PROSPECT CAPITAL CORP 10-Q

Item 1. Financial Statements PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES (in thousands, except share and per share data) December 31, 2021 June 30, 2021 (Unaudited) (Audited) Assets Investments at fair value: Control investments (amortized cost of $2,364,241 and $2,482,431, respectively) $ 3,057,923 $ 2,919,717 Affiliate investments (amortized cost of $238,537 and $202,943, respectively) 429,954 356,734 Non-control/non-affiliate investments (amortized cost of $3,938,560 and $3,372,750, respectively) 3,514,969 2,925,327 Total investments at fair value (amortized cost of $6,541,338 and $6,058,124, respectively) 7,002,846 6,201,778 Cash 45,026 63,610 Receivables for: Interest, net 15,725 12,575 Other 644 365 Deferred financing costs on Revolving Credit Facility (Note 4) 9,869 11,141 Due from broker — 12,551 Prepaid expenses 539 1,072 Due from Affiliate (Note 13) — — Total Assets 7,074,649 6,303,092 Liabilities Revolving Credit Facility (Notes 4 and 8) 472,608 356,937 Public Notes (less unamortized discount and debt issuance costs of $24,842 and $20,061, respectively) (Notes 6 and 8) 1,340,617 1,114,717 Prospect Capital InterNotes® (less unamortized debt issuance costs of $7,667 and $10,496, respectively) (Notes 7 and 8) 332,870 498,215 Convertible Notes (less unamortized debt issuance costs of $3,106 and $4,123, respectively) (Notes 5 and 8) 213,563 263,100 Due to Prospect Capital Management (Note 13) 53,439 48,612 Dividends payable 23,457 23,313 Interest payable 26,856 27,359 Due to broker 24,750 14,854 Accrued expenses 3,067 5,151 Due to Prospect Administration (Note 13) 1,611 4,835 Other liabilities 1,022 482 Total Liabilities 2,493,860 2,357,575 Commitments and Contingencies (Note 3) Preferred Stock, par value $0.001 per share (147,900,000 shares authorized, with 40,000,000 shares of preferred stock authorized for each of the Series A1, Series M1, and Series M2 and 20,000,000 shares of preferred stock authorized for the Series AA1 and 1,000,000 shares of preferred stock authorized for the Series A2 and 6,900,000 shares of preferred stock authorized for the Series A; 11,751,346 Series A1 shares issued and outstanding; 519,211 Series M1 shares issued and outstanding; 0 Series M2 shares issued and outstanding; 0 Series AA1 shares issued and outstanding; 187,000 Series A2 shares issued and outstanding; and 6,000,000 Series A shares issued and outstanding as of December 31, 2021) at carrying value plus cumulative accrued and unpaid dividends (Note 9) 440,661 — Net Assets as of June 30, 2021 $ — $ 3,945,517 Net Assets Applicable to Common Shares as of December 31, 2021 $ 4,140,128 $ — Components of Net Assets Applicable to Common Shares and Net Assets, respectively Preferred Stock, par value $0.001 per share (141,000,000 shares authorized, with 40,000,000 shares of preferred stock authorized for each of the Series A1, Series M1, and Series M2 and 20,000,000 shares of preferred stock authorized for the Series AA1 and 1,000,000 shares of preferred stock authorized for the Series A2; 5,163,926 Series A1 shares issued and outstanding; 130,666 Series M1 shares issued and outstanding; 0 Series M2 shares issued and outstanding; 0 Series AA1 shares issued and outstanding; and 187,000 Series A2 shares issued and outstanding as of June 30, 2021) (Note 9) $ — 137,040 Common stock, par value $0.001 per share (1,852,100,000 common shares authorized; 390,584,255 and 388,419,573 issued and outstanding, respectively) (Note 9) 391 388 Paid-in capital in excess of par (Note 9 and 12) 4,056,544 4,040,748 Total distributable earnings (loss) (Note 12) 83,193 (232,659) Net Assets as of June 30, 2021 $ — $ 3,945,517 Net Assets Applicable to Common Shares as of December 31, 2021 $ 4,140,128 $ — Net Asset Value Per Common Share (Note 16) $ 10.60 $ 9.81 See notes to consolidated financial statements. 4 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF OPERATIONS (in thousands, except share and per share data) (Unaudited) Three Months Ended December 31, Six Months Ended December 31, 2021 2020 2021 2020 Investment Income Interest income: Control investments $ 57,110 $ 50,633 $ 112,941 $ 99,360 Affiliate investments 6,675 10,826 16,752 18,188 Non-control/non-affiliate investments 60,132 52,029 117,661 103,279 Structured credit securities 18,256 31,299 41,090 56,199 Total interest income 142,173 144,787 288,444 277,026 Dividend income: Control investments 5,687 2,261 6,937 2,261 Affiliate investments — — — — Non-control/non-affiliate investments 17 19 34 44 Total dividend income 5,704 2,280 6,971 2,305 Other income: Control investments 11,703 20,545 28,735 29,616 Affiliate investments 126 64 3,942 64 Non-control/non-affiliate investments 15,670 4,616 16,758 6,161 Total other income (Note 10) 27,499 25,225 49,435 35,841 Total Investment Income 175,376 172,292 344,850 315,172 Operating Expenses Base management fee (Note 13) 33,843 27,833 66,046 54,683 Income incentive fee (Note 13) 19,589 20,717 39,329 35,103 Interest and credit facility expenses 29,679 33,727 57,717 67,776 Allocation of overhead from Prospect Administration (Note 13) 2,239 3,426 6,765 8,083 Audit, compliance and tax related fees 329 340 946 1,278 Directors’ fees 113 113 229 226 Excise tax — — — — Other general and administrative expenses 4,027 4,575 6,892 8,917 Total Operating Expenses 89,819 90,731 177,924 176,066 Net Investment Income 85,557 81,561 166,926 139,106 Net Realized and Net Change in Unrealized Gains (Losses) from Investments Net realized gains (losses) Control investments 3 — 6 2,832 Affiliate investments — 3,724 — 3,724 Non-control/non-affiliate investments (9,230) 3 (9,834) 14 Net realized (losses) gains (9,227) 3,727 (9,828) 6,570 Net change in unrealized gains Control investments 134,066 168,053 256,396 181,588 Affiliate investments 31,589 19,233 37,626 85,706 Non-control/non-affiliate investments 15,479 38,487 23,832 66,323 Net change in unrealized gains 181,134 225,773 317,854 333,617 Net Realized and Net Change in Unrealized Gains from Investments 171,907 229,500 308,026 340,187 Net realized (losses) on extinguishment of debt (3,851) (5,094) (9,208) (5,580) Net Increase in Net Assets Resulting from Operations 253,613 305,967 465,744 473,713 Preferred stock dividend 7,202 46 9,609 46 Net Increase in Net Assets Resulting from Operations applicable to Common Stockholders $ 246,411 $ 305,921 $ 456,135 $ 473,667 Basic and diluted earnings per common share (Note 11) Basic $ 0.63 $ 0.80 $ 1.17 $ 1.25 Diluted $ 0.61 $ 0.80 $ 1.13 $ 1.25 Weighted-average shares of common stock outstanding (Note 11) Basic 389,991,324 381,157,121 389,438,733 378,534,006 Diluted 417,952,347 381,817,317 412,840,135 378,864,104 See notes to consolidated financial statements. 5 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (in thousands, except share data) (Unaudited) Common Stock For the Three Months Ended December 31, 2021 Shares Par Paid-in-capital in excess of par Distributable earnings (loss) Total Net Asset Applicable to Common Shares Balance as of September 30, 2021 389,504,713 $390 $ 4,035,851 $ (92,978) $ 3,943,263 Net Increase in Net Assets resulting from Operations: Net investment income 85,557 85,557 Net realized losses (13,078) (13,078) Net change in unrealized gains 181,134 181,134 Distributions to Shareholders(1) Distributions from earnings (77,442) (77,442) Capital Transactions Reclassification of preferred stock issuance costs to temporary equity(2) 11,970 11,970 Shares issued through reinvestment of dividends 1,069,426 1 8,633 8,634 Conversion of preferred stock to common stock 10,116 90 90 Total increase (decrease) for the three months ended December 31, 2021 1,079,542 1 20,693 176,171 196,865 Balance as of December 31, 2021 390,584,255 $ 391 $ 4,056,544 $ 83,193 $ 4,140,128 Preferred Stock Common Stock For the Three Months Ended December 31, 2020 Liquidation Value Shares Par Paid-in capital in excess of par Distributable earnings (loss) Total Net Assets Balance as of September 30, 2020 $ — 378,776,958 $379 $ 3,999,430 $ (818,782) $ 3,181,027 Net Increase in Net Assets resulting from Operations: Net investment income 81,561 81,561 Net realized losses (1,367) (1,367) Net change in unrealized gains 225,773 225,773 Distributions to Shareholders(1) Distributions from earnings (68,870) (68,870) Capital Transactions Issuance of preferred stock 13,786 (2,031) 11,755 Shares issued through reinvestment of dividends 5,320,687 5 26,636 26,641 Tax reclassifications of net assets (Note 12) (57) 57 — Total increase for the three months ended December 31, 2020 13,786 5,320,687 5 24,548 237,154 275,493 Balance as of December 31, 2020 $ 13,786 384,097,645 $ 384 $ 4,023,978 $ (581,628) $ 3,456,520 (1) We have not yet finalized return of capital estimates for the tax year ended August 31, 2021. See Note 2 and Note 12 within the accompanying notes to consolidated financial statements for further discussion. (2) Preferred stock issuance costs include offering costs and underwriting costs related to the issuance of preferred stock. During the three months ended December 31, 2021, we have reclassified all preferred stock issuance costs related to preferred stock issued as temporary equity following our reclassification of preferred stock during the three months ended September 30, 2021. Refer to Note 9 within the accompanying notes to the consolidated financial statements for further discussion. See notes to consolidated financial statements. 6 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) (in thousands, except share data) (Unaudited) Preferred Stock Common Stock Six Months Ended December 31, 2021 Liquidation Value Shares Par Paid-in capital in excess of par Distributable earnings (loss) Total Net Assets Applicable to Common Shares Balance as of June 30, 2021 $ 137,040 388,419,573 $388 $ 4,040,748 $ (232,659) $ 3,945,517 Net Increase in Net Assets Resulting from Operations: Net investment income 166,926 166,926 Net realized losses (19,036) (19,036) Net change in unrealized gains 317,854 317,854 Distributions to Shareholders(1) Distributions from earnings (149,892) (149,892) Capital Transactions Issuance of preferred stock 7,866 (13,239) (5,373) Reclassification of preferred stock issuance costs to temporary equity(3) 11,970 11,970 Shares issued through reinvestment of dividends 8 2,148,594 3 16,921 16,932 Conversion of preferred stock to common stock 16,088 144 144 Reclassification of preferred stock to temporary equity(2) (144,914) (144,914) Total (decrease) increase for the six months ended December 31, 2021 (137,040) 2,164,682 3 15,796 315,852 194,611 Balance as of December 31, 2021 $ — 390,584,255 $ 391 $ 4,056,544 $ 83,193 $ 4,140,128 Preferred Stock Common Stock Six Months Ended December 31, 2020 Liquidation Value Shares Par Paid-in capital in excess of par Distributable earnings (loss) Total Net Assets Balance as of June 30, 2020 $ — 373,538,499 $ 374 $ 3,986,417 $ (930,930) $ 3,055,861 Net Increase in Net Assets Resulting from Operations: Net investment income 139,106 139,106 Net realized gains 990 990 Net change in unrealized gains 333,617 333,617 Distributions to Shareholders(1) Distributions from earnings (124,468) (124,468) Return of capital to common stockholders (12,263) (12,263) Capital Transactions Issuance of Preferred Stock 13,786 (2,031) 11,755 Shares issued through reinvestment of dividends 10,559,146 10 51,912 51,922 Tax reclassifications of net assets (Note 12) (57) 57 — Total increase for the six months ended December 31, 2020 13,786 10,559,146 10 37,561 349,302 400,659 Balance as of December 31, 2020 $ 13,786 384,097,645 $ 384 $ 4,023,978 $ (581,628) $ 3,456,520 (1) Certain reclassifications have been made in the presentation of prior year and prior quarter amounts to conform to the presentation for the current fiscal year. In addition, we have not yet finalized return of capital estimates for the tax year ended August 31, 2021. See Note 2 and Note 12 within the accompanying notes to consolidated financial statements for further discussion. (2) Preferred Stock issued prior to our 5.35% Series A Preferred Stock issuance reclassified to temporary equity. Refer to Note 9 within the accompanying notes to the consolidated financial statements for further discussion. (3) Preferred stock issuance costs include offering costs and underwriting costs related to the issuance of preferred stock. During the six months ended December 31, 2021, we have reclassified all preferred stock issuance costs related to preferred stock issued as temporary equity following our reclassification of preferred stock during the three months ended September 30, 2021. Refer to Note 9 within the accompanying notes to the consolidated financial statements for further discussion. See notes to consolidated financial statements. 7 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF CASH FLOWS (in thousands, except share data) (Unaudited) Six Months Ended December 31, 2021 2020 Operating Activities Net increase in net assets resulting from operations $ 465,744 $ 473,713 Net realized losses on extinguishment of debt 9,208 5,580 Net realized losses (gains) on investments 9,828 (6,570) Net change in unrealized (gains) on investments (317,854) (333,617) Amortization of (accretion of premiums) discounts, net 28,767 (20,161) Accretion of original issue discount 1,319 538 Amortization of deferred financing costs 4,105 3,770 Payment-in-kind interest (34,712) (37,824) Structuring fees (14,844) (14,273) Change in operating assets and liabilities: Payments for purchases of investments (1,230,485) (470,622) Proceeds from sale of investments and collection of investment principal 758,232 489,990 Increase in due to broker 9,896 30 Increase in due to Prospect Capital Management 4,827 6,069 Increase in interest receivable, net (3,150) (2,031) Decrease in interest payable (503) (1,879) Decrease in accrued expenses (2,084) (136) Decrease in due from broker 12,551 1,063 Increase (Decrease) in other liabilities 540 (1,124) Increase in other receivables (279) (2,800) Increase in due from affiliate — (6) Decrease in prepaid expenses 533 698 (Decrease) Increase in due to Prospect Administration (3,224) 2,240 Net Cash (Used in) Provided by Operating Activities (301,585) 92,648 Financing Activities Borrowings under Revolving Credit Facility (Note 4) 968,618 495,300 Principal payments under Revolving Credit Facility (Note 4) (852,947) (447,941) Issuances of Public Notes, net of original issue discount (Note 6) 294,798 — Redemptions of Public Notes (Note 6) (69,319) (42,337) Redemptions of Convertible Notes, net (Note 5) (51,872) (96,958) Issuances of Prospect Capital InterNotes® (Note 7) 120,322 81,467 Redemptions of Prospect Capital InterNotes®, net (Note 7) (288,496) (2,689) Financing costs paid and deferred (7,773) (1,534) Proceeds from issuance of preferred stock, net of underwriting costs 304,079 12,407 Offering costs from issuance of preferred stock (3,053) (652) Dividends paid and distributions to stockholders (131,356) (84,175) Net Cash Provided by (Used in) Financing Activities 283,001 (87,112) Net (Decrease) Increase in Cash (18,584) 5,536 Cash at beginning of period 63,610 44,561 Cash at End of Period $ 45,026 $ 50,097 Supplemental Disclosures Cash paid for interest $ 52,796 $ 65,346 Non-Cash Financing Activities Value of shares issued through reinvestment of dividends $ 17,033 $ 51,922 See notes to consolidated financial statements. 8 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited) (in thousands, except share data) December 31, 2021 (Unaudited) Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets Control Investments (greater than 25.00% voting control)(40) CP Energy Services Inc. (20) Energy Equipment & Services Senior Secured Term Loan 10/1/2017 12.00% (3ML+ 11.00%) 1.00 1/31/2024 $44,002 $44,002 $44,002 1.1% (10)(39) Senior Secured Term Loan A to Spartan Energy Services, LLC 10/20/2014 9.00% (1ML+ 8.00%) 1.00 12/31/2022 16,019 16,019 16,019 0.4% (10)(39) Series A Preferred Units to Spartan Energy Holdings, Inc. (10,000 shares) 9/25/2020 — N/A — 26,193 15,717 0.4% (16) Series B Convertible Preferred Stock (790 shares) 10/30/2015 — N/A — 63,225 — —% (16) Common Stock (102,924 shares) 8/2/2013 — N/A — 86,240 — —% (16) 235,679 75,738 1.9% Credit Central Loan Company, LLC (21) Consumer Finance First Lien Term Loan 12/28/2012 10.00% plus 10.00% PIK — 6/30/2025 71,695 69,440 71,695 1.8% (14)(39) Class A Units (14,867,312 units) 12/28/2012 — N/A — 19,331 17,830 0.4% (14)(16) Net Revenues Interest (25% of Net Revenues) 1/28/2015 — N/A — — — —% (14)(16) 88,771 89,525 2.2% Echelon Transportation, LLC Aerospace & Defense Senior Secured Term Loan 3/31/2014 11.75% (1ML+ 9.75%) plus 2.25% PIK 2.00 3/31/2022 56,168 56,168 55,816 1.3% (10)(39) Senior Secured Term Loan 12/9/2016 11.00% (1ML+ 9.00%) plus 1.00% PIK 2.00 12/7/2024 24,342 24,342 24,189 0.6% (10)(39) Membership Interest (100%) 3/31/2014 — N/A — 22,738 — —% (16) 103,248 80,005 1.9% First Tower Finance Company LLC (23) Consumer Finance First Lien Term Loan 6/24/2014 10.00% plus 12.00% PIK — 2/18/2025 330,799 330,799 330,799 8.1% (14)(39) Class A Units (95,709,910 units) 6/14/2012 — N/A — 31,146 294,298 7.1% (14)(16) 361,945 625,097 15.2% Freedom Marine Solutions, LLC (24) Energy Equipment & Services Membership Interest (100%) 11/9/2006 — N/A — 44,492 11,867 0.3% (16) 44,492 11,867 0.3% InterDent, Inc. Health Care Providers & Services Senior Secured Term Loan A/B 8/1/2018 16.65% (1ML+ 14.65%) 2.00 9/5/2022 14,249 14,249 14,249 0.3% (10) Senior Secured Term Loan A 8/3/2012 6.50% (1ML+ 5.50%) 1.00 9/5/2022 86,773 86,773 86,773 2.1% (10) Senior Secured Term Loan B 8/3/2012 12.00% PIK — 9/5/2022 153,052 153,052 153,052 3.7% (39) Common Stock (99,900 shares) 5/3/2019 — N/A — 45,118 194,060 4.8% (16) 299,192 448,134 10.9% Kickapoo Ranch Pet Resort Diversified Consumer Services Membership Interest (100%) 8/26/2019 — N/A — 2,378 3,833 0.1% (16) 2,378 3,833 0.1% MITY, Inc. (25) Commercial Services & Supplies Senior Secured Note A 9/19/2013 10.00% (3ML+ 7.00%) 3.00 4/30/2025 31,426 31,426 31,426 0.8% (10)(39) Senior Secured Note B 6/23/2014 10.00% (3ML+ 7.00%) plus 10.00% PIK 3.00 4/30/2025 17,815 17,815 17,815 0.4% (10)(39) Subordinated Unsecured Note to Broda Enterprises ULC 9/19/2013 10.00% — 1/1/2028 5,824 7,200 5,824 0.1% (14) Common Stock (42,053 shares) 9/19/2013 — N/A — 27,349 — —% (16) 83,790 55,065 1.3% See notes to consolidated financial statements. 9 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited) (in thousands, except share data) December 31, 2021 (Unaudited) Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets Control Investments (greater than 25.00% voting control)(40) National Property REIT Corp. (26) Equity Real Estate Investment Trusts (REITs) / Online Lending / Structured Finance Senior Secured Term Loan A 12/31/2018 4.44% (3ML+ 1.44%) plus 3.53% PIK 3.00 12/31/2023 $287,150 $287,150 $287,150 6.9% (10)(39) Senior Secured Term Loan B 12/31/2018 5.00% (3ML+ 2.00%) plus 5.50% PIK 3.00 12/31/2023 6,600 6,600 6,600 0.2% (10)(39) Senior Secured Term Loan C 10/31/2019 11.00% (3ML+ 10.00%) plus 2.25% PIK 1.00 12/31/2023 108,600 108,600 108,600 2.6% (10)(39) Senior Secured Term Loan D 6/19/2020 3.50% (3ML+ 0.50%) plus 2.50% PIK 3.00 12/31/2023 183,425 183,425 183,425 4.4% (10)(39) Residual Profit Interest 12/31/2018 — N/A — — 50,700 1.2% (35) Common Stock (3,274,921 shares) 12/31/2013 — N/A — 3,410 587,323 14.1% (16)(45) 589,185 1,223,798 29.4% Nationwide Loan Company LLC (27) Consumer Finance First Lien Term Loan 6/18/2014 10.00% plus 10.00% PIK — 6/18/2022 20,260 20,260 20,260 0.5% (14)(39) Class A Units (38,550,460 units) 1/31/2013 — N/A — 20,846 29,963 0.7% (14) 41,106 50,223 1.2% NMMB, Inc. (28) Media Delayed Draw Term Loan - $10,000 Commitment 3/25/2020 10.50% (3ML+ 8.50%) 2.00 12/30/2024 — — — —% (10)(15) Senior Secured Note 12/30/2019 10.50% (3ML+ 8.50%) 2.00 12/30/2024 4,798 4,798 4,798 0.1% (3)(10) Common Stock (21,418 shares) 12/30/2019 — N/A — 12,869 73,917 1.8% 17,667 78,715 1.9% Pacific World Corporation (36) Personal Products Revolving Line of Credit - $26,000 Commitment 9/26/2014 8.25% (1ML+ 7.25%) 1.00 9/26/2025 25,647 25,647 25,647 0.6% (10)(15)(39) Senior Secured Term Loan A 12/31/2014 6.25% PIK (1ML+ 5.25%) 1.00 9/26/2025 42,972 42,972 38,589 0.9% (10)(39) Convertible Preferred Equity (313,013 shares) 6/15/2018 — N/A 2,500 189,295 615 —% (16) Common Stock (6,778,414 shares) 9/29/2017 — N/A — — — —% (16) 257,914 64,851 1.5% R-V Industries, Inc. Machinery Senior Secured Term Loan 12/15/2020 10.00% (3ML+ 9.00%) 1.00 12/15/2028 28,622 28,622 28,622 0.7% (3)(10) Common Stock (745,107 shares) 6/26/2007 — N/A — 6,866 22,870 0.6% 35,488 51,492 1.3% Universal Turbine Parts, LLC (34) Trading Companies & Distributors Delayed Draw Term Loan - $6,965 Commitment 2/28/2019 10.25% (1ML+ 7.75%) 2.50 4/5/2024 3,157 3,157 3,157 0.1% (10)(15) Senior Secured Term Loan A 7/22/2016 6.75% (3ML+ 5.75%) 1.00 4/5/2024 29,575 29,575 24,199 0.6% (10) Preferred Units (47,244,213 units) 3/31/2021 — N/A — 32,500 — —% (16) Common Stock (10,000 units) 12/10/2018 — N/A — — — —% (16) 65,232 27,356 0.7% USES Corp. (30) Commercial Services & Supplies Senior Secured Term Loan A 3/31/2014 9.00% PIK — 7/29/2024 57,702 30,651 23,707 0.6% (9) Senior Secured Term Loan B 3/31/2014 15.50% PIK — 7/29/2024 83,828 35,568 — —% (9) Senior Secured Term Loan 12/30/2020 10.00% (1ML+ 9.00%) 1.00 7/29/2024 2,000 2,000 2,000 —% (10) Common Stock (268,962 shares) 6/15/2016 — N/A — — — —% (16) 68,219 25,707 0.6% Valley Electric Company, Inc. (31) Construction & Engineering Senior Secured Note to Valley Electric Co. of Mt. Vernon, Inc. 12/31/2012 8.00% (3ML+ 5.00%) plus 2.50% PIK 3.00 12/31/2024 10,430 10,430 10,430 0.3% (3)(10)(39) Senior Secured Note 6/24/2014 8.00% plus 10.00% PIK — 6/23/2024 33,301 33,301 33,301 0.8% (39) Consolidated Revenue Interest (2.00%) 6/22/2018 — N/A — — 1,552 —% (12) Common Stock (50,000 shares) 12/31/2012 — N/A — 26,204 101,234 2.4% 69,935 146,517 3.5% Total Control Investments (Level 3) $2,364,241 $3,057,923 73.9% See notes to consolidated financial statements. 10 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited) (in thousands, except share data) December 31, 2021 (Unaudited) Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets Affiliate Investments (5.00% to 24.99% voting control)(41) Nixon, Inc. (32) Textiles, Apparel & Luxury Goods Common Stock (857 units) 5/12/2017 — N/A $ — $ — $ — — % (16) — — — % PGX Holdings, Inc. (6) Diversified Consumer Services First Lien Term Loan 7/21/2021 9.25% (1ML+ 7.75%) 1.50 7/21/2026 67,818 67,818 67,818 1.6 % (3)(8)(10) Second Lien Term Loan 7/21/2021 13.25% (1ML+ 11.75%) 1.50 7/27/2027 153,931 153,931 153,931 3.7 % (3)(10) Common Stock (40,780,359 shares) 5/27/2020 — N/A — — 153,759 3.7 % (16) 221,749 375,508 9.0 % RGIS Services, LLC Commercial Services & Supplies Senior Secured Term Loan 6/25/2020 8.50% (2ML+ 7.50%) 1.00 6/25/2025 3,680 3,680 3,680 0.1 % (8)(10) Membership Interest (5.11%) 6/25/2020 — N/A — 10,303 15,256 0.4 % 13,983 18,936 0.5 % Targus Cayman HoldCo Limited (33) Textiles, Apparel & Luxury Goods Common Stock (7,383,395 shares) 2/12/2016 — N/A — 2,805 35,510 0.9 % (16) 2,805 35,510 0.9 % Total Affiliate Investments (Level 3) $ 238,537 $ 429,954 10.4 % See notes to consolidated financial statements. 11 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited) (in thousands, except share data) December 31, 2021 (Unaudited) Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets Non-Control/Non-Affiliate Investments (less than 5.00% voting control) 8th Avenue Food & Provisions, Inc. Food Products Second Lien Term Loan 9/21/2018 7.85% (1ML+ 7.75%) — 10/1/2026 $ 32,133 $ 31,946 $ 32,133 0.8 % (3)(8)(10) 31,946 32,133 0.8 % ABG Intermediate Holdings 2 LLC Textiles, Apparel & Luxury Goods Second Lien Term Loan 12/20/2021 6.65% (SOFR+ 6.15%) 0.50 12/20/2029 9,000 8,933 9,000 0.2 % (8)(10) 8,933 9,000 0.2 % AmeriLife Holdings, LLC Insurance Second Lien Term Loan 3/18/2020 9.50% (6ML+ 8.50%) 1.00 3/18/2028 22,280 21,939 22,280 0.5 % (3)(8)(10) 21,939 22,280 0.5 % Apidos CLO XI Structured Finance Subordinated Structured Note 12/6/2012 Residual Interest, current yield 8.80% — 4/17/2034 67,783 37,315 29,730 0.7 % (5)(14) 37,315 29,730 0.7 % Apidos CLO XII Structured Finance Subordinated Structured Note 3/15/2013 Residual Interest, current yield 4.71% — 4/15/2031 52,203 35,874 29,849 0.7 % (5)(14) 35,874 29,849 0.7 % Apidos CLO XV Structured Finance Subordinated Structured Note 9/13/2013 Residual Interest, current yield 6.48% — 4/21/2031 48,515 37,055 29,064 0.7 % (5)(14) 37,055 29,064 0.7 % Apidos CLO XXII Structured Finance Subordinated Structured Note 9/16/2015 Residual Interest, current yield 8.31% — 4/21/2031 35,855 29,748 25,748 0.6 % (5)(14) 29,748 25,748 0.6 % Atlantis Health Care Group (Puerto Rico), Inc. Health Care Providers & Services Revolving Line of Credit - $3,000 Commitment 2/21/2013 10.75% (3ML+ 8.75%) 2.00 4/29/2022 — — — — % (10)(15) Senior Secured Term Loan 2/21/2013 10.75% (3ML+ 8.75%) 2.00 4/29/2022 65,756 65,756 65,756 1.6 % (3)(10) 65,756 65,756 1.6 % Barings CLO 2018-III Structured Finance Subordinated Structured Note 10/9/2014 Residual Interest, current yield 0.00% — 7/20/2029 83,098 40,097 31,203 0.8 % (5)(14)(17) 40,097 31,203 0.8 % BCPE North Star US Holdco 2, Inc. Food Products Delayed Draw Term Loan - $5,185 Commitment 6/7/2021 8.00% (3ML+ 7.25%) 0.75 6/10/2023 — — — — % (8)(10)(15) Second Lien Term Loan 6/7/2021 8.00% (3ML+ 7.25%) 0.75 6/11/2029 94,815 94,538 94,815 2.3 % (3)(8)(10) 94,538 94,815 2.3 % BCPE Osprey Buyer, Inc. Health Care Technology Revolving Line of Credit - $4,239 Commitment 10/18/2021 6.50% (3ML+ 5.75%) 0.75 8/21/2026 — — — — % (8)(10)(15) Delayed Draw Term Loan - $22,609 Commitment 10/18/2021 6.50% (3ML+ 5.75%) 0.75 8/23/2028 — — — — % (8)(10)(15) First Lien Term Loan 10/18/2021 6.50% (3ML+ 5.75%) 0.75 8/23/2028 65,000 65,000 65,000 1.6 % (8)(10) 65,000 65,000 1.6 % Broder Bros., Co. Textiles, Apparel & Luxury Goods Senior Secured Note 12/4/2017 8.00% (3ML+ 7.00%) 1.00 12/4/2025 185,527 185,527 185,527 4.5 % (3)(10) 185,527 185,527 4.5 % Brookside Mill CLO Ltd. Structured Finance Subordinated Structured Note 4/25/2013 Residual Interest, current yield 0.00% — 1/17/2028 36,300 14,317 6,023 0.1 % (5)(14)(17) 14,317 6,023 0.1 % California Street CLO IX Ltd. Structured Finance Subordinated Structured Note 4/19/2012 Residual Interest, current yield 10.30% — 7/16/2032 58,915 43,425 30,047 0.7 % (5)(14) 43,425 30,047 0.7 % Candle-Lite Company, LLC Household Products Senior Secured Term Loan A 1/23/2018 6.75% (3ML+ 5.50%) 1.25 1/23/2023 10,112 10,112 10,112 0.2 % (3)(10) Senior Secured Term Loan B 1/23/2018 10.75% (3ML+ 9.50%) 1.25 1/23/2023 10,949 10,949 10,949 0.3 % (3)(10) 21,061 21,061 0.5 % Capstone Logistics Acquisition, Inc. Commercial Services & Supplies Second Lien Delayed Draw Term Loan - $1,500 Commitment 11/12/2020 9.75% (1ML+ 8.75%) 1.00 11/13/2028 — — — — % (8)(10)(15) Second Lien Term Loan 11/12/2020 9.75% (1ML+ 8.75%) 1.00 11/13/2028 8,500 8,226 8,500 0.2 % (3)(8)(10) 8,226 8,500 0.2 % See notes to consolidated financial statements. 