

John M. Scheurer, age 48, Managing Director, has been employed by the Company
since 1991 and manages the Company's real estate finance group. He has more than
22 years of experience in commercial finance and real estate lending and
management. Prior to joining the Company, Mr. Scheurer worked in various
capacities with Capital Recovery Advisors, Inc. and First American Bank. He also
started his own company, The Scheurer Company, and co-founded Hunter &
Associates, a major leasing and consulting real estate firm in the Washington,
DC area.

Thomas H. Westbrook, age 37, Managing Director, has been with the Company since
1991 and is responsible for the Company's business services investments within
the private finance group. Prior to joining the Company, Mr. Westbrook worked
with North Carolina Enterprise Fund and was a lending officer in NationsBank's
corporate lending unit. He is the former president of the southern RASBIC and
has served on the NASBIC Board of Governors.

G. Cabell Williams, III, age 46, Managing Director, has been employed by the
Company since 1981, and is responsible for co-managing the operations of the
Company's private finance group. He has over 19 years of private finance
experience, and has structured numerous types of private debt and equity finance
transactions. Mr. Williams has served in many capacities during his tenure with
the Company.

Penni F. Roll, age 35, Executive Vice President and Chief Financial Officer, has
been employed by the Company since 1995. Ms. Roll is responsible for the
Company's financial management and reporting, accounting, loan servicing,
special servicing, portfolio monitoring and regulatory compliance activities.
Prior to joining the Company, she spent seven years in the financial services
practice at KPMG Peat Marwick, including serving as a Manager from 1993 to 1995.

                                        16
<PAGE>   17

                                    PART II

ITEM 5. MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER MATTERS

Information in response to this Item is incorporated herein by reference to the
"Stockholder Information" and to the "Selected Consolidated Financial Data"
section of the Company's Annual Report to Shareholders for the year ended
December 31, 2000 (the "2000 Annual Report") as well as Note 12, "Dividends and
Distributions" from the Company's 2000 Notes to the Consolidated Financial
Statements. The quarterly stock prices quoted therein represent interdealer
quotations and do not include markups, markdowns, or commissions and may not
necessarily represent actual transactions. During 2000, the Company issued
254,317 shares of common stock pursuant to a dividend reinvestment plan. This
plan is not registered and relies on an exemption from registration in the
Securities Act of 1933. See Note 7, "Shareholders' Equity" for additional
information.

ITEM 6. SELECTED FINANCIAL DATA

Information in response to this Item is incorporated herein by reference to the
table in the "Selected Consolidated Financial Data" Section of the 2000 Annual
Report.

ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS

Information in response to this Item is incorporated herein by reference to the
"Management's Discussion and Analysis of Financial Condition and Results of
Operations" section of the 2000 Annual Report.

ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURE ABOUT MARKET RISK

The Company's business activities contain elements of risk. The Company
considers the principal types of market risk to be interest rate risk and
valuation risk. The Company considers the management of risk essential to
conducting its businesses and to maintaining profitability. Accordingly, the
Company's risk management systems and procedures are designed to identify and
analyze the Company's risks, to set appropriate policies and limits and to
continually monitor these risks and limits by means of reliable administrative
and information systems and other policies and programs.

The Company manages its market risk by maintaining a portfolio of equity
interests that is diverse by industry, geographic area, property type, size of
individual investment and borrower. The Company does not have a significant
exposure to public market price fluctuations as the Company primarily invests in
private business enterprises. Since there is typically no public market for the
equity interests of the companies in which the Company invests, the valuation of
the equity interests in the Company's portfolio is subject to the estimate of
the Company's Board of Directors. In the absence of a readily ascertainable
market value, the estimated value of the Company's portfolio of equity interests
may differ significantly from the values that would be placed on the portfolio
if a ready market for the equity interests existed. Any changes in estimated
value are recorded in the Company's statement of operations as "Net unrealized
gains (losses)." Each hypothetical 1% increase or decrease in value of the
Company's portfolio of equity interests of $316.2 million at December 31, 2000
would have resulted in unrealized gains or losses and would have increased or
decreased net income in 2000 by 2%.

The Company's sensitivity to changes in interest rates is regularly monitored
and analyzed by measuring the characteristics of assets and liabilities. The
Company utilizes various methods to assess interest rate risk in terms of the
potential effect on interest income net of interest expense, the value of net
assets and the value at risk in an effort to ensure that the Company is
insulated from any significant adverse effects from changes in interest rates.
Based on the model used for the sensitivity of interest income net of interest
expense, if the balance sheet were to remain constant and no actions were taken
to alter the existing interest rate sensitivity, a hypothetical immediate 1%
change in interest rates would have affected net income by less than 1% over a
six month horizon. Although management believes that this measure is indicative
of the Company's sensitivity to interest rate changes, it does not adjust for
potential changes in credit quality, size and composition of the balance sheet
and other business developments that could affect
                                        17
<PAGE>   18

net income. Accordingly, no assurances can be given that actual results would
not differ materially from the potential outcome simulated by this estimate.

ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

Information in response to this Item is incorporated by reference to the
Consolidated Financial Statements, Notes thereto, and Report of Independent
Public Accountants thereon contained in the 2000 Annual Report.

ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
FINANCIAL DISCLOSURE

None.

                                    PART III

ITEM 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

Information in response to this Item is incorporated by reference to the
identification of directors and nominees contained in the "Election of
Directors" section and the subsection captioned "Section 16(a) Beneficial
Ownership Reporting Compliance" of the Company's definitive proxy statement in
connection with its 2001 Annual Meeting of Stockholders, scheduled to be held on
May 8, 2001 (the "2001 Proxy Statement"), and from "Additional Item" in Part I.

ITEM 11. EXECUTIVE COMPENSATION

Information in response to this Item is incorporated by reference to the
subsections captioned "Compensation of Executive Officers and Directors" of the
2001 Proxy Statement.

ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT.

Information in response to this Item is incorporated by reference to the
subsection captioned "Security Ownership of Management and Certain Beneficial
Owners" in the 2001 Proxy Statement.

ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS.

Information in response to this Item is incorporated by reference to the section
captioned "Certain Transactions" of the 2001 Proxy Statement.

                                    PART IV

ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K

(a) Documents filed as part of this Report:

          1. A. The following financial statements are incorporated by reference
     from the Consolidated Financial Statements, Notes thereto and Report of
     Independent Public Accountants thereon contained in the Company's 2000
     Annual Report, filed herewith.

       Consolidated Balance Sheet as of December 31, 2000 and 1999.

       Consolidated Statement of Operations for the years ended December 31,
       2000, 1999 and 1998.

       Consolidated Statement of Changes in Net Assets for the years ended
       December 31, 2000, 1999 and 1998.

        Consolidated Statement of Cash Flows for the years ended December 31,
2000, 1999 and 1998.

       Consolidated Statement of Investments as of December 31, 2000.

                                        18
<PAGE>   19

       Notes to Consolidated Financial Statements.

          B. The Report of Independent Public Accountants from Arthur Andersen
     LLP is incorporated by reference to the Report of Independent Public
     Accountants contained in the Company's 2000 Annual Report filed herewith.

          2. No financial statement schedules are filed herewith because (i)
     such schedules are not required or (ii) the information required has been
     presented in the aforementioned financial statements.

          3. The following exhibits are filed herewith or incorporated by
     reference as set forth below:

<TABLE>
<CAPTION>
 EXHIBIT
  NUMBER                            DESCRIPTION
 -------                            -----------
<S>         <C>
 3(i)(a)(1) Articles of Amendment and Restatement of the Articles of
            Incorporation.
 3(i)(b)(2) Articles of Merger.
 3(i)(c)(14) Amendment to the Amended and Restated Articles of
            Incorporation.
 3(ii)10    Bylaws.
 4.1(4)     Specimen certificate of the Company's Common stock, par
            value $0.0001 per share. See exhibits 3(i), 3(ii) and 3(iii)
            for other instruments defining the rights of security
            holders.
 4.2(2)     Form of debenture between certain subsidiaries of the
            Company and the U.S. Small Business Administration.
 5          Not applicable.
 9          Not applicable.
10.1(14)    Amended and Restated Credit Agreement dated May 17, 2000.
10.2(5)     Note Agreement dated as of April 30, 1998.
10.3(3)     Loan Agreement between Allied I and Overseas Private
            Investment Corporation, dated April 10, 1995. Letter dated
            December 11, 1997 evidencing assignment of Loan Agreement
            from Allied I to the Company.
10.4(8)     Note Agreement dated as of May 1, 1999.
10.4a(10)   Note Agreement dated as of November 15, 1999.
10.4b(13)   Note Agreement dated as of October 15, 2000.
10.5(14)    Amendment and Consent Agreement to the Amended and Restated
            Credit Agreement dated December 11, 2000.
10.6(4)     Sale and Servicing Agreement dated as of January 1, 1998
            among Allied Capital CMT, Inc., Allied Capital Commercial
            Mortgage Trust 1998-1 and the Company and LaSalle National
            Bank Inc. and ABN AMRO Bank N.V.
10.7(4)     Indenture dated as of January 1, 1998 between Allied Capital
            Commercial Mortgage Trust 1998-1 and LaSalle National Bank.
10.8(4)     Amended and Restated Trust Agreement dated January 1, 1998
            between Allied Capital CMT, Inc., LaSalle National Bank Inc.
            and Wilmington Trust Company.
10.9(4)     Guaranty dated as of January 1, 1998 by the Company.
10.10a(14)  Employment agreement dated June 15, 2000 between the Company
            and William L. Walton.
10.10b(14)  Employment agreement dated June 15, 2000 between the Company
            and Joan M. Sweeney.
10.10c(14)  Employment agreement dated June 15, 2000 between the Company
            and John M. Scheurer.
</TABLE>

                                        19
<PAGE>   20

<TABLE>
<CAPTION>
 EXHIBIT
  NUMBER                            DESCRIPTION
 -------                            -----------
<S>         <C>
10.11(7)    Amended and Restated Deferred Compensation Plan dated
            December 30, 1998.
10.11a(14)  Amendment to Deferred Compensation Plan dated October 18,
            2000.
10.12(6)    Amended Stock Option Plan.
10.12a(9)   Allied Capital 401(k) Plan dated September 1, 1999.
10.12b(14)  Amendment to 401(k) Plan dated December 31, 2000.
10.13a(4)   Form of Custody Agreement with Riggs Bank N.A. with respect
            to safekeeping.
10.13b(4)   Form of Custody Agreement with La Salle National Bank.
10.14a(11)  Agreement and Plan of Merger dated October 31, 2000 by and
            among the Company, Allied Capital B Sub Corporation, and BLC
            Financial Services, Inc.
10.14b(12)  Voting and Support Agreement with key shareholders of BLC
            Financial Services, Inc.
10.14c(12)  Lockup Agreement with key shareholders of BLC Financial
            Services, Inc.
10.14d(12)  Agreement and Plan of Merger dated as of October 31, 2000 by
            and among the Company, Allied Capital F Sub Corporation and
            Futuronics Corporation.
10.14e(12)  Voting and Support Agreement with key shareholders of
            Futuronics Corporation dated October 31, 2000.
10.14f(12)  Lockup Agreement with key shareholders of Futuronics
            Corporation dated October 31, 2000.
10.18(1)    Dividend Reinvestment Plan.
11          Statement regarding computation of per share earnings is
            incorporated by reference to Note 8 to the Company's Notes
            to the Consolidated Financial Statements contained in the
            Company's 2000 Annual Report filed as Exhibit 13 herewith.
13*         Excerpts from the 2000 Annual Report to Shareholders.
21          Subsidiaries of the Company and jurisdiction of
            incorporation/organization:
                 Allied Investment Corporation             Maryland
                 Allied Capital REIT, Inc.                 Maryland
                 Allied Capital Holdings LLC               Delaware
                 Allied Capital Beteiligungsberatung GmbH   Germany
23*         Consent of Arthur Andersen LLP, independent public
            accountants.
</TABLE>

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

      (1) Incorporated by reference to the exhibit of the same name filed with
          the Company's Annual Report on Form 10-K for the year ended December
          31, 1997.

      (2) Incorporated by reference to the exhibit of the same name filed with
          Allied I's Annual Report on Form 10-K for the year ended December 31,
          1996.

      (3) Incorporated by reference to Exhibit f.7 of Allied I's Pre-Effective
          Amendment No. 2 filed with the registration statement on Form N-2 on
          January 24, 1996 (File No. 33-64629). Assignment to Company is
          incorporated by reference to Exhibit 10.3 of the Company's Annual
          Report on Form 10-K for the year ended December 31, 1997.

      (4) Incorporated by reference to the exhibit of the same name to the
          Company's registration statement on Form N-2 filed on the Company's
          behalf with the Commission on May 5, 1998 (File No. 333-51899).

      (5) Incorporated by reference to the exhibit of the same name filed with
          the Company's Quarterly Report on Form 10-Q for the period ended
          September 30, 1998.

                                        20
<PAGE>   21

      (6) Incorporated by reference to Exhibit A of the Company's definitive
          proxy materials for the Company's 2000 Annual Meeting of Stockholders
          filed with the Commission on March 29, 2000.

      (7) Incorporated by reference to the exhibit of the same name filed with
          the Company's Annual Report on Form 10-K for the year ended December
          31, 1998.

      (8) Incorporated by reference to the exhibit of the same name filed with
          the Company's Quarterly Report on Form 10-Q for the period ended June
          30, 1999.

      (9) Incorporated by reference to Exhibit 4.4 of the Allied Capital 401(k)
          Plan registration statement on Form S-8, filed on behalf of such Plan
          on October 8, 1999 (File No. 333-88681).

     (10) Incorporated by reference to the exhibit of the same name filed with
          the Company's Annual Report on Form 10-K for the year ended December
          31, 1999.

     (11) Incorporated by reference to Appendix A to the Company's registration
          statement on Form N-14 filed on the Company's behalf with the
          Commission on November 6, 2000.

     (12) Incorporated by reference to the exhibit of the same name to the
          Company's registration statement on Form N-14 filed on the Company's
          behalf with the Commission on November 6, 2000.

     (13) Incorporated by reference to the exhibit of the same name to the
          Company's Quarterly Report on Form 10-Q for the period ended September
          30, 2000.

     (14) Incorporated by reference to the exhibit of the same name to
          Post-Effective Amendment No. 2 to the Company's registration statement
          on Form N-2 (File No. 333-43534).

     (b) Reports on Form 8-K.

         The Company filed no reports on Form 8-K during the quarter ended
December 31, 2000.

                                        21
<PAGE>   22

                                   SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange
Act of 1934, the Registrant has duly caused this Report to be signed on its
behalf by the undersigned, thereunto duly authorized on March 19, 2001.

                                          /s/ WILLIAM L. WALTON
                                          --------------------------------------
                                          William L. Walton
                                          Chairman of the Board, President and
                                          Chief Executive Officer

Pursuant to the requirements of the Securities Exchange Act of 1934, this Report
has been signed below by the following persons on behalf of the Registrant in
the capacities and on the dates indicated.

<TABLE>
<CAPTION>
                                                                     TITLE
                       SIGNATURE                                  (CAPACITY)                  DATE
                       ---------                                  ----------                  ----
<S>                                                       <C>                            <C>
/s/ WILLIAM L. WALTON                                      Chairman, President, and      March 19, 2001
- --------------------------------------------------------    Chief Executive Officer
William L. Walton

/s/ BROOKS H. BROWNE                                               Director              March 19, 2001
- --------------------------------------------------------
Brooks H. Browne

/s/ JOHN D. FIRESTONE                                              Director              March 19, 2001
- --------------------------------------------------------
John D. Firestone

/s/ ANTHONY T. GARCIA                                              Director              March 19, 2001
- --------------------------------------------------------
Anthony T. Garcia

/s/ LAWRENCE I. HEBERT                                             Director              March 19, 2001
- --------------------------------------------------------
Lawrence I. Hebert

/s/ JOHN I. LEAHY                                                  Director              March 19, 2001
- --------------------------------------------------------
John I. Leahy

/s/ ROBERT E. LONG                                                 Director              March 19, 2001
- --------------------------------------------------------
Robert E. Long

/s/ WARREN K. MONTOURI                                             Director              March 19, 2001
- --------------------------------------------------------
Warren K. Montouri

/s/ GUY T. STEUART II                                              Director              March 19, 2001
- --------------------------------------------------------
Guy T. Steuart II

/s/ T. MURRAY TOOMEY                                               Director              March 19, 2001
- --------------------------------------------------------
T. Murray Toomey
</TABLE>

                                        22
<PAGE>   23

<TABLE>
<CAPTION>
                                                                     TITLE
                       SIGNATURE                                  (CAPACITY)                  DATE
                       ---------                                  ----------                  ----

<S>                                                       <C>                            <C>
/s/ LAURA W. VAN ROIJEN                                            Director              March 19, 2001
- --------------------------------------------------------
Laura W. van Roijen

/s/ GEORGE C. WILLIAMS, JR.                                        Director              March 19, 2001
- --------------------------------------------------------
George C. Williams, Jr.

/s/ PENNI F. ROLL                                          Executive Vice President      March 19, 2001
- --------------------------------------------------------  and Chief Financial Officer
Penni F. Roll                                              (Principal Financial and
                                                              Accounting Officer)
</TABLE>

                                        23
<PAGE>   24

                                 EXHIBIT INDEX

<TABLE>
<CAPTION>
 EXHIBIT
  NUMBER                            DESCRIPTION
 -------                            -----------
<S>         <C>
13          Excerpts from the 2000 Annual Report to Shareholders.
23          Consent of Arthur Andersen LLP, independent public
            accountants
</TABLE>

                                        24
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-13
<SEQUENCE>2
<FILENAME>w46303ex13.txt
<DESCRIPTION>EXCERPTS FROM THE 2000 ANNUAL REPORT
<TEXT>

<PAGE>   1
                                                                IN OUR OWN WORDS

                           ALLIED CAPITAL CORPORATION

                                   [GRAPHIC]

                                                              ANNUAL REPORT 2000

<PAGE>   2

STOCKHOLDER INFORMATION

CORPORATE HEADQUARTERS

WASHINGTON, DC
1919 Pennsylvania Avenue, NW
Washington, DC  20006
Telephone: 202.331.1112
Fax: 202.659.2053
info@alliedcapital.com
www.alliedcapital.com

REGIONAL OFFICES

CHICAGO
401 North Michigan Avenue, Suite 2050
Chicago, IL60611
Telephone: 312.828.0330
Fax: 312.828.0909

NEW YORK
1180 Avenue of the Americas, Suite 1481
New York, NY 10036
Telephone: 212.899.5180
Fax: 212.899.5181

SAN FRANCISCO
One Market Plaza, Steuart Tower, Suite 2605
San Francisco, CA 94105
Telephone: 415.904.4508
Fax: 415.904.4503

FRANKFURT
Allied Capital Beteiligungsberatung GmbH
Untermainanlage 5
60329 Frankfurt am Main
Germany
Telephone: 011.49.69.244.042.3
Fax: 011.49.69.244.042.59

MARKET LISTING

Allied Capital Corporation common stock trades on the Nasdaq National Market
under the trading symbol ALLC. There are currently 5,000 shareholders of record
and 56,000 beneficial shareholders of the Company.

STOCK TRANSFER AGENT AND REGISTRAR

Investors with questions concerning account information, issuing new
certificates, replacing lost or stolen certificates, transferring securities,
participating in the dividend reinvestment plan, dividend payments, requesting
direct deposit information or processing a change of address should contact:

AMERICAN STOCK TRANSFER & TRUST COMPANY
59 Maiden Lane, 1st Floor
New York, NY 10038
Telephone: 800.937.5449 or 212.936.5100
www.amstock.com

INVESTOR RELATIONS CONTACT

SUZANNE V. SPARROW
DIRECTOR OF INVESTOR RELATIONS
Toll free: 888.818.5298
ir@alliedcapital.com

INFORMATION REQUESTS

Allied Capital Corporation's Annual Report on Form 10-K and all quarterly
reports on Form 10-Q, as filed with the Securities and Exchange Commission, will
be provided without charge to shareholders upon written request to the Investor
Relations Department at the Company's corporate headquarters.

INDEPENDENT PUBLIC ACCOUNTANTS

ARTHUR ANDERSEN LLP
Vienna, VA

CORPORATE COUNSEL

SUTHERLAND, ASBILL & BRENNAN LLP
Washington, DC

ANNUAL MEETING OF STOCKHOLDERS

The Company's Annual Meeting of Stockholders will be held at 10:00 AM on
Tuesday, May 8, 2001, at the St. Regis Hotel, 923 16th Street, NW,
Washington, DC.

All stockholders are welcome to attend.

QUARTERLY STOCK PRICES FOR 2000 AND 1999
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                        2000                                                        1999

                      ----------------------------------------------              ----------------------------------------------
                        Q1            Q2           Q3           Q4                  Q1            Q2           Q3           Q4
<S>                   <C>           <C>          <C>          <C>                 <C>           <C>          <C>          <C>
High                  $19.69        $18.69       $21.13       $21.38              $20.25        $24.00       $23.81       $23.13
- --------------------------------------------------------------------------------------------------------------------------------
Low                   $16.06        $16.56       $17.44       $18.50              $16.50        $17.00       $20.25       $16.75
- --------------------------------------------------------------------------------------------------------------------------------
Close                 $17.44        $17.00       $20.75       $20.88              $18.38        $24.00       $22.44       $18.31
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>

<PAGE>   3

"WE'RE THE PUBLIC'S WINDOW INTO THE PRIVATE EQUITY WORLD." -BILL WALTON,
CHAIRMAN AND CEO

IT'S A WORLD THAT'S ENJOYED AMONG THE HIGHEST RETURNS OF ANY SEGMENT OF THE
CAPITAL MARKETS...AND IT'S ONE THAT'S USUALLY OPEN ONLY TO INSTITUTIONAL
INVESTORS.

BUT AS THE NATION'S LARGEST BUSINESS DEVELOPMENT COMPANY ENGAGED IN PRIVATE
EQUITY INVESTING, ALLIED CAPITAL OFFERS SHAREHOLDERS SMALL AND LARGE THESE SAME
OPPORTUNITIES.

AND WE'VE BEEN DOING SO FOR OVER 40 YEARS. DURING THAT TIME WE'VE GENERATED AN
AVERAGE ANNUAL TOTAL RETURN TO SHAREHOLDERS OF 18%.

                                                            2000 ANNUAL REPORT 1
<PAGE>   4

DEAR FELLOW SHAREHOLDERS:

The year 2000 was a banner year for Allied Capital Corporation. Despite
considerable market volatility and growing economic uncertainty, we added $901.5
million of new quality investments to our portfolio, and reached record levels
of performance. Earnings increased 18% to $1.94 per share, net operating income
rose 30% to $1.53 per share, and dividends grew 14% to $1.82 per share. Our
investment portfolio reached $1.8 billion, and we have emerged as a leading
publicly traded private equity firm. Our shareholders enjoyed a 25% total return
for the year, compared to a 39% decline in the Nasdaq Composite and a 9% decline
in the S&P 500.

But 2000 will also be remembered for both the heady enthusiasm for new economy
companies at the beginning of the year and the swift and painful
rationalization of the debt and equity capital markets by its end. As we enter
2001, we are faced with the residual impact of an economic slowdown in the U.S.
and credit tightening by traditional lenders. The question is how do we intend
to steer our course in the current economic climate.

[PHOTO CAPTION] "WE WILL MAINTAIN OUR LONG-STANDING INVESTMENT PRINCIPLES AND
REMAIN DEDICATED TO OUR CORE STRATEGY OF CONTROLLED GROWTH, WITH THE GOAL OF
CONSISTENTLY DELIVERING GROWING DIVIDENDS AND A SOLID TOTAL RETURN TO
SHAREHOLDERS." -BILL WALTON

2 ALLIED CAPITAL CORPORATION
<PAGE>   5

The answer is straightforward - we will maintain our long-standing investment
principles and remain dedicated to our core strategy of controlled growth, with
the goal of consistently delivering growing dividends and a solid total return
to shareholders. We work to deliver controlled growth by adhering to three basic
rules: (1) manage credit risk carefully to ensure the return of our investment
principal; (2) invest selectively in potentially high return-on-equity assets;
and (3) grow our investment portfolio, but only if we have strictly followed
rules 1 and 2. Financial companies generally get in trouble when they chase
growth at the expense of credit quality or low-yielding assets, or both. We try
to avoid these traps.

We also will continue to execute the strategies we established at the time of
our 1997 merger. These include financing larger, more established companies,
improving our operating efficiencies and increasing our portfolio yield. Our
investment discipline remains focused on finding market leaders in less cyclical
industries. We will review hundreds of potential portfolio companies this year
in order to find the best long-term investment prospects, and would hope to add
25 to 40 new companies to our portfolio. Also, because of the current economic
climate, we have dedicated the necessary resources to portfolio management to
ensure that our existing portfolio companies have the talent, capital, and
strategic vision to emerge as winners from our portfolio over time.