12 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited) (in thousands, except share data) December 31, 2021 (Unaudited) Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets Non-Control/Non-Affiliate Investments (less than 5.00% voting control) Carlyle C17 CLO Limited Structured Finance Subordinated Structured Note 1/24/2013 Residual Interest, current yield 11.59% — 4/30/2031 $ 24,870 $ 15,434 $ 13,435 0.3 % (5)(14) 15,434 13,435 0.3 % Carlyle Global Market Strategies CLO 2014-4-R, Ltd. Structured Finance Subordinated Structured Note 4/7/2017 Residual Interest, current yield 11.63% — 7/15/2030 25,534 19,151 16,517 0.4 % (5)(14) 19,151 16,517 0.4 % Carlyle Global Market Strategies CLO 2016-3, Ltd. Structured Finance Subordinated Structured Note 8/9/2016 Residual Interest, current yield 9.92% — 7/20/2034 32,200 32,079 27,443 0.7 % (5)(14) 32,079 27,443 0.7 % Cent CLO 21 Limited Structured Finance Subordinated Structured Note 5/15/2014 Residual Interest, current yield 5.05% — 7/29/2030 49,552 37,405 30,169 0.7 % (5)(14) 37,405 30,169 0.7 % CIFC Funding 2013-III-R, Ltd. Structured Finance Subordinated Structured Note 8/2/2013 Residual Interest, current yield 9.43% — 4/24/2031 44,100 28,022 20,801 0.5 % (5)(14) 28,022 20,801 0.5 % CIFC Funding 2013-IV, Ltd. Structured Finance Subordinated Structured Note 10/22/2013 Residual Interest, current yield 12.59% — 4/28/2031 45,500 31,892 29,548 0.7 % (5)(14) 31,892 29,548 0.7 % CIFC Funding 2014-IV-R, Ltd. Structured Finance Subordinated Structured Note 8/5/2014 Residual Interest, current yield 10.16% — 10/17/2030 50,143 30,661 25,241 0.6 % (5)(14) 30,661 25,241 0.6 % CIFC Funding 2016-I, Ltd. Structured Finance Subordinated Structured Note 12/9/2016 Residual Interest, current yield 11.86% — 10/21/2031 34,000 30,214 29,357 0.7 % (5)(14) 30,214 29,357 0.7 % Collections Acquisition Company, Inc. Diversified Financial Services Senior Secured Term Loan 12/3/2019 10.15% (3ML+ 7.65%) 2.50 6/3/2024 30,165 30,165 30,165 0.7 % (3)(10) 30,165 30,165 0.7 % Columbia Cent CLO 27 Limited Structured Finance Subordinated Structured Note 12/18/2013 Residual Interest, current yield 14.36% — 10/25/2028 48,978 28,591 28,795 0.7 % (5)(14) 28,591 28,795 0.7 % CP IRIS Holdco I, Inc. (49) Building Products Second Lien Term Loan 10/1/2021 7.50% (1ML+ 7.00%) 0.50 10/1/2029 35,000 35,000 35,000 0.8 % (3)(8)(10) 35,000 35,000 0.8 % Curo Group Holdings Corp. Consumer Finance Senior Secured Note 7/30/2021 7.50% — 8/1/2028 44,000 44,051 44,403 1.1 % (8)(14)(47) 44,051 44,403 1.1 % DRI Holding Inc. Commercial Services & Supplies First Lien Term Loan 12/21/2021 5.75% (1ML+ 5.25%) 0.50 12/21/2028 20,000 20,000 20,000 0.5 % (8)(10) Second Lien Term Loan 12/21/2021 8.50% (1ML+ 8.00%) 0.50 12/21/2029 135,000 135,000 135,000 3.3 % (10) 155,000 155,000 3.8 % Dunn Paper, Inc. Paper & Forest Products First Lien Term Loan 11/18/2019 6.25% (3ML+ 5.25%) 1.00 8/26/2022 4,468 4,440 4,447 0.1 % (3)(8)(10) Second Lien Term Loan 8/26/2016 10.25% (3ML+ 9.25%) 1.00 8/26/2023 11,500 11,445 10,756 0.3 % (3)(8)(10) 15,885 15,203 0.4 % Easy Gardener Products, Inc. Household Durables Third Lien Term Loan 6/11/2020 10.25% (3ML+ 10.00%) 0.25 9/30/2024 3,930 3,930 3,930 0.1 % (10) Class A Units of EZG Holdings, LLC (200 units) 6/11/2020 — N/A — 313 781 — % (16) Class B Units of EZG Holdings, LLC (12,525 units) 6/11/2020 — N/A — 1,688 5,078 0.1 % (16) 5,931 9,789 0.2 % Engine Group, Inc. (7) Media Senior Secured Term Loan 11/17/2020 5.75% (1ML+ 4.75%) 1.00 11/17/2023 8,461 8,461 8,045 0.2 % (8)(10) Class B Common Units (1,039,554 units) 11/17/2020 — N/A — 26,991 — — % (8)(16) 35,452 8,045 0.2 % Engineered Machinery Holdings, Inc. Machinery Incremental Amendment No. 2 Term Loan 5/6/2021 7.25% (3ML+ 6.50%) 0.75 7/18/2025 5,000 4,979 5,000 0.1 % (3)(8)(10) Incremental Amendment No. 3 Term Loan 8/6/2021 6.75% (3ML+ 6.00%) 0.75 5/21/2029 5,000 5,000 5,000 0.1 % (3)(8)(10) 9,979 10,000 0.2 % See notes to consolidated financial statements. 13 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited) (in thousands, except share data) December 31, 2021 (Unaudited) Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets Non-Control/Non-Affiliate Investments (less than 5.00% voting control) Enseo Acquisition, Inc. IT Services First Lien Term Loan 6/2/2021 9.00% (3ML+ 8.00%) 1.00 6/2/2026 $ 54,725 $ 54,725 $ 54,725 1.3 % (3)(10) 54,725 54,725 1.3 % EXC Holdings III Corp Technology Hardware, Storage & Peripherals Second Lien Term Loan 11/17/2017 8.50% (3ML+ 7.50%) 1.00 12/1/2025 12,500 12,439 12,500 0.3 % (3)(8)(10) 12,439 12,500 0.3 % Eze Castle Integration, Inc. (f/k/a/ H.I.G. ECI Merger Sub, Inc.) IT Services Delayed Draw Term Loan - $1,786 Commitment 7/15/2020 10.00% (1ML+ 8.50%) 1.50 7/15/2025 — — — — % (10)(15) First Lien Term Loan 7/15/2020 10.00% (1ML+ 8.50%) 1.50 7/15/2025 46,981 46,981 46,981 1.1 % (3)(10) 46,981 46,981 1.1 % First Brands Group Auto Components First Lien Term Loan 3/24/2021 6.00% (3ML+ 5.00%) 1.00 3/30/2027 16,624 16,501 16,624 0.4 % (3)(8)(10) Second Lien Term Loan 3/24/2021 9.50% (3ML+ 8.50%) 1.00 3/30/2028 32,000 31,482 32,000 0.8 % (3)(8)(10) 47,983 48,624 1.2 % Galaxy XV CLO, Ltd. Structured Finance Subordinated Structured Note 2/13/2013 Residual Interest, current yield 11.18% — 10/15/2030 50,524 35,021 27,263 0.7 % (5)(14) 35,021 27,263 0.7 % Galaxy XXVII CLO, Ltd. Structured Finance Subordinated Structured Note 9/30/2013 Residual Interest, current yield 9.58% — 5/16/2031 24,575 16,551 12,138 0.3 % (5)(14) 16,551 12,138 0.3 % Galaxy XXVIII CLO, Ltd. Structured Finance Subordinated Structured Note 5/30/2014 Residual Interest, current yield 7.60% — 7/15/2031 39,905 28,487 17,573 0.4 % (5)(14) 28,487 17,573 0.4 % Global Tel*Link Corporation Diversified Telecommunication Services First Lien Term Loan 8/7/2019 4.35% (1ML+ 4.25%) — 11/29/2025 9,728 9,472 9,728 0.2 % (3)(8)(10) Second Lien Term Loan 11/20/2018 8.35% (1ML+ 8.25%) — 11/29/2026 47,670 46,641 47,670 1.2 % (3)(8)(10) 56,113 57,398 1.4 % Halcyon Loan Advisors Funding 2012-1 Ltd. Structured Finance Subordinated Structured Note 8/7/2012 Residual Interest, current yield 0.00% — 8/15/2023 23,188 3,704 19 — % (5)(14)(17) 3,704 19 — % Halcyon Loan Advisors Funding 2013-1 Ltd. Structured Finance Subordinated Structured Note 3/8/2013 Residual Interest, current yield 0.00% — 4/15/2025 40,400 19,984 33 — % (5)(14)(17) 19,984 33 — % Halcyon Loan Advisors Funding 2014-1 Ltd. Structured Finance Subordinated Structured Note 2/7/2014 Residual Interest, current yield 0.00% — 4/20/2026 24,500 11,822 64 — % (5)(14)(17) 11,822 64 — % Halcyon Loan Advisors Funding 2014-2 Ltd. Structured Finance Subordinated Structured Note 4/14/2014 Residual Interest, current yield 0.00% — 4/28/2025 41,164 21,322 94 — % (5)(14)(17) 21,322 94 — % Halcyon Loan Advisors Funding 2015-3 Ltd. Structured Finance Subordinated Structured Note 7/23/2015 Residual Interest, current yield 0.00% — 10/18/2027 39,598 29,557 367 — % (5)(14)(17) 29,557 367 — % HarbourView CLO VII-R, Ltd. Structured Finance Subordinated Structured Note 6/5/2015 Residual Interest, current yield 0.00% — 7/18/2031 19,025 13,023 5,429 0.1 % (5)(14)(17) 13,023 5,429 0.1 % Help/Systems Holdings, Inc. Software Second Lien Term Loan 11/14/2019 7.50% (3ML+ 6.75%) 0.75 11/19/2027 52,500 52,267 52,500 1.3 % (3)(8)(10) 52,267 52,500 1.3 % Interventional Management Services, LLC Health Care Providers & Services Revolving Line of Credit - $5,000 Commitment 2/22/2021 9.50% (3ML+ 8.50%) 1.00 2/22/2025 5,000 5,000 5,000 0.1 % (10)(15) Senior Secured Term Loan 2/22/2021 9.50% (3ML+ 8.50%) 1.00 2/20/2026 69,090 69,090 69,090 1.7 % (3)(10) 74,090 74,090 1.8 % Jefferson Mill CLO Ltd. Structured Finance Subordinated Structured Note 6/26/2015 Residual Interest, current yield 4.24% — 10/20/2031 23,594 19,109 13,032 0.3 % (5)(14) 19,109 13,032 0.3 % See notes to consolidated financial statements. 14 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited) (in thousands, except share data) December 31, 2021 (Unaudited) Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets Non-Control/Non-Affiliate Investments (less than 5.00% voting control) K&N Parent, Inc. Auto Components First Lien Term Loan 2/20/2020 5.75% (3ML+ 4.75%) 1.00 10/20/2023 $ 1,873 $ 1,738 $ 1,873 — % (8)(10) Second Lien Term Loan 10/19/2016 9.75% (3ML+ 8.75%) 1.00 10/21/2024 25,887 25,656 25,887 0.6 % (8)(10) 27,394 27,760 0.6 % Keystone Acquisition Corp. (4) Health Care Providers & Services Second Lien Term Loan 5/10/2017 10.25% (1ML+ 9.25%) 1.00 5/1/2025 50,000 50,000 50,000 1.2 % (3)(8)(10) 50,000 50,000 1.2 % KM2 Solutions LLC IT Services First Lien Term Loan 12/17/2020 9.00% (3ML+ 8.00%) 1.00 12/17/2025 24,750 24,750 24,750 0.6 % (3)(10) 24,750 24,750 0.6 % LCM XIV Ltd. Structured Finance Subordinated Structured Note 6/25/2013 Residual Interest, current yield 5.83% — 7/21/2031 49,933 27,491 19,947 0.5 % (5)(14) 27,491 19,947 0.5 % LGC US FINCO, LLC Machinery First Lien Term Loan 1/17/2020 7.50% (1ML+ 6.50%) 1.00 12/20/2025 28,800 28,198 28,800 0.7 % (3)(8)(10) 28,198 28,800 0.7 % Magnate Worldwide, LLC Air Freight & Logistics Second Lien Term Loan 12/30/2021 8.50% (3ML+ 7.75%) 0.75 12/30/2029 95,000 95,000 95,000 2.3 % (8)(10) 95,000 95,000 2.3 % Mamba Purchaser, Inc. Health Care Providers & Services Second Lien Term Loan 9/29/2021 7.00% (1ML+ 6.50%) 0.50 10/14/2029 5,000 4,976 5,000 0.1 % (3)(8)(10) 4,976 5,000 0.1 % Medical Solutions Holdings, Inc. (50) Health Care Providers & Services Second Lien Term Loan 11/1/2021 7.50% (3ML+ 7.00%) 0.50 11/1/2029 53,000 53,000 53,000 1.3 % (3)(8)(10) 53,000 53,000 1.3 % Medusind Acquisition, Inc. (19) Health Care Providers & Services First Lien Term Loan 9/30/2019 7.50% (3ML+ 6.50%) 1.00 4/8/2024 23,885 23,697 23,885 0.6 % (3)(10) 23,697 23,885 0.6 % Mountain View CLO 2013-I Ltd. Structured Finance Subordinated Structured Note 4/17/2013 Residual Interest, current yield 3.38% — 10/15/2030 43,650 27,633 16,253 0.4 % (5)(14) 27,633 16,253 0.4 % Mountain View CLO IX Ltd. Structured Finance Subordinated Structured Note 5/13/2015 Residual Interest, current yield 10.99% — 7/15/2031 47,830 27,210 25,156 0.6 % (5)(14) 27,210 25,156 0.6 % Nexus Buyer LLC Capital Markets Second Lien Term Loan 11/5/2021 6.75% (1ML+ 6.25%) 0.50 11/5/2029 42,500 42,500 42,500 1.0 % (8)(10) 42,500 42,500 1.0 % Octagon Investment Partners XV, Ltd. Structured Finance Subordinated Structured Note 1/24/2013 Residual Interest, current yield 8.03% — 7/19/2030 42,064 31,197 24,442 0.6 % (5)(14) 31,197 24,442 0.6 % Octagon Investment Partners 18-R Ltd. Structured Finance Subordinated Structured Note 8/12/2015 Residual Interest, current yield 10.01% — 4/16/2031 46,015 23,644 17,829 0.4 % (5)(14) 23,644 17,829 0.4 % OneTouchPoint Corp Professional Services Senior Secured Term Loan 2/19/2021 9.00% (3ML+ 8.00%) 1.00 2/19/2026 39,893 39,893 39,893 1.0 % (3)(10) 39,893 39,893 1.0 % Orva Buyer, LLC Specialty Retail Senior Secured Term Loan 12/23/2020 9.50% (1ML+ 7.50%) 2.00 12/23/2025 39,690 39,690 39,690 1.0 % (3)(10) 39,690 39,690 1.0 % PeopleConnect Holdings, LLC (11) Interactive Media & Services Senior Secured Term Loan 1/22/2020 10.00% (3ML+ 8.25%) 1.75 1/22/2025 249,831 249,831 249,831 6.0 % (3)(10) 249,831 249,831 6.0 % See notes to consolidated financial statements. 15 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited) (in thousands, except share data) December 31, 2021 (Unaudited) Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets Non-Control/Non-Affiliate Investments (less than 5.00% voting control) PetVet Care Centers, LLC (f/k/a Pearl Intermediate Parent LLC) Health Care Providers & Services Second Lien Term Loan 2/1/2018 6.35% (1ML+ 6.25%) — 2/15/2026 $ 11,000 $ 10,987 $ 11,000 0.3 % (3)(8)(10) 10,987 11,000 0.3 % PlayPower, Inc. Leisure Products First Lien Term Loan 5/7/2019 5.72% (3ML+ 5.50%) — 5/10/2026 5,873 5,833 5,669 0.1 % (3)(8)(10) 5,833 5,669 0.1 % Preventics, Inc. (d/b/a Legere Pharmaceuticals) (46) Health Care Providers & Services First Lien Term Loan 11/12/2021 11.50% (3ML+ 10.50%) 1.00 11/12/2026 9,289 9,289 9,289 0.3 % (3)(10) Series A Convertible Preferred Stock (320 units) 11/12/2021 — N/A — 127 127 — % (16) Series C Convertible Preferred Stock (3,575 units) 11/12/2021 — N/A — 1,419 1,420 — % (16) 10,835 10,836 0.3 % RC Buyer, Inc. Auto Components Second Lien Term Loan 7/26/2021 7.50% (3ML+ 6.75%) 0.75 7/30/2029 20,000 19,905 20,000 0.5 % (3)(8)(10) 19,905 20,000 0.5 % Redstone Holdco 2 LP (22) IT Services Second Lien Term Loan 4/16/2021 8.50% (3ML+ 7.75%) 0.75 4/27/2029 50,000 49,185 48,962 1.2 % (3)(8)(10) 49,185 48,962 1.2 % Research Now Group, Inc. & Survey Sampling International LLC Professional Services First Lien Term Loan 12/8/2017 6.50% (6ML+ 5.50%) 1.00 12/20/2024 9,600 9,369 9,600 0.2 % (3)(8)(10) Second Lien Term Loan 12/8/2017 10.50% (6ML+ 9.50%) 1.00 12/20/2025 50,000 48,276 50,000 1.2 % (3)(8)(10) 57,645 59,600 1.4 % Rising Tide Holdings, Inc. Diversified Consumer Services Second Lien Term Loan 5/26/2021 9.00% (1ML+ 8.25%) 0.75 6/1/2029 23,000 22,680 23,000 0.6 % (3)(8)(10) 22,680 23,000 0.6 % RME Group Holding Company Media Senior Secured Term Loan A 5/4/2017 8.00% (3ML+ 7.00%) 1.00 5/4/2022 26,521 26,521 26,521 0.7 % (3)(10) Senior Secured Term Loan B 5/4/2017 13.00% (3ML+ 12.00%) 1.00 5/4/2022 21,974 21,974 21,974 0.5 % (3)(10) 48,495 48,495 1.2 % Romark WM-R Ltd. Structured Finance Subordinated Structured Note 4/11/2014 Residual Interest, current yield 3.69% — 4/21/2031 27,725 21,689 15,056 0.4 % (5)(14) 21,689 15,056 0.4 % Rosa Mexicano Hotels, Restaurants & Leisure Revolving Line of Credit - $500 Commitment 3/29/2018 8.75% (3ML+ 7.50%) 1.25 3/29/2023 456 456 448 — % (10)(15) Senior Secured Term Loan 3/29/2018 8.75% (3ML+ 7.50%) 1.25 3/29/2023 23,589 23,589 23,204 0.6 % (10) 24,045 23,652 0.6 % Securus Technologies Holdings, Inc. Communications Equipment First Lien Term Loan 8/2/2019 5.50% (3ML+ 4.50%) 1.00 11/1/2024 9,746 9,179 9,662 0.2 % (3)(8)(10) Second Lien Term Loan 6/20/2017 9.25% (3ML+ 8.25%) 1.00 11/1/2025 50,662 50,566 50,640 1.2 % (3)(8)(10) 59,745 60,302 1.4 % SEOTownCenter, Inc. IT Services Senior Secured Term Loan A 4/10/2018 9.50% (3ML+ 7.50%) 2.00 4/7/2023 23,867 23,867 23,867 0.5 % (3)(10) Senior Secured Term Loan B 4/10/2018 14.50% (3ML+ 12.50%) 2.00 4/7/2023 19,027 19,027 19,027 0.5 % (3)(10) 42,894 42,894 1.0 % Shearer’s Foods, LLC Food Products Second Lien Term Loan 9/15/2020 8.75% (3ML+ 7.75%) 1.00 9/23/2028 5,000 4,916 5,000 0.1 % (3)(8)(10) 4,916 5,000 0.1 % Shutterfly, LLC Internet & Direct Marketing Retail 2021 Refinancing Term B Loan 7/1/2021 5.75% (3ML+ 5.00%) 0.75 9/25/2026 20,295 20,202 20,259 0.5 % (3)(8)(10) 20,202 20,259 0.5 % Sorenson Communications, LLC Diversified Telecommunication Services First Lien Term Loan 3/12/2021 6.25% (3ML+ 5.50%) 0.75 3/17/2026 16,577 16,424 16,577 0.4 % (3)(8)(10) 16,424 16,577 0.4 % See notes to consolidated financial statements. 16 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited) (in thousands, except share data) December 31, 2021 (Unaudited) Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets Non-Control/Non-Affiliate Investments (less than 5.00% voting control) Southern Veterinary Partners Health Care Providers & Services Second Lien Term Loan 10/2/2020 8.75% (6ML+ 7.75%) 1.00 10/5/2028 $ 8,000 $ 7,932 $ 8,000 0.2 % (3)(8)(10) 7,932 8,000 0.2 % Spectrum Holdings III Corp Health Care Equipment & Supplies Second Lien Term Loan 1/26/2018 8.00% (6ML+ 7.00%) 1.00 1/31/2026 7,500 7,481 7,037 0.2 % (3)(8)(10) 7,481 7,037 0.2 % Staples, Inc. Distributors First Lien Term Loan 11/18/2019 5.13% (3ML+ 5.00%) — 4/16/2026 8,819 8,759 8,579 0.2 % (3)(8)(10)(47) 8,759 8,579 0.2 % Strategic Materials Household Durables Second Lien Term Loan 10/27/2017 8.75% (3ML+ 7.75%) 1.00 11/1/2025 7,000 6,967 5,700 0.1 % (8)(10) 6,967 5,700 0.1 % Stryker Energy, LLC Energy Equipment & Services Overriding Royalty Interests 12/4/2006 — N/A — — — — % (13) — — — % Sudbury Mill CLO Ltd. Structured Finance Subordinated Structured Note 11/14/2013 Residual Interest, current yield 0.00% — 1/19/2026 28,200 — — — % (5)(14)(17) — — — % Symphony CLO XIV, Ltd. Structured Finance Subordinated Structured Note 5/6/2014 Residual Interest, current yield 0.00% — 7/14/2026 49,250 24,935 14,041 0.3 % (5)(14)(17) 24,935 14,041 0.3 % Symphony CLO XV, Ltd. Structured Finance Subordinated Structured Note 10/17/2014 Residual Interest, current yield 5.75% — 1/19/2032 63,831 44,079 27,795 0.7 % (5)(14) 44,079 27,795 0.7 % The Octave Music Group, Inc. Entertainment First Lien Term Loan 2/26/2020 6.25% (1ML+ 5.25%) plus 0.75% PIK 1.00 5/29/2025 30,350 30,095 30,350 0.7 % (3)(8)(10)(39) 30,095 30,350 0.7 % Town & Country Holdings, Inc. Distributors First Lien Term Loan 1/26/2018 5.00% (3ML+ 3.50%) plus 8.125% PIK 1.50 1/26/2023 160,345 160,345 160,345 3.9 % (3)(10)(39) 160,345 160,345 3.9 % TPS, LLC Machinery First Lien Term Loan 11/30/2020 10.00% (3ML+ 9.00%) plus 1.50% PIK 1.00 11/30/2025 28,463 28,463 28,463 0.7 % (3)(10)(39) 28,463 28,463 0.7 % United Sporting Companies, Inc. (18) Distributors Second Lien Term Loan 9/28/2012 13.25% (1ML+ 11.00%) plus 2.00% PIK 2.25 11/16/2019 144,692 103,730 6,284 0.2 % (9)(10) 103,730 6,284 0.2 % Universal Fiber Systems, LLC Textiles, Apparel & Luxury Goods Second Lien Term Loan 10/2/2015 10.50% (1ML+ 9.50%) 1.00 10/2/2022 37,000 36,921 36,253 0.9 % (3)(8)(10) 36,921 36,253 0.9 % Upstream Newco, Inc. Health Care Providers & Services Second Lien Term Loan 11/20/2019 8.60% (1ML+ 8.50%) — 11/20/2027 22,000 21,849 22,000 0.5 % (3)(8)(10) 21,849 22,000 0.5 % USG Intermediate, LLC Leisure Products Revolving Line of Credit - $3,000 Commitment 4/15/2015 10.25% (1ML+ 9.25%) 1.00 8/24/2024 3,000 3,000 3,000 0.1 % (10)(15) Senior Secured Term Loan B 4/15/2015 12.75% (1ML+ 11.75%) 1.00 8/24/2024 22,800 22,800 22,800 0.6 % (3)(10) Equity 4/15/2015 — N/A — 1 — — % (16) 25,801 25,800 0.7 % VC GB Holdings I Corp Household Durables Second Lien Term Loan 6/30/2021 7.25% (3ML+ 6.75%) 0.50 7/23/2029 23,000 22,782 23,000 0.6 % (3)(8)(10) 22,782 23,000 0.6 % Venio LLC (48) Professional Services First Lien Term Loan 2/19/2014 1.00% PIK — 2/19/2020 14,481 14,481 12,199 0.3 % (39) 14,481 12,199 0.3 % Victor Technology, LLC Commercial Services & Supplies Senior Secured Term Loan 12/3/2021 8.50% (3ML+ 7.50%) 1.00 12/3/2028 30,000 30,000 30,000 0.7 % (3)(10) 30,000 30,000 0.7 % Vision Solutions, Inc. (29) IT Services Second Lien Term Loan 4/23/2021 8.00% (3ML+ 7.25%) 0.75 4/23/2029 60,000 59,474 60,000 1.4 % (3)(8)(10) 59,474 60,000 1.4 % See notes to consolidated financial statements. 17 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited) (in thousands, except share data) December 31, 2021 (Unaudited) Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets Non-Control/Non-Affiliate Investments (less than 5.00% voting control) Voya CLO 2012-4, Ltd. Structured Finance Subordinated Structured Note 11/5/2012 Residual Interest, current yield 6.85% — 10/15/2030 $ 40,613 $ 30,464 $ 24,496 0.6 % (5)(14) 30,464 24,496 0.6 % Voya CLO 2014-1, Ltd. Structured Finance Subordinated Structured Note 2/5/2014 Residual Interest, current yield 3.02% — 4/18/2031 40,773 28,573 17,885 0.4 % (5)(14) 28,573 17,885 0.4 % Voya CLO 2016-3, Ltd. Structured Finance Subordinated Structured Note 9/30/2016 Residual Interest, current yield 8.26% — 10/20/2031 28,100 24,558 19,841 0.5 % (5)(14) 24,558 19,841 0.5 % Voya CLO 2017-3, Ltd. Structured Finance Subordinated Structured Note 6/13/2017 Residual Interest, current yield 12.13% — 4/20/2034 44,885 49,446 42,735 1.0 % (5)(14) 49,446 42,735 1.0 % VT Topco, Inc. Commercial Services & Supplies Second Lien Term Loan 8/14/2018 6.85% (1ML+ 6.75%) — 8/17/2026 7,000 6,980 6,963 0.2 % (3)(8)(10) 2021 Term Loans 7/30/2021 7.50% (1ML+ 6.75%) 0.75 8/17/2026 13,250 13,159 13,224 0.3 % (3)(8)(10) 20,139 20,187 0.5 % Wellpath Holdings, Inc. (f/k/a CCS-CMGC Holdings, Inc.) Health Care Providers & Services First Lien Term Loan 5/13/2019 5.63% (3ML+ 5.50%) — 10/1/2025 $ 14,464 $ 14,278 $ 14,464 0.4 % (3)(8)(10) Second Lien Term Loan 9/25/2018 9.13% (3ML+ 9.00%) — 10/1/2026 37,000 36,577 37,000 0.9 % (3)(8)(10) 50,855 51,464 1.3 % Total Non-Control/Non-Affiliate Investments (Level 3) $ 3,938,560 $ 3,514,969 84.8 % Total Portfolio Investments (Level 3) $ 6,541,338 $ 7,002,846 169.1 % See notes to consolidated financial statements. 18 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF JUNE 30, 2021 (in thousands, except share data) June 30, 2021 Portfolio Company Industry Investments(1)(38) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets LEVEL 3 PORTFOLIO INVESTMENTS Control Investments (greater than 25.00% voting control)(42) CP Energy Services Inc. (20) Energy Equipment & Services Senior Secured Term Loan 10/1/2017 12.00% (3ML+ 11.00%) 1.00 1/31/2024 $ 41,422 $ 41,422 $ 41,422 1.0% (10)(39) Senior Secured Term Loan A to Spartan Energy Services, LLC 10/20/2014 9.00% (1ML+ 8.00%) 1.00 12/31/2022 15,656 15,656 15,656 0.4% (10) Series A Preferred Units to Spartan Energy Holdings, Inc. (10,000 shares) 9/25/2020 — N/A — 26,193 11,210 0.3% (16) Series B Convertible Preferred Stock (790 shares) 10/30/2015 — N/A — 63,225 3,199 0.1% (16) Common Stock (102,924 shares) 8/2/2013 — N/A — 86,239 — —% (16) 232,735 71,487 1.8% Credit Central Loan Company, LLC (21) Consumer Finance Subordinated Term Loan 12/28/2012 10.00% plus 10.00% PIK — 6/26/2024 68,137 65,599 68,137 1.7% (14)(39) Class A Units (14,867,312 units) 12/28/2012 — N/A — 19,331 9,886 0.3% (14)(16) Net Revenues Interest (25% of Net Revenues) 1/28/2015 — N/A — — — —% (14)(16) 84,930 78,023 2.0% Echelon Transportation, LLC Aerospace & Defense Senior Secured Term Loan 3/31/2014 11.75% (1ML+ 9.75%) plus 2.25% PIK 2.00 3/31/2022 52,457 52,457 52,457 1.3% (10)(39) Senior Secured Term Loan 12/9/2016 11.00% (1ML+ 9.00%) plus 1.00% PIK 2.00 12/7/2024 22,949 22,949 22,949 0.6% (10)(39) Membership Interest (100%) 3/31/2014 — N/A — 22,738 8,834 0.2% (16) 98,144 84,240 2.1% First Tower Finance Company LLC (23) Consumer Finance First Lien Term Loan 6/24/2014 10.00% plus 12.00% PIK — 6/24/2024 324,708 324,708 324,708 8.2% (14)(39) Class A Units (95,709,910 units) 6/14/2012 — N/A — 31,146 267,648 6.8% (14)(16) 355,854 592,356 15.0% Freedom Marine Solutions, LLC (24) Energy Equipment & Services Membership Interest (100%) 11/9/2006 — N/A — 44,492 11,717 0.3% (16) 44,492 11,717 0.3% InterDent, Inc. Health Care Providers & Services Senior Secured Term Loan A/B 8/1/2018 11.85% (1ML+ 9.85%) 2.00 9/5/2022 14,249 14,249 14,249 0.4% (10) Senior Secured Term Loan A 8/3/2012 6.50% (1ML+ 5.50%) 1.00 9/5/2022 79,242 79,242 79,242 2.0% (10) Senior Secured Term Loan B 8/3/2012 12.00% PIK — 9/5/2022 144,080 144,080 144,080 3.7% (39) Common Stock (99,900 shares) 5/3/2019 — N/A — 45,118 174,768 4.4% (16) 282,689 412,339 10.5% Kickapoo Ranch Pet Resort Diversified Consumer Services Membership Interest (100%) 8/26/2019 — N/A — 2,378 3,833 0.1% (16) 2,378 3,833 0.1% MITY, Inc. (25) Commercial Services & Supplies Senior Secured Note A 9/19/2013 10.00% (3ML+ 7.00%) 3.00 4/30/2025 29,867 29,867 29,867 0.8% (10)(39) Senior Secured Note B 6/23/2014 10.00% (3ML+ 7.00%) plus 10.00% PIK 3.00 4/30/2025 16,098 16,098 16,098 0.4% (10)(39) Subordinated Unsecured Note to Broda Enterprises ULC 9/19/2013 10.00% — 1/1/2028 5,949 7,200 3,715 0.1% (14) Common Stock (42,053 shares) 9/19/2013 — N/A — 27,349 — —% (16) 80,514 49,680 1.3% See notes to consolidated financial statements. 19 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF JUNE 30, 2021 (in thousands, except share data) June 30, 2021 Portfolio Company Industry Investments(1)(38) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets LEVEL 3 PORTFOLIO INVESTMENTS Control Investments (greater than 25.00% voting control)(42) National Property REIT Corp. (26) Equity Real Estate Investment Trusts (REITs) / Online Lending / Structured Finance Senior Secured Term Loan A 12/31/2018 4.44% (3ML+ 1.44%) plus 3.53% PIK 3.00 12/31/2023 $ 473,276 $ 473,276 $ 473,276 12.0% (10)(39) Senior Secured Term Loan B 12/31/2018 5.00% (3ML+ 2.00%) plus 5.50% PIK 3.00 12/31/2023 6,600 6,600 6,600 0.2% (10)(39) Senior Secured Term Loan C 10/31/2019 11.00% (3ML+ 10.00%) plus 2.25% PIK 1.00 12/31/2023 90,200 90,200 90,200 2.3% (10)(39) Senior Secured Term Loan D 6/19/2020 3.50% (3ML+ 0.50%) plus 2.50% PIK 3.00 12/31/2023 183,425 183,425 183,425 4.6% (10)(39) Residual Profit Interest 12/31/2018 — N/A — — 34,507 0.9% (35) Common Stock (3,254,594 shares) 12/31/2013 — N/A — 210 401,747 10.2% (45) 753,711 1,189,755 30.2% Nationwide Loan Company LLC (27) Consumer Finance First Lien Term Loan 6/18/2014 10.00% plus 10.00% PIK — 6/18/2022 20,260 20,260 20,260 0.5% (14)(39) Class A Units (38,550,460 units) 1/31/2013 — N/A — 20,846 27,733 0.7% (14)(16) 41,106 47,993 1.2% NMMB, Inc. (28) Media Delayed Draw Term Loan - $10,000 Commitment 3/25/2020 10.50% (3ML+ 8.50%) 2.00 12/30/2024 — — — —% (10)(15) Senior Secured Note 12/30/2019 10.50% (3ML+ 8.50%) 2.00 12/30/2024 4,874 4,874 4,874 0.1% (3)(10) Common Stock (21,418 shares) 12/30/2019 — N/A — 12,869 42,014 1.1% 17,743 46,888 1.2% Pacific World Corporation (36) Personal Products Revolving Line of Credit - $26,000 Commitment 9/26/2014 8.25% (1ML+ 7.25%) 1.00 9/26/2025 20,825 20,825 20,825 0.5% (10)(15) Senior Secured Term Loan A 12/31/2014 6.25% PIK (1ML+ 5.25%) 1.00 9/26/2025 41,625 41,625 41,625 1.1% (10)(39) Convertible Preferred Equity (287,021 shares) 6/15/2018 — N/A — 186,795 8,647 0.2% (16) Common Stock (6,778,414 shares) 9/29/2017 — N/A — — — —% (16) 249,245 71,097 1.8% R-V Industries, Inc. Machinery Senior Secured Term Loan 12/15/2020 10.00% (3ML+ 9.00%) 1.00 12/15/2028 28,622 28,622 28,622 0.7% (3)(10) Common Stock (745,107 shares) 6/26/2007 — N/A — 6,866 21,071 0.5% (16) 35,488 49,693 1.2% Universal Turbine Parts, LLC (34) Trading Companies & Distributors Delayed Draw Term Loan - $5,000 Commitment 2/28/2019 10.25% (1ML+ 7.75%) 2.50 4/5/2024 3,173 3,173 3,173 0.1% (10)(15) Senior Secured Term Loan A 7/22/2016 6.75% (3ML+ 5.75%) 1.00 4/5/2024 29,575 29,575 23,933 0.6% (10) Preferred Units (47,244,213 units) 3/31/2021 — N/A — 32,500 — —% (16) Common Stock (10,000 units) 12/10/2018 — N/A — — — —% (16) 65,248 27,106 0.7% USES Corp. (30) Commercial Services & Supplies Senior Secured Term Loan A 3/31/2014 9.00% PIK — 7/29/2024 55,117 30,651 31,815 0.8% (9) Senior Secured Term Loan B 3/31/2014 15.50% PIK — 7/29/2024 77,483 35,568 — —% (9) Senior Secured Term Loan 12/30/2020 10.00% (1ML+ 9.00%) 1.00 7/29/2024 2,000 2,000 2,000 0.1% (10) Common Stock (268,962 shares) 6/15/2016 — N/A — — — —% (16) 68,219 33,815 0.9% Valley Electric Company, Inc. (31) Construction & Engineering Senior Secured Note to Valley Electric Co. of Mt. Vernon, Inc. 12/31/2012 8.00% (3ML+ 5.00%) plus 2.50% PIK 3.00 12/31/2024 10,430 10,430 10,430 0.3% (3)(10)(39) Senior Secured Note 6/24/2014 8.00% plus 10.00% PIK — 6/23/2024 33,301 33,301 33,301 0.8% (39) Consolidated Revenue Interest (2.0%) 6/22/2018 — N/A — — 1,857 —% (12) Common Stock (50,000 shares) 12/31/2012 — N/A — 26,204 104,107 2.6% 69,935 149,695 3.7% Total Control Investments (Level 3) $ 2,482,431 $ 2,919,717 74.0% See notes to consolidated financial statements. 20 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF JUNE 30, 2021 (in thousands, except share data) June 30, 2021 Portfolio Company Industry Investments(1)(38) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets LEVEL 3 PORTFOLIO INVESTMENTS Affiliate Investments (5.00% to 24.99% voting control)(43) Nixon, Inc. (32) Textiles, Apparel & Luxury Goods Common Stock (857 units) 5/12/2017 — N/A $ — $ — $ — —% (16) — — —% PGX Holdings, Inc. (6) Diversified Consumer Services First Lien Term Loan 11/13/2020 6.25% (12ML+ 5.25%) plus 4.25% PIK 1.00 9/29/2023 47,746 45,720 47,746 1.2% (3)(10)(39) 1.5 Lien Term Loan 5/27/2020 14.50% PIK (12ML+ 13.50%) 1.00 6/28/2024 18,164 18,164 18,164 0.5% (10)(39) Second Lien Term Loan 9/29/2014 15.75% PIK (1ML+ 14.75%) 1.00 9/29/2024 122,272 122,272 122,272 3.1% (10)(39) Common Stock (40,780,359 shares) 5/27/2020 — N/A — — 124,907 3.2% (16) 186,156 313,089 8.0% RGIS Services, LLC Commercial Services & Supplies Senior Secured Term Loan 6/25/2020 8.50% (1ML+ 7.50%) 1.00 6/25/2025 3,680 3,680 3,680 0.1% (8)(10) Membership Interest (5.11%) 6/25/2020 — N/A — 10,302 13,760 0.3% (16) 13,982 17,440 0.4% Targus Cayman HoldCo Limited (33) Textiles, Apparel & Luxury Goods Common Stock (7,383,395 shares) 2/12/2016 — N/A — 2,805 26,205 0.6% (16) 2,805 26,205 0.6% Total Affiliate Investments (Level 3) $ 202,943 $ 356,734 9.0% See notes to consolidated financial statements. 21 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF JUNE 30, 2021 (in thousands, except share data) June 30, 2021 Portfolio Company Industry Investments(1)(38) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets LEVEL 3 PORTFOLIO INVESTMENTS Non-Control/Non-Affiliate Investments (less than 5.00% voting control) 8th Avenue Food & Provisions, Inc. Food Products Second Lien Term Loan 9/21/2018 7.84% (1ML+ 7.75%) — 10/1/2026 $ 27,133 $ 26,980 $ 27,133 0.7 % (3)(8)(10) 26,980 27,133 0.7 % ACE Cash Express, Inc. Consumer Finance Senior Secured Note 12/8/2017 12.00% — 12/15/2022 39,998 37,429 38,041 1.0 % (8)(46) 37,429 38,041 1.0 % AmeriLife Holdings, LLC Insurance Second Lien Term Loan 3/18/2020 9.50% (6ML+ 8.50%) 1.00 3/18/2028 22,280 21,911 22,280 0.6 % (3)(8)(10) 21,911 22,280 0.6 % Apidos CLO XI Structured Finance Subordinated Structured Note 12/6/2012 Residual Interest, current yield 12.33% — 4/17/2034 67,783 37,651 29,680 0.8 % (5)(14) 37,651 29,680 0.8 % Apidos CLO XII Structured Finance Subordinated Structured Note 3/15/2013 Residual Interest, current yield 11.99% — 4/15/2031 52,203 37,818 30,505 0.8 % (5)(14) 37,818 30,505 0.8 % Apidos CLO XV Structured Finance Subordinated Structured Note 9/13/2013 Residual Interest, current yield 12.46% — 4/21/2031 48,515 39,005 29,579 0.7 % (5)(14) 39,005 29,579 0.7 % Apidos CLO XXII Structured Finance Subordinated Structured Note 9/16/2015 Residual Interest, current yield 13.92% — 4/21/2031 35,855 30,483 26,070 0.7 % (5)(14) 30,483 26,070 0.7 % Atlantis Health Care Group (Puerto Rico), Inc. Health Care Providers & Services Revolving Line of Credit - $3,000 Commitment 2/21/2013 10.75% (3ML+ 8.75%) 2.00 4/29/2022 — — — — % (10)(15) Senior Secured Term Loan 2/21/2013 10.75% (3ML+ 8.75%) 2.00 4/29/2022 66,164 66,164 66,164 1.7 % (3)(10) 66,164 66,164 1.7 % Barings CLO 2018-III Structured Finance Subordinated Structured Note 10/9/2014 Residual Interest, current yield 6.65% — 7/20/2029 83,098 44,174 32,346 0.8 % (5)(14) 44,174 32,346 0.8 % BCPE North Star US Holdco 2, Inc. Food Products Delayed Draw Term Loan - $5,185 Commitment 6/7/2021 8.00% (3ML+ 7.25%) 0.75 6/10/2023 — — — — % (8)(10)(15) Second Lien Term Loan 6/7/2021 8.00% (3ML+ 7.25%) 0.75 6/11/2029 29,815 29,520 29,815 0.8 % (8)(10) 29,520 29,815 0.8 % Broder Bros., Co. Textiles, Apparel & Luxury Goods Senior Secured Note 12/4/2017 9.75% (3ML+ 8.50%) 1.25 12/2/2022 162,639 162,639 162,639 4.1 % (3)(10) 162,639 162,639 4.1 % Brookside Mill CLO Ltd. Structured Finance Subordinated Structured Note 4/25/2013 Residual Interest, current yield 0.00% — 1/17/2028 36,300 15,168 10,018 0.3 % (5)(14)(17) 15,168 10,018 0.3 % California Street CLO IX Ltd. Structured Finance Subordinated Structured Note 4/19/2012 Residual Interest, current yield 13.70% — 7/16/2032 58,915 42,626 29,610 0.8 % (5)(14) 42,626 29,610 0.8 % Candle-Lite Company, LLC Household Products Senior Secured Term Loan A 1/23/2018 6.75% (3ML+ 5.50%) 1.25 1/23/2023 10,237 10,237 10,237 0.3 % (3)(10) Senior Secured Term Loan B 1/23/2018 10.75% (3ML+ 9.50%) 1.25 1/23/2023 10,949 10,949 10,949 0.3 % (3)(10) 21,186 21,186 0.6 % Capstone Logistics Acquisition, Inc. Commercial Services & Supplies Second Lien Delayed Draw Term Loan - $1,500 Commitment 11/12/2020 9.75% (1ML+ 8.75%) 1.00 11/13/2028 — — — — % (8)(10)(15) Second Lien Term Loan 11/12/2020 9.75% (1ML+ 8.75%) 1.00 11/13/2028 8,500 8,206 8,500 0.2 % (3)(8)(10) 8,206 8,500 0.2 % Carlyle C17 CLO Limited Structured Finance Subordinated Structured Note 1/24/2013 Residual Interest, current yield 17.47% — 4/30/2031 24,870 15,736 13,618 0.3 % (5)(14) 15,736 13,618 0.3 % See notes to consolidated financial statements. 