As banks and the high-yield debt market pull back from senior lending, we intend
to seek new opportunities to capitalize on market inefficiencies by providing
"gap" financing. We believe that, given the number of orphaned public companies
and attractive private companies that have no access to the capital markets, we
may also see opportunities to finance more controlled buyouts in the future.
While these take longer to structure, the long-term rewards can be quite
compelling. We will continue to build on our strong relationships with leading
middle-market private equity sponsors that provide much of the equity capital
for our transactions, and strengthen Allied Capital's position as a long-term
lender. These firms are key to providing our rich access to a broad range of
investment opportunities.

In an uncertain economy, we believe private financing becomes more important
than ever. We plan to take advantage of challenging times, but we will remain
disciplined and pursue only those opportunities that will continue to deliver
attractive long-term returns for our shareholders.

                                                             Sincerely,



                                                             WILLIAM L. WALTON
                                                             Chairman and CEO

                                                            2000 ANNUAL REPORT 3
<PAGE>   6

Q & A

MANAGEMENT ROUNDTABLE

What is private equity investing...and how does Allied Capital's approach differ
from other firms? How are lending and investment decisions made...and who makes
them? What kinds of companies does Allied Capital's investment portfolio consist
of? Why has Allied Capital outperformed the equity market indices in building
shareholder value over such a long period of time?

To provide investors with a closer look at the superior processes, people and
performance that mark Allied Capital, the company's senior management team
participated in a question-and-answer roundtable. The discussion covered the
company's unique market niche, investment process, the composition of its
portfolio, business structure and track record of generating above-average
returns.

PARTICIPANTS INCLUDED (LEFT TO RIGHT):
JOAN M. SWEENEY, THOMAS H. WESTBROOK, SAMUEL B. GUREN, WILLIAM L. WALTON, PENNI
F. ROLL, PHILIP A. MCNEILL, G. CABELL WILLIAMS III, SCOTT S. BINDER, AND JOHN M.
SCHEURER.

4 ALLIED CAPITAL CORPORATION
<PAGE>   7

                                                            2000 ANNUAL REPORT 5
<PAGE>   8

"BUSINESS SERVICES AND OUTSOURCING ARE THE TOP SEGMENTS WE'RE FINANCING TODAY."
- -TOM WESTBROOK

"THE INVESTMENTS WE MAKE ARE TYPICALLY MEZZANINE FINANCINGS... THEY HAVE BOTH A
LOAN AND AN EQUITY OWNERSHIP COMPONENT." -PHIL MCNEILL

ALLIED CAPITAL DESCRIBES ITSELF AS A "PUBLICLY TRADED PRIVATE EQUITY FIRM." WHAT
DO YOU MEAN BY THAT?

WALTON: Private equity, or private finance as it's sometimes called, is
basically the class of investments that involve privately negotiated
transactions with either private companies or smaller public companies. It
encompasses venture capital and early stage investing all the way through to
buyouts, where private equity firms and management teams are buying companies.
It also includes providing growth capital for later-stage companies. It's a
highly specialized area that involves not only investment selection, but
negotiation directly with your "investee." The investment isn't in a publicly
traded instrument, it's privately issued and owned.

SWEENEY: There are very few publicly owned companies - like Allied Capital -
that actually do private equity investing. We focus on the private debt
component of private finance. The vast majority of the private equity financing
in the U.S., whether it's venture capital, whether it's a buyout, whether it's
private debt, is done by privately owned partnerships.

WALTON: Right. We're the public's window, so to speak, into the private equity,
the private finance world.

IS THERE A SPECIFIC SEGMENT OF THE PRIVATE EQUITY BUSINESS THAT YOU FOCUS ON?

MCNEILL: Our private finance transactions in the industry relate to buyout
transactions, growth capital or recapitalizations. Around 60% of total private
equity investing is related to these types of transactions. They range from
management deciding to take a public company private, or investors purchasing
businesses that don't fit strategically into a parent company's plans, or one
private company buying out another. We typically provide private debt capital as
part of the financing in these transactions.

6 ALLIED CAPITAL CORPORATION
<PAGE>   9
SWEENEY: About half of the new investments we made last year involved some form
of buyout typically what we call a growth buyout. The companies we financed in
2000 had good growth characteristics combined with predictability of their
operations.

HOW ARE YOUR TRANSACTIONS USUALLY STRUCTURED?

MCNEILL: The investments we make are typically mezzanine financings, which means
they have both a loan and an equity ownership component.

ROLL: 82% of our investments are structured as debt securities with yields
generally between 12% and 18%. Also, they may have an equity component, such as
warrants that give us the right to buy common equity in the company or preferred
stock. Our overall targeted rate of return on an investment is 18% to 25%.

LET'S TALK MORE ABOUT THE INVESTMENT PORTFOLIO. WHAT TYPES OF COMPANIES DO YOU
INVEST IN?

WESTBROOK: Business services and outsourcing are the top segments we're
financing today, followed by consumer non-durable products, light manufacturing,
and broadcasting.

"ABOUT HALF OF THE NEW INVESTMENTS WE MADE LAST YEAR INVOLVED SOME FORM OF
BUYOUT." -JOAN SWEENEY

                                                            2000 ANNUAL REPORT 7

<PAGE>   10

                    [TOTAL PORTFOLIO COMPOSITION PIE CHART]

<TABLE>
<CAPTION>
Equity Securities          Debt Securities
<S>                        <C>
      18%                      82%
</TABLE>

"THE INDUSTRIES WE LIKE ARE THOSE THAT ARE LESS CAPITAL INTENSIVE." -SCOTT
BINDER

BINDER: The industries we like are those that are less capital intensive.
Because they don't need a lot of capital to grow, they generally have strong
cash flows, and the level of debt on their balance sheets after we finance them
is relatively low. So, what we call coverage - the ratio of the cash flow to the
debt payments - is very good.

WILLIAMS: Which allows us to make above-average returns with what we believe are
below-average risks.

WHAT DO YOU SPECIFICALLY LOOK FOR IN THE COMPANIES THAT YOU INVEST IN?

MCNEILL: We target companies that are high value-added service or product
providers to their customers - they have high margins, they are leaders in their
field. They have generated some sort of barrier to entry, and we can look at the
stability and sustainability of their cash flows.

WESTBROOK: We do a lot of focusing on what I call the durability of the
business: Do they have strong relationships with their customers? Are their
customers multi-year users of their services? If these things are there, I think
it's a good signal.

WILLIAMS: We also think quality of the management team is very important.

IS YOUR DUE DILIGENCE PROCESS MORE INTENSIVE THAN A COMMERCIAL BANK'S?

WALTON: It's different, so you really can't compare the two approaches. Bank
loans are shorter-term. Ours are five to 10 years. Banks try to leverage their
knowledge and expertise in a particular industry by lending to many companies in
that sector. We're looking for just the leaders with defensible niches in their
industries. We're credit-oriented, like a bank, but because of the equity
component of our investment we probably place more emphasis on the business
model and growth prospects.

                    [WEIGHTED AVERAGE PORTFOLIO YIELD GRAPH]

<TABLE>
<CAPTION>
 96       97       98      99        00
<S>      <C>      <C>      <C>      <C>
13.1%    11.7%    12.5%    13.0%    14.1%
</TABLE>

8 ALLIED CAPITAL CORPORATION
<PAGE>   11

ROLL: Like a bank, we need to protect our principal. That's why we perform
extensive diligence as we underwrite every loan we make. In addition, we need to
evaluate potential equity upside because our deals, as a whole, won't make a lot
of sense unless we make money in the equity. So, in addition to the credit
disciplines of a bank, we have to think like equity investors as well.

BINDER: To break it down even further, we look for three things in every
investment we make. First, we look to protect our downside through the debt
instrument to make sure we get our capital back. Second, we look for predictable
returns, which we get with the fixed-rate coupon on the debt instrument. Third,
we look for upside potential, in the form of an equity kicker, so if the company
is successful we share in that success.

CAN YOU GIVE US ONE EXAMPLE OF A NEW INVESTMENT LAST YEAR?

WILLIAMS: We actually helped one company, finance two transactions last year.
The first financing was a recapitalization and management buyout that took the
company private. Later in the year, our portfolio company purchased another
company and solidified its market position. I think this deal is a classic
Allied Capital investment because the portfolio company has a dominant market
position and is in an industry that we felt had good growth characteristics.
Then they had a chance to acquire a company that was their number three
competitor to create an even more dominant national player. They also have a
great management team.

"IN ADDITION TO THE CREDIT DISCIPLINES OF A BANK, WE HAVE TO THINK LIKE EQUITY
INVESTORS AS WELL." -PENNI ROLL

"WE ALSO THINK QUALITY OF THE MANAGEMENT TEAM IS VERY IMPORTANT." -CABELL
WILLIAMS

                                                            2000 ANNUAL REPORT 9
<PAGE>   12

WALTON: This deal underscores that the talent and integrity of the people we
invest in, the management teams, are critical. We once looked at what seemed to
be a wonderful company that was selling primarily to Fortune 500 companies. They
had a very powerful outsourcing model and a great record. But, we did some
in-depth checks on the company's management and uncovered some issues, which
raised a lot of red flags. So we decided to pass.

BINDER: I think the Julius Koch deal is another example of a classic Allied
Capital transaction.

MCNEILL: This company manufactures ladder tape and cords for the window blind
industry.

WESTBROOK: What they are, though, is light manufacturing, and not very capital
intensive. This company has been growing with dominance in their market.

GUREN: Dominant market share, a little bit of proprietary technology.

MCNEILL: Absolutely, proprietary technology, and there are barriers to entry in
terms of knowledge and equipment.

GUREN: It's a relatively small market. It's not going to attract any new
entrants, because they already dominate it, and they've been there for a while.

HOW DO YOU MAKE LENDING AND INVESTMENT DECISIONS?

WESTBROOK: It all starts with our very disciplined framework, which we touched
on before. Non-capital intensive industries. Leading companies in niche segments
with good management and business models. And on top of this, a very intensive
due diligence and credit underwriting process. Within this framework - and
probably because of it - we're a highly consensus-driven partnership. Everyone
here knows what our approach and criteria are, so by the time it comes to
decision-making, we've already done a tremendous amount of screening. It's why
we only participate in one out of every 50 deals that's presented to us.

"WE CLEARLY BENEFIT FROM THE DIVERSITY OF OUR MANAGEMENT TALENT." -SAM GUREN

                [LONG-TERM TOTAL RETURN FOR SHAREHOLDERS GRAPH]

<TABLE>
<CAPTION>
  1960                2000
<S>               <C>
$10,000           $9.3 million
</TABLE>

A $10,000 investment in Allied Capital in 1960, at the time of our IPO, with all
dividends reinvested, would have been worth $9.3 million at December 31, 2000.
This represents an 18% average annual total return for our shareholders.

10 ALLIED CAPITAL CORPORATION
<PAGE>   13

MCNEILL: We all take joint ownership in our deals and in our decisions. So, if a
colleague's got a deal in an industry that I know something about, rather than
let him run it directly by the investment committee, I'll check first with my
contacts who might be familiar with the players.

GUREN: We clearly benefit in this regard from the diversity of our management
talent. All of our dealmakers have different backgrounds or different interests.
We have some people that have relationships with large buyout firms and they're
doing large mezzanine deals. We have others who might deal directly with
management for a growth financing.

WHAT ABOUT AFTER THE DEAL IS COMPLETED...HOW ARE THE INVESTMENTS MONITORED?

ROLL: I think we have a robust portfolio monitoring process. We have a dedicated
portfolio manager in charge of checking in daily with each of the investment
professionals, monitoring the performance and looking at the financial
statements as they come in.

SWEENEY: This enables us to ensure that our portfolio companies are meeting
their business plans. It's all about checks and balances and internal controls.
We basically make sure people are doing what they say they are doing, and we
stay alert to early warning signs of trouble on the horizon.

ROLL: Each of the managing directors and principals and associates checks in
with their portfolio companies on a regular basis and we have board
participation rights with virtually all of the companies we invest in.

ABOUT 20% OF THE TOTAL INVESTMENT PORTFOLIO IS IN COMMERCIAL MORTGAGE-BACKED
SECURITIES (CMBS). HOW DOES THIS FIT WITHIN THE PARAMETERS OF YOUR INVESTMENT
APPROACH?

WALTON: If you look at our history, we've been opportunistic investors in the
real estate area for quite some time. When the CMBS market experienced a
liquidity shortage in the fall of 1998, we saw a good opportunity to use our
expertise, our capital structure, to buy these securities, which are yielding
over 15%.

"WE ALL TAKE JOINT OWNERSHIP IN OUR DEALS AND IN OUR DECISIONS." -PHIL MCNEILL

                                                           2000 ANNUAL REPORT 11
<PAGE>   14

SCHEURER: We re-underwrite every mortgage loan that collateralizes the
securities and we negotiate a private deal with the underwriter of the
underlying mortgages. It's essentially the same process as private equity
investing.

SWEENEY: The other thing is that CMBS is not a commodity business. There are
inefficiencies in the market. It's hard work putting one of these deals
together. We've been told by people who would like to come into this market that
they see this as a great investment opportunity, but they just don't have the
capabilities to do the analysis that's required. Allied Capital does, so it's a
big advantage for us.

SCHEURER: So once again, we take a moderate level of risk. These assets are
fully collateralized by mortgage loans that were underwritten to an average 70%
loan to value. A lot of work to understand each asset. A lot of work to
structure the deal. A lot of work to negotiate the closing documents, as in all
private transactions. That's where we get our edge and it's how we generate some
pretty nice returns.

"WE UNDERWRITE EVERY MORTGAGE LOAN...AND WE NEGOTIATE A PRIVATE DEAL WITH THE
UNDERWRITER OF THE UNDERLYING MORTGAGES." -JOHN SCHEURER

12 ALLIED CAPITAL CORPORATION
<PAGE>   15
DURING 2000, ALLIED CAPITAL RAISED OVER $627 MILLION IN EQUITY AND DEBT AMID
DIFFICULT MARKET CONDITIONS. HOW AND WHY?

SWEENEY: Each time we raise capital, it's accretive to shareholders. So in
addition to diversifying our shareholder base and investment portfolio, we're
actually increasing EPS and DPS for existing shareholders.

ROLL: We wouldn't raise the capital if that wasn't the case. Our investment
returns are higher than our cost of capital. As long as we keep it that way,
with our robust dividend payout, we'll continue to access the capital markets.

WALTON: We're not interested in growth for growth's sake. Too often, financial
companies simply say, "we want to be big" and they lose sight of return on their
equity, and of what's happening to share price and shareholder value.

SWEENEY: We literally can't afford to do this. Most of our net worths are tied
up in Allied Capital stock.

WHAT CHANGES LIE AHEAD IF THERE'S A RECESSION IN 2001?

BINDER: One of the things we learned in the last recession was we would rather
be in bigger companies that have stronger relationships with their customers, so
that if we have a problem, we have a variety of options to fix it. For instance,
if the company needs a fix at the management level, we can attract a new
management team because they see enough potential in the company.

"CHECKS AND BALANCES AND INTERNAL CONTROLS...ENABLE US TO ENSURE THAT OUR
PORTFOLIO COMPANIES ARE MEETING THEIR BUSINESS PLANS." -JOAN SWEENEY

"WE WOULD RATHER BE IN BIGGER COMPANIES THAT HAVE STRONGER RELATIONSHIPS WITH
THEIR CUSTOMERS." -SCOTT BINDER

                                                           2000 ANNUAL REPORT 13
<PAGE>   16

WILLIAMS: I would say we're going to see a little more classic growth financing
because buyout activity doesn't seem to be as robust as it was in 2000. But in
terms of the profile of the companies and the balance sheet, that should be
unchanged. We know what we like.

GOING FORWARD, WHAT AREAS DO YOU SEE WHERE YOU CAN APPLY YOUR OPPORTUNISTIC
APPROACH TO GENERATE SUPERIOR RETURNS?

SWEENEY: One initiative that we're looking at is increasing our role in
co-investing with others in deals that are too large for our own appetite.

WESTBROOK: It gives us access to larger, more secure companies who need larger
financings. Generally, larger companies are safer than smaller companies,
because they have a more diversified product line, deeper management team,
longer track record, greater market position, access to more sources of capital.

WALTON: I think you might also see us doing more deals where we have a
controlling interest in the equity itself. Now, most of our investments are
structured so that the warrants we own give us a small minority stake in the
company. I think as time moves forward, we're going to see more opportunities to
have investments where, in addition to providing subordinated debt, we're more
active and actually take a company private or control the transaction.

WHAT ADVANTAGES DOES ALLIED CAPITAL'S BUSINESS STRUCTURE PROVIDE TO ITS KEY
CONSTITUENCIES?

GUREN: For the middle market companies we finance, it means they get access to
capital they might not be able to otherwise get, at a cost that's competitive in
the private markets.

"ABOVE-AVERAGE RETURNS ARE A FUNCTION OF THE FACT THAT OUR PRODUCT IS NOT A
COMMODITY." -CABELL WILLIAMS

"PRIVATE EQUITY HAS ENJOYED THE HIGHEST RETURN OF ANY ASSET CLASS IN THE CAPITAL
MARKETS OVER THE LAST FEW DECADES." -TOM WESTBROOK

14 ALLIED CAPITAL CORPORATION
<PAGE>   17

SWEENEY: That's right. It goes back to the concept of being a publicly traded
private equity firm. As a public company, we're able to raise capital more
cheaply than can private companies. Our cost of capital is lower. So we can then
turn around and invest it in these middle market companies who don't have the
same options as larger companies.

ROLL: Our structure is also important to shareholders. It allows us to pass
through our interest income and capital gains to them as dividends.

SWEENEY: Because we're an investment company, there's only one level of
taxation, at the shareholder level. That's significant.

BINDER: It's significant in another way as well. Because our pre-tax returns are
our after-tax returns, we don't have to reach for risk like we would if 40% of
our returns were taxed away.

WALTON: Here's another key point. With our structure, we have permanent capital
to invest. That's a big selling point in the marketplace. We can take a
long-term point of view with our portfolio companies. That gives us an advantage
over traditional private equity partnerships that invest for only a limited
period of time before their capital has to be returned to their limited
partners.

OVER THE LAST 40 YEARS, ALLIED CAPITAL HAS DELIVERED AN 18% AVERAGE ANNUAL TOTAL
RETURN TO SHAREHOLDERS, WELL ABOVE THE HISTORICAL LONG-TERM RETURNS FOR PUBLIC
EQUITIES. IN 2000, YOUR TOTAL RETURN WAS ABOUT 25%. WHAT'S THE SECRET TO YOUR
SUCCESS?

WESTBROOK: Private equity has probably enjoyed the highest return of any asset
class in the capital markets over the last few decades.

WILLIAMS: I think a lot of times above-average returns are a function of the
fact that our product is not a commodity, that it requires a lot of
sophistication and work. You actually have to get underneath the deal and you
have to stay involved in it to be successful. If you look at what it takes to
complete our transactions, quite frankly, not everyone has the resources to be
successful.

"OUR OVERALL TARGETED RATE OF RETURN, INCLUDING BOTH THE DEBT AND EQUITY
SECURITIES, IS 18% to 25%" -PENNI ROLL

                                                           2000 ANNUAL REPORT 15
<PAGE>   18

WALTON: I think one of the reasons for outsized returns is our ability to take a
long-term position investing in illiquid private securities. If you're holding
them to maturity, there's a liquidity premium that you receive that's above what
you expect to get if you're holding a liquid public security.

SWEENEY: And structurally, what makes it all work for us is our balance sheet
structure, our access to capital in almost any market cycle. We operate with
incredibly low leverage and plenty of capital so when things come up we are
positioned to capture the opportunity.

ROLL: Compared to the private equity industry, one of the real advantages we
have is our efficiency ratio, which is the percentage of money we spend versus
every dollar of net revenue. We're highly efficient at deploying capital and
making the most of it.

WALTON: Yes, but it's more than efficiency and capital structure. The
differentiating characteristic in this business is the talent we've got. If you
look at our people, I think they're among the best and brightest in the
business.

"THE DIFFERENTIATING CHARACTERISTIC IS THE TALENT WE'VE GOT. THEY'RE AMONG THE
BEST AND THE BRIGHTEST IN THE BUSINESS." -BILL WALTON

16 ALLIED CAPITAL CORPORATION
<PAGE>   19

SELECTED CONSOLIDATED FINANCIAL DATA

<TABLE>
<CAPTION>
                                                                                   AS OF AND FOR THE YEARS ENDED DECEMBER 31,
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)                      2000           1999           1998          1997           1996
- -----------------------------------------------------------------------------------------------------------------------------
<S>                                                     <C>            <C>            <C>             <C>            <C>
OPERATING DATA
Total interest and related portfolio income             $  211,589     $  141,140     $  106,738      $ 97,405       $ 84,937
Total operating expenses excluding merger expenses      $   92,689     $   63,346     $   44,444      $ 46,180       $ 37,361
Net operating income before net realized and
     unrealized gains                                   $  112,717     $   71,041     $   55,245      $ 46,066       $ 47,576

Net realized gains                                      $   15,523     $   25,391     $   22,541      $ 10,704       $ 19,155
Net unrealized gains (losses)                           $   14,861     $    2,138     $    1,079      $  7,209       $ (7,412)
Net increase in net assets resulting from operations    $  143,101     $   98,570     $   78,078      $ 61,304       $ 54,947

Diluted earnings per common share                       $     1.94     $     1.64     $     1.50         $1.24       $   1.17
Dividends per common share (1)                          $     1.82     $     1.60     $     1.43         $1.20       $   1.23

Weighted average common shares outstanding - diluted        73,472         60,044         51,974        49,251         46,733

BALANCE SHEET DATA
Portfolio at value                                      $1,788,001     $1,228,497     $  807,119      $703,331       $612,411
Portfolio at cost                                       $1,765,895     $1,222,901     $  803,479      $697,030       $618,319
Total assets                                            $1,853,817     $1,290,038     $  856,079      $807,775       $713,360
Total debt outstanding                                  $  786,648     $  592,850     $  334,350      $347,663       $274,997
Shareholders' equity                                    $1,029,692     $  667,513     $  491,358      $420,060       $402,134
Shareholders' equity per common share (NAV)             $    12.11     $    10.20     $     8.79      $   8.07       $   8.34
Common shares outstanding at end of year                    85,057         65,414         55,919        52,047         48,238

OTHER DATA
New portfolio investments                               $  901,545     $  751,871     $  524,530      $364,942       $283,295
Loan repayments                                         $  154,112     $  145,706     $  138,081      $233,005       $179,292
Loan sales (2)                                          $  280,244     $  198,368     $   81,013      $ 53,912       $ 27,715

Realized gains                                          $   28,604     $   31,536     $   25,757      $ 15,804       $ 30,417
Realized losses                                         $  (13,081)    $   (6,145)    $   (3,216)     $ (5,100)      $(11,262)
</TABLE>

The Selected Consolidated Financial Data schedule reflects the operations of the
Company with all periods restated as if the Companies had merged as of the
beginning of the earliest period presented.

(1) Dividends for 1997 exclude certain Merger-related dividends. Allied I
    distributed $0.34 per common share representing the 844,914 shares of Allied
    Lending distributed in conjunction with the Merger. This distribution
    resulted in a partial return of capital. Also in conjunction with the
    Merger, the Company distributed $0.17 per share representing the
    undistributed earnings of the merged companies at December 31, 1997.

(2) Loan sales for 1998 exclude loans sold through securitization in January
    1998.

                                                           2000 ANNUAL REPORT 17
<PAGE>   20

MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS

The information contained in this section should be read in conjunction with the
Company's 2000 Consolidated Financial Statements and Notes thereto. In addition,
this Annual Report, which includes Management's Discussion and Analysis,
contains certain forward-looking statements. These statements include the plans
and objectives of management for future operations and financial objectives,
loan portfolio growth and availability of funds. These forward-looking
statements are subject to the inherent uncertainties in predicting future
results and conditions. Certain factors that could cause actual results and
conditions to differ materially from those projected in these forward-looking
statements are set forth below in the Investment Considerations section. Other
factors that could cause actual results to differ materially include the
uncertainties of economic, competitive and market conditions, and future
business decisions, all of which are difficult or impossible to predict
accurately and many of which are beyond the control of the Company. Although the
Company believes that the assumptions underlying the forward-looking statements
included herein are reasonable, any of the assumptions could be inaccurate and
therefore, there can be no assurance that the forward-looking statements
included herein will prove to be accurate. Therefore, the inclusion of such
information should not be regarded as a representation by the Company or any
other person that the objectives and plans of the Company will be achieved.

OVERVIEW

The Company provides private investment capital to private and undervalued
public companies in a variety of different industries and in diverse geographic
locations. Our lending and investment activity is focused in private finance and
commercial real estate finance, primarily the purchase of commercial
mortgage-backed securities.

The Company's earnings depend primarily on the level of interest and related
portfolio income and net realized and unrealized gains earned on the Company's
investment portfolio after deducting interest paid on borrowed capital and
operating expenses. Interest income results from the stated interest rate earned
on a loan and the amortization of loan origination points and discounts. The
level of interest income is directly related to the balance of the
interest-bearing investment portfolio multiplied by the weighted average yield
on the interest-bearing portfolio. The Company's ability to generate interest
income is dependent on economic, regulatory and competitive factors that
influence interest rates and loan originations, and the Company's ability to
secure financing for its investment activities.

PORTFOLIO AND INVESTMENT ACTIVITY

Total portfolio investment activity and yields as of and for the years ended
December 31, 2000, 1999 and 1998 were as follows:

<TABLE>
<CAPTION>
($ IN MILLIONS)                 2000       1999        1998
- ------------------------------------------------------------
<S>                           <C>        <C>          <C>
Portfolio at Value            $1,788.0   $1,228.5     $807.1
New Investments               $  901.5   $  751.9     $524.5
Repayments                    $  154.1   $  145.7     $138.0
Sales                         $  280.2   $  198.4     $304.4
Yield                             14.1%      13.0%      12.5%
</TABLE>

PRIVATE FINANCE

Private finance investment activity and yields as of and for the years ended
December 31, 2000, 1999 and 1998 were as follows:

<TABLE>
<CAPTION>
($ IN MILLIONS)                 2000        1999       1998
- ------------------------------------------------------------
<S>                           <C>          <C>        <C>
Portfolio at Value            $1,282.5     $647.0     $388.6
New Investments               $  600.9     $346.7     $236.0
Repayments                    $  117.7     $ 87.5     $ 41.3
Yield                             14.6%      14.2%      14.6%
</TABLE>

The private finance portfolio increased 98% and 67% during the years ended
December 31, 2000 and 1999, respectively. The Company's increasing capital base
has enabled it to make larger private finance investments, supporting the
increase in originations in 2000, 1999 and 1998. Key investment characteristics
for new private finance mezzanine investments were as follows:

<TABLE>
<CAPTION>
                                         2000       1999       1998
- --------------------------------------------------------------------
<S>                                     <C>        <C>        <C>
New investment characteristics:
  Number of investments                     34         27         19
  Average investment size (millions)    $ 14.0     $ 12.4     $ 10.6
  Average current yield                   14.7%      13.6%      13.3%
  Average portfolio company
   revenue (millions)                   $153.5     $ 86.9     $ 81.3
  Average portfolio company
   years in business                        36         29         22
</TABLE>

                       [PORTFOLIO COMPOSITION PIE CHART]

<TABLE>
<CAPTION>
                                Commercial       Small
                 Private        Real Estate      Business
                 Finance        Finance          Finance
<S>                <C>              <C>              <C>
2000               72%              28%
1999               53%              42%              5%
1998               48%              44%              8%
</TABLE>

18 ALLIED CAPITAL CORPORATION
<PAGE>   21

MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS

The average investment characteristics above are computed using simple averages
based upon underwriting data for investment activity for that year. As a result,
any one investment may have had individual investment characteristics that may
vary significantly from the stated simple average. In addition, average
investment characteristics may vary from year to year.

The current yield on the private finance portfolio will fluctuate over time
depending on the equity "kicker" or warrants received with each debt financing.
Private finance investments are generally structured such that equity kickers
may provide an additional future investment return of up to 10%.

In addition to the Company's core private finance investment activity, the
Company acquired 95% of BLC Financial Services, Inc. in a "going private" buyout
transaction for $95.2 million on December 31, 2000. The Company issued
approximately 4.1 million shares, or $86.1 million of new equity, and paid $9.1
million in cash to acquire BLC. The new portfolio company has changed its name
to Business Loan Express, Inc. ("BLX").

As part of the transaction, the Company recapitalized its Allied Capital Express
operations as an independently managed private portfolio company and merged it
into BLX. As part of the recapitalization, the Company contributed certain
assets, including the online rules-based underwriting technology and fixed
assets, and transferred 37 employees into the private portfolio company. Upon
completion of the transaction, the Company's investment in BLX totaled $204
million and consisted of $75 million of 25% subordinated debt, $25 million of
preferred stock, and $104 million of common stock. In addition, the Company has
entered into a management contract with BLX to provide management services,
including certain technology and transition services. The Company's investment
in BLX is included in the private finance portfolio.

BLX is a non-bank small business lender licensed as a participant in the SBA
7(a) Guaranteed Loan Program. BLX is headquartered in New York City, has 22
offices throughout the country and is an SBA-designated Preferred Lender in 64
markets.

During the second quarter of 2000, the Company began an initiative to invest in
and strategically partner with select private equity funds focused on
investments in technology and the new economy. The strategy for these fund
investments is to provide solid investment returns and build strategic
relationships with the fund managers and their portfolio companies. The Company
believes that it will have opportunities to co-invest with the funds as well as
finance their portfolio companies as they mature.

The Company believes that the fund investment strategy is an effective means of
participating in technology investing through a diverse pooled investment
portfolio. The fund concept allows the Company to participate in a pooled
investment return without exposure to the risk of any single technology
investment. During 2000, the Company committed a total of $41.5 million to seven
private equity funds. The committed amount is expected to be invested over the
next three years. The Company funded $7.0 million of this commitment during
2000.

COMMERCIAL REAL ESTATE FINANCE

Commercial real estate finance investment activity and yields as of and for the
years ended December 31, 2000, 1999 and 1998 were as follows:

<TABLE>
<CAPTION>
($ IN MILLIONS)                 2000       1999       1998
<S>                             <C>        <C>        <C>
Portfolio at Value              $505.5     $520.0     $355.0
New Investments                 $149.0     $288.7     $214.6
Repayments                      $ 24.8     $ 51.5     $ 92.5
Sales                           $151.7     $ 86.1     $256.9
Yield                             13.1%      12.3%      10.4%
</TABLE>

The commercial real estate finance portfolio decreased 3% and increased 46% for
the years ended December 31, 2000 and 1999, respectively. During 1998, the
Company reduced its commercial mortgage loan origination activity for its own
portfolio due to declining interest rates and began to sell its loans to other
lenders. Then, beginning in the fourth quarter of 1998, the Company began to
take advantage of a unique market opportunity to acquire non-investment grade
commercial mortgage-backed securities ("CMBS") at significant discounts from the
face amount of the bonds. Turmoil in the capital markets created a lack of
liquidity for the traditional buyers of non-investment grade bonds. As a result,
yields on these collateralized bonds increased, thus providing an attractive
investment opportunity. The Company believes that CMBS is an attractive asset
class because of the yields that can be earned on a security that is fully
secured by commercial mortgage loans. The Company opportunistically purchased
CMBS throughout 1999 and 2000. The Company plans to continue its CMBS investment
activity, however, in order to maintain a balanced portfolio the Company expects
that purchased CMBS will continue to represent approximately 20% to 25% of total
assets during 2001. The Company's CMBS investment activity level will be
dependent upon its ability to purchase CMBS at attractive yields.

The Company purchases CMBS at an average discount of 50% from the face amount of
the bonds. During 2000, the Company purchased $124.3 million in CMBS with a face
amount of $244.6 million and a weighted average yield to maturity of 14.7% after
assuming a 1% loss rate on the underlying collateral mortgage pool. In 1999, the
Company purchased $245.9 million in CMBS

                                                           2000 ANNUAL REPORT 19
<PAGE>   22

MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS

with a face amount of $507.9 million and a weighted average yield to maturity of
14.6% after assuming a 1% loss rate on the underlying collateral mortgage pool.

As part of the Company's strategy to maximize its return on equity capital,
during the fourth quarter of 2000 the Company sold $98.7 million of CMBS bonds
rated BB+, BB and BB-. These bonds had an effective yield of 11.5%, and were
sold for $102.5 million, resulting in a realized gain on the sale. The sale of
these bonds increased the Company's overall liquidity and raised the yield on
the Company's remaining purchased CMBS portfolio to 15.4%, after assuming a 1%
loss on the entire underlying mortgage loan pool. At December 31, 2000, the
value of the purchased CMBS portfolio was $311.3 million and the unamortized
discount was $364.9 million.

The original principal balance of the underlying pool of the approximately 2,600
loans that are collateral for the Company's CMBS had underwritten loan to value
("LTV") and underwritten debt service coverage ratios ("DSCR") as follows:

<TABLE>
<CAPTION>
LOAN TO VALUE RANGES
($ IN MILLIONS)                                 $         %
- -----------------------------------------------------------
<S>                                     <C>           <C>
Less than 60%                           $ 1,535.0       12%
60-65%                                      961.8        8%
65-70%                                    2,050.9       16%
70-75%                                    4,247.0       33%
75-80%                                    3,727.4       29%
Greater than 80%                            212.4        2%
- -----------------------------------------------------------
                                        $12,734.5      100%
===========================================================
Weighted average LTV                         71.0%
</TABLE>

<TABLE>
<CAPTION>
DEBT SERVICE COVERAGE RATIO RANGES
($ IN MILLIONS)                              $           %
- -----------------------------------------------------------
<S>                                     <C>            <C>
Greater than 2.00                       $   465.5        4%
1.76-2.00                                   433.0        3%
1.51-1.75                                 1,487.6       12%
1.26-1.50                                 7,172.2       56%
1.00-1.25                                 3,176.2       25%
- -----------------------------------------------------------
                                        $12,734.5      100%
===========================================================
Weighted average DSCR                        1.31
</TABLE>

The Company has been liquidating much of its whole commercial mortgage loan
portfolio so that it can redeploy the proceeds into higher yielding assets. For
the year ended December 31, 2000, the Company sold $53.1 million of commercial
mortgage loans.

At December 31, 2000, the Company's whole commercial loan portfolio had been
reduced to $106.4 million from $154.1 million at December 31, 1999. During 1999,
the Company sold $86.1 million of commercial mortgage loans.

During 1998, the Company sold through securitization approximately $295 million
in lower yielding commercial mortgage loans and sold whole loans to third
parties aggregating approximately $33.5 million.

SMALL BUSINESS FINANCE

As discussed above in the Private Finance section, the Company established its
Allied Capital Express operations as an independently managed private portfolio
company at the end of 2000 and these operations are now included in the private
finance portfolio.

During the second quarter of 1999, the Company combined its whole commercial
real estate loan origination activity with its SBA 7(a) lending activity in
order to increase its loans originated for sale business under the Allied
Capital Express brand name. Through Allied Capital Express, the Company provided
small business and commercial real estate loans up to $3 million. The majority
of the loans originated in this area were originated for sale, generally at
premiums of up to 10% of the loan amount.

Allied Capital Express loan activity and yields as of and for the years ended
December 31, 2000, 1999 and 1998 were as follows:

<TABLE>
<CAPTION>
($ IN MILLIONS)                 2000       1999       1998
- ------------------------------------------------------------
<S>                          <C>           <C>         <C>
Portfolio at Value              $    -     $ 61.4      $63.6
New Investments                 $151.6     $116.5      $73.9
Repayments                      $ 11.6     $  6.7      $ 4.2
Sales                           $128.5     $112.3      $47.5
Yield                                -       11.5%      11.2%
</TABLE>

Allied Capital Express loan origination activity for 2000 and 1999 increased due
to the opening of new regional office locations and from opportunities created
by the Company's Internet site launched in the fall of 1999. Loans in the Allied
Capital Express program were originated for sale; therefore, the increase in
loan sales was the result of the increase in originations. In addition,
beginning in 1999, the Company began to sell 90% of the unguaranteed portion of
SBA 7(a) loans through a structured finance agreement with a commercial paper
conduit. Allied Capital Express targeted small commercial real estate loans that
were, in many cases, originated in conjunction with SBA 7(a) loans. SBA 7(a)
loans were originated with variable interest rates priced at spreads ranging
from 1.75% to 2.75% over the prime lending rate.

20 ALLIED CAPITAL CORPORATION
<PAGE>   23

MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS

RESULTS OF OPERATIONS

COMPARISON OF THE YEARS ENDED DECEMBER 31, 2000, 1999 AND 1998

The following table summarizes Allied Capital's operating results for the years
ended December 31, 2000, 1999 and 1998:

<TABLE>
<CAPTION>
                                                                                    PERCENT                                 PERCENT
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)                  2000      1999   CHANGE    CHANGE       1999      1998    CHANGE   CHANGE
- -----------------------------------------------------------------------------------------------------------------------------------
<S>                                                   <C>       <C>       <C>      <C>        <C>       <C>       <C>        <C>
INTEREST AND RELATED PORTFOLIO INCOME
Interest and dividends                                $182,307  $121,112  $61,195       51%   $121,112  $ 80,281  $ 40,831      51%
Premiums from loan dispositions                         16,138    14,284    1,854       13%     14,284     5,949     8,335     140%
Post-Merger gain on securitization
   of commercial mortgage loans                              -         -        -        0%          -    14,812   (14,812)   (100%)
Investment advisory fees and other income               13,144     5,744    7,400      129%      5,744     5,696        48       1%
- -----------------------------------------------------------------------------------------------------------------------------------
   Total interest and related portfolio income         211,589   141,140   70,449       50%    141,140   106,738    34,402      32%
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Interest                                                57,412    34,860   22,552       65%     34,860    20,694    14,166      68%
Employee                                                19,842    16,136    3,706       23%     16,136    11,829     4,307      36%
Administrative                                          15,435    12,350    3,085       25%     12,350    11,921       429       4%
- -----------------------------------------------------------------------------------------------------------------------------------
   Total operating expenses                             92,689    63,346   29,343       46%     63,346    44,444    18,902      43%
- -----------------------------------------------------------------------------------------------------------------------------------
Formula and cut-off awards                               6,183     6,753     (570)      (8%)     6,753     7,049      (296)     (4%)
- -----------------------------------------------------------------------------------------------------------------------------------
   Net operating income before
     net realized and unrealized gains                 112,717    71,041   41,676       59%     71,041    55,245    15,796      29%
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS
Net realized gains                                      15,523    25,391   (9,868)     (39%)    25,391    22,541     2,850      13%
Net unrealized gains                                    14,861     2,138   12,723      595%      2,138     1,079     1,059      98%
- -----------------------------------------------------------------------------------------------------------------------------------
   Total net realized and unrealized gains              30,384    27,529    2,855       10%     27,529    23,620     3,909      17%
- -----------------------------------------------------------------------------------------------------------------------------------
Income before income taxes                             143,101    98,570   44,531       45%     98,570    78,865    19,705      25%
Income tax expense                                           -         -        -        0%          -       787      (787)   (100%)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations  $143,101  $ 98,570  $44,531       45%   $ 98,570  $ 78,078  $ 20,492      26%
===================================================================================================================================
Diluted earnings per share                            $   1.94  $   1.64  $  0.30       18%   $   1.64  $   1.50  $   0.14       9%
===================================================================================================================================
Weighted average common shares outstanding - diluted    73,472    60,044   13,428       22%     60,044    51,974     8,070      16%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>

Net increase in net assets resulting from operations (NIA) results from total
interest and related portfolio income earned, less total expenses incurred in
the operations of the Company, plus net realized and unrealized gains or losses.

Total interest and related portfolio income is primarily a function of the level
of interest income earned and the balance of portfolio assets. In addition,
total interest and related portfolio income includes premiums from loan
dispositions, prepayment premiums, and investment advisory fees and other
income.

                                                           2000 ANNUAL REPORT 21
<PAGE>   24

MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS

               [TOTAL INTEREST AND RELATED PORTFOLIO INCOME GRAPH]

<TABLE>
<CAPTION>
                Portfolio             Portfolio
                income                income
                (in millions)         per share
<S>                 <C>                 <C>
1998                $106.7              $2.05
1999                $141.1              $2.35
2000                $211.6              $2.88
</TABLE>

The increase in interest income earned results primarily from continued growth
of the Company's investment portfolio and the Company's focus on increasing its
overall portfolio yield. The Company's investment portfolio, excluding
non-interest bearing equity interests in portfolio companies, increased by 29%
to $1,471.8 million at December 31, 2000 from $1,141.2 million at December 31,
1999, and increased by 51% during 1999 from $757.7 million at December 31, 1998.
The weighted average yield on the interest bearing investments in the portfolio
at December 31, 2000, 1999 and 1998 was as follows:

                          [YIELD ON PORTFOLIO GRAPH]

<TABLE>
<CAPTION>
                                Commercial              Small
                Private         Real Estate             Business                Total
                Finance         Finance                 Finance*                Portfolio
<S>              <C>               <C>                   <C>                      <C>
1998             14.6%             10.4%                 11.2%                    12.5%
1999             14.2%             12.3%                 11.5%                    13.0%
2000             14.6%             13.1%                   --                     14.1%
</TABLE>

* Allied Capital Express was recapitalized as an independently managed portfolio
  company at the end of 2000.

Included in net premiums from loan dispositions are premiums from loan sales and
premiums received on the early repayment of loans. Premiums from loan sales were
$13.3 million, $10.5 million and $3.8 million for the years ended December 31,
2000, 1999 and 1998, respectively. This premium income results primarily from
the premium paid by purchasers of loans originated through Allied Capital
Express, less the origination commissions associated with the loans sold. In
addition to selling the guaranteed portion of the SBA 7(a) loans, in 1999 the
Company began to sell 90% of the unguaranteed portion of SBA 7(a) loans through
a structured finance agreement with a commercial paper conduit. The 176%
increase in premiums from loan sales in 1999 is primarily the result of a
significant increase in the sale of the guaranteed SBA 7(a) loans and
unguaranteed portions of SBA 7(a) loans. SBA 7(a) loan sales were $101.0
million, $93.7 million and $37.0 million for the years ended December 31, 2000,
1999 and 1998, respectively. Upon the merger of the Allied Capital Express
operations into BLX, the premium from loan sales earned historically is intended
to be replaced with interest income earned by the Company from its subordinated
debt investment in BLX as well as fees earned from its management contract with
BLX.

Prepayment premiums were $2.8 million, $3.8 million and
$2.2 million for the years ended December 31, 2000, 1999 and 1998, respectively.
While the scheduled maturities of private finance and commercial real estate
loans range from five to ten years, it is not unusual for the Company's
borrowers to refinance or pay off their debts to the Company ahead of schedule.
Because the Company seeks to finance primarily seasoned, performing companies,
such companies at times can secure lower cost financing as their balance sheets
strengthen, or as more favorable interest rates become available. Therefore, the
Company generally structures its loans to require a prepayment premium for the
first three to five years of the loan.

Total interest and related portfolio income for 1998 includes a one-time gain on
sale of $14.8 million resulting from a commercial mortgage loan securitization
transaction that was completed in January 1998. Excluding the 1998 gain on sale,
total interest and related portfolio income increased for the year ended
December 31, 1999 by 53% as compared to the year ended December 31, 1998. The
proceeds of $238.4 million from this transaction were used to repay outstanding
debt.

Operating expenses include interest, employee and administrative expenses. The
Company's single largest expense is interest on indebtedness. The fluctuations
in interest expense during 2000, 1999 and 1998 are attributable to changes in
the level of borrowings by the Company and its subsidiaries under various notes
payable and debentures and revolving credit facilities. The Company's borrowing

22 ALLIED CAPITAL CORPORATION
<PAGE>   25

MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS

activity and weighted average interest cost, including fees and closing costs,
were as follows:

<TABLE>
<CAPTION>
($ IN MILLIONS)                   2000       1999       1998
- ------------------------------------------------------------
<S>                             <C>        <C>        <C>
Total Outstanding Debt          $786.6     $592.9     $334.4
Average Outstanding Debt        $707.4     $461.5     $261.3
Weighted Average Cost             8.3%       7.9%       7.5%
BDC Asset Coverage*               245%       228%       273%
</TABLE>

*As a BDC, the Company is generally required to maintain a ratio of 200% of
total assets to total borrowings.

Employee expenses include salaries and employee benefits. The increase in
salaries and employee benefits for the periods presented reflects the increase
in total employees, combined with wage increases and the experience level of
employees hired. Total employees were 97, 129 and 106 at December 31, 2000, 1999
and 1998, respectively. As part of the recapitalization of Allied Capital
Express discussed above, 37 employees of the Company were transferred to the
portfolio company at the end of 2000. Expenses related to these employees are
reflected in employee expense for the year.

Administrative expenses include the leases for the Company's headquarters in
Washington, DC and its regional offices, travel costs, stock record expenses,
directors' fees, legal and accounting fees and various other expenses. For the
years ended December 31, 2000, 1999 and 1998, employee and administrative costs
as a percentage of total interest and related portfolio income less interest
expense plus net realized and unrealized gains was 19%, 21% and 22%,
respectively.

The formula and cut-off awards totaled $6.2 million, $6.8 million and $7.0
million, or $0.08 per share, $0.11 per share and $0.14 per share, for the years
ended December 31, 2000, 1999 and 1998, respectively.

The formula award expense totaled $5.7 million, $6.2 million and $6.2 million
for the years ended December 31, 2000, 1999 and 1998, respectively. The formula
award was designed as an incentive compensation program that would replace
canceled stock options that were canceled as a result of the Company's 1997
Merger and would balance share ownership among key officers. The formula award
vested over a three-year period, on the anniversary date of the Merger,
beginning on December 31, 1998.

The cut-off award expense totaled $0.5 million, $0.6 million and $0.8 million
for the years ended December 31, 2000, 1999 and 1998, respectively. The cut-off
award was designed to cap the appreciated value in unvested options at the
Merger announcement date in order to set the foundation to balance option awards
upon the Merger. The cut-off award will only be payable if the award recipient
is employed by the Company on a future vesting date.

Net realized gains resulted from the sale of equity securities associated with
certain private finance investments, commercial mortgage loans and CMBS bonds,
and the realization of unamortized discount resulting from the sale and early
repayment of private finance and commercial mortgage loans, offset by losses on
investments. Realized gains and losses and net unrealized gains for the years
ended December 31, 2000, 1999 and 1998 were as follows:

<TABLE>
<CAPTION>
(IN MILLIONS)                     2000       1999       1998
- ------------------------------------------------------------
<S>                             <C>         <C>        <C>
Realized Gains                  $ 28.6      $31.5      $25.8
Realized Losses                  (13.1)      (6.1)      (3.3)
- ------------------------------------------------------------
Net Realized Gains              $ 15.5      $25.4      $22.5
============================================================
Net Unrealized Gains            $ 14.9      $ 2.1      $ 1.1
============================================================
</TABLE>

Realized gains during 2000 resulted primarily from transactions involving eight
investments - Southwest PCS, L.P. ($11.5 million), Grant Television, Inc. ($5.4
million), CMBS bonds sold ($3.9 million), Julius Koch USA, Inc. ($1.7 million),
Wilmar Industries, Inc. ($1.2 million), Hotelevision ($1.0 million), FTI
Consulting, Inc. ($0.7 million) and Panera Bread Co. ($0.7 million). The Company
reversed previously recorded unrealized appreciation of $7.5 million when these
gains were realized in 2000. Realized gains in 1999 and 1998 resulted primarily
from transactions involving 6 and 10 portfolio companies, and the Company
reversed previously recorded unrealized appreciation of $14.6 million and $8.1
million, respectively, when these gains were realized.

Realized losses in 2000, 1999 and 1998 represented 0.7%, 0.5% and 0.4% of the
Company's total assets, respectively. Realized losses of $13.1 million during
2000 resulted primarily from two portfolio investments - NETtel Communications,
Inc. ($8.5 million) and Total Foam, Inc. ($1.3 million). The remaining losses
consisted of several losses of less than $0.5 million each. Losses realized in
2000 had been recognized in NIA over time as unrealized depreciation when the
Company determined that the respective portfolio security's value had become
impaired. Thus, the Company reversed previously recorded unrealized depreciation
totaling $12.0 million, $5.4 million and $3.6 million when the related losses
were realized in 2000, 1999 and 1998, respectively.

Net unrealized gains for 2000, 1999 and 1998 consisted of valuation changes
resulting from the Board of Directors' valuation of the Company's assets and the
effect of reversals of unrealized appreciation or depreciation resulting from
realized gains or losses. At December 31, 2000, net unrealized appreciation in
the portfolio totaled $19.4 million and was composed of unrealized appreciation
of $49.1 million, resulting primarily from appreciated equity interests in
portfolio investments, and unrealized depreciation of $29.7 million resulting
primarily from underperforming loan and equity interests in the portfolio. At
December 31, 1999 and 1998, net unrealized appreciation in the portfolio totaled
$4.5 million and $2.4 million, respectively, and was composed of unrealized
appreciation of $32.1 million and $27.3 million, and unrealized depreciation of
$27.6 million and $24.9 million, respectively.

                                                           2000 ANNUAL REPORT 23
<PAGE>   26

MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS

The Company employs a standard grading system for the entire portfolio. Grade 1
is used for those investments from which a capital gain is expected. Grade 2 is
used for investments performing in accordance with plan. Grade 3 is used for
investments that require closer monitoring; however, no loss of interest or
principal is expected. Grade 4 is used for investments for which some loss of
contractually due interest is expected, but no loss of principal is expected.
Grade 5 is used for investments for which some loss of principal is expected and
the investment is written down to net realizable value.