22 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF JUNE 30, 2021 (in thousands, except share data) June 30, 2021 Portfolio Company Industry Investments(1)(38) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets LEVEL 3 PORTFOLIO INVESTMENTS Non-Control/Non-Affiliate Investments (less than 5.00% voting control) Carlyle Global Market Strategies CLO 2014-4-R, Ltd. Structured Finance Subordinated Structured Note 4/7/2017 Residual Interest, current yield 17.07% — 7/15/2030 $ 25,534 $ 19,980 $ 16,864 0.4 % (5)(14) 19,980 16,864 0.4 % Carlyle Global Market Strategies CLO 2016-3, Ltd. Structured Finance Subordinated Structured Note 8/9/2016 Residual Interest, current yield 11.48% — 7/20/2034 32,200 32,932 27,521 0.7 % (5)(14) 32,932 27,521 0.7 % CCS-CMGC Holdings, Inc. Health Care Providers & Services First Lien Term Loan 5/13/2019 5.60% (1ML+ 5.50%) — 10/1/2025 9,526 9,422 9,526 0.2 % (3)(8)(10) Second Lien Term Loan 9/25/2018 9.10% (1ML+ 9.00%) — 10/1/2026 37,000 36,532 37,000 0.9 % (3)(8)(10) 45,954 46,526 1.1 % Cent CLO 21 Limited Structured Finance Subordinated Structured Note 5/15/2014 Residual Interest, current yield 11.63% — 7/29/2030 49,552 39,865 30,885 0.8 % (5)(14) 39,865 30,885 0.8 % CIFC Funding 2013-III-R, Ltd. Structured Finance Subordinated Structured Note 8/2/2013 Residual Interest, current yield 13.87% — 4/24/2031 44,100 29,312 20,974 0.5 % (5)(14) 29,312 20,974 0.5 % CIFC Funding 2013-IV, Ltd. Structured Finance Subordinated Structured Note 10/22/2013 Residual Interest, current yield 15.99% — 4/28/2031 45,500 32,985 30,202 0.8 % (5)(14) 32,985 30,202 0.8 % CIFC Funding 2014-IV-R, Ltd. Structured Finance Subordinated Structured Note 8/5/2014 Residual Interest, current yield 10.75% — 10/17/2030 44,467 30,604 22,322 0.6 % (5)(14) 30,604 22,322 0.6 % CIFC Funding 2016-I, Ltd. Structured Finance Subordinated Structured Note 12/9/2016 Residual Interest, current yield 11.69% — 10/21/2031 34,000 30,275 28,829 0.7 % (5)(14) 30,275 28,829 0.7 % Cinedigm DC Holdings, LLC Entertainment Senior Secured Term Loan 2/28/2013 11.00% (3ML+ 9.00%) plus 2.50% PIK 2.00 3/31/2022 3,031 2,981 3,031 0.1 % (10)(39) 2,981 3,031 0.1 % Collections Acquisition Company, Inc. Diversified Financial Services Senior Secured Term Loan 12/3/2019 10.15% (3ML+ 7.65%) 2.50 6/3/2024 30,165 30,165 30,165 0.8 % (3)(10) 30,165 30,165 0.8 % Columbia Cent CLO 27 Limited Structured Finance Subordinated Structured Note 12/18/2013 Residual Interest, current yield 3.38% — 10/25/2028 40,275 22,044 19,078 0.5 % (5)(14) 22,044 19,078 0.5 % Curo Group Holdings Corp. Consumer Finance Second Lien Term Loan 7/30/2020 0.0825 — 9/1/2025 14,621 12,525 15,188 0.4 % (14)(47) 12,525 15,188 0.4 % Digital Room, LLC Commercial Services & Supplies First Lien Term Loan 5/14/2019 5.20% (6ML+ 5.00%) — 5/21/2026 9,800 9,718 9,800 0.2 % (3)(8)(10) Second Lien Term Loan 5/14/2019 9.20% (6ML+ 9.00%) — 5/21/2027 70,000 70,000 70,000 1.8 % (3)(8)(10) 79,718 79,800 2.0 % Dunn Paper, Inc. Paper & Forest Products First Lien Term Loan 11/18/2019 6.25% (1ML+ 5.25%) 1.00 8/26/2022 4,468 4,418 4,468 0.1 % (3)(8)(10) Second Lien Term Loan 8/26/2016 10.25% (1ML+ 9.25%) 1.00 8/26/2023 11,500 11,429 11,347 0.3 % (3)(8)(10) 15,847 15,815 0.4 % Easy Gardener Products, Inc. Household Durables Third Lien Term Loan 6/11/2020 10.25% (3ML+ 10.00%) 0.25 9/30/2024 3,950 3,950 3,950 0.1 % (10) Class A Units of EZG Holdings, LLC (200 units) 6/11/2020 — N/A — 313 781 — % (16) Class B Units of EZG Holdings, LLC (12,525 units) 6/11/2020 — N/A — 1,688 5,043 0.1 % (16) 5,951 9,774 0.2 % Edmentum Diversified Consumer Services Escrow Receivable 12/11/2020 — N/A — — — — % (16) — — — % See notes to consolidated financial statements. 23 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF JUNE 30, 2021 (in thousands, except share data) June 30, 2021 Portfolio Company Industry Investments(1)(38) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets LEVEL 3 PORTFOLIO INVESTMENTS Non-Control/Non-Affiliate Investments (less than 5.00% voting control) Engine Group, Inc. (7) Media Senior Secured Term Loan 11/17/2020 5.75% (1ML+ 4.75%) 1.00 11/17/2023 $ 12,229 $ 12,229 $ 11,255 0.3 % (8)(10) Class B Common Units (1,039,554 units) 11/17/2020 — N/A — 26,991 707 — % (8) 39,220 11,962 0.3 % Engineered Machinery Holdings, Inc. Machinery Second Lien Term Loan 5/6/2021 7.25% (3ML+ 6.50%) 0.75 5/21/2029 5,000 4,976 4,973 0.1 % (3)(8)(10) 4,976 4,973 0.1 % Enseo Acquisition, Inc. IT Services Revolving Line of Credit - $5,000 Commitment 6/2/2021 9.00% (1ML+ 8.00%) 1.00 10/4/2021 — — — — % (10)(15) First Lien Term Loan 6/2/2021 9.00% (1ML+ 8.00%) 1.00 6/2/2026 55,000 55,000 55,000 1.4 % (3)(10) 55,000 55,000 1.4 % EXC Holdings III Corp Technology Hardware, Storage & Peripherals Second Lien Term Loan 11/17/2017 8.50% (3ML+ 7.50%) 1.00 12/1/2025 12,500 12,431 12,500 0.3 % (3)(8)(10) 12,431 12,500 0.3 % Eze Castle Integration, Inc. (f/k/a/ H.I.G. ECI Merger Sub, Inc.) IT Services Delayed Draw Term Loan - $1,786 Commitment 7/15/2020 10.00% (1ML+ 8.50%) 1.50 7/15/2025 — — — — % (10)(15) First Lien Term Loan 7/15/2020 10.00% (1ML+ 8.50%) 1.50 7/15/2025 47,222 47,222 47,222 1.2 % (3)(10) 47,222 47,222 1.2 % First Brands Group Auto Components First Lien Term Loan 3/24/2021 6.00% (1ML+ 5.00%) 1.00 3/30/2027 16,750 16,597 16,750 0.4 % (3)(8)(10) Second Lien Term Loan 3/24/2021 9.50% (1ML+ 8.50%) 1.00 3/30/2028 32,000 31,401 32,000 0.8 % (3)(8)(10) 47,998 48,750 1.2 % Galaxy XV CLO, Ltd. Structured Finance Subordinated Structured Note 2/13/2013 Residual Interest, current yield 12.98% — 10/15/2030 50,525 35,486 26,987 0.7 % (5)(14) 35,486 26,987 0.7 % Galaxy XXVII CLO, Ltd. Structured Finance Subordinated Structured Note 9/30/2013 Residual Interest, current yield 13.22% — 5/16/2031 24,575 17,050 12,121 0.3 % (5)(14) 17,050 12,121 0.3 % Galaxy XXVIII CLO, Ltd. Structured Finance Subordinated Structured Note 5/30/2014 Residual Interest, current yield 10.69% — 7/15/2031 39,905 29,231 17,306 0.4 % (5)(14) 29,231 17,306 0.4 % GEON Performance Solutions, LLC Chemicals Revolving Line of Credit - $3,621 Commitment 12/12/2019 7.88% (2ML+ 6.25%) 1.63 10/25/2024 — — — — % (10)(15) First Lien Term Loan 12/12/2019 7.88% (2ML+ 6.25%) 1.63 10/25/2024 28,863 28,745 28,863 0.7 % (3)(10) 28,745 28,863 0.7 % Global Tel*Link Corporation Diversified Telecommunication Services First Lien Term Loan 8/7/2019 4.35% (1ML+ 4.25%) — 11/29/2025 9,728 9,439 9,728 0.2 % (3)(8)(10) Second Lien Term Loan 11/20/2018 8.35% (1ML+ 8.25%) — 11/29/2026 40,170 39,515 40,170 1.0 % (3)(8)(10) 48,954 49,898 1.2 % GlobalTranz Enterprises, Inc. Air Freight & Logistics Second Lien Term Loan 5/15/2019 8.35% (1ML+ 8.25%) — 5/15/2027 12,500 12,500 12,500 0.3 % (3)(8)(10) 12,500 12,500 0.3 % Halcyon Loan Advisors Funding 2012-1 Ltd. Structured Finance Subordinated Structured Note 8/7/2012 Residual Interest, current yield 0.00% — 8/15/2023 23,188 3,704 22 — % (5)(14)(17) 3,704 22 — % Halcyon Loan Advisors Funding 2013-1 Ltd. Structured Finance Subordinated Structured Note 3/8/2013 Residual Interest, current yield 0.00% — 4/15/2025 40,400 19,984 — — % (5)(14)(17) 19,984 — — % See notes to consolidated financial statements. 24 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF JUNE 30, 2021 (in thousands, except share data) June 30, 2021 Portfolio Company Industry Investments(1)(38) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets LEVEL 3 PORTFOLIO INVESTMENTS Non-Control/Non-Affiliate Investments (less than 5.00% voting control) Halcyon Loan Advisors Funding 2014-1 Ltd. Structured Finance Subordinated Structured Note 2/7/2014 Residual Interest, current yield 0.00% — 4/20/2026 $ 24,500 $ 11,822 $ — — % (5)(14)(17) 11,822 — — % Halcyon Loan Advisors Funding 2014-2 Ltd. Structured Finance Subordinated Structured Note 4/14/2014 Residual Interest, current yield 0.00% — 4/28/2025 41,164 21,322 — — % (5)(14)(17) 21,322 — — % Halcyon Loan Advisors Funding 2015-3 Ltd. Structured Finance Subordinated Structured Note 7/23/2015 Residual Interest, current yield 0.00% — 10/18/2027 39,598 29,557 4,825 0.1 % (5)(14)(17) 29,557 4,825 0.1 % HarbourView CLO VII-R, Ltd. Structured Finance Subordinated Structured Note 6/5/2015 Residual Interest, current yield 1.09% — 7/18/2031 19,025 13,024 5,180 0.1 % (5)(14) 13,024 5,180 0.1 % Help/Systems Holdings, Inc. Software Second Lien Term Loan 11/14/2019 7.50% (3ML+ 6.75%) 0.75 11/19/2027 22,500 22,240 22,500 0.6 % (3)(8)(10) 22,240 22,500 0.6 % Interventional Management Services, LLC Health Care Providers & Services Revolving Line of Credit - $5,000 Commitment 2/22/2021 9.50% (3ML+ 8.50%) 1.00 2/22/2025 2,000 2,000 2,000 0.1 % (10)(15) Senior Secured Term Loan 2/22/2021 9.50% (3ML+ 8.50%) 1.00 2/20/2026 69,795 69,795 69,795 1.8 % (3)(10) 71,795 71,795 1.9 % Jefferson Mill CLO Ltd. Structured Finance Subordinated Structured Note 6/26/2015 Residual Interest, current yield 9.31% — 10/20/2031 23,594 19,858 13,083 0.3 % (5)(14) 19,858 13,083 0.3 % K&N Parent, Inc. Auto Components First Lien Term Loan 2/20/2020 5.75% (3ML+ 4.75%) 1.00 10/20/2023 1,883 1,710 1,883 — % (3)(8)(10) Second Lien Term Loan 10/19/2016 9.75% (3ML+ 8.75%) 1.00 10/21/2024 25,887 25,615 25,887 0.7 % (3)(8)(10) 27,325 27,770 0.7 % Keystone Acquisition Corp. (4) Health Care Providers & Services Second Lien Term Loan 5/10/2017 10.25% (3ML+ 9.25%) 1.00 5/1/2025 50,000 50,000 50,000 1.3 % (3)(8)(10) 50,000 50,000 1.3 % KM2 Solutions LLC IT Services First Lien Term Loan 12/17/2020 9.00% (3ML+ 8.00%) 1.00 12/17/2025 24,875 24,875 24,875 0.6 % (3)(10) 24,875 24,875 0.6 % LCM XIV Ltd. Structured Finance Subordinated Structured Note 6/25/2013 Residual Interest, current yield 10.26% — 7/21/2031 49,934 28,910 20,281 0.5 % (5)(14) 28,910 20,281 0.5 % Legility, LLC Professional Services First Lien Term Loan 2/25/2020 7.00% (6ML+ 6.00%) 1.00 12/17/2025 18,963 18,661 18,963 0.5 % (3)(8)(10) First Lien Term Loan 2/25/2020 7.00% (1ML+ 6.00%) 1.00 12/17/2025 387 381 387 — % (3)(8)(10) 19,042 19,350 0.5 % LGC US FINCO, LLC Machinery First Lien Term Loan 1/17/2020 8.50% (1ML+ 7.50%) 1.00 12/20/2025 29,100 28,422 28,049 0.7 % (3)(8)(10) 28,422 28,049 0.7 % Maverick Healthcare Equity, LLC Health Care Providers & Services Preferred Units (1,250,000 units) 10/31/2007 — N/A — — — — % (16) Class A Common Units (1,250,000 units) 10/31/2007 — N/A — — — — % (16) — — — % See notes to consolidated financial statements. 25 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF JUNE 30, 2021 (in thousands, except share data) June 30, 2021 Portfolio Company Industry Investments(1)(38) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets LEVEL 3 PORTFOLIO INVESTMENTS Non-Control/Non-Affiliate Investments (less than 5.00% voting control) Medusind Acquisition, Inc. (19) Health Care Providers & Services First Lien Term Loan 9/30/2019 9.00% (3ML+ 8.00%) 1.00 4/8/2024 $ 24,136 $ 23,906 $ 24,136 0.6 % (3)(10) 23,906 24,136 0.6 % Mountain View CLO 2013-I Ltd. Structured Finance Subordinated Structured Note 4/17/2013 Residual Interest, current yield 5.79% — 10/15/2030 43,650 28,800 16,135 0.4 % (5)(14) 28,800 16,135 0.4 % Mountain View CLO IX Ltd. Structured Finance Subordinated Structured Note 5/13/2015 Residual Interest, current yield 14.82% — 7/15/2031 47,830 28,628 26,301 0.7 % (5)(14) 28,628 26,301 0.7 % Octagon Investment Partners XV, Ltd. Structured Finance Subordinated Structured Note 1/24/2013 Residual Interest, current yield 10.32% — 7/19/2030 42,064 32,164 25,683 0.7 % (5)(14) 32,164 25,683 0.7 % Octagon Investment Partners 18-R Ltd. Structured Finance Subordinated Structured Note 8/12/2015 Residual Interest, current yield 16.44% — 4/16/2031 46,016 24,976 18,289 0.5 % (5)(14) 24,976 18,289 0.5 % OneTouchPoint Corp Professional Services Senior Secured Term Loan 2/19/2021 9.00% (3ML+ 8.00%) 1.00 2/19/2026 40,298 40,298 40,298 1.0 % (3)(10) 40,298 40,298 1.0 % Orva Buyer, LLC Specialty Retail Senior Secured Term Loan 12/23/2020 9.50% (1ML+ 7.50%) 2.00 12/23/2025 40,095 40,095 40,095 1.0 % (3)(10) 40,095 40,095 1.0 % Pearl Intermediate Parent LLC Health Care Providers & Services Second Lien Term Loan 2/1/2018 6.35% (1ML+ 6.25%) — 2/15/2026 5,000 4,985 5,000 0.1 % (3)(8)(10) 4,985 5,000 0.1 % PeopleConnect Holdings, LLC (11) Interactive Media & Services Revolving Line of Credit - $8,918 Commitment 1/22/2020 10.00% (1ML+ 8.25%) 1.75 1/22/2025 — — — — % (10)(15) Senior Secured Term Loan 1/22/2020 10.00% (3ML+ 8.25%) 1.75 1/22/2025 180,127 180,127 180,127 4.6 % (3)(10) 180,127 180,127 4.6 % PlayPower, Inc. Leisure Products First Lien Term Loan 5/7/2019 5.65% (3ML+ 5.50%) — 5/10/2026 5,906 5,860 5,906 0.1 % (3)(8)(10) 5,860 5,906 0.1 % Redstone Holdco 2 LP (22) IT Services Delayed Draw Term Loan - $18,200 Commitment 4/16/2021 8.50% (3ML+ 7.75%) 0.75 4/27/2029 — — — — % (8)(10)(15) Second Lien Term Loan 4/16/2021 8.50% (3ML+ 7.75%) 0.75 4/27/2029 31,778 31,233 31,490 0.8 % (3)(8)(10) 31,233 31,490 0.8 % Research Now Group, Inc. & Survey Sampling International LLC Professional Services First Lien Term Loan 12/8/2017 6.50% (6ML+ 5.50%) 1.00 12/20/2024 9,650 9,383 9,650 0.2 % (3)(8)(10) Second Lien Term Loan 12/8/2017 10.50% (6ML+ 9.50%) 1.00 12/20/2025 50,000 48,057 50,000 1.3 % (3)(8)(10) 57,440 59,650 1.5 % Rising Tide Holdings, Inc. Diversified Consumer Services Second Lien Term Loan 5/26/2021 9.00% (1ML+ 8.25%) 0.75 6/1/2029 23,000 22,659 22,711 0.6 % (8)(10) 22,659 22,711 0.6 % RME Group Holding Company Media Senior Secured Term Loan A 5/4/2017 8.00% (3ML+ 7.00%) 1.00 5/4/2022 26,896 26,896 26,896 0.7 % (3)(10) Senior Secured Term Loan B 5/4/2017 13.00% (3ML+ 12.00%) 1.00 5/4/2022 22,099 22,099 22,073 0.6 % (3)(10) 48,995 48,969 1.3 % Romark WM-R Ltd. Structured Finance Subordinated Structured Note 4/11/2014 Residual Interest, current yield 9.08% — 4/21/2031 27,725 22,883 15,346 0.4 % (5)(14) 22,883 15,346 0.4 % Rosa Mexicano Hotels, Restaurants & Leisure Revolving Line of Credit - $500 Commitment 3/29/2018 8.75% (3ML+ 7.50%) 1.25 3/29/2023 524 524 505 — % (10)(15)(39) Senior Secured Term Loan 3/29/2018 8.75% (3ML+ 7.50%) 1.25 3/29/2023 23,978 23,978 23,119 0.6 % (10)(39) 24,502 23,624 0.6 % See notes to consolidated financial statements. 26 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF JUNE 30, 2021 (in thousands, except share data) June 30, 2021 Portfolio Company Industry Investments(1)(38) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets LEVEL 3 PORTFOLIO INVESTMENTS Non-Control/Non-Affiliate Investments (less than 5.00% voting control) Securus Technologies Holdings, Inc. Communications Equipment First Lien Term Loan 8/2/2019 5.50% (3ML+ 4.50%) 1.00 11/1/2024 $ 9,797 $ 9,151 $ 9,556 0.2 % (8)(10) Second Lien Term Loan 6/20/2017 9.25% (3ML+ 8.25%) 1.00 11/1/2025 50,662 50,558 49,325 1.3 % (3)(8)(10) 59,709 58,881 1.5 % SEOTownCenter, Inc. IT Services Senior Secured Term Loan A 4/10/2018 9.50% (3ML+ 7.50%) 2.00 4/7/2023 24,104 24,104 24,104 0.6 % (3)(10) Senior Secured Term Loan B 4/10/2018 14.50% (3ML+ 12.50%) 2.00 4/7/2023 19,027 19,027 19,027 0.5 % (3)(10) 43,131 43,131 1.1 % Shearer’s Foods, LLC Food Products Second Lien Term Loan 9/15/2020 8.75% (1ML+ 7.75%) 1.00 9/23/2028 5,000 4,909 5,000 0.1 % (3)(8)(10) 4,909 5,000 0.1 % Shutterfly, LLC Internet & Direct Marketing Retail First Lien Term Loan 11/14/2019 7.00% (1ML+ 6.00%) 1.00 9/25/2026 16,019 14,582 16,019 0.4 % (3)(8)(10)(47) 14,582 16,019 0.4 % Sorenson Communications, LLC Diversified Telecommunication Services First Lien Term Loan 3/12/2021 6.25% (3ML+ 5.50%) 0.75 3/17/2026 17,550 17,379 17,550 0.4 % (3)(8)(10) 17,379 17,550 0.4 % Southern Veterinary Partners Health Care Providers & Services Second Lien Term Loan 10/2/2020 8.75% (6ML+ 7.75%) 1.00 10/5/2028 8,000 7,927 8,000 0.2 % (3)(8)(10) 7,927 8,000 0.2 % Spectrum Holdings III Corp Health Care Equipment & Supplies Second Lien Term Loan 1/26/2018 8.00% (6ML+ 7.00%) 1.00 1/31/2026 7,500 7,478 6,721 0.2 % (3)(8)(10) 7,478 6,721 0.2 % Staples, Inc. Distributors First Lien Term Loan 11/18/2019 5.18% (3ML+ 5.00%) — 4/16/2026 8,864 8,797 8,687 0.2 % (3)(8)(10)(47) 8,797 8,687 0.2 % Strategic Materials Household Durables Second Lien Term Loan 10/27/2017 8.75% (3ML+ 7.75%) 1.00 11/1/2025 7,000 6,962 5,629 0.1 % (3)(8)(10) 6,962 5,629 0.1 % Stryker Energy, LLC Energy Equipment & Services Overriding Royalty Interests 12/4/2006 — N/A — — — — % (13)(16) — — — % Sudbury Mill CLO Ltd. Structured Finance Subordinated Structured Note 11/14/2013 Residual Interest, current yield 0.00% — 1/19/2026 28,200 13,875 6,868 0.2 % (5)(14)(17) 13,875 6,868 0.2 % Symphony CLO XIV, Ltd. Structured Finance Subordinated Structured Note 5/6/2014 Residual Interest, current yield 0.00% — 7/14/2026 49,249 26,645 15,846 0.4 % (5)(14)(17) 26,645 15,846 0.4 % Symphony CLO XV, Ltd. Structured Finance Subordinated Structured Note 10/17/2014 Residual Interest, current yield 11.95% — 1/19/2032 63,830 45,451 27,674 0.7 % (5)(14) 45,451 27,674 0.7 % The Octave Music Group, Inc. Entertainment First Lien Term Loan 2/26/2020 6.25% (1ML+ 5.25%) plus 0.75% PIK 1.00 5/29/2025 37,897 37,604 37,897 1.0 % (3)(8)(10)(39) 37,604 37,897 1.0 % Town & Country Holdings, Inc. Distributors First Lien Term Loan 1/26/2018 10.00% (3ML+ 8.50%) 1.50 1/26/2023 160,145 160,145 160,145 4.1 % (3)(10) 160,145 160,145 4.1 % See notes to consolidated financial statements. 27 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF JUNE 30, 2021 (in thousands, except share data) June 30, 2021 Portfolio Company Industry Investments(1)(38) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair Value(2) % of Net Assets LEVEL 3 PORTFOLIO INVESTMENTS Non-Control/Non-Affiliate Investments (less than 5.00% voting control) TPS, LLC Machinery First Lien Term Loan 11/30/2020 10.00% (3ML+ 9.00%) plus 1.50% PIK 1.00 11/30/2025 $ 28,967 $ 28,967 $ 28,967 0.7 % (3)(10)(39) 28,967 28,967 0.7 % Transplace Holdings, Inc. Transportation Infrastructure Second Lien Term Loan 10/2/2017 9.75% (6ML+ 8.75%) 1.00 10/6/2025 30,900 30,384 30,900 0.8 % (3)(8)(10) 30,384 30,900 0.8 % United Sporting Companies, Inc. (18) Distributors Second Lien Term Loan 9/28/2012 13.25% (1ML+ 11.00%) plus 2.00% PIK 2.25 11/16/2019 144,692 103,730 6,936 0.2 % (9)(10) 103,730 6,936 0.2 % Universal Fiber Systems, LLC Textiles, Apparel & Luxury Goods Second Lien Term Loan 10/2/2015 10.50% (1ML+ 9.50%) 1.00 10/2/2022 37,000 36,868 36,515 0.9 % (3)(8)(10) 36,868 36,515 0.9 % Upstream Newco, Inc. Health Care Providers & Services First Lien Term Loan 11/20/2019 4.60% (1ML+ 4.50%) — 11/20/2026 8,147 8,114 8,147 0.2 % (3)(8)(10) Second Lien Term Loan 11/20/2019 8.60% (1ML+ 8.50%) — 11/20/2027 22,000 21,835 22,000 0.6 % (3)(8)(10) 29,949 30,147 0.8 % USG Intermediate, LLC Leisure Products Revolving Line of Credit - $3,000 Commitment 4/15/2015 10.25% (1ML+ 9.25%) 1.00 8/24/2024 1,000 1,000 1,000 — % (10)(15) Senior Secured Term Loan B 4/15/2015 12.75% (1ML+ 11.75%) 1.00 8/24/2024 13,381 13,381 13,381 0.3 % (3)(10) Equity 4/15/2015 — N/A — 1 — — % (16) 14,382 14,381 0.3 % Venio LLC (48) Professional Services First Lien Term Loan 2/19/2014 4.00% plus 10.00% PIK (3ML + 7.50%) 2.50 2/19/2020 15,235 15,235 12,760 0.3 % (10)(39) 15,235 12,760 0.3 % Vision Solutions, Inc. (29) IT Services Second Lien Term Loan 4/23/2021 8.00% (3ML+ 7.25%) 0.75 4/23/2029 60,000 59,438 60,000 1.5 % (3)(8)(10) 59,438 60,000 1.5 % Voya CLO 2012-4, Ltd. Structured Finance Subordinated Structured Note 11/5/2012 Residual Interest, current yield 9.72% — 10/15/2030 40,612 30,665 24,830 0.6 % (5)(14) 30,665 24,830 0.6 % Voya CLO 2014-1, Ltd. Structured Finance Subordinated Structured Note 2/5/2014 Residual Interest, current yield 8.31% — 4/18/2031 40,772 30,555 18,151 0.5 % (5)(14) 30,555 18,151 0.5 % Voya CLO 2016-3, Ltd. Structured Finance Subordinated Structured Note 9/30/2016 Residual Interest, current yield 11.32% — 10/20/2031 28,100 25,390 20,221 0.5 % (5)(14) 25,390 20,221 0.5 % Voya CLO 2017-3, Ltd. Structured Finance Subordinated Structured Note 6/13/2017 Residual Interest, current yield 13.22% — 4/20/2034 44,884 49,537 42,859 1.1 % (5)(14) 49,537 42,859 1.1 % VT Topco, Inc. Commercial Services & Supplies Second Lien Term Loan 8/14/2018 7.10% (1ML+ 7.00%) — 8/17/2026 7,000 6,978 6,882 0.2 % (3)(8)(10) 6,978 6,882 0.2 % Total Non-Control/Non-Affiliate Investments (Level 3) $ 3,372,750 $ 2,925,327 74.2 % Total Portfolio Investments (Level 3) $ 6,058,124 $ 6,201,778 157.2 % See notes to consolidated financial statements. 28 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED) (in thousands, except share data) Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (1) The terms “Prospect,” “the Company,” “we,” “us” and “our” mean Prospect Capital Corporation and its subsidiaries unless the context specifically requires otherwise. The securities in which Prospect has invested were acquired in transactions that were exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). These securities may be resold only in transactions that are exempt from registration under the Securities Act. (2) Fair value is determined by or under the direction of our Board of Directors. Unless otherwise indicated by endnote 47 below, all of our investments are valued using significant unobservable inputs. In accordance with ASC 820, such investments are classified as Level 3 within the fair value hierarchy. See Notes 2 and 3 within the accompanying notes to consolidated financial statements for further discussion. (3) Security, or a portion thereof, is held by Prospect Capital Funding LLC (“PCF”), our wholly owned subsidiary and a bankruptcy remote special purpose entity, and is pledged as collateral for the Revolving Credit Facility and such security is not available as collateral to our general creditors (see Note 4). The fair values of the investments held by PCF at December 31, 2021 and June 30, 2021 were $2,056,413 and $1,797,733, respectively, representing 29.4% and 29.0% of our total investments, respectively. (4) Keystone Acquisition Corp. is the parent borrower on the second lien term loan. Other joint borrowers on this debt investment include Keystone Peer Review Organization, Inc., KEPRO Acquisitions, Inc., APS Healthcare Bethesda, Inc., Ohio KEPRO, Inc., and APS Healthcare Quality Review, Inc. (5) This investment is in the equity class of the collateralized loan obligation (“CLO”) security, which is referred to as “Subordinated Structured Note,” or “SSN”. The SSN investments are entitled to recurring distributions which are generally equal to the excess cash flow generated from the underlying investments after payment of the contractual payments to debt holders and fund expenses. The current estimated yield, calculated using amortized cost, is based on the current projections of this excess cash flow taking into account assumptions which have been made regarding expected prepayments, losses and future reinvestment rates. These assumptions are periodically reviewed and adjusted. Ultimately, the actual yield may be higher or lower than the estimated yield if actual results differ from those used for the assumptions. (6) During the year ended June 30, 2020, we increased our investment in PGX Holdings, Inc. (“PGX”) through a new 1.5 Lien Term Loan in the aggregate principal amount of $1,981. Attached to the incremental term loan investment were shares of common stock representing an 11.4% equity interest in PGX. As a result, our investment in PGX was transferred from non-control/non-affiliate to affiliate classification as of June 30, 2020. On July 21, 2021, we funded total commitments of $202,931, comprised of a $49,000 first lien senior secured floating rate term loan and a $153,931 second lien senior secured floating rate term loan, to support the refinancing of PGX. In connection with the refinancing, our $47,773 first lien senior secured term loan, $18,164 1.5 lien senior secured term loan and $122,271 second lien senior secured term loan outstanding with PGX were fully repaid at par. (7) Engine Group, Inc., EMX Digital, Inc. (f/k/a Clearstream.TV, Inc.), and Engine International, Inc., are joint borrowers on the senior secured and the second lien term loans. (8) Syndicated investment which was originated by a financial institution and broadly distributed. (9) Investment on non-accrual status as of the reporting date (See Note 2). (10) Certain variable rate securities in our portfolio bear interest at a rate determined by a publicly disclosed base rate plus a basis point spread. The 1-Month LIBOR, or “1ML”, was 0.10% as of December 31, 2021 and 0.10% as of June 30, 2021. The 2-Month LIBOR, or “2ML”, was 0.15% as of December 31, 2021 and 0.13% as of June 30, 2021. The 3-Month LIBOR, or “3ML”, was 0.21% as of December 31, 2021 and 0.15 % as of June 30, 2021. The 6-Month LIBOR, or “6ML”, was 0.34% as of December 31, 2021 and 0.16% as of June 30, 2021. The 12-Month LIBOR, or “12ML”, was 0.58% as of December 31, 2021 and 0.25% as of June 30, 2021. The Secured Overnight Financing Rate or “SOFR”, was 0.05% as of December 31, 2021 and 0.05% as of June 30, 2021. (11) PeopleConnect Holdings, Inc. and Pubrec Holdings, Inc. are joint borrowers. (12) The consolidated revenue interest is equal to the lesser of (i) 2.0% of consolidated revenue for the twelve-month period ending on the last day of the prior fiscal quarter (or portion thereof) and (ii) 25% of the amount of interest accrued on the Notes at the cash interest rate for such fiscal quarter (or portion thereof). (13) The overriding royalty interests held receive payments at the stated rates based upon operations of the borrower. See notes to consolidated financial statements. 29 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED) (in thousands, except share data) Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued) (14) Investment has been designated as an investment not “qualifying” under Section 55(a) of the Investment Company Act of 1940 (the “1940 Act”). Under the 1940 Act, we may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of our total assets. As of December 31, 2021 and June 30, 2021, our qualifying assets, as a percentage of total assets, stood at 77.96% and 76.31%, respectively. We monitor the status of these assets on an ongoing basis. (15) Undrawn committed revolvers and delayed draw term loans to our portfolio companies incur commitment and unused fees ranging from 0.00% to 7.25%. As of December 31, 2021 and June 30, 2021, we had $48,672 and $67,385, respectively, of undrawn revolver and delayed draw term loan commitments to our portfolio companies. (16) Represents non-income producing security that has not paid a dividend in the year preceding the reporting date. (17) The effective yield has been estimated to be 0% as expected future cash flows are anticipated to not be sufficient to repay the investment at cost. If the expected investment proceeds increase, there is a potential for future investment income from the investment. Distributions, once received, will be recognized as return of capital, and when called, any remaining unamortized investment costs will be written off if the actual distributions are less than the amortized investment cost. To the extent that the cost basis of the SSN is fully recovered, any future distributions will be recorded as realized gains. (18) Ellett Brothers, LLC, Evans Sports, Inc., Jerry’s Sports, Inc., Simmons Gun Specialties, Inc., Bonitz Brothers, Inc., and Outdoor Sports Headquarters, Inc. are joint borrowers on the second lien term loan. United Sporting Companies, Inc. (“USC”) is a parent guarantor of this debt investment, and is 100% owned by SportCo Holdings, Inc. (“SportCo”). In June 2019, USC filed for Chapter 11 bankruptcy and began liquidating its remaining assets. (19) Medusind Acquisition, Inc., Medusind Intermediate, Inc., Medusind Solutions Inc. and Medusind Inc. are joint borrowers. (20) CP Holdings of Delaware LLC (“CP Holdings”), a consolidated entity in which we own 100% of the membership interests, owns 99.8% of CP Energy Services Inc. (“CP Energy”) as of December 31, 2021 and June 30, 2021. CP Energy owns directly or indirectly 100% of each of CP Well Testing, LLC; Wright Foster Disposals, LLC; Foster Testing Co., Inc.; ProHaul Transports, LLC; and Wright Trucking, Inc. We report CP Energy as a separate controlled company. In June 2019, CP Energy purchased a controlling interest in the common equity of Spartan Energy Holdings, Inc. (“Spartan Holdings”), which owns 100% of Spartan Energy Services, LLC (“Spartan”), a portfolio company of Prospect with $16,019 in senior secured term loans (the “Spartan Term Loans”) due to us as of December 31, 2021. As a result of CP Energy’s purchase, and given Prospect’s controlling interest in CP Energy, our Spartan Term Loans are presented as control investments under CP Energy beginning June 30, 2019. Spartan remains the direct borrower and guarantor to Prospect for the Spartan Term Loans. In September 2020, we made a new $26,193 Series A preferred stock investment in Spartan Energy Holdings, Inc., which equates to 100% of the Series A non-voting non-convertible preferred stock outstanding. In September 2020, Spartan Energy Services, LLC fully repaid the $26,193 Senior Secured Term Loan B receivable to us at par. We recorded a realized gain of $2,832 in our Consolidated Statement of Operations for the quarter ended September 30, 2020 as a result of this transaction. (21) Credit Central Holdings of Delaware, LLC (“Credit Central Delaware”), a consolidated entity in which we own 100% of the membership interests, owns 98.90% and 99.01% of Credit Central Loan Company, LLC (f/k/a Credit Central Holdings, LLC (“Credit Central”)) as of December 31, 2021 and June 30, 2021, respectively. Credit Central owns 100% of each of Credit Central, LLC; Credit Central South, LLC; Credit Central of Texas, LLC; and Credit Central of Tennessee, LLC, the operating companies. We report Credit Central as a separate controlled company. Effective December 10, 2021, Credit Central’s term loan lenders were granted a first priority security interest on certain assets of Credit Central and our investment became classified as a First Lien Term Loan. (22) Redstone Holdco 2 LP is the parent borrower on the second lien term loan. Redstone Buyer, LLC, Redstone Intermediate (Archer) HoldCo LLC, Redstone Intermediate (FRI) HoldCo LLC, Redstone Intermediate (NetWitness) HoldCo, LLC, and Redstone Intermediate (SecurID) HoldCo, LLC are joint borrowers on the Second Lien Term Loan. (23) First Tower Holdings of Delaware LLC (“First Tower Delaware”), a consolidated entity in which we own 100% of the membership interests, owns 80.1% of First Tower Finance Company LLC (“First Tower Finance”), which owns 100% of First Tower, LLC, the operating company as of December 31, 2021 and June 30, 2021. We report First Tower Finance as a separate controlled company. Effective March 17, 2021, the First Tower, LLC lenders were granted a first priority security interest in First Tower Finance’s assets and our investment became classified as a First Lien Term Loan. Effective June 30, 2021, we increased our investment in our first lien term loan in the aggregate principal amount of $50,000 and that proceeds were returned to us as a distribution on our equity investment in First Tower, LLC. See notes to consolidated financial statements. 30 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED) (in thousands, except share data) Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued) (24) Energy Solutions Holdings Inc., a consolidated entity in which we own 100% of the equity, owns 100% of Freedom Marine Solutions, LLC (“Freedom Marine”), which owns Vessel Company, LLC, Vessel Company II, LLC and Vessel Company III, LLC. We report Freedom Marine as a separate controlled company. (25) MITY Holdings of Delaware Inc. (“MITY Delaware”), a consolidated entity in which we own 100% of the common stock, owns 100% of the equity of MITY, Inc. (f/k/a MITY Enterprises, Inc.) (“MITY”). MITY owns 100% of each of MITY-Lite, Inc. (“Mity-Lite”); Broda Enterprises USA, Inc.; and Broda Enterprises ULC (“Broda Canada”). We report MITY as a separate controlled company. Our subordinated unsecured note issued and outstanding to Broda Canada is denominated in Canadian Dollars (“CAD”). As of December 31, 2021 and June 30, 2021, the principal balance of this note was CAD 7,371. In accordance with ASC 830, Foreign Currency Matters (“ASC 830”), this note was remeasured into our functional currency, US Dollars (USD), and is presented on our Consolidated Schedule of Investments in USD. We formed a separate legal entity domiciled in the United States, MITY FSC, Inc., (“MITY FSC”) in which Prospect owns 100% of the equity. MITY FSC does not have material operations. This entity earns commission payments from MITY-Lite based on its sales to foreign customers, and distributes it to its shareholder. (26) NPH Property Holdings, LLC (“NPH”), a consolidated entity in which we own 100% of the membership interests, owns 100% of the common equity of National Property REIT Corp. (“NPRC”) (f/k/a National Property Holdings Corp.), a property REIT which holds investments in several real estate properties. Additionally, NPRC invests in online consumer loans and rated secured structured notes through American Consumer Lending Limited (“ACLL”) and National General Lending Limited (“NGL”), respectively, its wholly owned subsidiaries. We report NPRC as a separate controlled company. See Note 3 for further discussion of the investments held by NPRC. (27) Nationwide Acceptance Holdings LLC (“Nationwide Holdings”), a consolidated entity in which we own 100% of the membership interests, owns 94.48% of Nationwide Loan Company LLC, the operating company, as of December 31, 2021 and June 30, 2021. We report Nationwide Loan Company LLC as a separate controlled company. Prospect has a first priority security interest in the assets of Nationwide. (28) NMMB Holdings, Inc. (“NMMB Holdings”), a consolidated entity in which we own 100% of the equity, owns 95.17% and 94.82% of the fully diluted equity of NMMB, Inc. (“NMMB”) as of December 31, 2021 and June 30, 2021, respectively. NMMB owns 100% of Refuel Agency, Inc., which owns 100% of Armed Forces Communications, Inc. We report NMMB as a separate controlled company. (29) Vision Solutions, Inc. and Precisely Software Incorporate (f/k/a Syncsort Incorporated) are joint borrowers on the Second Lien Term Loan. (30) Prospect owns 99.96% of the equity of USES Corp. as of December 31, 2021 and June 30, 2021. (31) Valley Electric Holdings I, Inc., a consolidated entity in which we own 100% of the common stock, owns 100% of Valley Electric Holdings II, Inc. (“Valley Holdings II”), another consolidated entity. Valley Holdings II owns 94.99% of Valley Electric Company, Inc. (“Valley Electric”). Valley Electric owns 100% of the equity of VE Company, Inc., which owns 100% of the equity of Valley Electric Co. of Mt. Vernon, Inc. We report Valley Electric as a separate controlled company. (32) As of December 31, 2021 and June 30, 2021, Prospect owns 8.57% of the equity in Encinitas Watches Holdco, LLC (f/k/a Nixon Holdco, LLC), the parent company of Nixon, Inc. (33) Prospect owns 9.19% of the equity in Targus Cayman HoldCo Limited (“Targus”), the parent company of Targus International LLC (“Targus International”), as of December 31, 2021 and June 30, 2021. (34) On December 10, 2018, UTP Holdings Group, Inc. (“UTP Holdings”) purchased all of the voting stock of Universal Turbine Parts, LLC (“UTP”) and appointed a new Board of Directors to UTP Holdings, consisting of three employees of the Investment Advisor. At the time UTP Holdings acquired UTP, UTP Holdings (f/k/a Harbortouch Holdings of Delaware) was a wholly-owned holding company controlled by Prospect and therefore Prospect’s investment in UTP became classified as a control investment during the year ended June 30, 2019. (35) As of December 31, 2021 and June 30, 2021, the residual profit interest includes both (i) 8.33% of New TLA and TLD residual profit and (ii) 100% of TLC residual profits, with both calculated quarterly in arrears. (36) Prospect owns 100% of the preferred equity of Pacific World Corporation (“Pacific World”), which represents a 99.97% ownership interest of Pacific World as of December 31, 2021 and June 30, 2021. As a result, Prospect’s investment in Pacific World is classified as a control investment. See notes to consolidated financial statements. 31 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED) (in thousands, except share data) Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued) (37) The following shows the composition of our investment portfolio at cost by control designation, investment type and by industry as of December 31, 2021: Industry 1st Lien Term Loan 2nd Lien Term Loan 3rd Lien Term Loan Subordinated Structured Notes Subordinated Unsecured Debt Equity (B) Cost Total Control Investments Aerospace & Defense $ 80,510 $ — $ — $ — $ — $ 22,738 $ 103,248 Commercial Services & Supplies 117,460 — — — 7,200 27,349 152,009 Construction & Engineering 43,731 — — — — 26,204 69,935 Consumer Finance 420,499 — — — — 71,323 491,822 Diversified Consumer Services — — — — — 2,378 2,378 Energy Equipment & Services 60,021 — — — — 220,150 280,171 Equity Real Estate Investment Trusts (REITs) 470,575 — — — — 3,410 473,985 Health Care Providers & Services 254,074 — — — — 45,118 299,192 Machinery 28,622 — — — — 6,866 35,488 Media 4,798 — — — — 12,869 17,667 Online Lending 6,600 — — — — — 6,600 Personal Products 68,619 — — — — 189,295 257,914 Trading Companies & Distributors 32,732 — — — — 32,500 65,232 Structured Finance (A) 108,600 — — — — — 108,600 Total Control Investments $ 1,696,841 $ — $ — $ — $ 7,200 $ 660,200 $ 2,364,241 Affiliate Investments Commercial Services & Supplies $ 3,680 $ — $ — $ — $ — $ 10,303 $ 13,983 Diversified Consumer Services 67,818 153,931 — — — — 221,749 Textiles, Apparel & Luxury Goods — — — — — 2,805 2,805 Total Affiliate Investments $ 71,498 $ 153,931 $ — $ — $ — $ 13,108 $ 238,537 Non-Control/Non-Affiliate Investments Air Freight & Logistics $ — $ 95,000 — $ — $ — $ — $ 95,000 Auto Components 18,239 77,043 — — — — 95,282 Building Products — 35,000 — — — — 35,000 Capital Markets — 42,500 — — — — 42,500 Commercial Services & Supplies 50,000 163,365 — — — — 213,365 Communications Equipment 9,179 50,566 — — — — 59,745 Consumer Finance 44,051 — — — — — 44,051 Distributors 169,104 103,730 — — — — 272,834 Diversified Consumer Services — 22,680 — — — — 22,680 Diversified Financial Services 30,165 — — — — — 30,165 Diversified Telecommunication Services 25,896 46,641 — — — — 72,537 Entertainment 30,095 — — — — — 30,095 Food Products — 131,400 — — — — 131,400 Health Care Equipment & Supplies — 7,481 — — — — 7,481 Health Care Providers & Services 187,110 185,321 — — — 1,546 373,977 Health Care Technology 65,000 — — — — — 65,000 Hotels, Restaurants & Leisure 24,045 — — — — — 24,045 Household Durables — 29,749 3,930 — — 2,001 35,680 Household Products 21,061 — — — — — 21,061 Insurance — 21,939 — — — — 21,939 Interactive Media & Services 249,831 — — — — — 249,831 Internet & Direct Marketing Retail 59,892 — — — — — 59,892 IT Services 169,350 108,659 — — — — 278,009 Leisure Products 31,633 — — — — 1 31,634 Machinery 56,661 9,979 — — — — 66,640 Media 56,956 — — — — 26,991 83,947 Paper & Forest Products 4,440 11,445 — — — — 15,885 See notes to consolidated financial statements. 32 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED) (in thousands, except share data) Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued) Industry 1st Lien Term Loan 2nd Lien Term Loan 3rd Lien Term Loan Subordinated Structured Notes Subordinated Unsecured Debt Equity (B) Cost Total Professional Services 63,743 48,276 — — — — 112,019 Software — 52,267 — — — — 52,267 Technology Hardware, Storage & Peripherals — 12,439 — — — — 12,439 Textiles, Apparel & Luxury Goods 185,527 45,854 — — — — 231,381 Structured Finance (A) — — — 1,050,779 — — 1,050,779 Total Non-Control/Non-Affiliate $ 1,551,978 $ 1,301,334 $ 3,930 $ 1,050,779 $ — $ 30,539 $ 3,938,560 Total Portfolio Investment Cost $ 3,320,317 $ 1,455,265 $ 3,930 $ 1,050,779 $ 7,200 $ 703,847 $ 6,541,338 The following table shows the composition of our investment portfolio at fair value by control designation, investment type and by industry as of December 31, 2021: Industry 1st Lien Term Loan 2nd Lien Term Loan 3rd Lien Term Loan Subordinated Structured Notes Subordinated Unsecured Debt Equity (B) Fair Value Total Fair Value % of Net Assets Applicable to Common Stock Control Investments Aerospace & Defense $ 80,005 $ — $ — $ — $ — $ — $ 80,005 1.9 % Commercial Services & Supplies 74,948 — — — 5,824 — 80,772 2.0 % Construction & Engineering 43,731 — — — — 102,786 146,517 3.5 % Consumer Finance 422,754 — — — — 342,091 764,845 18.5 % Diversified Consumer Services — — — — — 3,833 3,833 0.1 % Energy Equipment & Services 60,021 — — — — 27,584 87,605 2.1 % Equity Real Estate Investment Trusts (REITs) 470,575 — — — — 638,023 1,108,598 26.8 % Health Care Providers & Services 254,074 — — — — 194,060 448,134 10.8 % Machinery 28,622 — — — — 22,870 51,492 1.2 % Media 4,798 — — — — 73,917 78,715 1.9 % Online Lending 6,600 — — — — — 6,600 0.2 % Personal Products 64,236 — — — — 615 64,851 1.6 % Trading Companies & Distributors 27,356 — — — — — 27,356 0.7 % Structured Finance (A) 108,600 — — — — — 108,600 2.6 % Total Control Investments $ 1,646,320 $ — $ — $ — $ 5,824 $ 1,405,779 $ 3,057,923 73.9 % Fair Value % of Net Assets 39.8 % — % — % — % 0.1 % 34.0 % 73.9 % See notes to consolidated financial statements. 33 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED) (in thousands, except share data) Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued) Industry 1st Lien Term Loan 2nd Lien Term Loan 3rd Lien Term Loan Subordinated Structured Notes Subordinated Unsecured Debt Equity (B) Fair Value Total Fair Value % of Net Assets Applicable to Common Stock Affiliate Investments Commercial Services & Supplies $ 3,680 $ — $ — $ — $ — $ 15,256 $ 18,936 0.5 % Diversified Consumer Services 67,818 153,931 — — — 153,759 375,508 9.0 % Textiles, Apparel & Luxury Goods — — — — — 35,510 35,510 0.9 % Total Affiliate Investments $ 71,498 $ 153,931 $ — $ — $ — $ 204,525 $ 429,954 10.4 % Fair Value % of Net Assets 1.7 % 3.7 % — % — % — % 5.0 % 10.4 % Non-Control/Non-Affiliate Investments Air Freight & Logistics $ — $ 95,000 $ — $ — $ — $ — $ 95,000 2.3 % Auto Components 18,497 77,887 — — — — 96,384 2.3 % Building Products — 35,000 — — — — 35,000 0.8 % Capital Markets — 42,500 — — — — 42,500 1.0 % Commercial Services & Supplies 50,000 163,687 — — — — 213,687 5.2 % Communications Equipment 9,662 50,640 — — — — 60,302 1.5 % Consumer Finance 44,403 — — — — — 44,403 1.1 % Distributors 168,924 6,284 — — — — 175,208 4.2 % Diversified Consumer Services — 23,000 — — — — 23,000 0.6 % Diversified Financial Services 30,165 — — — — — 30,165 0.7 % Diversified Telecommunication Services 26,305 47,670 — — — — 73,975 1.8 % Entertainment 30,350 — — — — — 30,350 0.7 % Food Products — 131,948 — — — — 131,948 3.2 % Health Care Equipment & Supplies — 7,037 — — — — 7,037 0.2 % Health Care Providers & Services 187,484 186,000 — — — 1,547 375,031 9.1 % Health Care Technology 65,000 — — — — — 65,000 1.6 % Hotels, Restaurants & Leisure 23,652 — — — — — 23,652 0.6 % Household Durables — 28,700 3,930 — — 5,859 38,489 0.9 % Household Products 21,061 — — — — — 21,061 0.5 % Insurance — 22,280 — — — — 22,280 0.5 % Interactive Media & Services 249,831 — — — — — 249,831 6.0 % Internet & Direct Marketing Retail 59,949 — — — — — 59,949 1.4 % IT Services 169,350 108,962 — — — — 278,312 6.6 % Leisure Products 31,469 — — — — — 31,469 0.8 % Machinery 57,263 10,000 — — — — 67,263 1.6 % Media 56,540 — — — — — 56,540 1.4 % Paper & Forest Products 4,447 10,756 — — — — 15,203 0.4 % Professional Services 61,692 50,000 — — — — 111,692 2.7 % Software — 52,500 — — — — 52,500 1.3 % Technology Hardware, Storage & Peripherals — 12,500 — — — — 12,500 0.3 % Textiles, Apparel & Luxury Goods 185,527 45,253 — — — — 230,780 5.6 % Structured Finance (A) — — — 744,458 — — 744,458 17.9 % Total Non-Control/Non-Affiliate $ 1,551,571 $ 1,207,604 $ 3,930 $ 744,458 $ — $ 7,406 $ 3,514,969 84.8 % Fair Value % of Net Assets 37.5 % 29.2 % 0.1 % 17.9 % — % 0.1 % 84.8 % Total Portfolio $ 3,269,389 $ 1,361,535 $ 3,930 $ 744,458 $ 5,824 $ 1,617,710 $ 7,002,846 169.1 % Fair Value % of Net Assets 79.0 % 32.9 % 0.1 % 17.9 % 0.1 % 39.1 % 169.1 % (A) Our SSN investments do not have industry concentrations and as such have been separated in the tables above. (B) Equity, unless specifically stated otherwise, includes our investments in preferred stock, common stock, membership interests, net profits interests, net operating income interests, net revenue interests, overriding royalty interests, escrows receivable, and warrants. (38) The following table shows the composition of our investment portfolio at cost by control designation, investment type and by industry as of June 30, 2021: Industry 1st Lien Term Loan 1.5 Lien Term Loan 2nd Lien Term Loan 3rd Lien Term Loan Subordinated Structured Notes Subordinated Unsecured Debt Equity (B) Cost Total Control Investments Aerospace & Defense $ 75,406 $ — $ — $ — $ — $ — $ 22,738 $ 98,144 Commercial Services & Supplies 114,184 — — — — 7,200 27,349 148,733 Construction & Engineering 43,731 — — — — — 26,204 69,935 Consumer Finance 344,968 — 65,599 — — — 71,323 481,890 Diversified Consumer Services — — — — — — 2,378 2,378 Energy Equipment & Services 57,078 — — — — — 220,149 277,227 Equity Real Estate Investment Trusts (REITs) 656,701 — — — — — 210 656,911 Health Care Providers & Services 237,571 — — — — — 45,118 282,689 Machinery 28,622 — — — — — 6,866 35,488 Media 4,874 — — — — — 12,869 17,743 Online Lending 6,600 — — — — — — 6,600 Personal Products 62,450 — — — — — 186,795 249,245 Trading Companies & Distributors 32,748 — — — — — 32,500 65,248 Structured Finance (A) 90,200 — — — — — — 90,200 Total Control Investments $ 1,755,133 $ — $ 65,599 $ — $ — $ 7,200 $ 654,499 $ 2,482,431 Affiliate Investments Commercial Services & Supplies $ 3,680 $ — $ — $ — $ — $ — $ 10,302 $ 13,982 Diversified Consumer Services 45,720 18,164 122,272 — — — — 186,156 Textiles, Apparel & Luxury Goods — — — — — — 2,805 2,805 Total Affiliate Investments $ 49,400 $ 18,164 $ 122,272 $ — $ — $ — $ 13,107 $ 202,943 Non-Control/Non-Affiliate Investments Air Freight & Logistics $ — $ — $ 12,500 $ — $ — $ — $ — $ 12,500 Auto Components 18,307 — 57,016 — — — — 75,323 Chemicals 28,745 — — — — — — 28,745 Commercial Services & Supplies 9,718 — 85,184 — — — — 94,902 Communications Equipment 9,151 — 50,558 — — — — 59,709 Consumer Finance 37,429 — 12,525 — — — — 49,954 Distributors 168,942 — 103,730 — — — — 272,672 Diversified Consumer Services — — 22,659 — — — — 22,659 Diversified Financial Services 30,165 — — — — — — 30,165 Diversified Telecommunication Services 26,818 — 39,515 — — — — 66,333 Entertainment 40,585 — — — — — — 40,585 Food Products — — 61,409 — — — — 61,409 Health Care Equipment & Supplies — — 7,478 — — — — 7,478 Health Care Providers & Services 179,401 — 121,279 — — — — 300,680 Hotels, Restaurants & Leisure 24,502 — — — — — — 24,502 Household Durables — — 6,962 3,950 — — 2,001 12,913 Household Products 21,186 — — — — — — 21,186 Insurance — — 21,911 — — — — 21,911 Interactive Media & Services 180,127 — — — — — — 180,127 Internet & Direct Marketing Retail 54,677 — — — — — — 54,677 IT Services 170,228 — 90,671 — — — — 260,899 Leisure Products 20,241 — — — — — 1 20,242 Machinery 57,389 — 4,976 — — — — 62,365 Media 61,224 — — — — — 26,991 88,215 Paper & Forest Products 4,418 — 11,429 — — — — 15,847 Professional Services 83,958 — 48,057 — — — — 132,015 Software — — 22,240 — — — — 22,240 Technology Hardware, Storage & Peripherals — — 12,431 — — — — 12,431 Textiles, Apparel & Luxury Goods 162,639 — 36,868 — — — — 199,507 Transportation Infrastructure — — 30,384 — — — — 30,384 Structured Finance — — — — 1,090,175 — — 1,090,175 Total Non-Control/Non-Affiliate $ 1,389,850 $ — $ 859,782 $ 3,950 $ 1,090,175 $ — $ 28,993 $ 3,372,750 Total Portfolio Investment Cost $ 3,194,383 $ 18,164 $ 1,047,653 $ 3,950 $ 1,090,175 $ 7,200 $ 696,599 $ 6,058,124 See notes to consolidated financial statements. 34 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED) (in thousands, except share data) Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued) The following table shows the composition of our investment portfolio at fair value by control designation, investment type and by industry as of June 30, 2021: Industry 1st Lien Term Loan 1.5 Lien Term Loan 2nd Lien Term Loan 3rd Lien Term Loan Subordinated Structured Notes Subordinated Unsecured Debt Equity (B) Fair Value Total Fair Value % of Net Assets Control Investments Aerospace & Defense $ 75,406 $ — $ — $ — $ — $ — $ 8,834 $ 84,240 2.1 % Commercial Services & Supplies 79,780 — — — — 3,715 — 83,495 2.1 % Construction & Engineering 43,731 — — — — — 105,964 149,695 3.8 % Consumer Finance 344,968 — 68,137 — — — 305,267 718,372 18.2 % Diversified Consumer Services — — — — — — 3,833 3,833 0.1 % Energy Equipment & Services 57,078 — — — — — 26,126 83,204 2.1 % Equity Real Estate Investment Trusts (REITs) 656,701 — — — — — 436,254 1,092,955 27.6 % Health Care Providers & Services 237,571 — — — — — 174,768 412,339 10.5 % Machinery 28,622 — — — — — 21,071 49,693 1.3 % Media 4,874 — — — — — 42,014 46,888 1.2 % Online Lending 6,600 — — — — — — 6,600 0.2 % Personal Products 62,450 — — — — — 8,647 71,097 1.8 % Trading Companies & Distributors 27,106 — — — — — — 27,106 0.7 % Structured Finance (A) 90,200 — — — — — — 90,200 2.3 % Total Control Investments $ 1,715,087 $ — $ 68,137 $ — $ — $ 3,715 $ 1,132,778 $ 2,919,717 74.0 % Fair Value % of Net Assets 43.5 % — % 1.7 % — % — % 0.1 % 28.7 % 74.0 % Affiliate Investments Commerical Sevices & Supplies $ 3,680 $ — $ — $ — $ — $ — $ 13,760 $ 17,440 0.4 % Diversified Consumer Services 47,746 18,164 122,272 — — — 124,907 313,089 7.9 % Textiles, Apparel & Luxury Goods — — — — — — 26,205 26,205 0.7 % Total Affiliate Investments $ 51,426 $ 18,164 $ 122,272 $ — $ — $ — $ 164,872 $ 356,734 9.0 % Fair Value % of Net Assets 1.3 % 0.5 % 3.1 % — % — % — % 4.1 % 9.0 % Non-Control/Non-Affiliate Investments Air Freight & Logistics $ — $ — $ 12,500 $ — $ — $ — $ — $ 12,500 0.3 % Auto Components 18,633 — 57,887 — — — — 76,520 1.9 % Commercial Services & Supplies 9,800 — 85,382 — — — — 95,182 2.4 % Communications Equipment 9,556 — 49,325 — — — — 58,881 1.5 % Chemicals 28,863 — — — — — — 28,863 0.7 % Consumer Finance 38,041 — 15,188 — — — — 53,229 1.3 % Distributors 168,832 — 6,936 — — — — 175,768 4.5 % Diversified Consumer Services — — 22,711 — — — — 22,711 0.6 % Diversified Financial Services 30,165 — — — — — — 30,165 0.8 % Diversified Telecommunication Services 27,278 — 40,170 — — — — 67,448 1.7 % Entertainment 40,928 — — — — — — 40,928 1.0 % Food Products — — 61,948 — — — — 61,948 1.6 % Health Care Equipment & Supplies — — 6,721 — — — — 6,721 0.2 % Health Care Providers & Services 179,768 — 122,000 — — — — 301,768 7.6 % Hotels, Restaurants & Leisure 23,624 — — — — — — 23,624 0.6 % Household Durables — — 5,629 3,950 — — 5,824 15,403 0.4 % Household Products 21,186 — — — — — — 21,186 0.5 % Insurance — — 22,280 — — — — 22,280 0.6 % See notes to consolidated financial statements. 35 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED) (in thousands, except share data) Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued) Industry 1st Lien Term Loan 1.5 Lien Term Loan 2nd Lien Term Loan 3rd Lien Term Loan Subordinated Structured Notes Subordinated Unsecured Debt Equity (B) Fair Value Total Fair Value % of Net Assets Interactive Media & Services 180,127 — — — — — — 180,127 4.6 % Internet & Direct Marketing Retail 56,114 — — — — — — 56,114 1.5 % IT Services 170,228 — 91,490 — — — — 261,718 6.7 % Leisure Products 20,287 — — — — — — 20,287 0.5 % Machinery 57,016 — 4,973 — — — — 61,989 1.6 % Media 60,224 — — — — — 707 60,931 1.5 % Paper & Forest Products 4,468 — 11,347 — — — — 15,815 0.4 % Professional Services 82,058 — 50,000 — — — — 132,058 3.3 % Software — — 22,500 — — — — 22,500 0.6 % Technology Hardware, Storage & Peripherals — — 12,500 — — — — 12,500 0.3 % Textiles, Apparel & Luxury Goods 162,639 — 36,515 — — — — 199,154 5.0 % Transportation Infrastructure — — 30,900 — — — — 30,900 0.8 % Structured Finance — — — — 756,109 — — 756,109 19.2 % Total Non-Control/Non-Affiliate $ 1,389,835 $ — $ 768,902 $ 3,950 $ 756,109 $ — $ 6,531 $ 2,925,327 74.2 % Fair Value % of Net Assets 35.2 % — % 19.5 % 0.1 % 19.2 % — % 0.2 % 74.2 % Total Portfolio $ 3,156,348 $ 18,164 $ 959,311 $ 3,950 $ 756,109 $ 3,715 $ 1,304,181 $ 6,201,778 157.2 % Fair Value % of Net Assets 80.0 % 0.5 % 24.3 % 0.1 % 19.2 % 0.1 % 33.0 % 157.2 % (A) Our SSN investments do not have industry concentrations and as such have been separated in the tables above. (B) Equity, unless specifically stated otherwise, includes our investments in preferred stock, common stock, membership interests, net profits interests, net operating income interests, net revenue interests, overriding royalty interests, escrows receivable, and warrants. See notes to consolidated financial statements. 36 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED) (in thousands, except share data) Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued) (39) The interest rate on these investments, excluding those on non-accrual, contains a paid in kind (“PIK”) provision, whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities. The interest rate in the schedule represents the current interest rate in effect for these investments. The following table provides additional details on these PIK investments, including the maximum annual PIK interest rate allowed under the existing credit agreements, as of and for three months ended December 31, 2021: Security Name PIK Rate - Capitalized PIK Rate - Paid as cash Maximum Current PIK Rate CP Energy Services Inc. - Senior Secured Term Loan 12.00 % — % 12.00 % (A) CP Energy Services Inc. - Senior Secured Term Loan A to Spartan Energy Services, LLC 9.00 % — % 9.00 % (B) Credit Central Loan Company, LLC - Subordinated Term Loan 10.00 % — % 10.00 % (C) Echelon Transportation, LLC - Senior Secured Term Loan — % — % 2.25 % (D) Echelon Transportation, LLC - Senior Secured Term Loan — % — % 1.00 % (E) First Tower Finance Company LLC - Senior Secured Term Loan 4.15 % 7.85 % 12.00 % InterDent, Inc. - Senior Secured Term Loan B 12.00 % — % 12.00 % MITY, Inc. - Senior Secured Note A 10.00 % — % — % (F) MITY, Inc. - Senior Secured Note B 20.00 % — % 10.00 % (F) National Property REIT Corp. - Senior Secured Term Loan A — % 3.53 % 3.53 % National Property REIT Corp. - Senior Secured Term Loan B — % 5.50 % 5.50 % National Property REIT Corp. - Senior Secured Term Loan C — % 2.25 % 2.25 % National Property REIT Corp. - Senior Secured Term Loan D — % 2.50 % 2.50 % Nationwide Loan Company LLC - Senior Subordinated Term Loan — % 10.00 % 10.00 % Pacific World Corporation - Revolving Line of Credit 8.25 % — % 8.25 % (G) Pacific World Corporation - Senior Secured Term Loan A 6.25 % — % 6.25 % The Octave Music Group, Inc. (fka Touchtunes) - First Lien Term Loan — % 0.75 % 0.75 % Town & Country Holdings, Inc. - First Lien Term Loan 8.125 % — % 8.125 % (H) TPS, LLC - First Lien Term Loan 1.50 % — % 1.50 % Valley Electric Co. of Mt. Vernon, Inc. - Senior Secured Note — % 2.50 % 2.50 % Valley Electric Company, Inc. - Senior Secured Note — % 10.00 % 10.00 % Venio LLC - First Lien Term Loan 1.00 % — % 1.00 % (A) On September 30, 2021, the CP Energy Thirteenth Amendment to Loan Agreement was amended to allow 100% of the September 30, 2021 and December 31, 2021 interest accruing in cash to be payable in kind resulting in a current PIK rate capitalized of 12.00%. (B) On October 28, 2021, the Spartan Energy Services, LLC Twenty-Second Amendment to Amended and Restated Senior Secured Loan Agreemen t was amended to allow interest accruing in cash to be payable in kind resulting in a maximum current PIK rate of 9.00%. (C) On December 17, 2018, the Credit Central Senior Subordinated Loan Agreement was amended to allow interest accruing in cash to be payable in kind resulting in a maximum current PIK rate of 20.00%. (D) On January 31, 2018, the Echelon Fourth Amended and Restated Credit Agreement was amended to allow interest accruing in cash to be payable in kind resulting in a maximum current PIK rate of 14.00%. (E) On January 31, 2018, the Echelon Fourth Amended and Restated Credit Agreement was amended to allow interest accruing in cash to be payable in kind resulting in a maximum current PIK rate of 12.00%. (F) On March 23, 2021, the Mity Amendment No. 1 and Waiver to Note Purchase Agreement was amended to allow Senior Secured Note A and Senior Secured Note B interest accruing in cash to be payable in kind resulting in a maximum current TLA PIK rate of 10% and TLB PIK rate of 20.00%. (G) Effective as of December 29, 2021, the Pacific World Corporation Amendment No. 8 was amended to allow the Revolving Line of Credit interest accruing in cash to be payable in kind resulting in a maximum current rate of 8.25%. (H) On December 31, 2021, the Town & Country Holdings, Inc. Seventh Amendment to Loan Agreement was amended to allow the First Lien Term loan interest accruing in cash to be payable in kind resulting in a maximum current PIK rate of 8.125%. See notes to consolidated financial statements. 