At December 31, 2000, the Company's portfolio was graded as follows:

<TABLE>
<CAPTION>
                                                   PERCENTAGE
GRADE                                 PORTFOLIO      OF TOTAL
($ IN MILLIONS)                        AT VALUE     PORTFOLIO
- -------------------------------------------------------------
<S>                                      <C>           <C>
1                                        $  208.3       11.7%
2                                         1,461.7       81.7%
3                                            15.4        0.9%
4                                            76.0        4.2%
5                                            26.6        1.5%
- -------------------------------------------------------------
                                         $1,788.0      100.0%
=============================================================
</TABLE>

Included in Grade 4 and 5 investments are assets totaling $20.5 million and
$10.6 million that are secured by commercial real estate at December 31, 2000
and 1999, respectively. Grade 5 private finance investments at December 31, 2000
and 1999 totaled $18.7 million and $12.6 million at value, or 1.0% and 1.0% of
the Company's total portfolio, respectively. The Company continues to follow its
historical practices of working with a troubled portfolio company in order to
recover the maximum amount of the Company's investment, but records unrealized
depreciation for the expected full amount of the potential loss when such
exposure is identified.

At December 31, 2000, delinquencies in the underlying collateral pool for the
Company's CMBS portfolio were negligible at 0.38%. The yield used to accrue
interest on this portfolio assumes a 1% loss rate on the entire underlying
collateral mortgage pool.

For the total investment portfolio, loans greater than 120 days delinquent were
$56.4 million at value at December 31, 2000, or 3.2% of the total portfolio.
Included in this category are loans valued at $13.3 million that are fully
secured by commercial real estate. Loans greater than 120 days delinquent at
December 31, 1999 were $18.6 million at value, or 1.5% of the total portfolio,
which included $11.7 million that were fully secured by real estate. As a
provider of long-term privately negotiated investment capital, it is not
atypical to defer payment of principal or interest from time to time. As a
result, the amount of the portfolio that is greater than 120 days delinquent may
vary from quarter to quarter. The terms of the private finance agreements
frequently provide an opportunity for portfolio companies to restructure their
debt and equity capital. During such restructuring, the Company may not receive
or accrue interest or dividend payments. The investment portfolio is priced to
provide current returns for our shareholders assuming that a portion of the
portfolio at any time may not be accruing interest currently. The Company also
prices its investments for a total return including current interest or
dividends plus capital gains from the sale of equity securities. Therefore, the
amount of loans greater than 120 days delinquent is not necessarily an
indication of future principal loss or loss of anticipated investment return.
The Company's portfolio grading system is used as a means to assess loss of
investment return (Grade 4 assets) or loss of investment principal (Grade 5
assets).

The Company has elected to be taxed as a regulated investment company ("RIC")
under Subchapter M of the Internal Revenue Code of 1986, as amended ("Code"). As
long as the Company qualifies as a RIC, the Company is not taxed on its
investment company taxable income or realized capital gains, to the extent that
such income or gains are distributed, or deemed to be distributed, to
shareholders on a timely basis. Annual tax distributions may differ from NIA for
the fiscal year due to timing differences in the recognition of income and
expenses, returns of capital and net unrealized appreciation or depreciation,
which are not included in taxable income.

In order to maintain its RIC status, the Company must, in general, (1) derive at
least 90% of its gross income from dividends, interest, gains from the sale of
securities and other specified types of income; (2) meet investment
diversification requirements as defined in the Code; and (3) distribute annually
to shareholders at least 90% of its investment company taxable ordinary income.
The Company intends to take all steps necessary to continue to meet the RIC
qualifications. However, there can be no assurance that the Company will
continue to elect or qualify for such treatment in future years.

The weighted average common shares outstanding used to compute basic earnings
per share were 73.2 million, 59.9 million and 51.9 million for the years ended
December 31, 2000, 1999 and 1998, respectively. The increases in the weighted
average shares reflect the issuance of new shares and the issuance of shares
pursuant to a dividend reinvestment plan.

All per share amounts included in management's discussion and analysis have been
computed using the weighted average shares used to compute diluted earnings per
share, which were 73.5 million, 60.0 million and 52.0 million for the years
ended December 31, 2000, 1999 and 1998, respectively.

FINANCIAL CONDITION, LIQUIDITY AND
CAPITAL RESOURCES

CASH AND CASH EQUIVALENTS

At December 31, 2000, the Company had $2.4 million in cash and cash equivalents.
The Company invests otherwise uninvested cash in U.S. government- or
agency-issued or guaranteed securities that are backed by the full faith and
credit of the United States, or in high

24 ALLIED CAPITAL CORPORATION
<PAGE>   27

MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS

quality, short-term repurchase agreements fully collateralized by such
securities. The Company's objective is to manage to a low cash balance and fund
new originations with its credit facilities.

DEBT

The Company had outstanding debt at December 31, 2000 as follows:

<TABLE>
<CAPTION>
                                                                   ANNUAL
                                        FACILITY       AMOUNT    INTEREST
($ IN MILLIONS)                           AMOUNT  OUTSTANDING       COST*
- -------------------------------------------------------------------------
<S>                                     <C>           <C>          <C>
Notes payable and debentures:
   Unsecured long-term
     notes payable                      $  544.0      $ 544.0        8.1%
   SBA debentures                           87.3         78.3        8.3%
   Auction rate reset note                  76.6         76.6        8.6%
   OPIC loan                                 5.7          5.7        6.6%
- -------------------------------------------------------------------------
Total notes payable and debentures      $  713.6      $ 704.6        8.2%
- -------------------------------------------------------------------------
Revolving credit facilities:
    Revolving line of credit            $  417.5      $  82.0        8.4%
=========================================================================
Total debt                              $1,131.1      $ 786.6        8.3%
=========================================================================
</TABLE>

*The annual interest cost includes the cost of commitment fees and other
facility fees.

UNSECURED LONG-TERM NOTES PAYABLE. The Company has issued long-term debt to
institutional lenders, primarily insurance companies. The notes have five- or
seven-year maturities. The notes require payment of interest only semi-annually,
and all principal is due upon maturity.

SBA DEBENTURES. The Company, through its SBIC subsidiary, has debentures payable
to the SBA with terms of ten years. The notes require payment of interest only
semi-annually, and all principal is due upon maturity. The Company may borrow up
to $108.8 million from the SBA under the SBIC program. At December 31, 2000, the
Company has a commitment to borrow up to an additional $9 million from the SBA.
The commitment expires on September 30, 2004.

AUCTION RATE RESET NOTE. The Company has a $75 million Auction Rate Reset Senior
Note Series A that matures on December 2, 2002 and bears interest at the
three-month London Inter-Bank Offer Rate ("LIBOR") plus 1.75% which adjusts
quarterly. Interest is due quarterly and the Company, at its option, may pay or
defer and capitalize such interest payments. The amount outstanding on the note
will increase as interest due is deferred and capitalized.

REVOLVING LINE OF CREDIT. The Company has a two-year, $417.5 million unsecured
revolving line of credit that expires in May 2002. This facility may be expanded
up to $500 million. At the Company's option, the credit facility bears interest
at a rate equal to (i) the one-month LIBOR plus 1.25% or (ii) the higher of (a)
the Bank of America, N.A. prime rate or (b) the Federal Funds rate plus 0.50%.
The credit facility requires monthly payments of interest, and all principal is
due upon maturity.

EQUITY CAPITAL AND DIVIDENDS

The Company raises debt and equity capital for continued investment in its
portfolio. Because the Company is a RIC, it distributes its income and requires
external capital for growth. Because the Company is a BDC, it is limited in the
amount of debt capital it may use to fund its growth, since it is generally
required to maintain a ratio of 200% of total assets to total borrowings, or
approximately 1 to 1 debt to equity capital ratio.

To support its growth during 2000, the Company raised $250.9 million in new
equity capital primarily through the sale of shares from its shelf registration
statement. The Company issues equity from time to time using a shelf
registration statement when it has a clear use of proceeds for attractive
investment opportunities. Historically, this process has enabled the Company to
raise equity on an accretive basis for existing shareholders. In addition, the
Company issued $86.1 million of equity capital to purchase BLC Financial
Services, Inc. on December 31, 2000. At December 31, 2000, total shareholders'
equity had increased to $1.03 billion.

The Company's Board reviews the dividend rate quarterly, and adjusts the
quarterly dividend rate throughout the year as the Company's earnings momentum
builds. For the first and second quarter of 2000, the Board declared a $0.45 per
common share dividend. For the third and fourth quarters of 2000, the Board
declared a dividend of $0.46 per common share. The Board declared a dividend of
$0.49 per common share for the first quarter of 2001.

As a result of growth in ordinary taxable income combined with the increased
size and diversity of the Company's portfolio and its projected future capital
gains, the Company's Board of Directors will continue to evaluate whether to
retain or distribute capital gains as they occur. The Company's dividend policy
allows the Company to continue to distribute some capital gains, but will also
allow the Company to retain gains that exceed a normal capital gains
distribution level, and therefore avoid any unusual spike in dividends in any
one year. The dividend policy also enables the Board to selectively retain gains
to support future growth.

The Company plans to maintain a strategy of financing its operations, dividend
requirements and future investments with cash from operations, through
borrowings under short- or long-term credit facilities or other debt securities,
through asset sales, or through the sale or issuance of new equity capital. The
Company will utilize its short-term credit facilities only as a means to bridge
to long-term financing. The Company evaluates its interest rate exposure on an
ongoing basis. The Company maintains a

                                                           2000 ANNUAL REPORT 25
<PAGE>   28

MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS

matched-funding philosophy that focuses on matching the estimated maturities of
its loan and investment portfolio to the estimated maturities of its
borrowings. To the extent deemed necessary, the Company may hedge variable and
short-term interest rate exposure through interest rate swaps or other
techniques. At December 31, 2000, the Company's debt to equity ratio was less
than 1 to 1 and weighted average cost of funds was 8.3%. There are no
significant maturities of long-term debt until 2003. The Company believes that
it has access to capital sufficient to fund its ongoing investment and
operating activities, and from which to pay dividends.

INVESTMENT CONSIDERATIONS

INVESTING IN PRIVATE COMPANIES INVOLVES A HIGH DEGREE OF RISK.

Our portfolio consists primarily of long-term loans to and investments in
private companies. Investments in private businesses involve a high degree of
business and financial risk, which can result in substantial losses and
accordingly should be considered speculative. There is generally no publicly
available information about the companies in which we invest, and we rely
significantly on the diligence of our employees and agents to obtain information
in connection with the Company's investment decisions. In addition, some smaller
businesses have narrower product lines and market shares than their competition,
and may be more vulnerable to customer preferences, market conditions or
economic downturns, which may adversely affect the return on, or the recovery
of, our investment in such businesses.

OUR FINANCIAL RESULTS COULD BE NEGATIVELY AFFECTED IF BLX FAILS TO PERFORM AS
EXPECTED. Business Loan Express, Inc. is our largest portfolio investment. Our
financial results could be negatively affected if BLX, as a portfolio company,
fails to perform as expected.

OUR BORROWERS MAY DEFAULT ON THEIR PAYMENTS. We make unsecured, subordinated
loans and invest in equity securities, which may involve a higher degree of
repayment risk. We primarily invest in and lend to companies that may have
limited financial resources and that may be unable to obtain financing from
traditional sources. Numerous factors may affect a borrower's ability to repay
its loan, including the failure to meet its business plan, a downturn in its
industry or negative economic conditions. Deterioration in a borrower's
financial condition and prospects may be accompanied by deterioration in any
collateral for the loan.

OUR PORTFOLIO OF INVESTMENTS IS ILLIQUID. We acquire most of our investments
directly from private companies. The majority of the investments in our
portfolio will be subject to restrictions on resale or otherwise have no
established trading market. The illiquidity of most of our portfolio may
adversely affect our ability to dispose of loans and securities at times when it
may be advantageous for us to liquidate such investments.

INVESTMENTS IN NON-INVESTMENT GRADE COMMERCIAL MORTGAGE-BACKED SECURITIES MAY BE
ILLIQUID AND MAY HAVE A HIGHER RISK OF DEFAULT. The commercial mortgage-backed
securities ("CMBS") in which we invest are non-investment grade, which means
that nationally recognized statistical rating organizations rate them below the
top four investment-grade rating categories (i.e., "AAA" through "BBB"), and are
sometimes referred to as "junk bonds." The non-investment grade CMBS tend to be
less liquid, may have a higher risk of default and may be more difficult to
value. Non-investment grade securities usually provide a higher yield than do
investment-grade bonds, but with the higher return comes greater risk.
Non-investment grade securities are considered speculative, and their capacity
to pay principal and interest in accordance with the terms of their issue is not
ensured.

OUR PORTFOLIO INVESTMENTS ARE RECORDED AT FAIR VALUE AS DETERMINED BY THE BOARD
OF DIRECTORS IN ABSENCE OF READILY ASCERTAINABLE PUBLIC MARKET VALUES. Pursuant
to the requirements of the Investment Company Act of 1940 ("1940 Act"), the
Board of Directors is required to value each asset quarterly, and we are
required to carry our portfolio at fair value as determined by the Board of
Directors. Since there is typically no public market for the loans and equity
securities of the companies in which we make investments, our Board of Directors
estimates the fair value of these loans and equity securities pursuant to a
written valuation policy and a consistently applied valuation process. Unlike
banks, we are not permitted to provide a general reserve for anticipated loan
losses; we are instead required by the 1940 Act to specifically value each
individual investment and record an unrealized loss for an asset that we believe
has become impaired. Without a readily ascertainable market value, the estimated
value of our portfolio of loans and equity securities may differ significantly
from the values that would be placed on the portfolio if there existed a ready
market for the loans and equity securities. We adjust quarterly the valuation of
our portfolio to reflect the Board of Directors' estimate of the current
realizable value of each investment in our portfolio. Any changes in estimated
value are recorded in the Company's statement of operations as "Net unrealized
gains (losses)."

WE BORROW MONEY WHICH MAGNIFIES THE POTENTIAL FOR GAIN OR LOSS ON AMOUNTS
INVESTED AND MAY INCREASE THE RISK OF INVESTING IN OUR COMPANY. We borrow from,
and issue senior debt securities to, banks, insurance companies and other
lenders. Lenders of these senior securities have fixed dollar claims on our
consolidated assets that are superior to the claims of our common shareholders.
Borrowings, also known as leverage, magnify the potential for gain or loss on
amounts invested and, therefore, increase the risks associated with investing in
our securities. If the value of our consolidated assets increases, then
leveraging would cause the net asset value attributable to the Company's common
stock to increase more sharply than it would have had we not leveraged.
Conversely, if the value of our consolidated assets decreases, leveraging would
cause net asset value to decline more sharply than it otherwise would have had
we not leveraged. Similarly, any increase in our consolidated income in excess
of consolidated interest payable on the borrowed funds would cause our net
income to increase more than it would without the leverage, while any decrease
in our consolidated income would cause net income to decline more sharply than
it would have had we not borrowed. Such a decline could negatively affect our
ability to make common stock dividend payments. Leverage is generally considered
a speculative investment technique.

26 ALLIED CAPITAL CORPORATION
<PAGE>   29
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS


At December 31, 2000, the Company had $786.6 million of outstanding
indebtedness, bearing a weighted annual interest cost of 8.3%. In order for us
to cover these annual interest payments on indebtedness, we must achieve annual
returns on our December 31, 2000 portfolio of at least 3.4%.

WE MAY NOT BORROW MONEY UNLESS WE MAINTAIN ASSET COVERAGE FOR INDEBTEDNESS OF AT
LEAST 200% WHICH MAY AFFECT RETURNS TO SHAREHOLDERS. We must maintain asset
coverage for a class of senior security representing indebtedness of at least
200%. Our ability to achieve our investment objective may depend in part on our
continued ability to maintain a leveraged capital structure by borrowing from
banks or other lenders on favorable terms. There can be no assurance that we
will be able to maintain such leverage. If asset coverage declines to less than
200%, we may be required to sell a portion of our investments when it is
disadvantageous to do so. As of December 31, 2000, our asset coverage for
indebtedness was 245%.

CHANGES IN INTEREST RATES MAY AFFECT OUR COST OF CAPITAL AND NET OPERATING
INCOME. Because we borrow money to make investments, our net operating income is
dependent upon the difference between the rate at which we borrow funds and the
rate at which we invest these funds. As a result, there can be no assurance that
a significant change in market interest rates will not have a material adverse
effect on our portfolio income. In periods of sharply rising interest rates, our
cost of funds would increase, which would reduce our net operating income before
net realized and unrealized gains. However, there would be no effect on the
return, if any, that could be generated from our equity interests. We use a
combination of long-term and short-term borrowings and equity capital to finance
our investing activities. The Company utilizes its short-term credit facilities
only as a means to bridge to long-term financing. Our long-term fixed-rate
investments are financed primarily with long-term fixed-rate debt and equity. We
may use interest rate risk management techniques in an effort to limit our
exposure to interest rate fluctuations. Such techniques may include various
interest rate hedging activities to the extent permitted by the 1940 Act.

BECAUSE WE MUST DISTRIBUTE INCOME, WE WILL CONTINUE TO NEED ADDITIONAL CAPITAL
TO GROW. We will continue to need capital to fund incremental growth in our
investments. Historically, we have borrowed from financial institutions and have
issued equity securities. A reduction in the availability of new capital could
limit our ability to grow. We must distribute at least 90% of our taxable net
operating income excluding net realized long-term capital gains to our
stockholders to maintain our regulated investment company ("RIC") status. As a
result such earnings will not be available to fund investment originations. We
expect to continue to borrow from financial institutions and sell additional
equity securities. If we fail to obtain funds from such sources or from other
sources to fund our investments, it could limit our ability to grow, which could
have a material adverse effect on the value of the Company's common stock. In
addition, as a business development company ("BDC"), we are generally required
to maintain a ratio of at least 200% of total assets to total borrowings, which
may restrict our ability to borrow in certain circumstances.

OUR PRIVATE FINANCE INVESTMENTS MAY NOT PRODUCE CAPITAL GAINS. Private finance
investments are typically structured as debt securities with a relatively high
fixed rate of interest and with an equity feature such as conversion rights,
warrants or options. As a result, private finance investments generate interest
income from the time they are made, and may also produce a realized gain from an
accompanying equity feature. We cannot be sure that our portfolio will generate
a current return or capital gains.

LOSS OF PASS-THROUGH TAX TREATMENT WOULD SUBSTANTIALLY REDUCE NET ASSETS AND
INCOME AVAILABLE FOR DIVIDENDS. We have operated the Company so as to qualify to
be taxed as a RIC under Subchapter M of the Internal Revenue Code of 1986, as
amended ("Code"). If we meet source of income, diversification and distribution
requirements, the Company qualifies for pass-through tax treatment. If the
Company fails to qualify as a RIC, the Company would become subject to federal
income tax as if it were an ordinary corporation, which would substantially
reduce our net assets and the amount of income available for distribution to our
shareholders. The Company would cease to qualify for pass-through tax treatment
if it were unable to comply with these requirements, or if it ceased to qualify
as a BDC under the 1940 Act. We also could be subject to a 4% excise tax and/or
corporate level income tax if we fail to make required distributions.

WE OPERATE IN A COMPETITIVE MARKET FOR INVESTMENT OPPORTUNITIES. We compete for
investments with many other companies and individuals, some of whom have greater
resources than we do. Increased competition would make it more difficult for us
to purchase or originate investments at attractive prices. As a result of this
competition, sometimes we may be precluded from making otherwise attractive
investments.

CHANGES IN THE LAW OR REGULATIONS THAT GOVERN THE COMPANY COULD HAVE A MATERIAL
IMPACT ON THE COMPANY OR OUR OPERATIONS. We are regulated by the Securities and
Exchange Commission and the SBA. In addition, changes in the laws or regulations
that govern BDCs, RICs, real estate investment trusts ("REITs") and SBICs may
significantly affect our business. Any change in the law or regulations that
govern our business could have a material impact on the Company or its
operations. Laws and regulations may be changed from time to time, and the
interpretations of the relevant laws and regulations also are subject to change.

QUARTERLY RESULTS MAY FLUCTUATE AND MAY NOT BE INDICATIVE OF FUTURE QUARTERLY
PERFORMANCE. The Company's quarterly operating results could fluctuate and
therefore, you should not rely on quarterly results to be indicative of the
Company's performance in future quarters. Factors that could cause quarterly
operating results to fluctuate include, among others, variations in the
investment origination volume, variation in timing of prepayments, variations in
and the timing of the recognition of realized and unrealized gains or losses,
the degree to which we encounter competition in our markets and general economic
conditions.


                                                          2000 ANNUAL REPORT  27
<PAGE>   30

CONSOLIDATED BALANCE SHEET


<TABLE>
<CAPTION>
                                                                                                  DECEMBER 31,
(IN THOUSANDS, EXCEPT NUMBER OF SHARES)                                                 2000              1999
- --------------------------------------------------------------------------------------------------------------
<S>                                                                              <C>               <C>
ASSETS
Portfolio at value:
    Private finance (cost: 2000 - $1,262,529; 1999 - $639,171)                   $ 1,282,467       $   647,040
    Commercial real estate finance (cost: 2000 - $503,366; 1999 - $522,022)          505,534           520,029
    Small business finance (cost: 2000 - $0; 1999 - $61,708)                              --            61,428
- --------------------------------------------------------------------------------------------------------------
        Total portfolio at value                                                   1,788,001         1,228,497
- --------------------------------------------------------------------------------------------------------------
Cash and cash equivalents                                                              2,449            18,155
Other assets                                                                          63,367            43,386
- --------------------------------------------------------------------------------------------------------------
        Total assets                                                             $ 1,853,817       $ 1,290,038
==============================================================================================================

LIABILITIES AND SHAREHOLDERS' EQUITY
Liabilities:
    Notes payable and debentures                                                 $   704,648       $   487,350
    Revolving credit facilities                                                       82,000           105,500
    Accounts payable and other liabilities                                            30,477            22,675
- --------------------------------------------------------------------------------------------------------------
        Total liabilities                                                            817,125           615,525
- --------------------------------------------------------------------------------------------------------------

Commitments and Contingencies

Preferred stock                                                                        7,000             7,000

Shareholders' equity:
    Common stock, $0.0001 par value, 200,000,000 shares authorized;
        85,291,696 and 65,930,360 issued and outstanding
        at December 31, 2000 and 1999, respectively                                        9                 7
    Additional paid-in capital                                                     1,043,653           699,148
    Common stock held in deferred compensation trust (234,977 shares
        and 516,779 shares at December 31, 2000 and 1999, respectively)                   --            (6,218)
    Notes receivable from sale of common stock                                       (25,083)          (29,461)
    Net unrealized appreciation on portfolio                                          19,378             4,517
    Distributions in excess of earnings                                               (8,265)             (480)
- --------------------------------------------------------------------------------------------------------------
        Total shareholders' equity                                                 1,029,692           667,513
- --------------------------------------------------------------------------------------------------------------
        Total liabilities and shareholders' equity                               $ 1,853,817       $ 1,290,038
==============================================================================================================
</TABLE>

The accompanying notes are an integral part of these consolidated financial
statements.


28  ALLIED CAPITAL CORPORATION
<PAGE>   31

CONSOLIDATED STATEMENT OF OPERATIONS


<TABLE>
<CAPTION>
                                                                          FOR THE YEARS ENDED DECEMBER 31,
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)                                    2000         1999         1998
- ----------------------------------------------------------------------------------------------------------
<S>                                                                     <C>          <C>          <C>
INTEREST AND RELATED PORTFOLIO INCOME
    Interest and dividends                                              $182,307     $121,112     $ 80,281
    Premiums from loan dispositions                                       16,138       14,284        5,949
    Post-Merger gain on securitization of commercial mortgage loans           --           --       14,812
    Investment advisory fees and other income                             13,144        5,744        5,696
- ----------------------------------------------------------------------------------------------------------
        Total interest and related portfolio income                      211,589      141,140      106,738
- ----------------------------------------------------------------------------------------------------------

EXPENSES
    Interest                                                              57,412       34,860       20,694
    Employee                                                              19,842       16,136       11,829
    Administrative                                                        15,435       12,350       11,921
- ----------------------------------------------------------------------------------------------------------
        Total operating expenses                                          92,689       63,346       44,444
- ----------------------------------------------------------------------------------------------------------
    Formula and cut-off awards                                             6,183        6,753        7,049
- ----------------------------------------------------------------------------------------------------------

Net operating income before net realized and unrealized gains            112,717       71,041       55,245
- ----------------------------------------------------------------------------------------------------------

NET REALIZED AND UNREALIZED GAINS
    Net realized gains                                                    15,523       25,391       22,541
    Net unrealized gains                                                  14,861        2,138        1,079
- ----------------------------------------------------------------------------------------------------------
        Total net realized and unrealized gains                           30,384       27,529       23,620
- ----------------------------------------------------------------------------------------------------------

Net income before income taxes                                           143,101       98,570       78,865
- ----------------------------------------------------------------------------------------------------------

Income tax expense                                                            --           --          787
- ----------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations                    $143,101     $ 98,570     $ 78,078
==========================================================================================================
Basic earnings per common share                                         $   1.95     $   1.64     $   1.50
==========================================================================================================
Diluted earnings per common share                                       $   1.94     $   1.64     $   1.50
==========================================================================================================
Weighted average common shares outstanding - basic                        73,165       59,877       51,941
- ----------------------------------------------------------------------------------------------------------
Weighted average common shares outstanding - diluted                      73,472       60,044       51,974
- ----------------------------------------------------------------------------------------------------------
</TABLE>

The accompanying notes are an integral part of these consolidated financial
statements.