37 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED) (in thousands, except share data) Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued) The following table provides additional details on these PIK investments, including the maximum annual PIK interest rate allowed under the existing credit agreements, as of and for three months ended June 30, 2021: Security Name PIK Rate - Capitalized PIK Rate - Paid as cash Maximum Current PIK Rate Cinedigm DC Holdings, LLC - Senior Secured Term Loan —% 2.50% 2.50% CP Energy Services Inc. - Senior Secured Term Loan 12.00% —% 12.00% (A) Credit Central Loan Company, LLC - Subordinated Term Loan —% 10.00% 10.00% (B) Echelon Transportation, LLC - Senior Secured Term Loan 2.25% —% 2.25% (C) Echelon Transportation, LLC - Senior Secured Term Loan 1.00% —% 1.00% (D) First Tower Finance Company LLC - First Lien Term Loan 3.69% 8.31% 12.00% InterDent, Inc. - Senior Secured Term Loan B 12.00% —% 12.00% MITY, Inc. - Senior Secured Note A 10.00% —% —% (E) MITY, Inc. - Senior Secured Note B 20.00% —% 10.00% (E) National Property REIT Corp. - Senior Secured Term Loan A —% 3.53% 3.53% National Property REIT Corp. - Senior Secured Term Loan B —% 5.50% 5.50% National Property REIT Corp. - Senior Secured Term Loan C —% 2.25% 2.25% National Property REIT Corp. - Senior Secured Term Loan D —% 2.50% 2.50% Nationwide Loan Company LLC - Senior Secured Term Loan —% 10.00% 10.00% Pacific World Corporation - Senior Secured Term Loan A 6.25% —% 6.25% PGX Holdings, Inc. - Second Lien Term Loan 15.75% —% 15.75% PGX Holdings, Inc. - 1.5 Lien 14.50% —% 14.50% PGX Holdings, Inc. - First Lien Term Loan 4.25% —% 4.25% Rosa Mexicano - Revolving Line of Credit 4.50% —% 4.50% (F) Rosa Mexicano - Senior Secured Term Loan 4.50% —% 4.50% (F) The Octave Music Group, Inc. (fka Touchtunes) - First Lien Term Loan —% 0.75% 0.75% TPS, LLC - First Lien Term Loan 1.50% —% 1.50% Valley Electric Co. of Mt. Vernon, Inc. - Senior Secured Note —% 2.50% 2.50% Valley Electric Company, Inc. - Senior Secured Note —% 10.00% 10.00% Venio LLC - First Lien Term Loan 10.00% —% 10.00% (A) On June 29, 2021, the CP Energy Eleventh Amendment to Loan Agreement was amended to allow 100% of the June 30, 2021 interest accruing in cash to be payable in kind resulting in a current PIK rate capitalized of 12.00%. (B) On December 17, 2018, the Credit Central Senior Subordinated Loan Agreement was amended to allow interest accruing in cash to be payable in kind resulting in a maximum current PIK rate of 20.00%. (C) On January 31, 2018, the Echelon Fourth Amended and Restated Credit Agreement was amended to allow interest accruing in cash to be payable in kind resulting in a maximum current PIK rate of 14.00%. (D) On January 31, 2018, the Echelon Fourth Amended and Restated Credit Agreement was amended to allow interest accruing in cash to be payable in kind resulting in a maximum current PIK rate of 12.00%. (E) On March 23, 2021, the Mity Amendment No. 1 and Waiver to Note Purchase Agreement was amended to allow Senior Secured Note A and Senior Secured Note B interest accruing in cash to be payable in kind resulting in a maximum current TLA PIK rate of 10% and TLB PIK rate of 20.00%. (F) On September 30, 2020, the Rosa Mexicano Sixth Amendment to Loan Agreement was amended to allow interest accruing in cash to be payable in kind resulting in a maximum current PIK rate of 4.50% after the end of the Delayed Incremental Required Equity Contribution Period. The option for the interest accruing in cash to be payable in kind expired on June 30, 2021. See notes to consolidated financial statements. 38 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED) (in thousands, except share data) Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued) (40) As defined in the 1940 Act, we are deemed to “Control” these portfolio companies because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the six months ended December 31, 2021 with these controlled investments were as follows: Controlled Companies Fair Value at June 30, 2021 Gross Additions (Cost)(A) Gross Reductions (Cost)(B) Net unrealized gains (losses) Fair Value at December 31, 2021 Interest income Dividend income Other income Net realized gains (losses) CP Energy Services Inc. $ 44,621 $ 2,581 $ — $ (3,200) $ 44,002 $ 2,580 $ — $ — $ — CP Energy - Spartan Energy Services, LLC 26,866 363 — 4,507 31,736 723 — 6 — Credit Central Loan Company, LLC 78,023 3,841 — 7,661 89,525 7,401 — — — Echelon Transportation LLC 84,240 5,104 — (9,339) 80,005 5,457 — — — First Tower Finance Company LLC 592,356 7,250 (1,159) 26,650 625,097 36,779 — 7,234 — Freedom Marine Solutions, LLC 11,717 — — 150 11,867 — — — — InterDent, Inc. 412,339 16,749 (246) 19,292 448,134 12,933 — — — Kickapoo Ranch Pet Resort 3,833 — — — 3,833 — — — — MITY, Inc. 49,680 3,276 — 2,109 55,065 3,577 — — 6 National Property REIT Corp. 1,189,755 115,356 (279,882) 198,569 1,223,798 32,561 — 21,162 — Nationwide Loan Company LLC 47,993 — — 2,230 50,223 2,071 1,750 — — NMMB, Inc. 46,888 — (76) 31,903 78,715 261 3,046 — — Pacific World Corporation 71,097 8,669 — (14,915) 64,851 2,322 — — — R-V Industries, Inc. 49,693 — — 1,799 51,492 1,431 441 — — Universal Turbine Parts, LLC 27,106 — (16) 266 27,356 1,186 — — — USES Corp. 33,815 — — (8,108) 25,707 102 — — — Valley Electric Company, Inc. 149,695 — — (3,178) 146,517 3,557 1,700 333 — Total $ 2,919,717 $ 163,189 $ (281,379) $ 256,396 $ 3,057,923 $ 112,941 $ 6,937 $ 28,735 $ 6 (A) Gross additions include increases in the cost basis of the investments resulting from new portfolio investments, OID accretion and PIK interest, and any transfer of investments. (B) Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investments repayments or sales, impairments, and any transfer of investments. (41) As defined in the 1940 Act, we are deemed to be an “Affiliated company” of these portfolio companies because we own more than 5% of the portfolio company’s outstanding voting securities. Transactions during the six months ended December 31, 2021 with these affiliated investments were as follows: Affiliated Companies Fair Value at June 30, 2021 Gross Additions (Cost)(A) Gross Reductions (Cost)(B) Net unrealized gains (losses) Fair Value at December 31, 2021 Interest income Dividend income Other income Net realized gains (losses) Nixon, Inc. — — — — — — — — — PGX Holdings, Inc. 313,089 224,983 (189,390) 26,825 375,508 16,592 — 3,942 — RGIS Services, LLC 17,440 1 — 1,496 18,936 160 — — — Targus Cayman HoldCo Limited 26,205 — — 9,305 35,510 — — — — Total $ 356,734 $ 224,984 $ (189,390) $ 37,626 $ 429,954 $ 16,752 $ — $ 3,942 $ — (A) Gross additions include increases in the cost basis of the investments resulting from new portfolio investments, PIK interest, and any transfer of investments. (B) Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investments repayments or sales, impairments, and any transfer of investments. See notes to consolidated financial statements. 39 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED) (in thousands, except share data) Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued) (42) As defined in the 1940 Act, we are deemed to “Control” these portfolio companies because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the year ended June 30, 2021 with these controlled investments were as follows: Portfolio Company Fair Value at June 30, 2020 Gross Additions (Cost)(A) Gross Reductions (Cost)(B) Net unrealized gains (losses) Fair Value at June 30, 2021 Interest income Dividend income Other income Net realized gains (losses) CP Energy Services Inc. $ 51,174 $ 4,678 $ (1) $ (11,230) $ 44,621 $ 4,680 $ — $ — $ — CP Energy - Spartan Energy Services, LLC 18,711 28,694 (23,361) 2,822 26,866 1,252 — 25 2,832 Credit Central Loan Company, LLC 75,685 9,493 (3,764) (3,391) 78,023 14,139 — — — Echelon Transportation LLC 85,627 9,935 — (11,322) 84,240 9,765 — — — First Tower Finance Company LLC 508,465 3,001 (5,362) 86,252 592,356 60,928 — 21,081 — Freedom Marine Solutions, LLC 12,351 600 — (1,234) 11,717 — — — — InterDent, Inc. 230,757 15,637 — 165,945 412,339 22,479 — — — Kickapoo Ranch Pet Resort 3,286 — — 547 3,833 — — — — MITY, Inc. 51,905 7,208 850 (10,283) 49,680 10,078 — 66 2 National Property REIT Corp. 878,733 225,742 (83,450) 168,730 1,189,755 57,296 — 39,924 — Nationwide Loan Company LLC 37,238 173 384 10,198 47,993 4,105 2,381 405 — NMMB, Inc. 33,668 — (152) 13,372 46,888 528 — — — Pacific World Corporation 59,907 2,542 — 8,648 71,097 4,317 — — — R-V Industries, Inc. 38,565 — — 11,128 49,693 2,862 — — — Universal Turbine Parts, LLC 26,599 316 (518) 709 27,106 2,347 — — 121 USES Corp. 17,325 2,000 — 14,490 33,815 102 — — — Valley Electric Company, Inc. 129,296 — 1,061 19,338 149,695 7,105 2,261 666 — Total $ 2,259,292 $ 310,019 $ (114,313) $ 464,719 $ 2,919,717 $ 201,983 $ 4,642 $ 62,167 $ 2,955 (A) Gross additions include increases in the cost basis of the investments resulting from new portfolio investments, PIK interest, and any transfer of investments. (B) Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investments repayments or sales, impairments, and any transfer of investments. (43) As defined in the 1940 Act, we are deemed to be an “Affiliated company” of these portfolio companies because we own more than 5% of the portfolio company’s outstanding voting securities. Transactions during the year ended June 30, 2021 with these affiliated investments were as follows: Portfolio Company Fair Value at June 30, 2020 Gross Additions (Cost)(A) Gross Reductions (Cost)(B) Net unrealized gains (losses) Fair Value at June 30, 2021 Interest income Dividend income Other income Net realized gains (losses) Edmentum Ultimate Holdings, LLC $ 59,618 $ 9,278 $ (63,425) $ (5,471) $ — $ 8,955 $ — $ 33 $ 4,469 Nixon, Inc. $ — $ — $ — $ — $ — $ — $ — $ — $ — PGX Holdings, Inc. $ 106,711 $ 81,113 $ (1,489) $ 126,754 $ 313,089 $ 22,016 $ — $ 76 $ — RGIS Services, LLC $ — $ 19,276 $ (5,294) $ 3,458 $ 17,440 $ — $ 378 $ — $ — Targus Cayman HoldCo Limited $ 21,208 $ — $ — $ 4,997 $ 26,205 $ — $ — $ — $ — 187,537 109,667 (70,208) 129,738 356,734 30,971 378 109 4,469 (A) Gross additions include increases in the cost basis of the investments resulting from new portfolio investments, PIK interest, and any transfer of investments. (B) Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investments repayments or sales, impairments, and any transfer of investments. See notes to consolidated financial statements. 40 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED) (in thousands, except share data) Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued) (44) Acquisition date represents the date of PSEC's initial investment. Follow-on acquisitions have occurred on the following dates to arrive at PSEC's current investment (excluding effects of capitalized PIK interest, premium/original issue discount amortization/accretion, and partial repayments) (See endnote 45 for NPRC equity follow-on acquisitions): Portfolio Company Investment Follow-On Acquisition Dates Follow-On Acquisitions (Excluding initial investment cost) 8th Avenue Food & Provisions, Inc. Second Lien Term Loan 11/17/2020, 9/17/2021 $ 7,051 ACE Cash Express, Inc. Senior Secured Note 5/24/2019, 7/16/2019, 12/20/2019, 8/27/2020, 9/30/2020, 11/5/2020, 11/13/2020, 11/18/2020 18,105 Amerilife Group, LLC Second Lien Term Loan 9/3/2020, 12/2/2020, 6/10/2021 12,060 Apidos CLO XI Subordinated Structured Note 11/2/2016, 4/8/2021 7,559 Apidos CLO XII Subordinated Structured Note 1/26/2018 4,070 Apidos CLO XV Subordinated Structured Note 3/29/2018 6,480 Apidos CLO XXII Subordinated Structured Note 2/24/2020 1,912 Atlantis Health Care Group (Puerto Rico), Inc. Revolving Line of Credit 4/15/2013, 5/21/2013, 3/11/2014, 6/26/2017, 9/29/2017, 10/12/2017, 10/31/2017 7,500 Atlantis Health Care Group (Puerto Rico), Inc. Senior Secured Term Loan 12/9/2016 42,000 Barings CLO 2018-III Subordinated Structured Note 5/18/2018 9,255 BCPE North Star US Holdco 2, Inc. Second Lien Term Loan 12/30/2021 65,000 Broder Bros., Co. Senior Secured Note 1/29/2019, 2/28/2019, 9/10/2021, 9/30/2021 25,370 Brookside Mill CLO Ltd. Subordinated Structured Note 1/29/2018 3,605 California Street CLO IX Ltd. Subordinated Structured Note 9/6/2016, 10/17/2016 6,842 Cent CLO 21 Limited Subordinated Structured Note 7/12/2018 1,024 CIFC Funding 2014-IV-R, Ltd. Subordinated Structured Note 10/12/2018, 12/20/2021 2,860 Columbia Cent CLO 27 Limited Subordinated Structured Note 12/2/2021 7,815 CP Energy Services Inc. Senior Secured Term Loan A to Spartan Energy Services, LLC 4/9/2021 2,500 CP Energy Services Inc. Common Stock 10/11/2013, 12/26/2013, 4/6/2018, 12/31/2019 69,586 Credit Central Loan Company, LLC Class A Units 12/28/2012, 3/28/2014, 6/26/2014, 9/28/2016, 8/21/2019 11,975 Credit Central Loan Company, LLC Subordinated Term Loan 6/26/2014, 9/28/2016 41,335 Curo Group Holdings Corp. Senior Secured Note 8/31/2021, 11/18/2021 14,051 Curo Group Holdings Corp. Second Lien Term Loan 7/31/2020, 10/6/2020, 10/8/2020, 10/19/2020, 11/12/2020, 11/18/2020, 11/20/2020 10,252 Echelon Transportation, LLC Membership Interest 3/31/2014, 9/30/2014, 12/9/2016 22,488 Echelon Transportation, LLC Senior Secured Term Loan 11/14/2018, 7/9/2019, 5/5/2020, 10/9/2020, 1/21/2021, 3/18/2021 5,465 First Tower Finance Company LLC Class A Units 12/30/2013, 6/24/2014, 12/15/2015, 11/21/2016, 3/9/2018 39,885 First Tower Finance Company LLC Subordinated Term Loan to First Tower, LLC 12/15/2015, 3/9/2018 20,924 Freedom Marine Solutions, LLC Membership Interest 10/1/2009, 12/22/2009, 1/13/2010, 3/30/2010, 5/13/2010, 2/14/2011, 4/28/2011, 7/7/2011, 10/20/2011, 10/30/2015, 1/7/2016, 4/11/2016, 8/11/2016, 1/30/2017, 4/20/2017, 6/13/2017, 8/30/2017, 1/17/2018, 2/15/2018, 5/8/2018, 10/31/2018, 5/14/2021 40,468 Galaxy XV CLO, Ltd. Subordinated Structured Note 8/21/2015, 3/10/2017 9,161 Galaxy XXVII CLO, Ltd. Subordinated Structured Note 6/11/2015 1,460 GEON Performance Solutions, LLC Revolving Line of Credit 12/12/2019, 1/10/2020, 2/3/2020, 2/6/2020, 3/2/2020, 3/6/2020, 4/9/2020, 5/7/2020, 6/3/2020 3,796 Global Tel*Link Corporation Second Lien Term Loan 4/10/2019, 8/22/2019, 9/20/2019, 9/14/2021, 9/17/2021, 12/17/2021 21,743 Help/Systems Holdings, Inc. Second Lien Term Loan 5/10/2018, 3/11/2019, 11/22/2019, 5/11/2021, 10/14/2021 54,649 Interdent, Inc. Senior Secured Term Loan A 2/11/2014, 4/21/2014, 11/25/2014, 12/23/2014, 7/14/2021 83,903 Interdent, Inc. Senior Secured Term Loan B 2/11/2014, 4/21/2014, 11/25/2014, 12/23/2014 76,125 Interventional Management Services, LLC Revolving Line of Credit 2/25/2021, 11/17/2021 5,000 Jefferson Mill CLO Ltd. Subordinated Structured Note 9/21/2018 2,047 K&N Parent, Inc. Second Lien Term Loan 8/14/2018, 9/5/2018, 9/7/2018, 9/10/2018, 9/24/2018, 11/12/2020 13,111 Kickapoo Ranch Pet Resort Membership Interest 10/21/2019, 12/4/2019 28 LCM XIV Ltd. Subordinated Structured Note 9/25/2015, 5/18/2018 9,422 See notes to consolidated financial statements. 41 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED) (in thousands, except share data) Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued) Portfolio Company Investment Follow-On Acquisition Dates Follow-On Acquisitions (Excluding initial investment cost) MITY, Inc. Common Stock 6/23/2014 7,200 MITY, Inc. Senior Secured Note A 1/17/2017, 3/23/2021 10,650 MITY, Inc. Senior Secured Note B 1/17/2017, 6/3/2019 11,000 Nationwide Loan Company LLC Class A Units 3/28/2014, 6/18/2014, 9/30/2014, 6/29/2015, 3/31/2016, 8/31/2016, 5/31/2017, 10/31/2017 20,469 Nationwide Loan Company LLC Senior Subordinated Term Loan to Nationwide Acceptance LLC 12/28/2015, 8/31/2016 1,999 National Property REIT Corp. Senior Secured Term Loan A 4/3/2020, 5/15/2020, 6/10/2020, 7/29/2020, 8/14/2020, 9/15/2020,10/15/2020, 10/30/2020, 11/10/2020, 11/13/2020, 11/19/2020, 12/11/2020, 1/27/2021, 2/25/2021, 3/11/2021, 5/14/2021, 6/14/2021, 6/25/2021, 8/16/2021, 11/15/2021, 11/26/2021, 12/1/2021, 12/28/2021 310,408 National Property REIT Corp. Senior Secured Term Loan B 12/8/20221, 12/17/2021 6,400 National Property REIT Corp. Senior Secured Term Loan C 10/23/2019, 1/23/2020, 3/31/2020, 4/8/2020, 8/4/2020, 12/7/2021 119,600 NMMB, Inc. Senior Secured Term Loan 12/30/2019 15,100 Octagon Investment Partners XV, Ltd. Subordinated Structured Note 4/27/2015, 8/3/2015, 6/27/2017 10,516 Octagon Investment Partners 18-R Ltd. Subordinated Structured Note 3/23/2018 8,908 Pacific World Corporation Revolving Line of Credit 10/21/2014, 12/19/2014, 4/7/2015, 4/22/2015, 8/12/2016, 10/18/2016, 2/7/2017, 2/21/2017, 4/26/2017, 10/11/2017, 10/17/2017, 1/16/2018, 12/27/2018, 3/15/2019, 7/2/2019, 8/15/2019, 9/1/2021, 10/19/2021 40,825 Pacific World Corporation Convertible Preferred Equity 4/3/2019, 4/29/2019, 6/3/2019, 10/4/2019, 11/12/2019, 12/20/2019, 1/7/2020, 3/5/2020, 12/30/2021 22,600 PeopleConnect Holdings, LLC Revolving Line of Credit 1/31/2020 1,115 PeopleConnect Holdings, LLC Senior Secured Term Loan 10/21/2021 82,005 PetVet Care Centers, LLC Second Lien Term Loan 11/22/2021 6,000 PGX Holdings, Inc. First Lien Term Loan (restructured) 11/16/2021 20,000 PGX Holdings, Inc. First Lien Term Loan 12/1/2020,12/14/2020,12/23/2020, 12/26/2020, 3/5/2021, 4/23/2021, 4/27/2021, 5/4/2021, 6/28/2021 34,589 PGX Holdings, Inc. 1.5 Lien Loan 9/18/2020, 12/31/2020 14,362 PGX Holdings, Inc. Second Lien Term Loan 12/23/2016, 12/28/2016 15,034 Redstone Holdco 2 LP Second Lien Term Loan 9/10/2021 17,903 Romark WM-R Ltd. Subordinated Structured Note 3/29/2018 5,125 Rosa Mexicano Revolving Line of Credit 3/27/2020 500 R-V Industries, Inc. Common Stock 12/27/2016 1,854 Securus Technologies Holdings, Inc. Second Lien Term Loan 11/13/2017, 11/24/2017, 8/6/2018, 8/24/2018, 3/18/2019 22,750 SEOTownCenter, Inc. Senior Secured Term Loan A 11/2/2018 3,000 SEOTownCenter, Inc. Senior Secured Term Loan B 11/2/2018 2,000 Shutterfly, LLC First Lien Term Loan 9/17/2021 3,969 Symphony CLO XV, Ltd. Subordinated Structured Note 12/7/2018 2,655 Town & Country Holdings, Inc. First Lien Term Loan 7/13/2018, 7/16/2018 105,000 Transplace Holdings, Inc. Second Lien Term Loan 1/4/2018, 11/3/2020 6,131 United Sporting Companies, Inc. Second Lien Term Loan 3/7/2013 58,650 Universal Turbine Parts, LLC Delayed Draw Term Loan 10/24/2019, 2/7/2020, 2/26/2020, 4/5/2021 3,216 USES Corp. Senior Secured Term Loan A 6/15/2016, 6/29/2016, 2/22/2017, 4/27/2017, 5/4/2017, 8/30/2017, 10/11/2017, 12/11/2018, 8/30/2019 14,100 USG Intermediate, LLC Revolving Line of Credit 7/2/2015, 9/23/2015, 9/14/2017, 8/21/2019, 9/17/2020, 9/8/2021 9,200 USG Intermediate, LLC Senior Secured Term Loan B 8/24/2017, 7/30/2021 12,975 Valley Electric Company, Inc. Common Stock 12/31/2012, 6/24/2014 18,502 Valley Electric Company, Inc. Senior Secured Note 6/30/2014, 8/31/2018 5,129 Vision Solutions, Inc. Second Lien Term Loan 5/28/2021, 6/24/2021 39,631 Voya CLO 2014-1, Ltd. Subordinated Structured Note 3/29/2018 3,943 Wellpath Holdings, Inc. First Lien Term Loan 10/8/2019, 10/8/2021 9,592 Wellpath Holdings, Inc. Second Lien Term Loan 8/20/2019 1,993 See notes to consolidated financial statements. 42 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED) (in thousands, except share data) Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued) (45) Since Prospect's initial common equity investment in NPRC on December 31, 2013, we have made numerous additional follow-on investments that have been used to invest in new and existing properties as well as online consumer loans and rated secured structured notes. These follow-on acquisitions are summarized by fiscal year below (excluding effects of return of capital distributions). Details of specific transactions are included in the respective fiscal year Form 10-K filing (refer to endnote 44 for NPRC term loan follow-on investments): Fiscal Year Follow-On Investments (NPRC Common Stock, excluding cost of initial investment) 2014 $ 4,555 2015 68,693 2016 93,857 2017 116,830 2018 137,024 2019 11,582 2020 19,800 2022 3,200 (46) Prospect owns 38.95% of the preferred stock of Legere Pharmaceutical Holdings, Inc. (“Legere”), which represents 4.98% voting interest in Legere. Legere is the parent company of the borrower, Preventics, Inc. (d/b/a Legere Pharmaceuticals). (47) This investment represents a Level 2 security in the ASC 820 table as of December 31, 2021. See Notes 2 and 3 within the accompanying notes to consolidated financial statements for further discussion. (48) During the year ended June 30, 2021, Venio, LLC repaid in full third-party first lien senior secured debt and, as a result of such repayment, our second lien secured term loan that was previously contractually subordinated to such third-party first lien senior secured debt was re-characterized to a first lien senior secured term loan. In December 2020, Venio, LLC completed the sale of a majority of its assets and we received $3,693 in proceeds, which was applied to the outstanding principal balance of our first lien term loan. As of December 31, 2021, $14,481 in aggregate principal remained outstanding. We expect to receive additional distributions from remaining assets and legal claims against a third party. (49) CP Iris Holdco I, Inc. and CP Iris Holdco II, Inc. are joint borrowers on the Second Lien Term Loan. (50) Medical Solutions Holdings, Inc. and Medical Solutions, LLC are joint borrowers on the Second Lien Term Loan. See notes to consolidated financial statements. 43 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED) (in thousands, except share data) Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued) Note 1. Organization In this report, the terms “Prospect,” “the Company,” “we,” “us” and “our” mean Prospect Capital Corporation and its subsidiaries unless the context specifically requires otherwise. Prospect is a financial services company that primarily lends to and invests in middle market privately-held companies. We are a closed-end investment company incorporated in Maryland. We have elected to be regulated as a business development company (“BDC”) under the Investment Company Act of 1940 (the “1940 Act”). As a BDC, we have elected to be treated as a regulated investment company (“RIC”), under Subchapter M of the Internal Revenue Code of 1986 (the “Code”). We were organized on April 13, 2004, and were funded in an initial public offering completed on July 27, 2004. On May 15, 2007, we formed a wholly owned subsidiary Prospect Capital Funding LLC (“PCF”), a Delaware limited liability company and a bankruptcy remote special purpose entity, which holds certain of our portfolio loan investments that are used as collateral for the revolving credit facility at PCF. Our wholly owned subsidiary Prospect Small Business Lending, LLC (“PSBL”) was formed on January 27, 2014, and purchased small business whole loans from online small business loan originators, including On Deck Capital, Inc. (“OnDeck”). On September 30, 2014, we formed a wholly-owned subsidiary Prospect Yield Corporation, LLC (“PYC”) and effective October 23, 2014, PYC holds a portion of our collateralized loan obligations (“CLOs”), which we also refer to as subordinated structured notes (“SSNs”). Each of these subsidiaries have been consolidated since operations commenced. We consolidate certain of our wholly owned and substantially wholly owned holding companies formed by us in order to facilitate our investment strategy. The following companies are included in our consolidated financial statements and are collectively referred to as the “Consolidated Holding Companies”: CP Holdings of Delaware LLC (“CP Holdings”); Credit Central Holdings of Delaware, LLC; Energy Solutions Holdings Inc.; First Tower Holdings of Delaware LLC (“First Tower Delaware”); MITY Holdings of Delaware Inc.; Nationwide Acceptance Holdings LLC; NMMB Holdings, Inc. (“NMMB Holdings”); NPH Property Holdings, LLC (“NPH”); Prospect Opportunity Holdings I, Inc. (“POHI”); SB Forging Company, Inc. (“SB Forging”); STI Holding, Inc.; UTP Holdings Group Inc. (“UTP Holdings”); Valley Electric Holdings I, Inc. (“Valley Holdings I”); and Valley Electric Holdings II, Inc. (“Valley Holdings II”). We are externally managed by our investment adviser, Prospect Capital Management L.P. (“Prospect Capital Management” or the “Investment Adviser”). Prospect Administration LLC (“Prospect Administration” or the “Administrator”), a wholly-owned subsidiary of the Investment Adviser, provides administrative services and facilities necessary for us to operate. Our investment objective is to generate both current income and long-term capital appreciation through debt and equity investments. We invest primarily in senior and subordinated debt and equity of private companies in need of capital for acquisitions, divestitures, growth, development, recapitalizations and other purposes. We work with the management teams or financial sponsors to identify investments with historical cash flows, asset collateral or contracted pro forma cash flows for investment. Note 2. Significant Accounting Policies Basis of Presentation and Consolidation The accompanying consolidated financial statements have been prepared in accordance with United States generally accepted accounting principles (“GAAP”) pursuant to the requirements for reporting on Form 10-Q, ASC 946, Financial Services—Investment Companies (“ASC 946”), and Articles 6, 10 and 12 of Regulation S-X. Under the 1940 Act, ASC 946, and the regulations pursuant to Article 6 of Regulation S-X, we are precluded from consolidating any entity other than another investment company or an operating company which provides substantially all of its services to benefit us. Our consolidated financial statements include the accounts of Prospect, PCF, PSBL, PYC, and the Consolidated Holding Companies. All intercompany balances and transactions have been eliminated in consolidation. The financial results of our non-substantially wholly-owned holding companies and operating portfolio company investments are not consolidated in the financial statements. Any operating companies owned by the Consolidated Holding Companies are not consolidated. Reclassifications Certain reclassifications have been made in the presentation of prior consolidated financial statements and accompanying notes to conform to the presentation as of and for the six months ended December 31, 2021. See notes to consolidated financial statements. 