                                                          2000 ANNUAL REPORT  29
<PAGE>   32

CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS


<TABLE>
<CAPTION>
                                                                                                 FOR THE YEARS ENDED DECEMBER 31,
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)                                                   2000             1999             1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S>                                                                                 <C>              <C>              <C>
OPERATIONS
    Net operating income before net realized and unrealized gains                   $   112,717      $    71,041      $    55,245
    Net realized gains                                                                   15,523           25,391           22,541
    Net unrealized gains                                                                 14,861            2,138            1,079
    Income tax expense                                                                       --               --             (787)
- ---------------------------------------------------------------------------------------------------------------------------------
        Net increase in net assets resulting from operations                            143,101           98,570           78,078
- ---------------------------------------------------------------------------------------------------------------------------------

SHAREHOLDER DISTRIBUTIONS
    Common stock dividends                                                             (135,795)         (97,941)         (75,087)
    Preferred stock dividends                                                              (230)            (230)            (230)
- ---------------------------------------------------------------------------------------------------------------------------------
        Net decrease in net assets resulting from shareholder distributions            (136,025)         (98,171)         (75,317)
- ---------------------------------------------------------------------------------------------------------------------------------

CAPITAL SHARE TRANSACTIONS
    Sale of common stock                                                                250,912          164,269           69,675
    Issuance of common stock for portfolio investments                                   86,076               --               --
    Issuance of common stock upon the exercise of stock options                           3,309            5,920              221
    Issuance of common stock in lieu of cash distributions                                4,773            4,610            6,184
    Net decrease (increase) in notes receivable from sale of common stock                 4,378           (5,725)           5,576
    Net decrease (increase) in common stock held in deferred compensation trust           6,218            6,972          (13,190)
    Other                                                                                  (563)            (290)              71
- ---------------------------------------------------------------------------------------------------------------------------------
        Net increase in net assets resulting from capital share transactions            355,103          175,756           68,537
- ---------------------------------------------------------------------------------------------------------------------------------

Total increase in net assets                                                        $   362,179      $   176,155      $    71,298
=================================================================================================================================

Net assets at beginning of year                                                     $   667,513      $   491,358      $   420,060
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets at end of year                                                           $ 1,029,692      $   667,513      $   491,358
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value per common share                                                    $     12.11      $     10.20      $      8.79
- ---------------------------------------------------------------------------------------------------------------------------------
Common shares outstanding at end of year                                                 85,057           65,414           55,919
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>

The accompanying notes are an integral part of these consolidated financial
statements.

30  ALLIED CAPITAL CORPORATION
<PAGE>   33

CONSOLIDATED STATEMENT OF CASH FLOWS

<TABLE>
<CAPTION>
                                                                                FOR THE YEARS ENDED DECEMBER 31,
(IN THOUSANDS)                                                               2000           1999           1998
- ---------------------------------------------------------------------------------------------------------------
<S>                                                                     <C>            <C>            <C>
CASH FLOWS FROM OPERATING ACTIVITIES
Net increase in net assets resulting from operations                    $ 143,101      $  98,570      $  78,078
Adjustments
    Net unrealized gains                                                  (14,861)        (2,138)        (1,079)
    Post-Merger gain on securitization of commercial mortgages                 --             --        (14,812)
    Depreciation and amortization                                             925            788            702
    Amortization of loan discounts and fees                               (10,101)       (10,674)        (6,032)
    Changes in other assets and liabilities                                 2,036         (8,712)        11,998
- ---------------------------------------------------------------------------------------------------------------
        Net cash provided by operating activities                         121,100         77,834         68,855
- ---------------------------------------------------------------------------------------------------------------
CASH FLOWS FROM INVESTING ACTIVITIES
    Portfolio investments                                                (889,251)      (751,871)      (524,530)
    Repayments of investment principal                                    154,112        145,706        138,081
    Proceeds from loan sales                                              280,244        198,368         81,013
    Proceeds from securitization of commercial mortgages                       --             --        223,401
    Net redemption of U.S. government securities                               --             --         11,091
    Other investing activities                                              1,417         (1,754)        (2,539)
- ---------------------------------------------------------------------------------------------------------------
        Net cash used in investing activities                            (453,478)      (409,551)       (73,483)
- ---------------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES
    Sale of common stock                                                  250,912        164,269         69,896
    Purchase of common stock by deferred compensation trust                    --             --        (19,431)
    Collections of notes receivable from sale of common stock               6,363            195          5,591
    Common dividends and distributions paid                              (131,022)       (95,031)       (69,536)
    Special undistributed earnings distribution paid                           --             --         (8,848)
    Preferred stock dividends paid                                           (230)          (230)          (450)
    Net borrowings under (payments on) notes payable and debentures       217,298        254,000        (69,471)
    Net borrowings under (payments on) revolving lines of credit          (23,500)         4,500         56,158
    Other financing activities                                             (3,149)        (2,906)        (4,643)
- ---------------------------------------------------------------------------------------------------------------
        Net cash provided by (used in) financing activities               316,672        324,797        (40,734)
- ---------------------------------------------------------------------------------------------------------------
Net decrease in cash and cash equivalents                               $ (15,706)     $  (6,920)     $ (45,362)
===============================================================================================================
Cash and cash equivalents at beginning of year                          $  18,155      $  25,075      $  70,437
- ---------------------------------------------------------------------------------------------------------------
Cash and cash equivalents at end of year                                $   2,449      $  18,155      $  25,075
- ---------------------------------------------------------------------------------------------------------------
</TABLE>

The accompanying notes are an integral part of these consolidated financial
statements.


                                                          2000 ANNUAL REPORT  31
<PAGE>   34

CONSOLIDATED STATEMENT OF INVESTMENTS

<TABLE>
<CAPTION>


PRIVATE FINANCE   (in thousands,except                                                                      DECEMBER 31, 2000
PORTFOLIO COMPANY  number of shares)         INVESTMENT (2)                                            COST             VALUE
- -----------------------------------------------------------------------------------------------------------------------------
<S>                                          <C>                                                   <C>              <C>
AbilityOne Corporation                       Loans                                                 $  9,974          $  9,974
- -----------------------------------------------------------------------------------------------------------------------------
ACE Products, Inc.                           Loans                                                   14,276            14,276
- -----------------------------------------------------------------------------------------------------------------------------
Acme Paging, L.P.                            Debt Securities                                          6,984             6,984
                                             Limited Partnership Interest                             1,456                 -
- -----------------------------------------------------------------------------------------------------------------------------
Allied Office Products, Inc.                 Debt Securities                                          9,360             9,360
                                             Warrants                                                   629               629
- -----------------------------------------------------------------------------------------------------------------------------
American Barbecue & Grill, Inc.              Warrants                                                   125                 -
- -----------------------------------------------------------------------------------------------------------------------------
American Home Care Supply, LLC               Debt Securities                                          6,853             6,853
                                             Warrants                                                   579               579
- -----------------------------------------------------------------------------------------------------------------------------
Aspen Pet Products, Inc.                     Loans                                                   13,862            13,862
                                             Series A Preferred Stock (1,860 shares)                  1,860             1,860
                                             Series A Common Stock (1,400 shares)                       140               140
- -----------------------------------------------------------------------------------------------------------------------------
ASW Holding Corporation                      Warrants                                                    25                25
- -----------------------------------------------------------------------------------------------------------------------------
Aurora Communications, LLC                   Loans                                                   14,410            14,410
                                             Equity Interest                                          1,500             3,347
- -----------------------------------------------------------------------------------------------------------------------------
Avborne,Inc.                                 Debt Securities                                         12,255            12,255
                                             Warrants                                                 1,180             1,180
- -----------------------------------------------------------------------------------------------------------------------------
Bakery Chef, Inc.                            Loans                                                   15,899            15,899
- -----------------------------------------------------------------------------------------------------------------------------
Border Foods, Inc.                           Debt Securities                                          9,904             9,904
                                             Series A Convertible Preferred Stock (50,919 shares)     2,000             2,000
                                             Warrants                                                     -                 -
- -----------------------------------------------------------------------------------------------------------------------------
Business Loan Express, Inc.                  Debt Securities                                         74,465            74,465
                                             Preferred Stock (25,111 shares)                         25,111            25,111
                                             Common Stock (25,503,043 shares)                       104,504           104,504
- -----------------------------------------------------------------------------------------------------------------------------
Camden Partners Strategic Fund II, L.P.      Limited Partnership Interest                               613               613
- -----------------------------------------------------------------------------------------------------------------------------
CampGroup, LLC                               Debt Securities                                          2,579             2,579
                                             Warrants                                                   220               220
- -----------------------------------------------------------------------------------------------------------------------------
Candlewood Hotel Company (1)                 Preferred Stock (3,250 shares)                           3,250             3,250
- -----------------------------------------------------------------------------------------------------------------------------
Celebrities, Inc.                            Loan                                                       277               277
                                             Warrants                                                    12               312
- -----------------------------------------------------------------------------------------------------------------------------
Colibri Holding Corporation                  Loans                                                    3,438             3,438
                                             Common Stock (3,362 shares)                              1,250             1,250
                                             Warrants                                                   290               290
- -----------------------------------------------------------------------------------------------------------------------------
Component Hardware Group, Inc.               Debt Securities                                         10,302            10,302
                                             Class A Preferred Stock (18,000 shares)                  1,800             1,800
                                             Common Stock (2,000 shares)                                200               200
- -----------------------------------------------------------------------------------------------------------------------------
Convenience Corporation of America           Debt Securities                                          8,355             2,738
                                             Series A Preferred Stock (31,521 shares)                   334                 -
                                             Warrants                                                     -                 -
- -----------------------------------------------------------------------------------------------------------------------------
Cooper Natural Resources, Inc.               Debt Securities                                          3,424             3,424
                                             Warrants                                                     -                 -
- -----------------------------------------------------------------------------------------------------------------------------
CorrFlex Graphics, LLC                       Loan                                                     6,952             6,952
                                             Debt Securities                                          4,954             4,954
                                             Warrants                                                     -               500
                                             Options                                                      -                 -
- -----------------------------------------------------------------------------------------------------------------------------
Cosmetic Manufacturing Resources, LLC        Loan                                                       120               120
                                             Debt Securities                                          5,848             5,848
                                             Options                                                     87                87
- -----------------------------------------------------------------------------------------------------------------------------
Coverall North America, Inc.                 Loan                                                     9,692             9,692
                                             Debt Securities                                          4,965             4,965
                                             Warrants                                                     -                 -
- -----------------------------------------------------------------------------------------------------------------------------
Csabai Canning Factory Rt.                   Hungarian Quotas (9.2%)                                    700                 -
- -----------------------------------------------------------------------------------------------------------------------------
CTT Holdings                                 Loan                                                     1,224             1,224
- -----------------------------------------------------------------------------------------------------------------------------
CyberRep.com                                 Loan                                                       949               949
                                             Debt Securities                                         10,295            10,295
                                             Warrants                                                   660             1,310
- -----------------------------------------------------------------------------------------------------------------------------
Directory Investment Corporation             Common Stock (470 shares)                                  100                20
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>

(1) Public company.

(2) Common stock, preferred stock, warrants, options and equity interests are
generally non-income producing and restricted.

The accompanying notes are an integral part of these consolidated financial
statements.


32  ALLIED CAPITAL CORPORATION
<PAGE>   35

CONSOLIDATED STATEMENT OF INVESTMENTS

<TABLE>
<CAPTION>
PRIVATE FINANCE    (in thousands, except                                                                         DECEMBER 31, 2000
PORTFOLIO COMPANY   number of shares)            INVESTMENT (2)                                            COST              VALUE
- ----------------------------------------------------------------------------------------------------------------------------------
<S>                                              <C>                                                    <C>                <C>
Directory Lending Corporation                    Series A Common Stock (34 shares)                      $     -            $     -
                                                 Series B Common Stock (6 shares)                             8                  -
                                                 Series C Common Stock (10 shares)                           22                  -
- ----------------------------------------------------------------------------------------------------------------------------------
Drilltec Patents & Technologies Company, Inc.    Loan                                                    10,918              8,762
                                                 Debt Securities                                          1,500              1,500
                                                 Warrants                                                     -                  -
- ----------------------------------------------------------------------------------------------------------------------------------
eCentury Capital Partners, L.P.                  Limited Partnership Interest                             1,875              1,875
- ----------------------------------------------------------------------------------------------------------------------------------
EDM Consulting, LLC                              Debt Securities                                          1,875                343
                                                 Common Stock (100 shares)                                  250                  -
- ----------------------------------------------------------------------------------------------------------------------------------
El Dorado Communications, Inc.                   Loans                                                      306                306
- ----------------------------------------------------------------------------------------------------------------------------------
Elexis Beta GmbH                                 Options                                                    424                424
- ----------------------------------------------------------------------------------------------------------------------------------
Eparfin S.A.                                     Loan                                                        29                 29
- ----------------------------------------------------------------------------------------------------------------------------------
Esquire Communications Ltd. (1)                  Warrants                                                     6                  -
- ----------------------------------------------------------------------------------------------------------------------------------
E-Talk Corporation                               Debt Securities                                          8,804              8,804
                                                 Warrants                                                 1,157              1,157
- ----------------------------------------------------------------------------------------------------------------------------------
Ex Terra Credit Recovery, Inc.                   Series A Preferred Stock (500 shares)                      594                344
                                                 Common Stock (2,500 shares)                                  -                  -
                                                 Warrants                                                     -                  -
- ----------------------------------------------------------------------------------------------------------------------------------
Executive Greetings, Inc.                        Debt Securities                                         15,880             15,880
                                                 Warrants                                                   360                360
- ----------------------------------------------------------------------------------------------------------------------------------
Fairchild Industrial Products Company            Debt Securities                                          5,810              5,810
                                                 Warrants                                                   280              3,628
- ----------------------------------------------------------------------------------------------------------------------------------
FTI Consulting, Inc. (1)                         Warrants                                                   970              2,554
- ----------------------------------------------------------------------------------------------------------------------------------
Galaxy American Communications, LLC              Debt Securities                                         33,399             33,399
                                                 Warrants                                                   500              1,250
- ----------------------------------------------------------------------------------------------------------------------------------
Garden Ridge Corporation                         Debt Securities                                         26,537             26,537
                                                 Preferred Stock (1,130 shares)                           1,130              1,130
                                                 Common Stock (471 shares)                                  613                613
- ----------------------------------------------------------------------------------------------------------------------------------
Genesis Worldwide, Inc. (1)                      Loan                                                     1,067              1,067
- ----------------------------------------------------------------------------------------------------------------------------------
Gibson Guitar Corporation                        Debt Securities                                         16,441             16,441
                                                 Warrants                                                   525              1,525
- ----------------------------------------------------------------------------------------------------------------------------------
Ginsey Industries, Inc.                          Loans                                                    5,000              5,000
                                                 Convertible Debentures                                     500                500
                                                 Warrants                                                     -                154
- ----------------------------------------------------------------------------------------------------------------------------------
Global Communications, LLC                       Debt Securities                                         12,732             12,732
                                                 Equity Interest                                         10,467             10,467
                                                 Options                                                  1,639              1,639
- ----------------------------------------------------------------------------------------------------------------------------------
Global Vacation Group, Inc.                      Debt Securities                                          5,688              5,688
- ----------------------------------------------------------------------------------------------------------------------------------
Grant Broadcasting Systems II                    Warrants                                                    87              5,976
- ----------------------------------------------------------------------------------------------------------------------------------
Grant Television, Inc.                           Equity Interest                                            660                660
- ----------------------------------------------------------------------------------------------------------------------------------
Grotech Partners, VI, L.P.                       Limited Partnership Interest                               869                869
- ----------------------------------------------------------------------------------------------------------------------------------
The Hartz Mountain Corporation                   Debt Securities                                         27,162             27,162
                                                 Common Stock (200,000 shares)                            2,000              2,000
                                                 Warrants                                                 2,613              2,613
- ----------------------------------------------------------------------------------------------------------------------------------
HealthASPex, Inc.                                Series A Convertible Preferred Stock (396,908 shares)    1,340              1,340
                                                 Series A Preferred Stock (225,112 shares)                  760                760
                                                 Common Stock (1,036,700 shares)                              -                  -
- ----------------------------------------------------------------------------------------------------------------------------------
HMT, Inc.                                        Debt Securities                                          9,956              9,956
                                                 Common Stock (300,000 shares)                            3,000              3,000
                                                 Warrants                                                     -                  -
- ----------------------------------------------------------------------------------------------------------------------------------
Hotelevision, Inc.                               Preferred Stock (315,100 shares)                           315                315
- ----------------------------------------------------------------------------------------------------------------------------------
Icon International, Inc.                         Class A Common Stock (12,114 shares)                     1,142              1,423
                                                 Class C Common Stock (25,707 shares)                        76                 95
- ----------------------------------------------------------------------------------------------------------------------------------
Impact Innovations Group                         Debt Securities                                          6,367              6,367
                                                 Warrants                                                 1,674              1,674
- ----------------------------------------------------------------------------------------------------------------------------------
Intellirisk Management Corporation               Loans                                                   21,449             21,449
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>


(1) Public company.

(2) Common stock, preferred stock, warrants, options and equity interests are
generally non-income producing and restricted.

The accompanying notes are an integral part of these consolidated financial
statements.


                                                          2000 ANNUAL REPORT  33
<PAGE>   36
CONSOLIDATED STATEMENT OF INVESTMENTS

<TABLE>
<CAPTION>
PRIVATE FINANCE   (in thousands, except                                                                         DECEMBER 31, 2000
PORTFOLIO COMPANY  number of shares)         INVESTMENT (2)                                             COST                VALUE
- ---------------------------------------------------------------------------------------------------------------------------------
<S>                                          <C>                                                     <C>                  <C>
International Fiber Corporation              Debt Securities                                         $21,626              $21,626
                                             Common Stock (1,029,068 shares)                           5,483                5,483
                                             Warrants                                                    550                  550
- ---------------------------------------------------------------------------------------------------------------------------------
iSolve Incorporated                          Series A Preferred Stock (14,853 shares)                    874                  874
                                             Common Stock (13,306 shares)                                 14                   14
- ---------------------------------------------------------------------------------------------------------------------------------
Jakel, Inc.                                  Loan                                                     19,236               19,236
- ---------------------------------------------------------------------------------------------------------------------------------
JRI Industries, Inc.                         Debt Securities                                           1,953                1,953
                                             Warrants                                                     74                   74
- ---------------------------------------------------------------------------------------------------------------------------------
Julius Koch USA, Inc.                        Debt Securities                                           2,294                2,294
                                             Warrants                                                    259                6,500
- ---------------------------------------------------------------------------------------------------------------------------------
Kirker Enterprises, Inc.                     Warrants                                                    348                4,493
                                             Equity Interest                                               4                   11
- ---------------------------------------------------------------------------------------------------------------------------------
Kirkland's, Inc.                             Debt Securities                                           6,347                6,347
                                             Preferred Stock (917 shares)                                412                  412
                                             Warrants                                                     96                   96
- ---------------------------------------------------------------------------------------------------------------------------------
Kyrus Corporation                            Debt Securities                                           7,734                7,734
                                             Warrants                                                    348                  348
- ---------------------------------------------------------------------------------------------------------------------------------
Liberty-Pittsburgh Systems, Inc.             Debt Securities                                           3,475                3,475
                                             Common Stock (64,535 shares)                                142                  142
- ---------------------------------------------------------------------------------------------------------------------------------
The Loewen Group, Inc. (1)                   High-Yield Senior Secured Debt                           15,150               14,150
- ---------------------------------------------------------------------------------------------------------------------------------
Logic Bay Corporation                        Preferred Stock (1,131,222 shares)                        5,000                5,000
- ---------------------------------------------------------------------------------------------------------------------------------
Love Funding Corporation                     Series D Preferred Stock (26,000 shares)                    359                  213
- ---------------------------------------------------------------------------------------------------------------------------------
Master Plan, Inc.                            Loan                                                      2,000                2,000
                                             Common Stock (156 shares)                                    42                3,042
- ---------------------------------------------------------------------------------------------------------------------------------
MedAssets.com, Inc.                          Series B Convertible Preferred Stock (227,665 shares)     2,049                2,049
                                             Warrants                                                    136                  136
- ---------------------------------------------------------------------------------------------------------------------------------
Mid-Atlantic Venture Fund IV, L.P.           Limited Partnership Interest                              2,475                2,475
- ---------------------------------------------------------------------------------------------------------------------------------
Midview Associates, L.P.                     Warrants                                                      -                    -
- ---------------------------------------------------------------------------------------------------------------------------------
Monitoring Solutions, Inc.                   Debt Securities                                           1,823                  243
                                             Common Stock (33,333 shares)                                  -                    -
                                             Warrants                                                      -                    -
- ---------------------------------------------------------------------------------------------------------------------------------
MortgageRamp.com, Inc.                       Class A Common Stock (800,000 shares)                     4,000                4,000
- ---------------------------------------------------------------------------------------------------------------------------------
Morton Grove Pharmaceuticals, Inc.           Loan                                                     15,356               15,356
                                             Redeemable Convertible Preferred Stock (106,947 shares)   5,000                8,500
- ---------------------------------------------------------------------------------------------------------------------------------
MVL Group, Inc.                              Debt Securities                                          14,124               14,124
                                             Warrants                                                    643                1,912
- ---------------------------------------------------------------------------------------------------------------------------------
NETtel Communications, Inc.                  Debt Securities                                          13,472               13,472
- ---------------------------------------------------------------------------------------------------------------------------------
Nobel Learning Communities, Inc. (1)         Debt Securities                                           9,571                9,571
                                             Series D Convertible Preferred Stock (265,957 shares)     2,000                2,000
                                             Warrants                                                    575                  500
- ---------------------------------------------------------------------------------------------------------------------------------
North American Archery, LLC                  Loans                                                     1,390                  811
                                             Convertible Debentures                                    2,248                1,996
- ---------------------------------------------------------------------------------------------------------------------------------
Northeast Broadcasting Group, L.P.           Debt Securities                                             349                  349
- ---------------------------------------------------------------------------------------------------------------------------------
Nursefinders,Inc.                            Debt Securities                                          11,006               11,006
                                             Warrants                                                    900                  900
- ---------------------------------------------------------------------------------------------------------------------------------
Old Mill Holdings, Inc.                      Debt Securities                                             140                    -
- ---------------------------------------------------------------------------------------------------------------------------------
Onyx Television GmbH                         Common Stock (600,000 shares)                               200                  200
- ---------------------------------------------------------------------------------------------------------------------------------
Opinion Research Corporation (1)             Debt Securities                                          14,033               14,033
                                             Warrants                                                    996                  996
- ---------------------------------------------------------------------------------------------------------------------------------
Oriental Trading Company, Inc.               Loan                                                        128                  128
                                             Debt Securities                                          12,456               12,456
                                             Preferred Equity Interest                                 1,483                1,483
                                             Common Equity Interest                                       17                   17
                                             Warrants                                                      -                    -
- ---------------------------------------------------------------------------------------------------------------------------------
Outsource Partners, Inc.                     Debt Securities                                          23,853               23,853
                                             Warrants                                                    826                  826
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>


(1) Public company.

(2) Common stock, preferred stock, warrants, options and equity interests are
generally non-income producing and restricted.

The accompanying notes are an integral part of these consolidated financial
statements.


34  ALLIED CAPITAL CORPORATION
<PAGE>   37
CONSOLIDATED STATEMENT OF INVESTMENTS

<TABLE>
<CAPTION>

PRIVATE FINANCE   (in thousands, except                                                                      DECEMBER 31, 2000
PORTFOLIO COMPANY  number of shares)           INVESTMENT (2)                                          COST              VALUE
- ------------------------------------------------------------------------------------------------------------------------------
<S>                                            <C>                                                  <C>                <C>
Packaging Advantage Corporation                Debt Securities                                      $11,497            $11,497
                                               Common Stock (200,000 shares)                          2,000              2,000
                                               Warrants                                                 963                963
- ------------------------------------------------------------------------------------------------------------------------------
PF.Net Communications, Inc.                    Debt Securities                                       11,532             11,532
                                               Warrants                                               3,540              3,540
- ------------------------------------------------------------------------------------------------------------------------------
Physicians Speciality Corporation              Debt Securities                                       14,809             14,809
                                               Redeemable Preferred Stock (850 shares)                  850                  -
                                               Convertible Preferred Stock (97,411 shares)              150                  -
                                               Warrants                                                 476                  -
- ------------------------------------------------------------------------------------------------------------------------------
Pico Products, Inc. (1)                        Loan                                                   1,300              1,300
                                               Debt Securities                                        4,591              1,591
                                               Common Stock (208,000 shares)                             59                  -
                                               Warrants                                                   -                  -
- ------------------------------------------------------------------------------------------------------------------------------
Polaris Pool Systems, Inc.                     Debt Securities                                        6,483              6,483
                                               Warrants                                               1,050              1,050
- ------------------------------------------------------------------------------------------------------------------------------
Powell Plant Farms, Inc.                       Loan                                                  15,707             15,707
- ------------------------------------------------------------------------------------------------------------------------------
Proeducation GmbH                              Loan                                                      40                 40
- ------------------------------------------------------------------------------------------------------------------------------
Professional Paint, Inc.                       Debt Securities                                       20,000             20,000
                                               Preferred Stock (15,000 shares)                       15,000             15,000
                                               Common Stock (110,000 shares)                             69                 69
- ------------------------------------------------------------------------------------------------------------------------------
Progressive International Corporation          Debt Securities                                        3,949              3,949
                                               Preferred Stock (500 shares)                             500                500
                                               Common Stock (197 shares)                                 13                 13
                                               Warrants                                                   -                  -
- ------------------------------------------------------------------------------------------------------------------------------
Schwinn Holdings Corporation                   Debt Securities                                       10,367             10,367
                                               Warrants                                                 395                395
- ------------------------------------------------------------------------------------------------------------------------------
Seasonal Expressions, Inc.                     Series A Preferred Stock (1,000 shares)                  500                  -
- ------------------------------------------------------------------------------------------------------------------------------
Soff-Cut Holdings, Inc.                        Debt Securities                                        8,454              8,454
                                               Preferred Stock (300 shares)                             300                300
                                               Common Stock (2,000 shares)                              200                200
                                               Warrants                                                 446                446
- ------------------------------------------------------------------------------------------------------------------------------
Southern Communications, LLC                   Equity Interest                                        9,779              9,779
- ------------------------------------------------------------------------------------------------------------------------------
Southwest PCS, LLC                             Loan                                                   7,500              7,500
- ------------------------------------------------------------------------------------------------------------------------------
Southwest PCS, L.P.                            Debt Securities                                        6,518              7,435
- ------------------------------------------------------------------------------------------------------------------------------
Spa Lending Corporation                        Preferred Stock (28,625 shares)                          547                437
                                               Common Stock (6,208 shares)                               25                 18
- ------------------------------------------------------------------------------------------------------------------------------
Staffing Partners Holding Company, Inc.        Debt Securities                                        4,990              4,990
                                               Series A Redeemable Preferred Stock (414,600 shares)   2,073              2,073
                                               Class A1 Common Stock (1,000 shares)                       1                  1
                                               Class A2 Common Stock (40,000 shares)                     40                 40
                                               Class B Common Stock (9,200 shares)                        9                  9
                                               Warrants                                                  10                 10
- ------------------------------------------------------------------------------------------------------------------------------
Startec Global Communications Corporation (1)  Debt Securities                                       20,200             20,200
                                               Common Stock (258,064 shares)                          3,000              3,000
                                               Warrants                                                   -                  -
- ------------------------------------------------------------------------------------------------------------------------------
Sunsource Inc. (1)                             Debt Securities                                       29,850             29,850
                                               Warrants                                                   -                  -
- ------------------------------------------------------------------------------------------------------------------------------
SunStates Refrigerated Services, Inc.          Loans                                                  6,062              4,573
                                               Debt Securities                                        2,445              1,384
- ------------------------------------------------------------------------------------------------------------------------------
Sure-Tel, Inc.                                 Loan                                                     207                207
                                               Preferred Stock (1,116,902 shares)                     4,558              4,558
                                               Warrants                                                 662                662
                                               Options                                                    -                900
- ------------------------------------------------------------------------------------------------------------------------------
Sydran Food Services II, L.P.                  Debt Securities                                       12,973             12,973
- ------------------------------------------------------------------------------------------------------------------------------
Total Foam, Inc.                               Debt Securities                                          268                127
                                               Common Stock (910 shares)                                 10                  -
- ------------------------------------------------------------------------------------------------------------------------------
Tubbs Snowshoe Company, LLC                    Debt Securities                                        3,899              3,899
                                               Warrants                                                  54                 54
                                               Equity Interests                                         500                500
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>


(1) Public company.

(2) Common stock, preferred stock, warrants, options and equity interests are
generally non-income producing and restricted.

The accompanying notes are an integral part of these consolidated financial
statements.


                                                          2000 ANNUAL REPORT  35
<PAGE>   38
CONSOLIDATED STATEMENT OF INVESTMENTS

<TABLE>
<CAPTION>
PRIVATE FINANCE   (in thousands, except                                                       DECEMBER 31, 2000
PORTFOLIO COMPANY  number of shares or loans)  INVESTMENT (2)                           COST              VALUE
- ---------------------------------------------------------------------------------------------------------------
<S>                                            <C>                                <C>                <C>
United Pet Group, Inc.                         Debt Securities                    $    4,959         $    4,959
                                               Warrants                                   15                 15
- ---------------------------------------------------------------------------------------------------------------
Venturehouse Group, LLC                        Common Equity Interest                    333                333
- ---------------------------------------------------------------------------------------------------------------
Walker Investment Fund II, LLLP                Limited Partnership Interest              800                800
- ---------------------------------------------------------------------------------------------------------------
Warn Industries, Inc.                          Debt Securities                        19,330             19,330
                                               Warrants                                1,429              1,929
- ---------------------------------------------------------------------------------------------------------------
Williams Brothers Lumber Company               Warrants                                   24                322
- ---------------------------------------------------------------------------------------------------------------
Wilmar Industries, Inc.                        Debt Securities                        31,720             31,720
                                               Warrants                                3,169              3,169
- ---------------------------------------------------------------------------------------------------------------
Wilshire Restaurant Group, Inc.                Debt Securities                        15,191             15,191
                                               Warrants                                    -                  -
- ---------------------------------------------------------------------------------------------------------------
Wilton Industries, Inc.                        Loan                                   12,836             12,836
- ---------------------------------------------------------------------------------------------------------------
Woodstream Corporation                         Debt Securities                         7,590              7,590
                                               Equity Interests                        1,700              1,700
                                               Warrants                                  450                450
- ---------------------------------------------------------------------------------------------------------------
Wyo-Tech Acquisition Corporation               Debt Securities                        15,677             15,677
                                               Preferred Stock (100 shares)            3,700              3,700
                                               Common Stock (99 shares)                  100              7,100
- ---------------------------------------------------------------------------------------------------------------
        Total private finance (122 investments)                                   $1,262,529         $1,282,467
===============================================================================================================
</TABLE>


<TABLE>
<CAPTION>
                                                        --------------------------------------------------
                                                        INTEREST          NUMBER OF
COMMERCIAL REAL ESTATE FINANCE                          RATE RANGES           LOANS        COST      VALUE
- ----------------------------------------------------------------------------------------------------------
<S>                                                     <C>               <C>         <C>        <C>
Commercial Mortgage Loans                               Up to 6.99%               3   $     882  $   2,582
                                                        7.00%-8.99%              13      30,032     32,132
                                                        9.00%-10.99%             17      22,302     22,190
                                                        11.00%-12.99%            38      35,250     35,042
                                                        13.00%-14.99%            12      14,391     14,391
                                                        15.00% and above          2         100         76
- ----------------------------------------------------------------------------------------------------------
        Total commercial mortgage loans                                          85   $ 102,957  $ 106,413
- ----------------------------------------------------------------------------------------------------------
</TABLE>


<TABLE>
<CAPTION>
                                                                  -------------------------------------------
                                                                  STATED
Purchased CMBS                                                    INTEREST       FACE        COST       VALUE
                                                                  -------------------------------------------
<S>                                                               <C>        <C>       <C>         <C>
    Mortgage Capital Funding, Series 1998-MC3                         5.5%   $ 54,491  $   25,681  $   25,681
    Morgan Stanley Capital I, Series 1999-RM1                         6.4%     59,640      27,429      27,429
    COMM 1999-1                                                       5.6%     74,879      34,352      34,352
    Morgan Stanley Capital I, Series 1999-FNV1                        6.1%     45,536      21,972      21,972
    DLJ Commercial Mortgage Trust 1999-CG2                            6.1%     96,432      44,332      44,332
    Commercial Mortgage Acceptance Corp., Series 1999-C1              6.8%     34,856      16,397      16,397
    LB Commercial Mortgage Trust, Series 1999-C2                      6.7%     29,005      10,910      10,910
    Chase Commercial Mortgage Securities Corp., Series 1999-2         6.5%     43,046      20,552      20,552
    FUNB CMT, Series 1999-C4                                          6.5%     49,287      22,515      22,761
    Heller Financial, HFCMC Series 2000 PH-1                          6.6%     45,456      19,039      19,039
    SBMS VII, Inc., Series 2000-NL1                                   7.2%     30,079      17,820      18,007
    DLJ Commercial Mortgage Trust, Series 2000-CF1                    7.0%     40,502      19,166      19,166
    Deutsche Bank Alex. Brown, Series Comm 2000-C1                    6.9%     41,084      19,170      19,170
    LB-UBS Commercial Mortgage Trust, Series 2000-C4                  6.9%     31,471      11,552      11,552
- -------------------------------------------------------------------------------------------------------------
        Total purchased CMBS                                                 $675,764  $  310,887  $  311,320
- -------------------------------------------------------------------------------------------------------------

Residual CMBS                                                                          $   78,723  $   78,723
Residual Interest Spread                                                                    3,297       2,997
Real Estate Owned                                                                           7,502       6,081
- -------------------------------------------------------------------------------------------------------------
        Total commercial real estate finance                                           $  503,366  $  505,534
=============================================================================================================
Total portfolio                                                                        $1,765,895  $1,788,001
=============================================================================================================
</TABLE>

(1) Public company.

(2) Common stock, preferred stock, warrants, options and equity interests are
generally non-income producing and restricted.

The accompanying notes are an integral part of these consolidated financial
statements.


36  ALLIED CAPITAL CORPORATION
<PAGE>   39

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS


NOTE 1. ORGANIZATION

Allied Capital Corporation, a Maryland corporation, is a closed-end management
investment company that has elected to be regulated as a business development
company ("BDC") under the Investment Company Act of 1940 ("1940 Act"). Allied
Capital Corporation ("ACC") has a wholly owned subsidiary that has also elected
to be regulated as a BDC. Allied Investment Corporation ("Allied Investment") is
licensed under the Small Business Investment Act of 1958 as a Small Business
Investment Company ("SBIC"). In addition, the Company has a real estate
investment trust subsidiary, Allied Capital REIT, Inc. ("Allied REIT") and
several single- member limited liability companies established primarily to hold
real estate properties.

ACC also owned Allied Capital SBLC Corporation ("Allied SBLC"), a BDClicensed by
the Small Business Administration ("SBA") as a Small Business Lending Company
and a participant in the SBA Section 7(a) Guaranteed Loan Program. On December
31, 2000, ACC acquired BLCFinancial Services, Inc. as a private portfolio
company, which then changed its name to Business Loan Express, Inc. ("BLX"). As
a part of the transaction, Allied SBLC was recapitalized as an independently
managed, private portfolio company on December 28, 2000 and ceased to be a
consolidated subsidiary of the Company at that time. Allied SBLC was then
subsequently merged into BLX. The results of the operations of Allied SBLC are
included in the consolidated financial results of ACC and its subsidiaries for
1998, 1999 and for 2000 through December 27, 2000.

Allied Capital Corporation and its subsidiaries, collectively, are hereinafter
referred to as the "Company."

The investment objective of the Company is to achieve current income and capital
gains. In order to achieve this objective, the Company invests in private and
undervalued public companies in a variety of different industries and in diverse
geographic locations.

On December 31, 1997, Allied Capital Corporation, Allied Capital Corporation II,
Allied Capital Commercial Corporation, and Allied Capital Advisers ("Advisers")
merged with and into Allied Capital Lending Corporation ("AlliedLending") (each
a "Predecessor Company" and collectively the "Predecessor Companies") in a
stock-for-stock exchange (the "Merger"). Immediately following the Merger,
Allied Lending changed its name to Allied Capital Corporation.


NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

BASIS OF PRESENTATION. The consolidated financial statements include the
accounts of the Company and its wholly owned subsidiaries. All intercompany
accounts and transactions have been eliminated in consolidation. Certain
reclassifications have been made to the 1999 and 1998 balances to conform with
the 2000 financial statement presentation.

VALUATION OF PORTFOLIO INVESTMENTS. Portfolio assets are carried at fair value
as determined by the Board of Directors under the Company's valuation policy.

LOANS AND DEBT SECURITIES. The values of loans and debt securities are
considered to be amounts that could be realized in the normal course of
business, which generally anticipates the Company holding the loan to maturity
and realizing the face value of the loan. For loans and debt securities, value
normally corresponds to cost unless the borrower's condition or external factors
lead to a determination of value at a lower amount.

When the Company receives nominal cost warrants or free equity securities
("nominal cost equity"), the Company allocates its cost basis in its investment
between its debt securities and its nominal cost equity at the time of
origination. At that time, the value of the nominal cost equity is recorded as
original issue discount by increasing the cost basis in the equity and
decreasing the cost basis in the related debt securities.

Interest income is recorded on the accrual basis to the extent that such amounts
are expected to be collected. Loan origination fees, original issue discount and
market discount are amortized into interest income using the effective interest
method. The weighted average yield on loans and debt securities is computed as
the (a) annual stated interest rate earned plus the annual amortization of loan
origination fees, original issue discount and market discount earned on accruing
loans and debt securities, divided by (b) total loans and debt securities at
value. The weighted average yield is computed as of the balance sheet date.

EQUITY SECURITIES. Equity interests in portfolio companies for which there is no
liquid public market are valued based on various factors including a history of
positive cash flow from operations, the market value of comparable publicly
traded companies, and other pertinent factors such as recent offers to purchase
a portfolio company's securities or other liquidation events. The determined
values are generally discounted to account for liquidity issues and minority
control positions.

The Company's equity interests in public companies that carry certain
restrictions on sale are typically valued at a discount from the public market
value of the security at the balance sheet date. Restricted and unrestricted
publicly traded stocks may also be valued at a discount due to the investment
size or market liquidity concerns. Dividend income on equity securities is
recorded when dividends are declared by the portfolio company.

COMMERCIAL MORTGAGE-BACKED SECURITIES ("CMBS"). CMBS consists of purchased
commercial mortgage-backed securities ("Purchased CMBS"), residual interest in a
mortgage securitization ("Residual CMBS") and residual interest spread.

PURCHASED CMBS. Purchased CMBS is carried at fair value. The Company recognizes
income from the amortization of original issue discount using the effective
interest method, using the anticipated


                                                          2000 ANNUAL REPORT  37
<PAGE>   40

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS


yield over the projected life of the investment. Yields are revised when there
are changes in estimates of future credit losses, actual losses incurred, and
actual and estimated prepayment speeds. Changes in estimated yield are currently
recognized as an adjustment to the estimated yield over the remaining life of
the Purchased CMBS. The Company recognizes unrealized depreciation on its
Purchased CMBS whenever it determines that the value of its Purchased CMBS is
less than the cost basis. The Company generally purchases CMBSbonds with the
intention of holding the bonds to their maturity. However, the Company will
classify CMBS bonds as held for sale at the time that the Company determines
that the bonds will be sold. The Company then recognizes unrealized appreciation
or depreciation on its Purchased CMBS classified as held for sale based upon the
price at which the CMBS bonds could be sold.

RESIDUAL CMBS. The Company values its residual interest in securitization and
recognizes income using the same accounting policies used for the Purchased
CMBS.

RESIDUAL INTEREST SPREAD. Residual interest spread is carried at fair value
based on discounted estimated future cash flows. The Company recognizes income
from the residual interest spread using the effective interest method. At each
reporting date, the effective yield is recalculated and used to recognize income
until the next reporting date.

NET REALIZED AND UNREALIZED GAINS. Realized gains or losses are measured by the
difference between the net proceeds from the sale and the cost basis of the
investment without regard to unrealized gains or losses previously recognized,
and include investments charged off during the year, net of recoveries.
Unrealized gains or losses reflect the change in portfolio investment values
during the reporting period.

DEFERRED FINANCING COSTS. Financing costs are based on actual costs incurred in
obtaining financing and are deferred and amortized as part of interest expense
over the term of the related debt instrument.

DERIVATIVE FINANCIAL INSTRUMENTS. The Company may or may not use derivative
financial instruments to reduce interest rate risk. The Company has established
policies and procedures for risk assessment and the approval, reporting and
monitoring of derivative financial instrument activities. The Company does not
hold or issue derivative financial instruments for trading purposes. All
derivative financial instruments are recorded at fair value with changes in
value reflected in net unrealized gains during the reporting period. The Company
held no derivative financial instruments at December 31, 2000 and 1999.

CASH AND CASH EQUIVALENTS. Cash and cash equivalents include cash in banks and
all highly liquid investments with original maturities of three months or less.

DIVIDENDS TO SHAREHOLDERS. Dividends to shareholders are recorded on the record
date.

FEDERAL AND STATE INCOME TAXES. The Company and its wholly owned subsidiaries
intend to comply with the requirements of the Internal Revenue Code ("Code")
that are applicable to regulated investment companies ("RIC") and real estate
investment trusts ("REIT"). The Company and its wholly owned subsidiaries intend
to annually distribute or retain through a deemed distribution all of their
taxable income to shareholders; therefore, the Company has made no provision for
income taxes.

With the exception of Advisers, the Predecessor Companies qualified as a RIC or
a REIT; however, Advisers was a corporation subject to federal and state income
taxes. Income tax expense reported on the consolidated statement of operations
relates to the operations of Advisers for all periods presented.

PER SHARE INFORMATION. Basic earnings per share is calculated using the weighted
average number of shares outstanding for the period presented. Diluted earnings
per share reflects the potential dilution that could occur if options to issue
common stock were exercised into common stock. Earnings per share is computed
after subtracting dividends on preferred shares.

USE OF ESTIMATES IN THE PREPARATION OF FINANCIAL STATEMENTS. The preparation of
financial statements in conformity with generally accepted accounting principles
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenue and expenses during the reporting period. Actual results could differ
from these estimates.


NOTE 3. PORTFOLIO

PRIVATE FINANCE. At December 31, 2000 and 1999, the private finance portfolio
consisted of the following:

<TABLE>
<CAPTION>
($ IN THOUSANDS)               2000                                            1999
- ---------------------------------------------------------------------------------------------------
                       COST          VALUE           YIELD           COST           VALUE     YIELD
<S>              <C>            <C>                  <C>       <C>             <C>            <C>
Loans and
  debt
  securities     $  983,887     $  966,257           14.6%     $  578,570      $  559,746     14.2%

Equity
  interests         278,642        316,210                         60,601          87,294
   Total         $1,262,529     $1,282,467                     $  639,171      $  647,040

</TABLE>

Private finance investments are generally structured as loans and debt
securities that carry a relatively high fixed rate of interest, which may be
combined with equity features, such as conversion privileges, or warrants or
options to purchase a portion of the portfolio company's equity at a nominal
price.

Debt securities typically have a maturity of five to ten years, with
interest-only payments in the early years and payments of both principal and
interest in the later years, although debt maturities and principal amortization
schedules vary.


38  ALLIED CAPITAL CORPORATION
<PAGE>   41
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS


Equity interests consist primarily of securities issued by privately owned
companies and may be subject to restrictions on their resale or may be otherwise
illiquid. Equity securities generally do not produce a current return, but are
held for investment appreciation and ultimate gain on sale. At December 31,
2000, equity securities include the Company's common stock and preferred stock
investment in Business Loan Express, Inc. of $104,504,000 and $25,111,000,
respectively.

At December 31, 2000 and 1999, approximately 98% of the Company's private
finance loan portfolio was composed of fixed interest rate loans. At December
31, 2000 and 1999, loans and debt securities with a value of $72,966,000 and
$34,560,000, respectively, were not accruing interest. Loans greater than 120
days delinquent generally do not accrue interest.

The geographic and industry compositions of the private finance portfolio at
value at December 31, 2000 and 1999 were as follows:

<TABLE>
<CAPTION>
GEOGRAPHIC REGION              2000         1999
- -------------------------------------------------
<S>                            <C>          <C>
Mid-Atlantic                     43%          23%
Midwest                          18           26
West                             17           11
Southeast                        12           27
Northeast                         8            9
International                     2            4
- -------------------------------------------------
  Total                         100%         100%
=================================================
</TABLE>

<TABLE>
<CAPTION>
INDUSTRY                       2000         1999
- -------------------------------------------------
<S>                            <C>          <C>
Consumer Products                26%          19%
Business Services                24           32
Financial Services               16            -
Industrial Products               9           12
Telecommunications                6            5
Retail                            5            8
Broadcasting & Cable              5           11
Education                         3            5
Other                             6            8
- -------------------------------------------------
  Total                         100%         100%
=================================================
</TABLE>

COMMERCIAL REAL ESTATE FINANCE. At December 31, 2000 and 1999, the commercial
real estate finance portfolio consisted of the following:

<TABLE>
<CAPTION>
($ IN THOUSANDS)            2000                                     1999
- -------------------------------------------------------------------------------------------
                COST        VALUE           YIELD         COST        VALUE           YIELD
<S>         <C>          <C>                <C>       <C>          <C>                <C>
Loans       $102,957     $106,413            9.1%     $153,767     $154,109            9.4%
CMBS         392,907      393,040           14.2%      360,950      359,450           13.5%
REO            7,502        6,081                        7,305        6,470
- -------------------------------------------------------------------------------------------
  Total     $503,366     $505,534                     $522,022   $  520,029
===========================================================================================
</TABLE>

LOANS. The commercial mortgage loan portfolio contains loans that were
originated by the Company or were purchased from third-party sellers.

At December 31, 2000 and 1999, approximately 69% and 31%, and 81% and 19% of the
Company's commercial mortgage loan portfolio was composed of fixed and
adjustable interest rate loans, respectively. As of December 31, 2000 and 1999,
loans with a value of $14,433,000 and $8,334,000, respectively, were not
accruing interest. Loans greater than 120 days delinquent generally do not
accrue interest.

In December 2000, the Company purchased commercial mortgage loans with a face
amount of $6.5 million for $5.5 million from Business Mortgage Investors, Inc.,
a company managed by ACC.

The geographic composition and the property types securing the commercial
mortgage loan portfolio at value at December 31, 2000 and 1999 were as follows:

<TABLE>
<CAPTION>
GEOGRAPHIC REGION              2000         1999
- -------------------------------------------------
<S>                            <C>          <C>
Southeast                        39%          31%
Mid-Atlantic                     22           32
West                             20           25
Midwest                          14            9
Northeast                         5            3
- -------------------------------------------------
  Total                         100%         100%
=================================================
</TABLE>

<TABLE>
<CAPTION>
PROPERTY TYPE                  2000         1999
- -------------------------------------------------
<S>                            <C>          <C>
Office                           30%          24%
Hospitality                      28           42
Retail                           19           11
Recreation                        9            8
Other                            14           15
- -------------------------------------------------
  Total                         100%         100%
=================================================
</TABLE>

CMBS. At December 31, 2000 and 1999, the CMBS portfolio consisted of the
following:

<TABLE>
<CAPTION>
(IN THOUSANDS)                        2000                     1999
- ----------------------------------------------------------------------------
                                 COST        VALUE         COST        VALUE
<S>                          <C>          <C>          <C>          <C>
Purchased CMBS               $310,887     $311,320     $277,694     $277,694
Residual CMBS                  78,723       78,723       76,374       76,374
Residual interest spread        3,297        2,997        6,882        5,382
- ----------------------------------------------------------------------------
  Total                      $392,907     $393,040     $360,950     $359,450
============================================================================
</TABLE>


                                                          2000 ANNUAL REPORT  39
<PAGE>   42
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS


PURCHASED CMBS. The Company has Purchased CMBS bonds with a face amount of
$675,764,000 and a cost of $310,887,000, with the difference representing
original issue discount. As of December 31, 2000 and 1999, the estimated yield
to maturity on the Purchased CMBS was approximately 15.4% and 14.6%,
respectively. The Company's yield on its Purchased CMBS is based upon a number
of assumptions that are subject to certain business and economic uncertainties
and contingencies. Examples include the timing and magnitude of credit losses on
the mortgage loans underlying the Purchased CMBS that are a result of the
general condition of the real estate market (including competition for tenants
and their related credit quality) and changes in market rental rates. At
December 31, 2000 and 1999, the yield on the Purchased CMBS portfolio was
computed assuming a 1% loss estimate for its entire underlying collateral
mortgage pool. As these uncertainties and contingencies are difficult to predict
and are subject to future events which may alter these assumptions, no assurance
can be given that the anticipated yields to maturity will be achieved.

The non-investment grade and unrated tranches of the Purchased CMBS bonds are
junior in priority for payment of principal to the more senior tranches of the
related commercial securitization. Cash flow from the underlying mortgages
generally is allocated first to the senior tranches, with the most senior
tranches having a priority right to the cash flow. Then, any remaining cash flow
is allocated, generally, among the other tranches in order of their relative
seniority. To the extent there are defaults and unrecoverable losses on the
underlying mortgages resulting in reduced cash flows, the subordinate tranche
will bear this loss first.