44 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (in thousands, except share and per share data) Use of Estimates The preparation of the consolidated financial statements in accordance with GAAP requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of income, expenses, and gains and losses during the reported period. Changes in the economic environment, financial markets, creditworthiness of the issuers of our investment portfolio and any other parameters used in determining these estimates could cause actual results to differ, and these differences could be material. Investment Classification We are a non-diversified company within the meaning of the 1940 Act. As required by the 1940 Act, we classify our investments by level of control. As defined in the 1940 Act, “Control Investments” are those where there is the ability or power to exercise a controlling influence over the management or policies of a company. Control is generally deemed to exist when a company or individual possesses or has the right to acquire within 60 days or less, a beneficial ownership of more than 25% of the voting securities of an investee company. Under the 1940 Act, “Affiliate Investments” are defined by a lesser degree of influence and are deemed to exist through the possession outright or via the right to acquire within 60 days or less, beneficial ownership of 5% or more of the outstanding voting securities of another person. “Non-Control/Non-Affiliate Investments” are those that are neither Control Investments nor Affiliate Investments. As a BDC, we must not acquire any assets other than “qualifying assets” specified in the 1940 Act unless, at the time the acquisition is made, at least 70% of our total assets are qualifying assets (with certain limited exceptions). As of December 31, 2021 and June 30, 2021, our qualifying assets as a percentage of total assets, stood at 77.96% and 76.31%, respectively. Investment Transactions Investments are recognized when we assume an obligation to acquire a financial instrument and assume the risks for gains or losses related to that instrument. Specifically, we record all security transactions on a trade date basis. Investments are derecognized when we assume an obligation to sell a financial instrument and forego the risks for gains or losses related to that instrument. Amounts for investments traded but not yet settled are reported in Due to Broker or Due from Broker, in the Consolidated Statements of Assets and Liabilities . Foreign Currency Foreign currency amounts are translated into US Dollars (USD) on the following basis: i. fair value of investment securities, other assets and liabilities—at the spot exchange rate on the last business day of the period; and ii. purchases and sales of investment securities, income and expenses—at the rates of exchange prevailing on the respective dates of such investment transactions, income or expenses. We do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in fair values of investments held or disposed of during the period. Such fluctuations are included within the net realized and net change in unrealized gains or losses from investments in the Consolidated Statements of Operations. Investment Risks Our investments are subject to a variety of risks. Those risks include the following: Market Risk Market risk represents the potential loss that can be caused by a change in the fair value of the financial instrument. Credit Risk Credit risk represents the risk that we would incur if the counterparties failed to perform pursuant to the terms of their agreements with us. 45 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Liquidity Risk Liquidity risk represents the possibility that we may not be able to rapidly adjust the size of our investment positions in times of high volatility and financial stress at a reasonable price. Interest Rate Risk Interest rate risk represents a change in interest rates, which could result in an adverse change in the fair value of an interest-bearing financial instrument. Prepayment Risk Many of our debt investments allow for prepayment of principal without penalty. Downward changes in interest rates may cause prepayments to occur at a faster than expected rate, thereby effectively shortening the maturity of the security and making us less likely to fully earn all of the expected income of that security and reinvesting in a lower yielding instrument. Structured Credit Related Risk CLO investments may be riskier and less transparent to us than direct investments in underlying companies. CLOs typically will have no significant assets other than their underlying senior secured loans. Therefore, payments on CLO investments are and will be payable solely from the cash flows from such senior secured loans. Foreign Currency Investments denominated in foreign currencies and foreign currency transactions may involve certain considerations and risks not typically associated with those of domestic origin. These risks include, but are not limited to, currency fluctuations and revaluations and future adverse political, social and economic developments, which could cause investments in foreign markets to be less liquid and prices more volatile than those of comparable U.S. companies or U.S. government securities. Investment Valuation As a BDC, and in accordance with the 1940 Act, we fair value our investment portfolio on a quarterly basis, with any unrealized gains and losses reflected in net increase (decrease) in net assets resulting from operations on our Consolidated Statement of Operations . To value our investments, we follow the guidance of ASC 820, Fair Value Measurement (“ASC 820”), that defines fair value, establishes a framework for measuring fair value in conformity with GAAP, and requires disclosures about fair value measurements. In accordance with ASC 820, the fair value of our investments is defined as the price that we would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market in which that investment is transacted. ASC 820 classifies the inputs used to measure these fair values into the following hierarchy: Level 1 : Quoted prices in active markets for identical assets or liabilities, accessible by us at the measurement date. Level 2 : Quoted prices for similar assets or liabilities in active markets, or quoted prices for identical or similar assets or liabilities in markets that are not active, or other observable inputs other than quoted prices. Level 3 : Unobservable inputs for the asset or liability. In all cases, the level in the fair value hierarchy within which the fair value measurement in its entirety falls has been determined based on the lowest level of input that is significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each investment. Our Board of Directors has established procedures for the valuation of our investment portfolio. These procedures are detailed below. Investments for which market quotations are readily available are valued at such market quotations. 46 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) For most of our investments, market quotations are not available. With respect to investments for which market quotations are not readily available or when such market quotations are deemed not to represent fair value, our Board of Directors has approved a multi-step valuation process each quarter, as described below. 1. Each portfolio company or investment is reviewed by our investment professionals with independent valuation firms engaged by our Board of Directors. 2. The independent valuation firms prepare independent valuations for each investment based on their own independent assessments and issue their report. 3. The Audit Committee of our Board of Directors reviews and discusses with the independent valuation firms the valuation reports, and then makes a recommendation to the Board of Directors of the value for each investment. 4. The Board of Directors discusses valuations and determines the fair value of each investment in our portfolio in good faith based on the input of the Investment Adviser, the respective independent valuation firm and the Audit Committee. Our non-CLO investments are valued utilizing a yield technique, enterprise value (“EV”) technique, net asset value technique, asset recovery technique, discounted cash flow technique, or a combination of techniques, as appropriate. The yield technique uses loan spreads for loans and other relevant information implied by market data involving identical or comparable assets or liabilities. Under the EV technique, the EV of a portfolio company is first determined and allocated over the portfolio company’s securities in order of their preference relative to one another (i.e., “waterfall” allocation). To determine the EV, we typically use a market (multiples) valuation approach that considers relevant and applicable market trading data of guideline public companies, transaction metrics from precedent merger and acquisitions transactions, and/or a discounted cash flow technique. The net asset value technique, an income approach, is used to derive a value of an underlying investment (such as real estate property) by dividing a relevant earnings stream by an appropriate capitalization rate. For this purpose, we consider capitalization rates for similar properties as may be obtained from guideline public companies and/or relevant transactions. The asset recovery technique is intended to approximate the net recovery value of an investment based on, among other things, assumptions regarding liquidation proceeds based on a hypothetical liquidation of a portfolio company’s assets. The discounted cash flow technique converts future cash flows or earnings to a range of fair values from which a single estimate may be derived utilizing an appropriate discount rate. The fair value measurement is based on the net present value indicated by current market expectations about those future amounts. In applying these methodologies, additional factors that we consider in valuing our investments may include, as we deem relevant: security covenants, call protection provisions, and information rights; the nature and realizable value of any collateral; the portfolio company’s ability to make payments; the principal markets in which the portfolio company does business; publicly available financial ratios of peer companies; the principal market; and enterprise values, among other factors. Our investments in CLOs are classified as Level 3 fair value measured securities under ASC 820 and are valued using a discounted multi-path cash flow model. The CLO structures are analyzed to identify the risk exposures and to determine an appropriate call date (i.e., expected maturity). These risk factors are sensitized in the multi-path cash flow model using Monte Carlo simulations, which is a simulation used to model the probability of different outcomes, to generate probability-weighted (i.e., multi-path) cash flows from the underlying assets and liabilities. These cash flows are discounted using appropriate market discount rates, and relevant data in the CLO market as well as certain benchmark credit indices are considered, to determine the value of each CLO investment. In addition, we generate a single-path cash flow utilizing our best estimate of expected cash receipts, and assess the reasonableness of the implied discount rate that would be effective for the value derived from the multi-path cash flows. We are not responsible for and have no influence over the asset management of the portfolios underlying the CLO investments we hold, as those portfolios are managed by non-affiliated third-party CLO collateral managers. The main risk factors are default risk, prepayment risk, interest rate risk, downgrade risk, and credit spread risk. Valuation of Other Financial Assets and Financial Liabilities ASC 825, Financial Instruments , specifically ASC 825-10-25, permits an entity to choose, at specified election dates, to measure eligible items at fair value (the “Fair Value Option”). We have not elected the Fair Value Option to report selected financial assets and financial liabilities. See Note 8 for the disclosure of the fair value of our outstanding debt and the market observable inputs used in determining fair value. 47 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Convertible Notes We have recorded the Convertible Notes at their contractual amounts. We have determined that the embedded conversion options in the Convertible Unsecured Notes are not required to be separately accounted for as a derivative under ASC 815, Derivatives and Hedging . See Note 5 for further discussion on our Convertible Notes outstanding. Revenue Recognition Realized gains or losses on the sale of investments are calculated using the specific identification method. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis. Original issue discounts and market discounts are capitalized and accreted into interest income over the respective terms of the applicable loans using the effective interest method or straight-line, as applicable, and adjusted only for material amendments or prepayments. Upon a prepayment of a loan, prepayment premiums, original issue discount, or market discounts are recorded as interest income. Loans are placed on non-accrual status when there is reasonable doubt that principal or interest will be collected. Unpaid accrued interest is generally reversed when a loan is placed on non-accrual status. Interest payments received on non-accrual loans are either applied to the cost basis or interest income, depending upon management’s judgment of the collectibility of the loan receivable. Non-accrual loans are restored to accrual status when past due principal and interest is paid and in management’s judgment, is likely to remain current and future principal and interest collections when due are probable. Interest received and applied against cost while a loan is on non-accrual, and PIK interest capitalized but not recognized while on non-accrual, is recognized prospectively on the effective yield basis through maturity of the loan when placed back on accrual status, to the extent deemed collectible by management. As of December 31, 2021, approximately 0.4% of our total assets at fair value are in non-accrual status. Some of our loans and other investments may have contractual payment-in-kind (“PIK”) interest or dividends. PIK income computed at the contractual rate is accrued into income and reflected as receivable up to the capitalization date. PIK investments offer issuers the option at each payment date of making payments in cash or in additional securities. When additional securities are received, they typically have the same terms, including maturity dates and interest rates as the original securities issued. On these payment dates, we capitalize the accrued interest (reflecting such amounts in the basis as additional securities received). PIK generally becomes due at maturity of the investment or upon the investment being called by the issuer. At the point that we believe PIK is not fully expected to be realized, the PIK investment will be placed on non-accrual status. When a PIK investment is placed on non-accrual status, the accrued, uncapitalized interest or dividends are reversed from the related receivable through interest or dividend income, respectively. We do not reverse previously capitalized PIK interest or dividends. Upon capitalization, PIK is subject to the fair value estimates associated with their related investments. PIK investments on non-accrual status are restored to accrual status if we believe that PIK is expected to be realized. Interest income from investments in Subordinated Structured Notes (typically preferred shares, income notes or subordinated notes of CLO funds) and “equity” class of security of securitized trust is recorded based upon an estimation of an effective yield to expected maturity utilizing assumed cash flows in accordance with ASC 325-40, Beneficial Interests in Securitized Financial Assets . We monitor the expected cash inflows from our CLO and securitized trust equity investments, including the expected residual payments, and the effective yield is determined and updated periodically. Dividend income is recorded on the ex-dividend date. Other income generally includes amendment fees, commitment fees, administrative agent fees and structuring fees which are recorded when earned. Excess deal deposits, net profits interests and overriding royalty interests are included in other income. See Note 10 for further discussion. Federal and State Income Taxes We have elected to be treated as a RIC and intend to continue to comply with the requirements of the Code applicable to RICs. We are required to distribute at least 90% of our investment company taxable income and intend to distribute (or retain through a deemed distribution) all of our investment company taxable income and net capital gain to stockholders; therefore, we have made no provision for income taxes. The character of income and gains that we will distribute is determined in accordance with income tax regulations that may differ from GAAP. Book and tax basis differences relating to stockholder dividends and distributions and other permanent book and tax differences are reclassified to paid-in capital. 48 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) If we do not distribute (or are not deemed to have distributed) at least 98% of our annual ordinary income and 98.2% of our capital gains in the calendar year earned, we will generally be required to pay an excise tax equal to 4% of the amount by which 98% of our annual ordinary income and 98.2% of our capital gains exceed the distributions from such taxable income for the year. To the extent that we determine that our estimated current year annual taxable income will be in excess of estimated current year dividend distributions from such taxable income, we accrue excise taxes, if any, on estimated excess taxable income. As of December 31, 2021, we do not expect to have any excise tax due for the 2021 calendar year. Thus, we have not accrued any excise tax for this period. If we fail to satisfy the annual distribution requirement or otherwise fail to qualify as a RIC in any taxable year, we would be subject to tax on all of our taxable income at regular corporate income tax rates. We would not be able to deduct distributions to stockholders, nor would we be required to make distributions. Distributions would generally be taxable to our individual and other non-corporate taxable stockholders as ordinary dividend income eligible for the reduced maximum rate applicable to qualified dividend income to the extent of our current and accumulated earnings and profits, provided certain holding period and other requirements are met. Subject to certain limitations under the Code, corporate distributions would be eligible for the dividends-received deduction. To qualify again to be taxed as a RIC in a subsequent year, we would be required to distribute to our stockholders our accumulated earnings and profits attributable to non-RIC years. In addition, if we failed to qualify as a RIC for a period greater than two taxable years, then, in order to qualify as a RIC in a subsequent year, we would be required to elect to recognize and pay tax on any net built-in gain (the excess of aggregate gain, including items of income, over aggregate loss that would have been realized if we had been liquidated) or, alternatively, be subject to taxation on such built-in gain recognized for a period of five years. We follow ASC 740, Income Taxes (“ASC 740”). ASC 740 provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the consolidated financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing our tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as a tax benefit or expense in the current year. As of December 31, 2021, we did not record any unrecognized tax benefits or liabilities. Management’s determinations regarding ASC 740 may be subject to review and adjustment at a later date based upon factors including, but not limited to, an on-going analysis of tax laws, regulations and interpretations thereof. Although we file both federal and state income tax returns, our major tax jurisdiction is federal. Our federal tax returns for the tax years ended August 31, 2018 and thereafter remain subject to examination by the Internal Revenue Service. Dividends and Distributions to Common Shareholders Dividends and distributions to common stockholders are recorded on the ex-dividend date. The amount, if any, to be paid as a monthly dividend or distribution is approved by our Board of Directors quarterly and is generally based upon our management’s estimate of our future taxable earnings. Net realized capital gains, if any, are distributed at least annually. Our distributions may exceed our earnings, and therefore, portions of the distributions that we make may be a return of the money originally invested and represent a return of capital distribution to shareholders for tax purposes. Financing Costs We record origination expenses related to our Revolving Credit Facility, and Convertible Notes, Public Notes and Prospect Capital InterNotes® (collectively, our “Unsecured Notes”) as deferred financing costs. These expenses are deferred and amortized as part of interest expense using the straight-line method over the stated life of the obligation for our Revolving Credit Facility and for our Prospect Capital InterNotes®. The effective interest method is used to amortize deferred financing costs for our remaining Unsecured Notes over the respective expected life or maturity. In the event that we modify or extinguish our debt before maturity, we follow the guidance in ASC 470-50, Modification and Extinguishments (“ASC 470-50”). For modifications to or exchanges of our Revolving Credit Facility, any unamortized deferred costs relating to lenders who are not part of the new lending group are expensed. For extinguishments of our Unsecured Notes, any unamortized deferred costs are deducted from the carrying amount of the debt in determining the gain or loss from the extinguishment. Unamortized deferred financing costs are presented as a direct deduction to the respective Unsecured Notes (see Notes 5, 6, and 7). We may record registration expenses related to shelf filings as prepaid expenses. These expenses consist principally of the Securities and Exchange Commission (“SEC”) registration fees, legal fees and accounting fees incurred. These prepaid expenses are charged to capital upon the receipt of proceeds from an equity offering or charged to expense if no offering is 49 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) completed. As of December 31, 2021 and June 30, 2021, there are no prepaid expenses related to registration expenses and all amounts incurred have been expensed. Guarantees and Indemnification Agreements We follow ASC 460, Guarantees (“ASC 460”). ASC 460 elaborates on the disclosure requirements of a guarantor in its interim and annual consolidated financial statements about its obligations under certain guarantees that it has issued. It also requires a guarantor to recognize, at the inception of a guarantee, for those guarantees that are covered by ASC 460, the fair value of the obligation undertaken in issuing certain guarantees. Per Share Information In accordance with ASC 946, senior equity securities, such as preferred stock, are not considered in the calculation of net asset value per share. Net asset value per share also excludes the effects of assumed conversion of outstanding convertible securities, regardless of whether their conversion would have a diluting effect. Therefore, our net asset value is presented on the basis of per common share outstanding as of the applicable period end. We compute earnings per common share in accordance with ASC 260, Earnings Per Share (“ASC 260”). Basic earnings per common share is calculated by dividing the net increase (decrease) in net assets resulting from operations applicable to common stockholders by the weighted average number of shares of common stock outstanding. Diluted earnings per common share reflects the assumed conversion of dilutive securities. Recent Accounting Pronouncements In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform. The amendments in ASU 2020-04 provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The standard is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact of the optional guidance on the Company’s consolidated financial statements and disclosures. The Company did not utilize the optional expedients and exceptions provided by ASU 2020-04 during the three months ended December 31, 2021. In August 2020, FASB issued ASU 2020-06, Debt-Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging-Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity, which simplifies the accounting for convertible instruments by removing the separation models for (1) convertible debt with a cash conversion feature and (2) convertible instruments with a beneficial conversion feature. As a result, after adoption, a convertible debt instrument will be accounted for as a single liability measured at its amortized cost. Additionally, ASU 2020-06 requires the application of the if-converted method to calculate the impact of convertible instruments on diluted earnings per share. ASU 2020-06 is effective for fiscal years beginning after December 15, 2021. We are currently evaluating the impact, if any, of adopting this ASU on our consolidated financial statements and disclosures. 50 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Note 3. Portfolio Investments At December 31, 2021, we had investments in 127 long-term portfolio investments and CLOs, which had an amortized cost of $6,541,338 and a fair value of $7,002,846. At June 30, 2021, we had investments in 124 long-term portfolio investments and CLOs, which had an amortized cost of $6,058,124 and a fair value of $6,201,778. The original cost basis of debt placement and equity securities acquired, including follow-on investments for existing portfolio companies, payment-in-kind interest, and structuring fees, totaled $1,280,041 and $522,719 during the six months ended December 31, 2021 and December 31, 2020, respectively. Debt repayments and considerations from sales of equity securities of approximately $768,060 and $483,420 were received during the six months ended December 31, 2021 and December 31, 2020, respectively. The following table shows the composition of our investment portfolio as of December 31, 2021 and June 30, 2021: December 31, 2021 June 30, 2021 Cost Fair Value Cost Fair Value Revolving Line of Credit $ 37,260 $ 37,252 $ 27,522 $ 27,503 Senior Secured Debt 3,283,057 3,232,137 3,166,861 3,128,845 Subordinated Secured Debt 1,459,195 1,365,465 1,069,767 981,425 Subordinated Unsecured Debt 7,200 5,824 7,200 3,715 Subordinated Structured Notes 1,050,779 744,458 1,090,175 756,109 Equity 703,847 1,617,710 696,599 1,304,181 Total Investments $ 6,541,338 $ 7,002,846 $ 6,058,124 $ 6,201,778 51 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) In the previous table and throughout the remainder of this footnote, we aggregate our portfolio investments by type of investment, which may differ slightly from the nomenclature used by the constituent instruments defining the rights of holders of the investment, as disclosed on our Consolidated Schedules of Investments (“SOI”). The following investments are included in each category: • Revolving Line of Credit includes our investments in delayed draw term loans. • Senior Secured Debt includes investments listed on the SOI such as senior secured term loans, senior term loans, secured promissory notes, senior demand notes, and first lien term loans. • Subordinated Secured Debt includes investments listed on the SOI such as subordinated secured term loans, subordinated term loans, senior subordinated notes, 1.5 lien term loans, second lien term loans, and third lien term loans. • Subordinated Unsecured Debt includes investments listed on the SOI such as subordinated unsecured notes and senior unsecured notes. • Subordinated Structured Notes includes our investments in the “equity” security class of CLO funds such as income notes, preference shares, and subordinated notes. • Equity, unless specifically stated otherwise, includes our investments in preferred stock, common stock, membership interests, net profits interests, net operating income interests, net revenue interests, overriding royalty interests, escrows receivable, and warrants. The following table shows the fair value of our investments disaggregated into the three levels of the ASC 820 valuation hierarchy as of December 31, 2021: Level 1 Level 2 Level 3 Total Revolving Line of Credit $ — $ — $ 37,252 $ 37,252 Senior Secured Debt — 52,982 3,179,155 3,232,137 Subordinated Secured Debt — — 1,365,465 1,365,465 Subordinated Unsecured Debt — — 5,824 5,824 Subordinated Structured Notes — — 744,458 744,458 Equity — — 1,617,710 1,617,710 Total Investments $ — $ 52,982 $ 6,949,864 $ 7,002,846 52 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) The following table shows the fair value of our investments disaggregated into the three levels of the ASC 820 valuation hierarchy as of June 30, 2021: Level 1 Level 2 Level 3 Total Revolving Line of Credit $ — $ — $ 27,503 $ 27,503 Senior Secured Debt — 24,706 3,104,139 3,128,845 Subordinated Secured Debt — 15,188 966,237 981,425 Subordinated Unsecured Debt — — 3,715 3,715 Subordinated Structured Notes — — 756,109 756,109 Equity — — 1,304,181 1,304,181 Total Investments $ — $ 39,894 $ 6,161,884 $ 6,201,778 The following tables show the aggregate changes in the fair value of our Level 3 investments during the six months ended December 31, 2021: Fair Value Measurements Using Unobservable Inputs (Level 3) Control Investments Affiliate Investments Non-Control/ Non-Affiliate Investments Total Fair value as of June 30, 2021 $ 2,919,717 $ 356,734 $ 2,885,433 $ 6,161,884 Net realized gains (losses) on investments 6 — (9,406) (9,400) Net change in unrealized gains 256,396 37,626 27,547 321,569 Net realized and unrealized gains 256,402 37,626 18,141 312,169 Purchases of portfolio investments 129,633 222,931 828,316 1,180,880 Payment-in-kind interest 33,272 27 1,413 34,712 Accretion (amortization) of discounts and premiums, net 284 2,026 (34,622) (32,312) Repayments and sales of portfolio investments (281,385) (189,390) (257,199) (727,974) Transfers into Level 3(2) — — 20,505 20,505 Fair value as of December 31, 2021 $ 3,057,923 $ 429,954 $ 3,461,987 $ 6,949,864 Revolving Line of Credit Senior Secured Debt Subordinated Secured Debt Subordinated Unsecured Debt Subordinated Structured Notes Equity Total Fair value as of June 30, 2021 $ 27,503 $ 3,104,139 $ 966,237 $ 3,715 $ 756,109 $ 1,304,181 $ 6,161,884 Net realized gains (losses) on investments — — — 6 (9,406) — (9,400) Net change in unrealized gains (losses) 11 (14,253) (326) 2,109 27,745 306,283 321,569 Net realized and unrealized gains (losses) 11 (14,253) (326) 2,115 18,339 306,283 312,169 Purchases of portfolio investments 9,000 435,047 720,069 — 9,518 7,246 1,180,880 Payment-in-kind interest 822 32,135 1,755 — — — 34,712 Accretion (amortization) of discounts and premiums, net — 5,718 1,478 — (39,508) — (32,312) Repayments and sales of portfolio investments (84) (474,029) (253,855) (6) — — (727,974) Transfers within Level 3(1) — 69,893 (69,893) — — — — Transfers into Level 3(2) 20,505 20,505 Fair value as of December 31, 2021 $ 37,252 $ 3,179,155 $ 1,365,465 $ 5,824 $ 744,458 $ 1,617,710 $ 6,949,864 (1) Transfers are assumed to have occurred at the beginning of the quarter during which the asset was transferred. (2) Transfers are assumed to have occurred at the beginning of the quarter during which the asset was transferred. During the three months ended December 31, 2021 one of our senior secured notes transferred out of Level 2 to Level 3 because inputs to the valuation became unobservable. 