The underlying rating classes of the Purchased CMBS are as follows:

<TABLE>
<CAPTION>
($ IN THOUSANDS)           2000                            1999
- ---------------------------------------------------------------------------
                              PERCENTAGE                        PERCENTAGE
                    VALUE       OF TOTAL              VALUE       OF TOTAL
- ---------------------------------------------------------------------------
<S>              <C>          <C>                  <C>          <C>
BB               $  8,472            2.7%          $ 41,091           14.8%
BB-                37,061           11.9             46,692           16.8
B+                 59,827           19.3             41,765           15.0
B                  89,999           28.9             64,830           23.4
B-                 56,665           18.2             40,995           14.8
CCC                 7,857            2.5              6,506            2.3
Unrated            51,439           16.5             35,815           12.9
- ---------------------------------------------------------------------------
  Total          $311,320          100.0%          $277,694          100.0%
===========================================================================
</TABLE>

RESIDUAL CMBS AND RESIDUAL INTEREST SPREAD. The Residual CMBS primarily consists
of a retained interest from a post-Merger asset securitization whereby bonds
were sold in three classes rated "AAA," "AA" and "A."

The Company sold $295 million of loans, and received cash proceeds, net of
costs, of approximately $223 million. The Company retained a trust certificate
for its residual interest in the loan pool sold, and will receive interest
income from this Residual CMBS as well as the Residual Interest Spread from the
interest earned on the loans sold less the interest paid on the bonds over the
life of the bonds.

As a result of this securitization, the Company recorded a gain of $14.8
million, which represents the difference between the cost basis of the assets
sold and the fair value of the assets received, net of the costs of the
securitization and the cost of settlement of interest rate swaps. As of December
31, 2000 and 1999, the mortgage loan pool had an approximate weighted average
stated interest rate of 9.3%. The three bond classes sold had an aggregate
weighted average interest rate of 6.5% as of December 31, 2000 and 1999.

The Company uses a discounted cash flow methodology for determining the value of
its retained Residual CMBS and Residual Interest Spread ("Residual"). The
discounted cash flow methodology includes the use of a cash flow model to
project the gross cash flows from the underlying commercial mortgage pool that
serve as collateral for the Company's Residual. The gross cash flows are based
on the respective loan attributes of each commercial mortgage, such as the
interest rate, original loan amount, prepayment lockout period and term to
maturity, contained within a commercial mortgage pool.

The underlying gross mortgage cash flows from the commercial mortgage pool may
be affected by numerous assumptions and variables including:

(i)   the receipt of mortgage payments earlier than projected
      ("prepayment risk");

(ii)  delays in the receipt of monthly cash flow distributions to CMBS as a
      result of mortgage loan defaults;

(iii) increases in the timing and/or amount of credit losses on the underlying
      commercial mortgage loans which are a function of:

      -  the percentage of mortgage loans that experience a default either
         during their mortgage term or at maturity;

      -  the recovery periods represented by the time that elapses between the
         default of a commercial mortgage and the subsequent correction,
         foreclosure or liquidation of the corresponding real estate by the
         Company; and,

      -  an increase in the percentage of principal loss resulting from the
         length of time and/or increased expenses incurred in foreclosing on the
         commercial real estate and liquidating the assets in order to satisfy
         the Company's lien;

(iv)  the discount rate used to derive the value of the Company's Residual.

In determining the cash flow of the Residual, the Company assumes a prepayment
speed of 15% after the applicable prepayment lockout period and credit losses of
1% or approximately $1.3 million of the total principal balance of the
underlying collateral throughout the life of the collateral. These assumptions
result in an expected weighted average life of the bonds of 1.3 years. The value
of the resulting Residual cash flows is then determined by applying a discount
rate


40  ALLIED CAPITAL CORPORATION
<PAGE>   43
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS


of 9% which, in the Company's view, is commensurate with the market's perception
of risk of comparable assets.

Underlying Collateral. As of December 31, 2000 the underlying collateral balance
of the Residual CMBS was $147.8 million, of which $78.7 million has been
retained by the Company. At December 31, 2000, the underlying collateral loans
include $7.0 million at value that is greater than 120 days delinquent. For the
year ended December 31, 2000, the Company had experienced $0.1 million in credit
losses which, represents 0.1% of the Residual.

Adverse Changes in Prepayment Speed. The Company increased the prepayment speed
of the underlying collateral used in its discounted cash flow methodology while
keeping all other original assumptions constant to demonstrate the impact of
prepayments exceeding those currently anticipated by the Company's management on
the value of its Residual. The Company increased the level of future anticipated
prepayments by 10% and 20%, which resulted in a corresponding decline in the
value of the Residual by approximately $0.02 million (or 0.03%) and $0.05
million (or 0.06%), respectively.

Adverse Changes in Credit Losses. The Company increased the amount of credit
losses of the underlying collateral used in its discounted cash flow methodology
while keeping all other original assumptions constant to demonstrate the impact
of credit losses exceeding those currently anticipated by the Company's
management on the value of its Residual. The Company increased the level of
future anticipated credit losses by 10% and 20%, which resulted in a
corresponding decline in the value of the Residual by approximately $0.05
million (or 0.06%) and $0.1 million (or 0.13%), respectively.

Adverse Changes in the Discount Rates. The determination of the discount rate is
dependent on many quantitative and qualitative factors, such as the market's
perception of the issuers and the credit fundamentals of the commercial real
estate underlying each pool of commercial mortgage loans. The Company assumed
that the discount rate used to value its Residual increased by 0.5% and 1.0%.
The increase in the discount rate by 0.5% and 1.0%, respectively, resulted in a
corresponding decline in the value of the Company's Residual by approximately
$0.9 million (or 1.1%) and $1.7 million (or 2.2%), respectively.

The geographic composition and the property types of the underlying mortgage
loan pools securing the CMBS calculated using the underwritten principal balance
at December 31, 2000 and 1999 were as follows:

<TABLE>
<CAPTION>
GEOGRAPHIC REGION              2000         1999
- -------------------------------------------------
<S>                            <C>          <C>
West                             31%          32%
Mid-Atlantic                     23           23
Midwest                          22           21
Southeast                        19           20
Northeast                         5            4
- -------------------------------------------------
  Total                         100%         100%
=================================================
</TABLE>

<TABLE>
<CAPTION>
PROPERTY TYPE                  2000         1999
- -------------------------------------------------
<S>                            <C>          <C>
Retail                           32%          33%
Housing                          30           29
Office                           21           20
Hospitality                       8            9
Other                             9            9
- -------------------------------------------------
  Total                         100%         100%
=================================================
</TABLE>

SMALL BUSINESS FINANCE. The Company, through its wholly owned subsidiary, Allied
SBLC, participated in the SBA's Section 7(a) Guaranteed Loan Program ("7(a)
loans"). As discussed in Note 1, Allied SBLC is no longer a consolidated
subsidiary of the Company at December 31, 2000. As a result, the Company's small
business portfolio had no balance at December 31, 2000.

At December 31, 1999, the small business finance portfolio consisted of the
following:

<TABLE>
<CAPTION>
(IN THOUSANDS)                        1999
- ------------------------------------------------
                               COST        VALUE
<S>                         <C>          <C>
7(a) loans                  $43,246      $43,000
Residual interest
  in loans sold               4,036        4,036
Residual interest spread     14,046       14,046
REO                             380          346
- ------------------------------------------------
  Total                     $61,708      $61,428
================================================
</TABLE>

Pursuant to Section 7(a) of the Small Business Act of 1958, the 7(a) loans were
guaranteed by the SBA for 80% of any qualified loan up to $100,000 regardless of
maturity, and 75% of any such loan over $100,000 regardless of maturity, to a
maximum guarantee of $750,000 for any one borrower.

The Company charged interest on the 7(a) loans at a variable rate, typically
1.75% to 2.75% above the prime rate, as published in The Wall Street Journal or
other financial newspaper, adjusted monthly.

As permitted by SBA regulations, the Company sold to investors, without
recourse, 100% of the guaranteed portion of its 7(a) loans while retaining the
right to service 100% of such loans. Additionally, the Company sold up to a 90%
interest in the unguaranteed portion of its 7(a) loans through a structured
finance agreement with a commercial paper conduit.

In 1999, the Company sold $36,387,000 of the unguaranteed portion of 7(a) loans
into the facility. The Company received $35,500,000 in proceeds and retained a
subordinated interest valued at $4,036,000. The Company recognized a premium
from the loan sale of $4,106,000, which includes the value of the retained
residual interest spread.

As of December 31, 1999, 7(a) loans with a value of $5,562,000 were not accruing
interest. Loans greater than 120 days delinquent generally do not accrue
interest.


                                                          2000 ANNUAL REPORT  41
<PAGE>   44
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS


NOTE 4. DEBT

At December 31, 2000 and 1999, the Company had the following debt:

<TABLE>
<CAPTION>
(IN THOUSANDS)                                           2000                           1999
- ------------------------------------------------------------------------------------------------------
                                                 FACILITY         AMOUNT       FACILITY         AMOUNT
                                                   AMOUNT          DRAWN         AMOUNT          DRAWN
<S>                                            <C>            <C>            <C>            <C>
Notes payable and debentures:
    Unsecured long-term notes payable          $  544,000     $  544,000     $  419,000     $  419,000
    SBA debentures                                 87,350         78,350         74,650         62,650
    Auction rate reset note                        76,598         76,598             --             --
    OPIC loan                                       5,700          5,700          5,700          5,700
- ------------------------------------------------------------------------------------------------------
        Total notes payable and debentures        713,648        704,648        499,350        487,350
======================================================================================================

Revolving credit facilities:
    Revolving line of credit                      417,500         82,000        340,000         82,000
    Master loan and security agreement                 --             --        100,000         23,500
- ------------------------------------------------------------------------------------------------------
        Total revolving credit facilities         417,500         82,000        440,000        105,500
- ------------------------------------------------------------------------------------------------------
    Total                                      $1,131,148     $  786,648     $  939,350     $  592,850
======================================================================================================
</TABLE>


NOTES PAYABLE AND DEBENTURES

UNSECURED LONG-TERM NOTES PAYABLE. In June 1998, May 1999, November 1999 and
October 2000, the Company issued unsecured long-term notes to private
institutional investors. The notes require semi-annual interest payments until
maturity and have terms of five or seven years. The weighted average interest
rate on the notes was 7.8% and 7.6% at December 31, 2000 and 1999, respectively.
The notes may be prepaid in whole or in part together with an interest premium,
as stipulated in the note agreement.

SBA DEBENTURES. At December 31, 2000 and 1999, the Company had debentures
payable to the SBA with terms of ten years and at fixed interest rates ranging
from 6.6% to 9.6%. The weighted average interest rate was 7.6% and 7.8% at
December 31, 2000 and 1999, respectively. The debentures require semi-annual
interest-only payments with all principal due upon maturity. The SBA debentures
are subject to prepayment penalties if paid prior to maturity.

AUCTION RATE RESET NOTE. The Company has a $75 million Auction Rate Reset Senior
Note Series A that matures on December 2, 2002 and bears interest at the
three-month London Interbank Offer Rate ("LIBOR") plus 1.75%, which adjusts
quarterly. Interest is due quarterly and the Company, at its option, may pay or
defer and capitalize such interest payments. The amount outstanding on the note
will increase as interest due is deferred and capitalized.

As a means to repay the note, the Company has entered into an agreement to issue
$75 million of debt, equity or other securities in one or more public or private
transactions, or prepay the Auction Rate Reset Note, on or before August 31,
2002. If the note is prepaid, the Company will pay a fee equal to 0.5% of the
aggregate amount of the note outstanding.

Scheduled future maturities of notes payable and debentures at December 31, 2000
are as follows:

<TABLE>
<CAPTION>
                        AMOUNT MATURING
YEAR                     (IN THOUSANDS)
- ---------------------------------------
<S>                     <C>
2001                           $  9,350
2002                             76,598
2003                            140,000
2004                            221,000
2005                            179,000
Thereafter                       78,700
- ---------------------------------------
  Total                        $704,648
=======================================
</TABLE>


42  ALLIED CAPITAL CORPORATION
<PAGE>   45
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS


REVOLVING CREDIT FACILITIES

REVOLVING LINE OF CREDIT. The Company has an unsecured revolving line of credit
for $417,500,000. The facility may be expanded up to $500,000,000. At the
Company's option, the facility bears interest at a rate equal to (i) the
one-month LIBOR plus 1.25% or (ii) the higher of (a) the Bank of America, N.A.
prime rate or (b) the Federal Funds rate plus 0.50%. The interest rate adjusts
at the beginning of each new interest period, usually every thirty days. The
interest rates were 7.9% and 7.7% at December 31, 2000 and December 31, 1999,
respectively, and the facility requires an annual commitment fee equal to 0.25%
of the committed amount. The line expires in March 2002. The line of credit
requires monthly interest payments and all principal is due upon its expiration.

MASTER LOAN AND SECURITY AGREEMENT. The Company had a facility to borrow up to
$100,000,000, using certain commercial mortgage loans as collateral. The
agreement charged interest at the one-month LIBOR plus 1.0%, adjusted daily, or
6.8% at December 31, 1999. The agreement matured on October 27, 2000 and was not
renewed.

The average debt outstanding on the revolving credit facilities was $154,853,000
and $123,860,000 for the years ended December 31, 2000 and 1999, respectively.
The maximum amount borrowed under these facilities and the weighted average
interest rate for the years ended December 31, 2000 and 1999, were $257,000,000
and $199,392,000, and 7.6% and 6.5%, respectively.


NOTE 5. INCOME TAXES

For the year ended December 31, 1998, the Company incurred income tax expense of
$787,000, which resulted from the realization of a taxable net built-in gain
associated with property owned by Advisers prior to the Merger. Therefore, the
Company's effective tax rate was 1.0% for the year ended December 31, 1998.


NOTE 6. PREFERRED STOCK

Allied Investment has outstanding a total of 60,000 shares of $100 par value, 3%
cumulative preferred stock and 10,000 shares of $100 par value, 4% redeemable
cumulative preferred stock issued to the SBA pursuant to Section 303(c) of the
Small Business Investment Act of 1958, as amended. The 3% cumulative preferred
stock does not have a required redemption date. Allied Investment has the option
to redeem in whole or in part the preferred stock by paying the SBA the par
value of such securities and any dividends accumulated and unpaid to the date of
redemption. The 4% redeemable cumulative preferred stock has a required
redemption date in June 2005.


NOTE 7. SHAREHOLDERS' EQUITY

Sales of common stock in 2000 and 1999 were as follows:

<TABLE>
<CAPTION>
(IN THOUSANDS)                                  2000           1999
- -------------------------------------------------------------------
<S>                                       <C>            <C>
Number of common shares                       14,812          8,659
- -------------------------------------------------------------------
Gross proceeds                             $ 263,460      $ 172,539
Less costs including underwriting fees       (12,548)        (8,270)
- -------------------------------------------------------------------
  Net proceeds                             $ 250,912      $ 164,269
===================================================================
</TABLE>

In addition, the Company issued 4,123,407 shares of common stock to acquire BLC
Financial Services, Inc. in a stock-for-stock exchange on December 31, 2000 for
proceeds of $86,076,000.

The Company has a dividend reinvestment plan, whereby the Company may buy shares
of its common stock in the open market or issue new shares in order to satisfy
dividend reinvestment requests. If the Company issues new shares, the issue
price is equal to the average of the closing sale prices reported for the
Company's common stock for the five consecutive days immediately prior to the
dividend payment date.

Dividend reinvestment plan activity for 2000, 1999 and 1998 was as follows:

<TABLE>
<CAPTION>
(IN THOUSANDS,
EXCEPT PER SHARE AMOUNTS)    2000      1999     1998
- ----------------------------------------------------
<S>                        <C>       <C>      <C>
Shares issued                 254       233      241
Average price per share    $18.79    $19.43   $20.35

</TABLE>


NOTE 8. EARNINGS PER COMMON SHARE

<TABLE>
<CAPTION>
(IN THOUSANDS,
EXCEPT PER SHARE AMOUNTS)               2000           1999           1998
- --------------------------------------------------------------------------
<S>                                <C>            <C>            <C>
Net increase in net assets
  resulting from operations        $ 143,101      $  98,570      $  78,078
Less preferred stock dividends          (230)          (230)          (230)
- --------------------------------------------------------------------------
Income available to
  common shareholders              $ 142,871      $  98,340      $  77,848
==========================================================================
Basic shares outstanding              73,165         59,877         51,941

Dilutive options outstanding
  to officers                            307            167             33
- --------------------------------------------------------------------------
Diluted shares outstanding            73,472         60,044         51,974
==========================================================================
Basic earnings per
  common share                     $    1.95      $    1.64      $    1.50
==========================================================================
Diluted earnings per
  common share                     $    1.94      $    1.64      $    1.50
==========================================================================
</TABLE>


                                                          2000 ANNUAL REPORT  43
<PAGE>   46
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS


NOTE 9. EMPLOYEE STOCK OWNERSHIP PLAN, 401(k) PLAN AND DEFERRED COMPENSATION
PLAN

The Company had an employee stock ownership plan ("ESOP") through 1999. Pursuant
to the ESOP, the Company was obligated to contribute 5% of each eligible
participant's total cash compensation for the year to a plan account on the
participant's behalf, which vested over a two-year period. ESOP contributions
were used to purchase shares of the Company's common stock.

As of December 31, 1999 and 1998, the ESOP held 303,210 shares and 282,500
shares, respectively, of the Company's common stock, all of which had been
allocated to participants' accounts. The plan was funded annually and the total
ESOP contribution expense for the years ended December 31, 1999 and 1998 was
$641,000 and $489,000, respectively, net of forfeitures of $4,100 and $4,000,
respectively. In 1999, the Company established a 401(k) plan (see below) and
elected to terminate the ESOP Plan in 2000. During 2000, the ESOP assets were
transferred into the 401(k) plan.

The Company's 401(k) retirement investment plan is open to all of its employees.
The employees may elect voluntary wage deferrals ranging from 0% to 20% of
eligible compensation for the year. In 2000, the Company began making
contributions to the 401(k) plan equal to 5% of each eligible participant's
total cash compensation for the year. Total 401(k) contribution expense for the
year ended December 31, 2000 was $590,000.

The Company also has a deferred compensation plan (the "DC Plan"). Eligible
participants in the DC Plan may elect to defer some of their compensation and
have such compensation credited to a participant account. All amounts credited
to a participant's account shall be credited solely for purposes of accounting
and computation and remain assets of the Company and subject to the claims of
the Company's general creditors. Amounts credited to participants under the DC
Plan are at all times 100% vested and non-forfeitable except for amounts
credited to participants' accounts related to the Formula Award (see Note 11). A
participant's account shall become distributable upon his or her separation from
service, retirement, disability, death or at a future determined date. All DC
Plan accounts will be distributed in the event of a change of control of the
Company or in the event of the Company's insolvency. Amounts deferred by
participants under the DC Plan are funded to a trust, the trustee of which
administers the DC Plan on behalf of the Company.


NOTE 10. STOCK OPTION PLAN

THE OPTION PLAN. The purpose of the stock option plan ("Option Plan") is to
provide officers and non-officer directors of the Company with additional
incentives.

On May 9, 2000, the Company's stockholders amended the Option Plan to increase
the number of shares that may be granted from 6,250,000 to 12,350,000.

Options are exercisable at a price equal to the fair market value of the shares
on the day the option is granted. Each option states the period or periods of
time within which the option may be exercised by the optionee, which may not
exceed ten years from the date the option is granted.

All rights to exercise options terminate 60 days after an optionee ceases to be
(i) a non-officer director, (ii) both an officer and a director, if such
optionee serves in both capacities, or (iii) an officer (if such officer is not
also a director) of the Company for any cause other than death or total and
permanent disability. In the event of a change of control of the Company, all
outstanding options will become fully vested and exercisable as of the change of
control.

Information with respect to options granted, exercised and forfeited under the
Option Plan for the years ended December 31, 2000, 1999 and 1998 is as follows:

<TABLE>
<CAPTION>
                                                               WEIGHTED
                                                                AVERAGE
(IN THOUSANDS,                                             OPTION PRICE
EXCEPT PER SHARE AMOUNTS)                         SHARES      PER SHARE
- -----------------------------------------------------------------------
<S>                                               <C>      <C>
Options outstanding at January 1, 1998                --         $   --
Granted                                            5,190          20.16
Exercised                                            (10)         21.38
Forfeited                                            (66)         21.38
- -----------------------------------------------------------------------
Options outstanding at December 31, 1998           5,114         $20.14
- -----------------------------------------------------------------------
Granted                                            1,288          19.75
Exercised                                           (318)         19.07
Forfeited                                           (195)         20.00
- -----------------------------------------------------------------------
Options outstanding at December 31, 1999           5,889         $20.12
- -----------------------------------------------------------------------
Granted                                            4,162          17.02
Exercised                                           (195)         17.68
Forfeited                                           (950)         19.81
- -----------------------------------------------------------------------
Options outstanding at December 31, 2000           8,906         $18.76
=======================================================================
</TABLE>

NOTES RECEIVABLE FROM THE SALE OF COMMON STOCK. The Company provides loans to
officers for the exercise of options. The loans have varying terms not exceeding
ten years, bear interest at the applicable federal interest rate in effect at
the date of issue and have been recorded as a reduction to shareholders' equity.
At December 31, 2000, 1999 and 1998, the Company had outstanding loans to
officers of $25,083,000, $29,461,000, and $23,735,000, respectively. Officers
with outstanding loans repaid principal of $6,363,000, $195,000, and $5,591,000,
for the years ended December 31, 2000, 1999 and 1998, respectively. The Company
recognized interest income from these loans of $1,712,000, $1,539,000, and
$1,600,000, respectively, during these same periods.


44  ALLIED CAPITAL CORPORATION
<PAGE>   47
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS


The following table summarizes information about stock options outstanding at
December 31, 2000:


(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS AND YEARS)

<TABLE>
<CAPTION>
                                       WEIGHTED AVERAGE
RANGE OF                      TOTAL           REMAINING         WEIGHTED         TOTAL           WEIGHTED
EXERCISE                     NUMBER    CONTRACTUAL LIFE          AVERAGE        NUMBER            AVERAGE
PRICES                  OUTSTANDING              (YEARS)  EXERCISE PRICE   EXERCISABLE     EXERCISE PRICE
- ---------------------------------------------------------------------------------------------------------
<S>                     <C>            <C>                <C>              <C>             <C>
$15.19                          100                7.73           $15.19            25             $15.19
$16.81                        3,733                9.40           $16.81             -                  -
$17.50-$19.88                 1,824                8.59           $18.18           558             $17.95
$19.94                          105                8.84           $19.34            35             $19.94
$21.38-$22.13                 3,144                7.25           $21.47         1,609             $21.47
- ---------------------------------------------------------------------------------------------------------
$15.19-$22.13                 8,906                8.45           $18.76         2,227             $20.49
=========================================================================================================
</TABLE>

The Company accounts for its stock options as required by the Accounting
Principles Board Opinion No. 25 "Accounting for Stock Issued to Employees," and
accordingly no compensation cost has been recognized as the exercise price
equals the market price on the date of grant. Had compensation cost for the plan
been determined consistent with SFAS No. 123 "Accounting for Stock Based
Compensation," which records options at fair value on the date of issuance and
amortizes that amount over the vesting period of the option, the Company's net
increase in net assets resulting from operations and basic and diluted earnings
per common share would have been reduced to the following pro forma amounts:

<TABLE>
<CAPTION>
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)                         2000            1999            1998
- -----------------------------------------------------------------------------------------------------
<S>                                                       <C>             <C>             <C>
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS:
    As reported                                           $   143,101     $    98,570     $    78,078
    Pro forma                                             $   137,716     $    94,510     $    72,684
BASIC EARNINGS PER COMMON SHARE:
    As reported                                           $      1.95     $      1.64     $      1.50
    Pro forma                                             $      1.88     $      1.58     $      1.39
DILUTED EARNINGS PER COMMON SHARE:
    As reported                                           $      1.94     $      1.64     $      1.50
    Pro forma                                             $      1.87     $      1.57     $      1.39
</TABLE>

Pro forma expenses are based on the underlying value of the options granted by
the Company. The fair value of each option grant is estimated on the date of
grant using the Black-Scholes option pricing model, with the following weighted
average assumptions for grants: risk-free interest rate of 6.5%, 5.9% and 5.0%
for 2000, 1999 and 1998, respectively; expected life of approximately five years
for all options granted; expected volatility of 34%, 37% and 35% for 2000, 1999
and 1998, respectively; and dividend yield of 8.7%, 9.0% and 8.0% for 2000, 1999
and 1998, respectively.


NOTE 11. CUT-OFF AWARD AND FORMULA AWARD

The Predecessor Companies' existing stock option plans were canceled and the
Company established a cut-off dollar amount for all existing, but unvested
options as of the date of the Merger (the "Cut-off Award"). The Cut-off Award
was computed for each unvested option as of the Merger date. The Cut-off Award
was equal to the difference between the market price on August 14, 1997 (the
Merger announcement date) of the shares of stock underlying the option less the
exercise price of the option. The Cut-off Award was payable for each unvested
option upon the future vesting date of that option. The Cut-off Award was
designed to cap the appreciated value in unvested options at the Merger
announcement date, in order to set the foundation to balance option awards upon
the Merger. The Cut-off Award approximated $2.9 million in the aggregate and has
been expensed as the Cut-off Award vests. For


                                                          2000 ANNUAL REPORT  45
<PAGE>   48
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS


the years ended December 31, 2000, 1999 and 1998, $535,000, $532,000, and
$807,000, respectively, of the Cut-off Award vested.