53 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) The following tables show the aggregate changes in the fair value of our Level 3 investments during the six months ended December 31, 2020: Fair Value Measurements Using Unobservable Inputs (Level 3) Control Investments Affiliate Investments Non-Control/ Non-Affiliate Investments Total Fair value as of June 30, 2020 $ 2,259,292 $ 187,537 $ 2,785,499 $ 5,232,328 Net realized gains on investments 2,832 3,724 — 6,556 Net change in unrealized gains 181,588 85,706 64,451 331,745 Net realized and unrealized gains 184,420 89,430 64,451 338,301 Purchases of portfolio investments 150,489 35,423 289,573 475,485 Payment-in-kind interest 23,803 12,254 1,767 37,824 Accretion of discounts and premiums, net 209 6,522 13,320 20,051 Repayments and sales of portfolio investments (69,490) (67,231) (353,232) (489,953) Transfers out of Level 3(2) — — (11,308) (11,308) Fair Value as of December 31, 2020 $ 2,548,723 $ 263,935 $ 2,790,070 $ 5,602,728 Revolving Line of Credit Senior Secured Debt Subordinated Secured Debt Subordinated Unsecured Debt Subordinated Structured Notes Equity Total Fair value as of June 30, 2020 $ 36,944 $ 2,422,523 $ 1,269,398 $ 51,079 $ 708,961 $ 743,423 $ 5,232,328 Net realized gains on investments — 2,830 — — — 3,726 6,556 Net change in unrealized gains (losses)(1) 47 76,299 54,376 (11,755) 25,262 187,516 331,745 Net realized and unrealized gains (losses) 47 79,129 54,376 (11,755) 25,262 191,242 338,301 Purchases of portfolio investments 2,000 310,365 84,232 — — 78,888 475,485 Payment-in-kind interest 228 18,436 16,540 2,620 — — 37,824 Accretion of discounts and premiums, net — 1,378 1,067 6,439 11,167 — 20,051 Repayments and sales of portfolio investments (14,041) (231,390) (186,898) (48,383) — (9,241) (489,953) Transfers within Level 3(1) — 34,791 (54,204) — — 19,413 — Transfers out of Level 3(2) — (8,438) (2,870) — — — (11,308) Fair Value as of December 31, 2020 $ 25,178 $ 2,626,794 $ 1,181,641 $ — $ 745,390 $ 1,023,725 $ 5,602,728 (1) Transfers are assumed to have occurred at the beginning of the quarter during which the asset was transferred. (2) Transfers are assumed to have occurred at the beginning of the quarter during which the asset was transferred. During the three months ended December 31, 2020 one of our senior secured notes and one of our subordinated secured notes transferred out of Level 3 to Level 2 because the inputs to the valuation became observable. For the six months ended December 31, 2021 and December 31, 2020, the net change in unrealized gains (losses) on the investments that use Level 3 inputs was $325,417 and $250,623 for investments still held as of December 31, 2021 and December 31, 2020, respectively. Impact of the novel coronavirus (“COVID-19”) pandemic On March 11, 2020, the World Health Organization declared the novel coronavirus (the "COVID-19") as a pandemic, and on March 13, 2020, the United States declared a national emergency with respect to COVID-19. COVID-19 has had a devastating impact on the global economy, including the U.S. economy, and has resulted in a global economic recession. COVID-19 has been declared a pandemic by the World Health Organization and, in response to the outbreak, the U.S. Health and Human Services Secretary declared a public health emergency in the United States. COVID-19 had a devastating impact on the global economy, including the U.S. economy, and resulted in a global economic recession. Many states issued orders requiring the closure of non-essential businesses and/or requiring residents to stay at home. The COVID-19 pandemic and preventative measures taken to contain or mitigate its spread have caused, and are continuing to cause, business shutdowns, cancellations of events and travel, significant reductions in demand for certain goods and services, reductions in business activity and financial transactions, supply chain interruptions and overall economic and financial market instability both globally and in the United States. Such effects will likely continue for the duration of the pandemic, which is uncertain, and for some period thereafter. While several countries, as well as certain states, counties and cities in the United States, began to relax the early public health restrictions with a view to partially or fully reopening their economies, many cities, both globally and in the United States, continue to experience, from time to time, surges in the reported number of cases and hospitalizations related to the COVID-19 pandemic. Increases in cases can and have led to the re-introduction of such restrictions in certain states in the United States and globally and could continue to lead to the re-introduction of such restrictions elsewhere. Additionally, the 54 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) vaccine produced by Johnson & Johnson is currently authorized for emergency use, and the U.S. Food and Drug Administration (“FDA”) has granted full approval to the vaccines produced by Pfizer-BioNTech and Moderna, which will now be marketed as Comirnaty and Spikevax, respectively. However, it remains unclear how quickly the vaccines will be distributed nationwide and globally or when “herd immunity” will be achieved and the restrictions that were imposed to slow the spread of the virus will be lifted entirely. Various factors could lead people to continue to self-isolate and not participate in the economy at pre-pandemic levels for a prolonged period of time. Even after the COVID-19 pandemic subsides, the U.S. economy and most other major global economies may continue to experience a substantial economic downturn or recession, and our business and operations, as well as the business and operations of our portfolio companies, could be materially adversely affected by a prolonged economic downturn or recession in the United States and other major markets. The COVID-19 pandemic (including the preventative measures taken in response thereto) has to date (i) created significant business disruption issues for certain of our portfolio companies, and (ii) materially and adversely impacted the value and performance of certain of our portfolio companies and SSN investments. The COVID-19 pandemic continues to have a particularly adverse impact on industries in which certain of our portfolio companies operate, including energy, hospitality, travel, retail and restaurants. Certain of our portfolio companies in other industries have also been significantly impacted. The COVID-19 pandemic is continuing as of the filing date of this Quarterly Report, and its extended duration may have further adverse impacts on our portfolio companies and SSN investments after December 31, 2021, including for the reasons described herein. As a result of this disruption and the pressures on their liquidity, certain of our portfolio companies have been, or may continue to be, incentivized to draw on most, if not all, of the unfunded portion of any revolving or delayed draw term loans made by us, subject to availability under the terms of such loans. As a BDC, we are required to carry our investments at fair value as determined in good faith by our Board of Directors. Depending on market conditions, we could incur substantial losses in future periods, which could have a material adverse impact on our business, financial condition, and results of operations. Although it is difficult to predict the extent of the impact of the COVID-19 outbreak on the underlying CLO vehicles we invest in, CLO vehicles in which we invest may fail to satisfy certain financial covenants, including with respect to adequate collateralization and/or interest coverage tests. Such failure could cause the assets of the CLO vehicle to not receive full par credit for purposes of calculation of the CLO vehicle’s overcollateralization tests and as a consequence, may lead to a reduction in such CLO vehicle’s payments to us because holders of debt senior to us may be entitled to additional payments that would, in turn, reduce the payments we would otherwise be entitled to. Separately, we may incur expenses to the extent necessary to seek recovery upon default or to negotiate new terms with a defaulting CLO vehicle or any other investment we may make. If any of these occur, it could materially and adversely affect our operating results and cash flows. The COVID-19 pandemic has adversely impacted the fair value of some of our investments as of December 31, 2021, and the values assigned as of this date may differ materially from the values that we may ultimately realize with respect to our investments. The impact of the COVID-19 pandemic may not yet be fully reflected in the valuation of our investments as our valuations, and particularly valuations of private investments and private companies, are inherently uncertain, may fluctuate over short periods of time and are often based on estimates, comparisons and qualitative evaluations of private information that is often from a time period earlier, generally two to three months, than the quarter for which we are reporting. Additionally, we may not have yet received information or certifications from our portfolio companies that indicate any or the full extent of declining performance or non-compliance with debt covenants, as applicable, as a result of the COVID-19 pandemic. As a result, our valuations at December 31, 2021 may not show the complete or continuing impact of the COVID-19 pandemic and the resulting measures taken in response thereto. In addition, write downs in the value of some of our investments have reduced, and any additional write downs may further reduce, our net asset value (and, as a result, our asset coverage calculation). Accordingly, we may incur net unrealized losses or may incur realized losses after December 31, 2021, which could have a material adverse effect on our business, financial condition and results of operations. 55 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) The ranges of unobservable inputs used in the fair value measurement of our Level 3 investments as of December 31, 2021 were as follows: Unobservable Input Asset Category Fair Value Primary Valuation Approach or Technique Input Range Weighted Average Senior Secured Debt $ 1,557,888 Discounted cash flow (Yield analysis) Market yield 4.7% to 17.2% 9.5% Senior Secured Debt 424,468 Enterprise value waterfall (Market approach) EBITDA multiple 5.5x to 10.5x 9.1x Senior Secured Debt 133,318 Enterprise value waterfall (Market approach) Revenue multiple 0.6x to 1.5x 1.1x Senior Secured Debt 80,005 Enterprise value waterfall (Discounted cash flow) Discount rate 8.0% to 10.0% 9.0% Senior Secured Debt 12,199 Asset recovery analysis Recoverable amount n/a n/a Senior Secured Debt (1) 6,600 Enterprise value waterfall Loss-adjusted discount rate 4.9% to 8.3% 7.5% Projected loss rates 0.0% to 2.0% 0.03% Senior Secured Debt (2) 108,600 Enterprise value waterfall Discount rate (3) 6.9% to 12.5% 9.3% Senior Secured Debt 330,799 Enterprise value waterfall (Market approach) Tangible book value multiple 3.3x to 3.8x 3.5x Earnings multiple 6.0x to 7.0x 6.5x Discount rate 12.8% to 13.8% 13.3% Senior Secured Debt 71,695 Enterprise value waterfall (Market approach) Tangible book value multiple 2.4x to 2.8x 2.6x Earnings multiple 5.0x to 6.0x 5.5x Senior Secured Debt 20,260 Enterprise value waterfall (Market approach) Tangible book value multiple 1.3x to 1.5x 1.4x Senior Secured Debt 470,575 Enterprise value waterfall (NAV analysis) Capitalization Rate 3.1% to 7.7% 4.6% Subordinated Secured Debt 1,355,251 Discounted cash flow (Yield analysis) Market yield 7.3% to 21.5% 10.4% Subordinated Secured Debt 3,930 Enterprise value waterfall (Market approach) Revenue multiple 0.5x to 0.6x 0.6x Tangible book value multiple n/a n/a Earnings multiple 5.0x to 6.0x 5.5x Subordinated Secured Debt 6,284 Asset recovery analysis Recoverable amount n/a n/a Subordinated Unsecured Debt 5,824 Enterprise value waterfall (Market approach) Revenue multiple 0.5x to 0.6x 0.6x Subordinated Structured Notes 744,458 Discounted cash flow Discount rate (3) 0.3% to 29.8% 17.3% Preferred Equity 16,332 Enterprise value waterfall (Market approach) Revenue multiple 0.5x to 1.4x 1.0x Preferred Equity 1,547 Enterprise value waterfall (Market approach) EBITDA multiple 4.0x to 5.0x 4.5x Common Equity/Interests/Warrants 581,350 Enterprise value waterfall (Market approach) EBITDA multiple 5.5x to 10.5x 8.9x Common Equity/Interests/Warrants 21,115 Enterprise value waterfall (Market approach) Revenue multiple 0.5x to 1.1x 0.9x Common Equity/Interests/Warrants (1) 6,531 Enterprise value waterfall Loss-adjusted discount rate 4.9% to 8.3% 7.5% Projected loss rates 0.0% to 2.0% 0.03% Common Equity/Interests/Warrants (2) 23,101 Enterprise value waterfall Discount rate (3) 6.9% to 12.5% 9.3% Common Equity/Interests/Warrants (4) 50,700 Enterprise value waterfall (NAV analysis) Capitalization Rate 3.1% to 7.7% 4.6% Common Equity/Interests/Warrants 294,298 Enterprise value waterfall (Market approach) Tangible book value multiple 3.3x to 3.8x 3.5x Earnings multiple 6.0x to 7.0x 6.5x Discount rate 12.8% to 13.8% 13.3% Common Equity/Interests/Warrants 17,830 Enterprise value waterfall (Market approach) Tangible book value multiple 2.4x to 2.8x 2.6x Earnings multiple 5.0x to 6.0x 5.5x Common Equity/Interests/Warrants 29,963 Enterprise value waterfall (Market approach) Tangible book value multiple 1.3x to 1.5x 1.4x Common Equity/Interests/Warrants 557,691 Enterprise value waterfall (NAV analysis) Capitalization Rate 3.1% to 7.7% 4.6% Common Equity/Interests/Warrants 5,385 Enterprise value waterfall (Discounted cash flow) Discount rate 15.0% to 30.0% 22.2% 56 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Unobservable Input Asset Category Fair Value Primary Valuation Approach or Technique Input Range Weighted Average Common Equity/Interests/Warrants 11,867 Asset recovery analysis Recoverable amount 21.6% to 26.7% 24.1% Total Level 3 Investments $ 6,949,864 (1) Represents an investment in a Real Estate Investment Trust subsidiary. The Enterprise Value analysis includes the fair value of our investments in such indirect subsidiary’s consumer loans purchased from online consumer lending platforms, which are valued using a discounted cash flow valuation technique. (2) Represents an investment in a Real Estate Investment Trust subsidiary. The Enterprise Value analysis includes the fair value of our investments in such indirect subsidiary’s rated secured structured notes, which are valued using a discounted cash flow valuation technique. The key unobservable input to the discounted cash flow analysis is noted above. (3) Represents the implied discount rate based on our internally generated single-cash flow model that is derived from the fair value estimated by the corresponding multi-path cash flow model utilized by the independent valuation firm. (4) Represents Residual Profit Interests in Real Estate Investments. 57 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) The ranges of unobservable inputs used in the fair value measurement of our Level 3 investments as of June 30, 2021 were as follows: Unobservable Input Asset Category Fair Value Primary Valuation Approach or Technique Input Range Weighted Average Senior Secured Debt $ 1,403,795 Discounted cash flow (Yield analysis) Market yield 4.4% to 19.5% 9.2% Senior Secured Debt 436,000 Enterprise value waterfall (Market approach) EBITDA multiple 5.5x to 11.5x 9.7x Senior Secured Debt 105,212 Enterprise value waterfall (Market approach) Revenue multiple 0.8x to 1.6x 1.3x Senior Secured Debt 75,406 Enterprise value waterfall (Discounted cash flow) Discount rate 7.7% to 9.7% 8.7% Senior Secured Debt 12,760 Asset recovery analysis Recoverable amount n/a n/a Senior Secured Debt (1) 6,600 Enterprise value waterfall Loss-adjusted discount rate 3.9% to 9.5% 7.8% Projected loss rates 0.0% to 2.4% 0.1% Senior Secured Debt (2) 90,200 Enterprise value waterfall Discount rate (3) 6.8% to 12.4% 9.2% Senior Secured Debt 324,708 Enterprise value waterfall (Market approach) Tangible book value multiple 2.9x to 3.1x 3.0x Earnings multiple 6.5x to 7.5x 7.0x Discount rate 13.0% to 14.0% 13.5% Senior Secured Debt 20,260 Enterprise value waterfall (Market approach) Tangible book value multiple 1.2x to 1.4x 1.3x Senior Secured Debt 656,701 Enterprise value waterfall (NAV analysis) Capitalization Rate 3.8% to 8.1% 5.9% Subordinated Secured Debt 887,214 Discounted cash flow (Yield analysis) Market yield 4.9% to 25.0% 10.1% Subordinated Secured Debt 3,950 Enterprise value waterfall (Market approach) Revenue multiple 0.4x to 0.5x 0.5x Subordinated Secured Debt 68,137 Enterprise value waterfall (Market approach) Tangible book value multiple 2.2x to 2.6x 2.4x Earnings multiple 6.0x to 7.0x 6.5x Subordinated Secured Debt 6,936 Asset recovery analysis Recoverable amount n/a n/a Subordinated Unsecured Debt 3,715 Enterprise value waterfall (Market approach) EBITDA multiple 7.5x to 8.5x 8.0x Subordinated Structured Notes 756,109 Discounted cash flow Discount rate (3) 0.1% to 31.0% 21.8% Preferred Equity 19,857 Enterprise value waterfall (Market approach) Revenue multiple 0.8x to 1.4x 1.1x Preferred Equity 3,199 Enterprise value waterfall (Market approach) EBITDA multiple 7.1x to 9.1x 8.1x Common Equity/Interests/Warrants 507,539 Enterprise value waterfall (Market approach) EBITDA multiple 5.5x to 11.5x 9.1x Common Equity/Interests/Warrants 5,824 Enterprise value waterfall (Market approach) Revenue multiple 0.4x to 0.5x 0.5x Common Equity/Interests/Warrants (1) 4,068 Enterprise value waterfall Loss-adjusted discount rate 3.9% to 9.5% 7.8% Projected loss rates 0.0% to 2.4% 0.1% Common Equity/Interests/Warrants (2) 18,108 Enterprise value waterfall Discount rate (3) 6.8% to 12.4% 9.2% Common Equity/Interests/Warrants 379,572 Enterprise value waterfall (NAV analysis) Capitalization Rate 3.8% to 8.1% 5.9% Common Equity/Interests/Warrants 267,648 Enterprise value waterfall (Market approach) Tangible book value multiple 2.9x to 3.1x 3.0x Earnings multiple 6.5x to 7.5x 7.0x Discount rate 13.0% to 14.0% 13.5% Common Equity/Interests/Warrants 9,886 Enterprise value waterfall (Market approach) Tangible book value multiple 2.2x to 2.6x 2.4x Earnings multiple 6.0x to 7.0x 6.5x Common Equity/Interests/Warrants 27,733 Enterprise value waterfall (Market approach) Tangible book value multiple 1.2x to 1.4x 1.3x Common Equity/Interests/Warrants (4) 34,507 Enterprise value waterfall (NAV analysis) Capitalization Rate 3.8% to 8.1% 5.9% Common Equity/Interests/Warrants 14,524 Enterprise value waterfall (Discounted cash flow) Discount rate 7.7% to 30.0% 13.8% 58 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Unobservable Input Asset Category Fair Value Primary Valuation Approach or Technique Input Range Weighted Average Common Equity/Interests/Warrants 11,717 Asset recovery analysis Recoverable amount n/a n/a Total Level 3 Investments $ 6,161,884 (1) Represents an investment in a Real Estate Investment Trust subsidiary. The Enterprise Value analysis includes the fair value of our investments in such indirect subsidiary’s consumer loans purchased from online consumer lending platforms, which are valued using a discounted cash flow valuation technique. (2) Represents an investment in a Real Estate Investment Trust subsidiary. The Enterprise Value analysis includes the fair value of our investments in such indirect subsidiary’s rated secured structured notes, which are valued using a discounted cash flow valuation technique. The key unobservable input to the discounted cash flow analysis is noted above. (3) Represents the implied discount rate based on our internally generated single-cash flow model that is derived from the fair value estimated by the corresponding multi-path cash flow model utilized by the independent valuation firm. (4) Represents Residual Profit Interests in Real Estate Investments. Investments for which market quotations are readily available are typically valued at such market quotations. In order to validate market quotations, management and the independent valuation firm look at a number of factors to determine if the quotations are representative of fair value, including the source and nature of the quotations. In determining the range of values for debt instruments where market quotations are not available, except CLOs and debt investments in controlling portfolio companies, management and the independent valuation firm estimated corporate and security credit ratings and identified corresponding yields to maturity for each loan from relevant market data. A discounted cash flow technique was then applied using the appropriate yield to maturity as the discount rate, to determine a range of values. In determining the range of values for debt investments of controlled companies and equity investments, the enterprise value was determined by applying a market approach such as using earnings before interest, taxes, depreciation and amortization (“EBITDA”) multiples, net income and/or book value multiples for similar guideline public companies and/or similar recent investment transactions and/or an income approach, such as the discounted cash flow technique. The enterprise value technique may also be used to value debt investments which are credit impaired. For stressed debt and equity investments, asset recovery analysis was used. In determining the range of values for our investments in CLOs, the independent valuation firm uses a discounted multi-path cash flow model. The valuations were accomplished through the analysis of the CLO deal structures to identify the risk exposures from the modeling point of view as well as to determine an appropriate call date (i.e., expected maturity). These risk factors are sensitized in the multi-path cash flow model using Monte Carlo simulations to generate probability-weighted (i.e., multi-path) cash flows for the underlying assets and liabilities. These cash flows are discounted using appropriate market discount rates, and relevant data in the CLO market and certain benchmark credit indices are considered, to determine the value of each CLO investment. In addition, we generate a single-path cash flow utilizing our best estimate of expected cash receipts, and assess the reasonableness of the implied discount rate that would be effective for the value derived from the corresponding multi-path cash flow model. Our portfolio consists of residual interests and debt investments in CLOs, which involve a number of significant risks. CLOs are typically very highly levered (10 - 14 times), and therefore the residual interest tranches that we invest in are subject to a higher degree of risk of total loss. In particular, investors in CLO residual interests indirectly bear risks of the underlying loan investments held by such CLOs. We generally have the right to receive payments only from the CLOs, and generally do not have direct rights against the underlying borrowers or the entity that sponsored the CLOs. While the CLOs we target generally enable the investor to acquire interests in a pool of senior loans without the expenses associated with directly holding the same investments, the prices of indices and securities underlying our CLOs will rise or fall. These prices (and, therefore, the prices of the CLOs) will be influenced by the same types of political and economic events that affect issuers of securities and capital markets generally. The failure by a CLO investment in which we invest to satisfy financial covenants, including with respect to adequate collateralization and/or interest coverage tests, could lead to a reduction in its payments to us. In the event that a CLO fails certain tests, holders of debt senior to us would be entitled to additional payments that would, in turn, reduce the payments we would otherwise be entitled to receive. Separately, we may incur expenses to the extent necessary to seek recovery upon default or to negotiate new terms with a defaulting CLO or any other investment we may make. If any of these occur, it could materially and adversely affect our operating results and cash flows. 59 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) The interests we have acquired in CLOs are generally thinly traded or have only a limited trading market. CLOs are typically privately offered and sold, even in the secondary market. As a result, investments in CLOs may be characterized as illiquid securities. In addition to the general risks associated with investing in debt securities, CLO residual interests carry additional risks, including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) our investments in CLO tranches will likely be subordinate to other senior classes of note tranches thereof; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the CLO investment or unexpected investment results. Our net asset value may also decline over time if our principal recovery with respect to CLO residual interests is less than the cost of those investments. Our CLO investments and/or the CLOs’ underlying senior secured loans may prepay more quickly than expected, which could have an adverse impact on our value. An increase in LIBOR would materially increase the CLO’s financing costs. Since most of the collateral positions within the CLOs have LIBOR floors, there may not be corresponding increases in investment income (if LIBOR increases but stays below the LIBOR floor rate of such investments) resulting in materially smaller distribution payments to the residual interest investors. On March 5, 2021, the FCA announced that (i) 24 LIBOR settings would cease to exist immediately after December 31, 2021 (all seven euro LIBOR settings; all seven Swiss franc LIBOR settings; the Spot Next, 1-week, 2-month, and 12-month Japanese yen LIBOR settings; the overnight, 1-week, 2-month, and 12-month sterling LIBOR settings; and the 1-week and 2-month US dollar LIBOR settings); (ii) the overnight and 12-month US LIBOR settings would cease to exist after June 30, 2023; and (iii) the FCA would consult on whether the remaining nine LIBOR settings should continue to be published on a synthetic basis for a certain period using the FCA’s proposed new powers that the UK government is legislating to grant to them. We hold more than a 10% interest in certain foreign corporations that are treated as controlled foreign corporations (“CFC”) for U.S. federal income tax purposes (including our residual interest tranche investments in CLOs). Therefore, we are treated as receiving a deemed distribution (taxable as ordinary income) each year from such foreign corporations in an amount equal to our pro rata share of the corporation’s income for that tax year (including both ordinary earnings and capital gains). We are required to include such deemed distributions from a CFC in our taxable income and we are required to distribute at least 90% of such income to maintain our RIC status, regardless of whether or not the CFC makes an actual distribution during such year. If we acquire shares in “passive foreign investment companies” (“PFICs”) (including residual interest tranche investments in CLOs that are PFICs), we may be subject to federal income tax on a portion of any “excess distribution” or gain from the disposition of such shares even if such income is distributed as a taxable dividend to our stockholders. Certain elections may be available to mitigate or eliminate such tax on excess distributions, but such elections (if available) will generally require us to recognize our share of the PFIC’s income for each year regardless of whether we receive any distributions from such PFICs. We must nonetheless distribute such income to maintain our status as a RIC. Legislation known as FATCA and regulations thereunder impose a withholding tax of 30% on payments of U.S. source interest and dividends, to certain non-U.S. entities, including certain non-U.S. financial institutions and investment funds, unless such non-U.S. entity complies with certain reporting requirements regarding its United States account holders and its United States owners. Most CLOs in which we invest will be treated as non-U.S. financial entities for this purpose, and therefore will be required to comply with these reporting requirements to avoid the 30% withholding. If a CLO in which we invest fails to properly comply with these reporting requirements, it could reduce the amounts available to distribute to residual interest and junior debt holders in such CLO vehicle, which could materially and adversely affect our operating results and cash flows. If we are required to include amounts in income prior to receiving distributions representing such income, we may have to sell some of our investments at times and/or at prices management would not consider advantageous, raise additional debt or equity capital or forgo new investment opportunities for this purpose. The significant unobservable input used to value our investments based on the yield technique and discounted cash flow technique is the market yield (or applicable discount rate) used to discount the estimated future cash flows expected to be received from the underlying investment, which includes both future principal and interest/dividend payments. Increases or decreases in the market yield (or applicable discount rate) would result in a decrease or increase, respectively, in the fair value measurement. Management and the independent valuation firms consider the following factors when selecting market yields or discount rates: risk of default, rating of the investment and comparable company investments, and call provisions. 