The Formula Award was established to compensate employees from the point when
their unvested options would cease to appreciate in value (the Merger
announcement date), up until the time at which they would be able to receive
option awards in ACC post-merger. In the aggregate, the Formula Award equaled 6%
of the difference between an amount equal to the combined aggregated market
capitalizations of the Predecessor Companies as of the close of the market on
the day before the Merger date (December 30, 1997), less an amount equal to the
combined aggregate market capitalizations of Allied Lending and the Predecessor
Companies as of the close of the market on the Merger announcement date.
Advisers' compensation committee allocated the Formula Award to individual
officers on December 30, 1997. The amount of the Formula Award as computed at
December 30, 1997 was $18,994,000. This amount was contributed to the Company's
deferred compensation trust under the DC Plan (see Note 9) and was used to
purchase shares of the Company's stock (included in common stock held in
deferred compensation trust). The Formula Award vested equally in three
installments on December 31, 1998, 1999 and 2000. The Formula Award has been
expensed in each year in which it vested. For the years ended December 31, 2000,
1999 and 1998, $5,648,000, $6,221,000 and $6,241,000, respectively, was expensed
as a result of the Formula Award. At December 31, 2000 and 1999, the liability
related to the Formula Award was $5,648,000 and $6,221,000, respectively, and
has been included in common stock held in deferred compensation trust. Vested
Formula Awards have been distributed to recipients by the Company, however, sale
of the Company's stock by the recipients is restricted. Unvested Formula Awards
were forfeited upon a recipient's separation from service and the related
Company stock was retired. During 2000, 1999 and 1998, $563,000, $61,000 and
$270,000, respectively, of the Formula Award was forfeited.


46  ALLIED CAPITAL CORPORATION
<PAGE>   49
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS


NOTE 12. DIVIDENDS AND DISTRIBUTIONS

For the years ended December 31, 2000, 1999 and 1998, the Company declared the
following distributions:

<TABLE>
<CAPTION>
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)                   2000                   1999                    1998
- ----------------------------------------------------------------------------------------------------------------------
                                                      TOTAL  TOTAL PER        TOTAL  TOTAL PER        TOTAL  TOTAL PER
                                                     AMOUNT      SHARE       AMOUNT      SHARE       AMOUNT      SHARE
<S>                                                <C>       <C>           <C>       <C>           <C>       <C>
First quarter                                      $ 30,715      $0.45     $ 23,286      $0.40     $ 18,025      $0.35
Second quarter                                       33,150       0.45       23,746       0.40       17,966       0.35
Third quarter                                        34,751       0.46       24,768       0.40       17,976       0.35
Fourth quarter                                       37,179       0.46       26,141       0.40       19,444       0.35
Annual extra distribution                                --         --           --         --        1,676       0.03
- ----------------------------------------------------------------------------------------------------------------------
    Total distributions to common shareholders     $135,795      $1.82     $ 97,941      $1.60     $ 75,087      $1.43
=======================================================================================================================
</TABLE>

For income tax purposes, distributions for 2000, 1999 and 1998 were composed of
the following:

<TABLE>
<CAPTION>
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)                    2000                    1999                     1998
- -------------------------------------------------------------------------------------------------------------------------
                                                       TOTAL  TOTAL PER         TOTAL  TOTAL PER         TOTAL  TOTAL PER
                                                      AMOUNT      SHARE        AMOUNT      SHARE        AMOUNT      SHARE
<S>                                                <C>       <C>           <C>       <C>           <C>          <C>
Ordinary income                                     $116,321      $1.56      $ 76,948      $1.26      $ 49,397      $0.94
Long-term capital gains                               19,474       0.26        20,993       0.34        25,690       0.49
- -------------------------------------------------------------------------------------------------------------------------
    Total distributions to common shareholders      $135,795      $1.82      $ 97,941      $1.60      $ 75,087      $1.43
=========================================================================================================================
</TABLE>

The following table summarizes the differences between financial statement net
income and taxable income for the years ended December 31, 2000, 1999 and 1998:

<TABLE>
<CAPTION>
(IN THOUSANDS)                                                                2000            1999            1998
- ------------------------------------------------------------------------------------------------------------------
<S>                                                                      <C>             <C>             <C>
Financial statement net income                                           $ 143,101       $  98,570       $  78,078
Adjustments:
    Net unrealized gains                                                   (14,861)         (2,138)         (1,079)
    Amortization of discount                                                   233             129           2,207
    Post-Merger gain on securitization of commercial mortgage loans             --              --         (14,812)
    Interest income from securitized commercial mortgage loans               3,149           4,640           4,910
    Gains from disposition of portfolio assets                               5,202          (4,547)          1,177
    Expenses not deductible for tax:
        Formula award                                                        1,374           2,158           6,242
        Other                                                                1,197           1,053           1,393
    Other                                                                   (1,012)         (1,492)         (3,816)
    Income tax expense                                                          --              --             787
- ------------------------------------------------------------------------------------------------------------------
    Taxable income                                                       $ 138,383       $  98,373       $  75,087
==================================================================================================================
</TABLE>

The Company must distribute at least 90% of its ordinary taxable income to
qualify for pass through tax treatment and maintain its RIC status.


NOTE 13. CONCENTRATIONS OF CREDIT RISK

The Company places its cash with financial institutions and, at times, cash held
in checking accounts in financial institutions may be in excess of the Federal
Deposit Insurance Corporation insured limit. At December 31, 2000 and 1999, cash
and cash equivalents consisted of the following:

<TABLE>
<CAPTION>
(IN THOUSANDS)                             2000           1999
- --------------------------------------------------------------
<S>                                    <C>            <C>
Cash and cash equivalents              $ 11,337       $ 24,419
Less escrows held                        (8,888)        (6,264)
- --------------------------------------------------------------
  Total cash and cash equivalents      $  2,449       $ 18,155
==============================================================
</TABLE>


NOTE 14. SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

During 2000, 1999 and 1998, the Company paid $54,112,000, $21,092,000, and
$21,708,000, respectively, for interest and income taxes. During 2000, 1999, and
1998, the Company's non-cash investing activities totaled $88,062,000,
$19,320,000, and $1,265,000, respectively. During 2000, 1999, and 1998, the
Company's non-cash financing activities totaled $92,835,000, $10,241,000, and
$6,237,000, respectively, and includes common stock issuance resulting from
stock option exercises and dividend reinvestment shares issued. The Company's
non-cash investing and financing activities for the year ended December 31, 2000
includes the issuance of $86.1 million of the Company's common stock to acquire
BLC Financial Services, Inc. as discussed in Note 1.


NOTE 15. SELECTED QUARTERLY DATA (UNAUDITED)

<TABLE>
<CAPTION>
                                                                                      2000
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)                            QTR 1       QTR 2       QTR 3       QTR 4
- -------------------------------------------------------------------------------------------------------------
<S>                                                               <C>         <C>         <C>         <C>
Total interest and related portfolio income                       $43,897     $49,965     $55,992     $61,735
Net operating income before net realized and unrealized gains     $22,573     $24,700     $30,719     $34,725
Net increase in net assets resulting from operations              $29,581     $34,790     $36,449     $42,281
Basic earnings per common share                                   $  0.45     $  0.50     $  0.48     $  0.52
Diluted earnings per common share                                 $  0.45     $  0.50     $  0.48     $  0.52
</TABLE>

<TABLE>
<CAPTION>
                                                                                       1999
                                                                    QTR 1       QTR 2       QTR 3       QTR 4
- -------------------------------------------------------------------------------------------------------------
<S>                                                               <C>         <C>         <C>         <C>
Total interest and related portfolio income                       $27,678     $33,186     $37,998     $42,278
Net operating income before net realized and unrealized gains     $13,830     $16,619     $19,273     $21,319
Net increase in net assets resulting from operations              $18,580     $22,121     $26,944     $30,925
Basic earnings per common share                                   $  0.33     $  0.38     $  0.44     $  0.49
Diluted earnings per common share                                 $  0.33     $  0.38     $  0.44     $  0.49
</TABLE>


                                                          2000 ANNUAL REPORT  47
<PAGE>   50

CONSOLIDATING BALANCE SHEET


<TABLE>
<CAPTION>
                                                                                                                  DECEMBER 31, 2000
                                                       ----------------------------------------------------------------------------
                                                            ALLIED          ALLIED                                     CONSOLIDATED
(IN THOUSANDS)                                             CAPITAL      INVESTMENT         OTHERS     ELIMINATIONS            TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S>                                                    <C>             <C>             <C>             <C>              <C>
ASSETS
Portfolio at value:
    Private finance                                    $ 1,134,409     $   148,058     $       --      $        --      $ 1,282,467
    Commercial real estate finance                         408,113           4,605         92,816               --          505,534
    Small business finance                                      --              --             --               --               --
    Investments in subsidiaries                            142,169              --             --         (142,169)              --
- -----------------------------------------------------------------------------------------------------------------------------------
        Total portfolio at value                         1,684,691         152,663         92,816         (142,169)       1,788,001
- -----------------------------------------------------------------------------------------------------------------------------------
Cash and cash equivalents                                       41             802          1,606               --            2,449
Intercompany notes and receivables                          29,444             225            798          (30,467)              --
Other assets                                                57,891           5,285            191               --           63,367
- -----------------------------------------------------------------------------------------------------------------------------------
        Total assets                                   $ 1,772,067     $   158,975     $   95,411      $  (172,636)     $ 1,853,817
===================================================================================================================================
LIABILITIES AND SHAREHOLDERS' EQUITY
Liabilities:
    Notes payable and debentures                       $   626,298     $    78,350     $       --      $        --      $   704,648
    Revolving credit facilities                             82,000              --             --               --           82,000
    Accounts payable and other liabilities                  28,502           1,800            175               --           30,477
    Dividends and distributions payable                         --           2,795          3,700           (6,495)              --
    Intercompany notes and payables                          5,575           1,651         16,746          (23,972)              --
- -----------------------------------------------------------------------------------------------------------------------------------
        Total liabilities                                  742,375          84,596         20,621          (30,467)         817,125
===================================================================================================================================
Commitments and Contingencies
Preferred stock                                                 --           7,000             --               --            7,000
Shareholders' Equity:
    Common stock                                                 9              --              1               (1)               9
    Additional paid-in capital                           1,043,653          43,873         72,254         (116,127)       1,043,653
    Notes receivable from sale of common stock             (25,083)             --             --               --          (25,083)
    Net unrealized appreciation (depreciation)
      on portfolio                                          19,378           7,233         (1,720)          (5,513)          19,378
    Undistributed (distributions in excess of)
      earnings                                              (8,265)         16,273          4,255          (20,528)          (8,265)
- -----------------------------------------------------------------------------------------------------------------------------------
        Total shareholders' equity                       1,029,692          67,379         74,790         (142,169)       1,029,692
===================================================================================================================================
        Total liabilities and shareholders' equity     $ 1,772,067     $   158,975     $   95,411      $  (172,636)     $ 1,853,817
===================================================================================================================================
</TABLE>

The accompanying notes are an integral part of these consolidated financial
statements.

48  ALLIED CAPITAL CORPORATION
<PAGE>   51

CONSOLIDATING STATEMENT OF OPERATIONS


<TABLE>
<CAPTION>
                                                                                            FOR THE YEAR ENDED DECEMBER 31, 2000
                                                    ----------------------------------------------------------------------------
                                                      ALLIED       ALLIED       ALLIED                              CONSOLIDATED
(IN THOUSANDS)                                       CAPITAL   INVESTMENT         SBLC        OTHERS  ELIMINATIONS         TOTAL
- --------------------------------------------------------------------------------------------------------------------------------
<S>                                                 <C>          <C>          <C>           <C>           <C>           <C>
INTEREST AND RELATED PORTFOLIO INCOME
Interest and dividends                              $155,790     $ 15,248     $  4,958      $  6,311      $     --      $182,307
Intercompany interest                                  5,533           --           --            --        (5,533)           --
Premiums from loan dispositions                        6,583          117        9,438            --            --        16,138
Income from investments in
    wholly owned subsidiaries                         26,147           --           --            --       (26,147)           --
Investment advisory fees and other income             10,166          103        1,915           960            --        13,144
- --------------------------------------------------------------------------------------------------------------------------------
    Total interest and related portfolio income      204,219       15,468       16,311         7,271       (31,680)      211,589
================================================================================================================================
EXPENSES
Interest                                              51,043        6,369           --            --            --        57,412
Intercompany interest                                     --          170        4,861           502        (5,533)           --
Employee                                              19,375           --           --           467            --        19,842
Administrative                                        14,001           72        1,035           327            --        15,435
- --------------------------------------------------------------------------------------------------------------------------------
    Total operating expenses                          84,419        6,611        5,896         1,296        (5,533)       92,689
================================================================================================================================
Formula and cut-off awards                             6,183           --           --            --            --         6,183
================================================================================================================================
Net operating income before net realized and
    unrealized gains                                 113,617        8,857       10,415         5,975       (26,147)      112,717
================================================================================================================================
NET REALIZED AND UNREALIZED GAINS
Net realized gains (losses)                           14,623        1,585         (558)         (127)           --        15,523
Net unrealized gains (losses)                         14,861        5,178         (940)          615        (4,853)       14,861
- --------------------------------------------------------------------------------------------------------------------------------
    Total net realized and unrealized
        gains (losses)                                29,484        6,763       (1,498)          488        (4,853)       30,384
================================================================================================================================
Net increase in net assets resulting
    from operations                                 $143,101     $ 15,620     $  8,917      $  6,463      $(31,000)     $143,101
================================================================================================================================
</TABLE>

The accompanying notes are an integral part of these consolidated financial
statements.


                                                          2000 ANNUAL REPORT  49
<PAGE>   52

CONSOLIDATING STATEMENT OF CASH FLOWS

<TABLE>
<CAPTION>
                                                                                               FOR THE YEAR ENDED DECEMBER 31, 2000
                                                 ----------------------------------------------------------------------------------
                                                    ALLIED         ALLIED        ALLIED                                CONSOLIDATED
(IN THOUSANDS)                                     CAPITAL     INVESTMENT          SBLC        OTHERS   ELIMINATIONS          TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S>                                              <C>            <C>           <C>           <C>            <C>            <C>
CASH FLOWS FROM OPERATING ACTIVITIES
Net increase in net assets resulting
    from operations                              $ 143,101      $  15,620     $   8,917     $   6,463      $ (31,000)     $ 143,101
Adjustments
    Net unrealized (gains) losses                  (14,861)        (5,178)          940          (615)         4,853        (14,861)
    Depreciation and amortization                      925             --            --            --             --            925
    Amortization of loan discounts and fees         (8,995)          (737)         (369)           --             --        (10,101)
    Changes in other assets and liabilities            442         (1,487)        2,097           984             --          2,036
- -----------------------------------------------------------------------------------------------------------------------------------
        Net cash provided by operating
           activities                              120,612          8,218        11,585         6,832        (26,147)       121,100
===================================================================================================================================
CASH FLOWS FROM INVESTING ACTIVITIES
Portfolio investments                             (723,825)       (32,384)     (133,042)           --             --       (889,251)
Repayments of investment principal                 125,840         21,156         7,116            --             --        154,112
Proceeds from loan sales                           179,293             --       100,951            --             --        280,244
Net change in intercompany investments             (10,791)       (17,223)       10,207        (8,340)        26,147             --
Other investing activities                          (2,488)         2,194           927           784             --          1,417
- -----------------------------------------------------------------------------------------------------------------------------------
        Net cash used in investing activities     (431,971)       (26,257)      (13,841)       (7,556)        26,147       (453,478)
===================================================================================================================================
CASH FLOWS FROM FINANCING ACTIVITIES
Sale of common stock                               250,912             --            --            --             --        250,912
Collections of notes receivable from
    sale of common stock                             6,363             --            --            --             --          6,363
Common dividends and distributions paid           (131,022)            --            --            --             --       (131,022)
Preferred stock dividends paid                          --           (220)           --           (10)            --           (230)
Net borrowings under notes payable
    and debentures                                 201,598         15,700            --            --             --        217,298
Net repayments under revolving
    lines of credit                                (23,500)            --            --            --             --        (23,500)
Other financing activities                          (3,149)            --            --            --             --         (3,149)
- -----------------------------------------------------------------------------------------------------------------------------------
        Net cash provided by (used in)
           financing activities                    301,202         15,480            --           (10)            --        316,672
===================================================================================================================================
Net decrease in cash and cash equivalents        $ (10,157)     $  (2,559)    $  (2,256)    $    (734)     $      --      $ (15,706)
===================================================================================================================================
Cash and cash equivalents at
    beginning of year                            $  10,198      $   3,361     $   2,256     $   2,340      $      --      $  18,155
===================================================================================================================================
Cash and cash equivalents at end of year         $      41      $     802     $      --     $   1,606      $      --      $   2,449
===================================================================================================================================
</TABLE>

The accompanying notes are an integral part of these consolidated financial
statements.


50  ALLIED CAPITAL CORPORATION
<PAGE>   53

REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS

TO THE SHAREHOLDERS AND BOARD OF DIRECTORS
OF ALLIED CAPITAL CORPORATION AND SUBSIDIARIES:

We have audited the accompanying consolidated balance sheets of Allied Capital
Corporation and subsidiaries as of December 31, 2000 and 1999, including the
consolidated statement of investments as of December 31, 2000, and the related
consolidated statements of operations, changes in net assets and cash flows for
each of the three years in the period then ended. These consolidated financial
statements and supplementary consolidating financial information referred to
below are the responsibility of the Company's management. Our responsibility is
to express an opinion on these consolidated financial statements and
supplementary consolidating financial information referred to below based on our
audits.

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 includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements. These
procedures included physical counts of investments. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.

As discussed in Note 2, the consolidated financial statements include
investments valued at $1,788,001,000 as of December 31, 2000 and $1,228,497,000
as of December 31, 1999 (96 percent and 95 percent, respectively, of total
assets) whose values have been estimated by the board of directors in the
absence of readily ascertainable market values. We have reviewed the procedures
used by the board of directors in arriving at its estimate of value of such
investments and have inspected the underlying documentation, and in the
circumstances we believe the procedures are reasonable and the documentation
appropriate. However, because of the inherent uncertainty of valuation, the
board of directors' estimate of values may differ significantly from the values
that would have been used had a ready market existed for the investments, and
the differences could be material.

In our opinion, the consolidated financial statements referred to above present
fairly, in all material respects, the financial position of Allied Capital
Corporation and subsidiaries as of December 31, 2000 and 1999, and the
consolidated results of their operations, changes in net assets and cash flows
for each of the three years in the period then ended in conformity with
accounting principles generally accepted in the United States.

Our audit was made for the purpose of forming an opinion on the basic
consolidated financial statements taken as a whole. The supplementary
consolidating balance sheet and related consolidating statements of operations
and cash flows are presented for purposes of additional analysis and are not a
required part of the basic financial statements. This information has been
subjected to the auditing procedures applied in our audit of the basic
consolidated financial statements and in our opinion, is fairly stated in all
material respects in relation to the basic financial statements taken as a
whole.


/s/ ARTHUR ANDERSEN LLP

Vienna, Virginia

February 13, 2001


                                                          2000 ANNUAL REPORT  51
<PAGE>   54

BOARD OF DIRECTORS AND MANAGEMENT


<TABLE>
<CAPTION>
DIRECTORS                                         EXECUTIVE MANAGEMENT                          PRINCIPALS
<S>                                               <C>                                           <C>
William L. Walton (1,2)                           William L. Walton                             Thomas H. Aiken
Chairman and Chief Executive Officer,             Chairman and Chief Executive Officer          Kelly A. Anderson
   Allied Capital Corporation                                                                   Douglas L. Cooper
                                                  Scott S. Binder                               Tricia B. Daniels
George C. Williams, Jr. (1)                       Managing Director                             Christina L. DelDonna
Chairman Emeritus, Allied Capital                                                               Michael P. Gaffney
   Corporation                                    Samuel B. Guren                               Michael J. Grisius
                                                  Managing Director                             John J. Hall, Jr.
Brooks H. Browne (3,4)                                                                          Robert M. Monk
President, Environmental Enterprises              Philip A. McNeill                             Diane E. Murphy
   Assistance Fund                                Managing Director                             James C. Powell
                                                                                                Christina M. Rashid
John D. Firestone (3)                             Penni F. Roll                                 John D. Shulman
Partner, Secor Group                              Executive Vice President and                  Suzanne V.Sparrow
                                                    Chief Financial Officer                     Paul R. Tanen
Anthony T. Garcia (3)                                                                           David J. Unger
Private Investor                                  John M. Scheurer
                                                  Managing Director
Lawrence I. Hebert (2)
Director and President,                           Joan M. Sweeney
   Perpetual Corporation                          Managing Director and
                                                     Chief Operating Officer
John I. Leahy (1,4)
President, Management and Marketing               Thomas H. Westbrook
   Associates                                     Managing Director

Robert E. Long (1,3)                              G. Cabell Williams III
Managing Director, Goodwyn Long &                 Managing Director
   Black Investment Management, Inc.

Warren K.Montouri (1)
Partner, Montouri &Roberson

Guy T. Steuart II (2,4)
Director and President, Steuart Investment
   Corporation

T. Murray Toomey, Esq. (2)
Attorney at Law

Laura W. van Roijen (2)
Private Real Estate Investor
</TABLE>


(1) Executive Committee  (2) Nominating Committee  (3) Compensation Committee
(4) Audit Committee


52  ALLIED CAPITAL CORPORATION

<PAGE>   55

FINANCIAL HIGHLIGHTS

<TABLE>
<CAPTION>
                                                          AS OF AND FOR THE YEARS ENDED DECEMBER 31,
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)                                         2000           1999
====================================================================================================
<S>                                                                        <C>            <C>
Total portfolio at value                                                   $1,788,001     $1,228,497

Total assets                                                               $1,853,817     $1,290,038

Total debt outstanding                                                     $  786,648     $  592,850

Shareholders' equity                                                       $1,029,692     $  667,513

Net asset value per common share                                           $    12.11     $    10.20

Total interest and related portfolio income                                $  211,589     $  141,140

Net operating income before net realized and unrealized gains              $  112,717     $   71,041

Total net realized and unrealized gains                                    $   30,384     $   27,529

Net increase in net assets resulting from operations                       $  143,101     $   98,570

Basic earnings per common share                                            $     1.95     $     1.64

Diluted earnings per common share                                          $     1.94     $     1.64

Tax distributions per common share                                         $     1.82     $     1.60

Weighted average common shares outstanding - basic                             73,165         59,877

Weighted average common shares outstanding - diluted                           73,472         60,044
</TABLE>

NET INCREASES IN NET ASSETS (NIA)
(in millions)

[BAR CHART]

<TABLE>
<S>           <C>
96            $ 54.9
97            $ 61.3
98            $ 78.1
99            $ 98.6
00            $143.1
</TABLE>


NET OPERATING INCOME BEFORE
NET REALIZED AND UNREALIZED GAINS
(in millions)

[BAR CHART]

<TABLE>
<S>           <C>
96            $ 47.6
97            $ 46.1
98            $ 55.2
99            $ 71.0
00            $112.7
</TABLE>


EARNINGS AND DIVIDENDS PER SHARE

[LINE GRAPH]

<TABLE>
            EARNINGS   DIVIDENDS
<S>         <C>        <C>
96             $1.17       $1.23
97*             1.24        1.2
98              1.5         1.43
99              1.64        1.6
00              1.94        1.82
</TABLE>


    *Excludes Merger-related dividends of approximately $0.51 per share.


INVESTMENT ORIGINATIONS
(in millions)

[BAR CHART]

<TABLE>
<S>           <C>
96            $283.3
97            $364.9
98            $524.5
99            $751.9
00            $901.5
</TABLE>


<PAGE>   56

[ALLIED CAPITAL LOGO]
1919 Pennsylvania Avenue, NW
Washington, DC 20006-3434
P: 202.331.1112 F: 202.659.2053
www.alliedcapital.com
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-23
<SEQUENCE>3
<FILENAME>w46303ex23.txt
<DESCRIPTION>CONSENT OF ARTHUR ANDERSEN LLP
<TEXT>

<PAGE>   1
                                                                      Exhibit 23


                   CONSENT OF INDEPENDENT PUBLIC ACCOUNTANTS


As independent public accountants, we hereby consent to the incorporation by
reference in this Form 10-K of our report dated February 13, 2001 included in
Registration Statement File No. 333-43534. It should be noted that we have not
audited any financial statements of the company subsequent to December 31, 2000
or performed any audit procedures subsequent to the date of our report.


/s/Arthur Andersen LLP
- ------------------
ARTHUR ANDERSEN LLP

Vienna, Virginia
March 20, 2001
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
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