60 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) The significant unobservable inputs used to value our investments based on the EV analysis may include market multiples of specified financial measures such as EBITDA, net income, or book value of identified guideline public companies, implied valuation multiples from precedent M&A transactions, and/or discount rates applied in a discounted cash flow technique. The independent valuation firm identifies a population of publicly traded companies with similar operations and key attributes to that of the portfolio company. Using valuation and operating metrics of these guideline public companies and/or as implied by relevant precedent transactions, a range of multiples of the latest twelve months EBITDA, or other measure such as net income or book value, is typically calculated. The independent valuation firm utilizes the determined multiples to estimate the portfolio company’s EV generally based on the latest twelve months EBITDA of the portfolio company (or other meaningful measure). Increases or decreases in the multiple would result in an increase or decrease, respectively, in EV which would result in an increase or decrease in the fair value measurement of the debt of controlled companies and/or equity investment, as applicable. In certain instances, a discounted cash flow analysis may be considered in estimating EV, in which case, discount rates based on a weighted average cost of capital and application of the capital asset pricing model may be utilized. The significant unobservable input used to value our private REIT investments based on the net asset value analysis is the capitalization rate applied to the earnings measure of the underlying property. Increases or decreases in the capitalization rate would result in a decrease or increase, respectively, in the fair value measurement. Changes in market yields, discount rates, capitalization rates or EBITDA multiples, each in isolation, may change the fair value measurement of certain of our investments. Generally, an increase in market yields, discount rates or capitalization rates, or a decrease in EBITDA (or other) multiples may result in a decrease in the fair value measurement of certain of our investments. Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of our investments may fluctuate from period to period. Additionally, the fair value of our investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values that we may ultimately realize. Further, such investments are generally subject to legal and other restrictions on resale or otherwise are less liquid than publicly traded securities. If we were required to liquidate a portfolio investment in a forced or liquidation sale, we could realize significantly less than the value at which we have recorded it. In addition, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these inv estments to be different than the unrealized gains or losses reflected in the currently assigned valuations. During the six months ended December 31, 2021, the valuation methodology for SEOTownCenter, Inc (“Boostability”) changed to incorporate the expected repayment of our investment, which occurred on January 31, 2022. As a result, the fair value of our investment in Boostability decreased to $42,894 as of December 31, 2021, which is equal to its amortized cost, compared to a fair value of $43,131 as of June 30, 2021, also equal to its amortized cost. During the six months ended December 31, 2021, the valuation methodology for Sorenson Communications, LLC (“Sorenson”) changed to remove market quotes, which were less active in the current period. As a result of widening market spreads, the fair value of our investment in Sorenson decreased to $16,577 as of December 31, 2021, a premium of $153 from its amortized cost, compared to the $171 unrealized appreciation recorded at June 30, 2021. During the six months ended December 31, 2021, the valuation methodology for Town & Country Holdings, Inc (“Town & Country”) changed to incorporate a combined yield method due to near term maturity. As a result of the economics from a recent amendment, the fair value of our investment in Town & Country increased to $160,345 as of December 31, 2021, which is equal to its amortized cost, compared to a fair value of $160,145 as of June 30, 2021, also equal to its amortized cost. During the six months ended December 31, 2021, the valuation methodology for First Brands Group (“First Brands”) for the First Lien Term Loan changed to remove market quotes, which were less active in the current period. As a result of a reduction in call protection, the fair value of our investment in First Brands First Lien Term Loan decreased to $16,624 as of December 31, 2021, a premium of $124 from its amortized cost, compared to the $153 unrealized appreciation recorded at June 30, 2021. During the six months ended December 31, 2021, we received partial repayments of $279,882 of our loans previously outstanding with NPRC and provided $112,156 of debt financing and $3,200 of equity financing to NPRC for the acqusition of real estate properties, to fund capital expenditures for existing real estate properties, to provide working capital, to fund purchases of rated secured structured notes, and to support the purchase of high yield corporate debt. The online consumer loan investments held by certain of NPRC’s wholly owned subsidiaries are unsecured obligations of individual borrowers that are issued in amounts ranging from $1 to $50, with fixed terms ranging from 36 to 84 months. As of December 31, 2021, the outstanding investment in online consumer loans by certain of NPRC’s wholly-owned subsidiaries was comprised of 841 individual loans, residual interest in two securitizations, and one high yield corporate bond, and had an 61 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) aggregate fair value of $13,272. The average outstanding individual loan balance is approximately $4 and the loans mature on dates ranging from January 1, 2022 to April 19, 2025 with a weighted-average outstanding term of 15 months as of December 31, 2021. Fixed interest rates range from 6.0% to 36.0% with a weighted-average current interest rate of 20.0%. As of December 31, 2021, our investment in NPRC and its wholly-owned subsidiaries relating to online consumer lending had a fair value of $6,600. As of December 31, 2021, based on outstanding principal balance, 22.5% of the portfolio was invested in super prime loans (borrowers with a Fair Isaac Corporation (“FICO”) score, of 720 or greater), 40.1% of the portfolio in prime loans (borrowers with a FICO score of 660 to 719) and 37.4% of the portfolio in near prime loans (borrowers with a FICO score of 580 to 659, a portion of which are considered sub-prime). Loan Type Outstanding Principal Balance Fair Value Interest Rate Range Weighted Average Interest Rate* Super Prime $ 739 $ 723 7.0% - 20.5% 12.3% Prime 1,317 1,243 6.0% - 25.0% 18.0% Near Prime 1,228 1,254 6.0% - 36.0% 26.7% *Weighted by outstanding principal balance of the online consumer loans. The rated secured structured note investments held by certain of NPRC’s wholly owned subsidiaries are subordinated debt interests in broadly syndicated loans managed by established collateral management teams with many years of experience in the industry. As of December 31, 2021, the outstanding investment in rated secured structured notes by certain of NPRC’s wholly owned subsidiaries was comprised of 43 investments with a fair value of $237,125 and face value of $246,307. The average outstanding note is approximately $5,728 with an expected maturity date ranging from April 2026 to January 2032 and weighted-average expected maturity of 6 years as of December 31, 2021. Coupons range from three-month LIBOR (“3ML”) plus 5.45% to 9.45% with a weighted-average coupon of 3ML + 7.2%. As of December 31, 2021, our investment in NPRC and its wholly-owned subsidiaries relating to rated secured structured notes had a fair value of $108,600. As of December 31, 2021, based on outstanding notional balance, 19.6% of the portfolio was invested in Single - B rated tranches and 80.4% of the portfolio in BB rated tranches. As of December 31, 2021, our investment in NPRC and its wholly owned subsidiaries had an amortized cost of $589,185 and a fair value of $1,223,798, including our investment in online consumer lending and rated secured structured notes as discussed above. The fair value of $1,108,598 related to NPRC’s real estate portfolio was comprised of forty-three multi-family properties, eight student housing properties and three commercial properties. The following table shows the location, acquisition date, purchase price, and mortgage outstanding due to other parties for each of the properties held by NPRC as of December 31, 2021. No. Property Name City Acquisition Date Purchase Price Mortgage Outstanding 1 Filet of Chicken Forest Park, GA 10/24/2012 $ 7,400 $ — 2 Arlington Park Marietta, LLC Marietta, GA 5/8/2013 14,850 13,495 3 Verandas at Rocky Ridge, LLC Birmingham, AL 11/15/2013 15,600 18,410 4 Taco Bell, OK Yukon, OK 6/4/2014 1,719 — 5 Taco Bell, MO Marshall, MO 6/4/2014 1,405 — 6 Abbie Lakes OH Partners, LLC Canal Winchester, OH 9/30/2014 12,600 15,212 7 Kengary Way OH Partners, LLC Reynoldsburg, OH 9/30/2014 11,500 15,377 8 Lakeview Trail OH Partners, LLC Canal Winchester, OH 9/30/2014 26,500 29,337 9 Lakepoint OH Partners, LLC Pickerington, OH 9/30/2014 11,000 16,693 10 Sunbury OH Partners, LLC Columbus, OH 9/30/2014 13,000 16,926 11 Heatherbridge OH Partners, LLC Blacklick, OH 9/30/2014 18,416 24,203 12 Jefferson Chase OH Partners, LLC Blacklick, OH 9/30/2014 13,551 18,831 13 Goldenstrand OH Partners, LLC Hilliard, OH 10/29/2014 7,810 11,482 14 SSIL I, LLC Aurora, IL 11/5/2015 34,500 25,603 15 Vesper Tuscaloosa, LLC Tuscaloosa, AL 9/28/2016 54,500 42,929 16 Vesper Iowa City, LLC Iowa City, IA 9/28/2016 32,750 24,759 17 Vesper Corpus Christi, LLC Corpus Christi, TX 9/28/2016 14,250 10,771 18 Vesper Campus Quarters, LLC Corpus Christi, TX 9/28/2016 18,350 14,137 62 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) No. Property Name City Acquisition Date Purchase Price Mortgage Outstanding 19 Vesper College Station, LLC College Station, TX 9/28/2016 41,500 31,972 20 Vesper Kennesaw, LLC Kennesaw, GA 9/28/2016 57,900 50,919 21 Vesper Statesboro, LLC Statesboro, GA 9/28/2016 7,500 7,480 22 Vesper Manhattan KS, LLC Manhattan, KS 9/28/2016 23,250 14,679 23 9220 Old Lantern Way, LLC Laurel, MD 1/30/2017 187,250 153,580 24 7915 Baymeadows Circle Owner, LLC Jacksonville, FL 10/31/2017 95,700 76,560 25 8025 Baymeadows Circle Owner, LLC Jacksonville, FL 10/31/2017 15,300 12,240 26 23275 Riverside Drive Owner, LLC Southfield, MI 11/8/2017 52,000 54,637 27 23741 Pond Road Owner, LLC Southfield, MI 11/8/2017 16,500 18,954 28 150 Steeplechase Way Owner, LLC Largo, MD 1/10/2018 44,500 36,668 29 Olentangy Commons Owner LLC Columbus, OH 6/1/2018 113,000 92,876 30 Villages of Wildwood Holdings LLC Fairfield, OH 7/20/2018 46,500 39,525 31 Falling Creek Holdings LLC Richmond, VA 8/8/2018 25,000 25,374 32 Crown Pointe Passthrough LLC Danbury, CT 8/30/2018 108,500 89,400 33 Lorring Owner LLC Forestville, MD 10/30/2018 58,521 47,680 34 Hamptons Apartments Owner, LLC Beachwood, OH 1/9/2019 96,500 79,520 35 5224 Long Road Holdings, LLC Orlando, FL 6/28/2019 26,500 21,200 36 Druid Hills Holdings LLC Atlanta, GA 7/30/2019 96,000 79,104 37 Bel Canto NPRC Parcstone LLC Fayetteville, NC 10/15/2019 45,000 42,793 38 Bel Canto NPRC Stone Ridge LLC Fayetteville, NC 10/15/2019 21,900 21,545 39 Sterling Place Holdings LLC Columbus, OH 10/28/2019 41,500 34,196 40 SPCP Hampton LLC Dallas, TX 11/2/2020 36,000 27,590 41 Palmetto Creek Holdings LLC North Charleston, SC 11/10/2020 33,182 25,865 42 Valora at Homewood Holdings LLC Homewood, AL 11/19/2020 81,250 63,844 43 NPRC Fairburn LLC Fairburn, GA 12/14/2020 52,140 43,900 44 NPRC Grayson LLC Grayson, GA 12/14/2020 47,860 40,500 45 NPRC Taylors LLC Taylors, SC 1/27/2021 18,762 14,075 46 Parkside at Laurel West Owner LLC Spartanburg, SC 2/26/2021 57,005 42,025 47 Willows at North End Owner LLC Spartanburg, SC 2/26/2021 23,255 19,000 48 SPCP Edge CL Owner LLC Webster, TX 3/12/2021 34,000 25,496 49 Jackson Pear Orchard LLC Ridgeland, MS 6/28/2021 50,900 38,175 50 Jackson Lakeshore Landing LLC Ridgeland, MS 6/28/2021 22,600 16,950 51 Jackson Reflection Pointe LLC Flowood, MS 6/28/2021 45,100 31,050 52 Jackson Crosswinds LLC Pearl, MS 6/28/2021 41,400 33,825 53 Elliot Apartments Norcross, LLC Norcross, GA 11/30/2021 128,000 98,800 54 Orlando 442 Owner, LLC (West Vue Apartments) Orlando, FL 12/30/2021 97,500 73,000 2,298,976 1,923,162 On September 28, 2020, Spartan Energy Services, LLC fully repaid the $26,193 Senior Secured Term Loan B receivable to us at par. We recorded a realized gain of $2,832 as a result of this transaction. On December 11, 2020, we sold our 11.51% Class A voting interest in Edmentum Holdings. We recorded a realized gain of $3,724 as a result of this transaction. On December 15, 2021, we received $176 of escrow proceeds related to Edmentum Holdings, realizing a gain of the same amount. On October 18, 2021, we received proceeds for our investment in Sudbury Mill CLO Ltd. of $3,772. We recorded a realized loss of $9,406 as a result of this transaction as we do not expect any further proceeds. As of December 31, 2021, $3,945,438 of our loans to portfolio companies, at fair value, bear interest at floating rates and have LIBOR or SOFR floors ranging from 0.0% - 3.0%. As of December 31, 2021, $695,240 of our loans to portfolio companies, at fair value, bear interest at fixed rates ranging from 1.0% - 22.0%. As of June 30, 2021, $3,462,243 of our loans to portfolio 63 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) companies, at fair value, bore interest at floating rates and have LIBOR floors ranging from 0.0% to 3.0%. As of June 30, 2021, $679,245 of our loans to portfolio companies, at fair value, bore interest at fixed rates ranging from 8.25% to 22.0%. As of December 31, 2021 and June 30, 2021, the cost basis of our loans on non-accrual status amounted to $169,949 and $169,949, respectively, with fair value of $29,991 and $38,751, respectively. The fair values of these investments represent approximately 0.4% and 0.6% of our total assets at fair value as of December 31, 2021 and June 30, 2021, respectively. Undrawn committed revolvers and delayed draw term loans to our portfolio companies incur commitment and unused fees ranging from 0.00% to 7.25%. As of December 31, 2021 and June 30, 2021, we had $48,672 and $67,385, respectively, of undrawn revolver and delayed draw term loan commitments to our portfolio companies. The fair value of our undrawn committed revolvers and delayed draw term loans was zero as of December 31, 2021 and June 30, 2021. We have guaranteed $2,737 in standby letters of credit issued through a financial intermediary and $2,152 of equipment lease obligations on behalf of InterDent, Inc. (“InterDent”) as of December 31, 2021. Under these arrangements, we would be required to make payments to the financial intermediary or equipment lease provider, respectively, if InterDent was to default on their related payment obligations. As of December 31, 2021, we have not recorded a liability on the statement of assets and liabilities for these guarantees as the likelihood of default on the standby letters of credit or equipment lease is deemed to be remote . Unconsolidated Significant Subsidiaries Our investments are generally in small and mid-sized companies in a variety of industries. In accordance with Regulation S-X 3-09 and Regulation S-X 4-08(g), we must determine which of our unconsolidated controlled portfolio companies are considered “significant subsidiaries,” if any, as defined in Rule 1-02(w)(2) for BDC’s and closed end investment companies. Regulation S-X 3-09 requires separate audited financial statements of an unconsolidated subsidiary in an annual report. Regulation S-X 4-08(g) requires summarized financial information in an annual report. Pursuant to Regulation S-X 10-01(b), Interim Financial Statements , summarized interim income statement information is required for an unconsolidated subsidiary within a quarterly report if the unconsolidated subsidiary would otherwise require separate audited financial statements within an annual report pursuant to Regulation S-X 3-09. During the three months ended December 31, 2021, NPRC was deemed to be a significant subsidiary. The following table shows summarized income statement information for NPRC for the periods included in this quarterly report: Three Months Ended December 31, Six Months Ended December 31, Summary Statement of Operations 2021 2020 2021 2020 Total income $ 432,368 $ 76,550 $ 526,738 $ 147,024 Operating expenses 45,548 36,389 91,701 70,943 Operating income 386,820 40,161 435,037 76,081 Interest expense (63,699) (43,313) (115,431) (84,901) Depreciation and amortization (25,882) (26,961) (55,047) (43,317) Fair value adjustment 1,102 4,702 3,234 5,208 Net income (loss) $ 298,341 $ (25,411) $ 267,793 $ (46,929) 64 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Note 4. Revolving Credit Facility On August 29, 2014, we renegotiated our previous credit facility and closed an expanded five and a half year revolving credit facility (the “2014 Facility”). The lenders had extended commitments of $885,000 under the 2014 Facility as of June 30, 2018. The 2014 Facility included an accordion feature which allowed commitments to be increased up to $1,500,000 in the aggregate. Interest on borrowings under the 2014 Facility was one-month LIBOR plus 225 basis points. Additionally, the lenders charged a fee on the unused portion of the 2014 Facility equal to either 50 basis points if at least 35% of the credit facility was drawn or 100 basis points otherwise. On August 1, 2018, we renegotiated the 2014 Facility and closed an expanded five and a half year revolving credit facility (the “2018 Facility”). The lenders have extended commitments of $1,132,500 as of June 30, 2019. The 2018 Facility included an accordion feature which allowed commitments to be increased up to $1,500,000 in the aggregate. On September 9, 2019, we amended the 2018 Facility and closed an expanded revolving credit facility (the “2019 Facility”). The lenders had extended commitments of $1,077,500 as of March 31, 2021. The 2019 Facility included an accordion feature which allowed commitments to be increased up to $1,500,000 in the aggregate. On April 28, 2021, we amended the 2019 Facility and closed an expanded five year revolving credit facility (the “2021 Facility” and collectively with the 2014 Facility, the 2018 Facility, and the 2019 Facility, the “Revolving Credit Facility”). The lenders had extended commitments of $1,297,500 as of December 31, 2021. The 2021 Facility includes an accordion feature which allows commitments to be increased up to $1,500,000 in the aggregate. The Revolving Credit Facility matures on April 27, 2026. It includes a revolving period that extends through April 27, 2025, followed by an additional one-year amortization period, with distributions allowed to Prospect after the completion of the revolving period. During such one-year amortization period, all principal payments on the pledged assets will be applied to reduce the balance. At the end of the one-year amortization period, the remaining balance will become due, if required by the lenders. The Revolving Credit Facility contains restrictions pertaining to the geographic and industry concentrations of funded loans, maximum size of funded loans, interest rate payment frequency of funded loans, maturity dates of funded loans and minimum equity requirements. The Revolving Credit Facility also contains certain requirements relating to portfolio performance, including required minimum portfolio yield and limitations on delinquencies and charge-offs, violation of which could result in the early termination of the Revolving Credit Facility. The Revolving Credit Facility also requires the maintenance of a minimum liquidity requirement. As of December 31, 2021, we were in compliance with the applicable covenants. Interest on borrowings under the 2021 Facility is one-month LIBOR plus 205 basis points. Additionally, the lenders charge a fee on the unused portion of the credit facility equal to either 40 basis points if more than 60% of the credit facility is drawn, or 70 basis points if more than 35% and an amount less than or equal to 60% of the credit facility is drawn, or 150 basis points if an amount less than or equal to 35% of the credit facility is drawn. The 2021 Facility requires us to pledge assets as collateral in order to borrow under the credit facility. For the six months ended December 31, 2021 and December 31, 2020, the average stated interest rate (i.e., rate in effect plus the spread) and average outstanding borrowings for the Revolving Credit Facility were as follows: Three Months Ended December 31, Six Months Ended December 31, 2021 2020 2021 2020 Average stated interest rate 2.14% 2.35% 2.13% 2.36% Average outstanding balance $468,063 $379,027 $452,422 $378,070 As of December 31, 2021 and June 30, 2021, we had $726,309 and $640,853, respectively, available to us for borrowing under the Revolving Credit Facility, net of $472,608 and $356,937 outstanding borrowings as of the respective balance sheet dates. As of December 31, 2021, the investments, including cash and cash equivalents, used as collateral for the Revolving Credit Facility had an aggregate fair value of $2,068,703, which represents 29.4% of our total investments, including cash and cash equivalents. These assets are held and owned by PCF, a bankruptcy remote special purpose entity, and, as such, these investments are not available to our general creditors. As additional eligible investments are transferred to PCF and pledged under the Revolving Credit Facility, PCF will generate additional availability up to the current commitment amount of $1,297,500. The release of any assets from PCF requires the approval of the facility agent. 65 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) In connection with the origination and amendments of the Revolving Credit Facility, we incurred $16,019 of new fees and $7,509 were carried over from the previous facilities, all of which are being amortized over the term of the facility in accordance with ASC 470-50. As of December 31, 2021, $9,869 remains to be amortized and is reflected as deferred financing costs on the Consolidated Statements of Assets and Liabilities. During the three months ended December 31, 2021 and December 31, 2020, we recorded $5,133 and $4,630, respectively, of interest costs, unused fees and amortization of financing costs on the Revolving Credit Facility as interest expense. During the six months ended December 31, 2021 and December 31, 2020, we recorded $9,702 and $9,263, respectively, of interest costs, unused fees and amortization of financing costs on the Revolving Credit Facility as interest expense. Note 5. Convertible Notes 2022 Notes On April 11, 2017, we issued $225,000 aggregate principal amount of convertible notes that mature on July 15, 2022 (the “Original 2022 Notes”), unless previously converted or repurchased in accordance with their terms. The Original 2022 Notes bear interest at a rate of 4.95% per year, payable semi-annually on January 15 and July 15 each year, beginning July 15, 2017. Total proceeds from the issuance of the Original 2022 Notes, net of underwriting discounts and offering costs, were $218,010. On May 18, 2018, we issued an additional $103,500 aggregate principal amount of convertible notes that mature on July 15, 2022 (the “Additional 2022 Notes,” and together with the Original 2022 Notes, the “2022 Notes”), unless previously converted or repurchased in accordance with their terms. The Additional 2022 Notes were a further issuance of, and are fully fungible and rank equally in right of payment with, the Original 2022 Notes and bear interest at a rate of 4.95% per year, payable semi-annually on January 15 and July 15 each year, beginning July 15, 2018. Total proceeds from the issuance of the Additional 2022 Notes, net of underwriting discounts and offering costs, were $100,749. On October 18, 2019, we repurchased $22,941 aggregate principal amount of the 2022 Notes at a price of $102.8 including commissions. As a result of this transaction, we recorded a loss of $1,072 in the amount of the difference between the reacquisition price and the net carrying amount of the 2022 Notes, net of the proportionate amount of unamortized debt issuance costs. On November 7, 2019, we commenced a tender offer to purchase for cash up to $50,000 aggregate principal amount of the 2022 Notes (“2022 Notes November Tender Offer”). On December 7, 2019, $13,432 aggregate principal amount of the 2022 Notes, representing 4.4% of the previously outstanding 2022 Notes, were validly tendered and accepted. The 2022 Notes November Tender Offer resulted in our recognizing a loss of $599, in the amount of the difference between the reacquisition price and the net carrying amount of the 2022 Notes, net of the proportionate amount of unamortized debt issuance costs. On December 23, 2019, we commenced a tender offer to purchase for cash up to $25,000 aggregate principal amount of the 2022 Notes (“2022 Notes December Tender Offer”). On January 22, 2020, $1,302 aggregate principal amount of the 2022 Notes, representing 0.5% of the previously outstanding 2022 Notes, were validly tendered and accepted. The 2022 Notes December Tender Offer resulted in our recognizing a loss of $51 during the three months ended March 31, 2020. During the three months ended March 31, 2020, we repurchased an additional $32,585 aggregate principal amount of the 2022 Notes at a weighted average price of $89.1 including commissions. As a result of this transaction, we recorded a gain of $3,045, in the amount of the difference between the reacquisition price and the net carrying amount of the 2022 Notes, net of the proportionate amount of unamortized debt issuance costs. On July 23, 2020, we commenced a tender offer to purchase for cash up to $100,000 aggregate principal amount of the 2022 Notes (“2022 Notes July Tender Offer”). On August 19, 2020, $29,420 aggregate principal amount of the 2022 Notes, representing 11.4% of the previously outstanding 2022 Notes, were validly tendered and accepted. The 2022 Notes July Tender Offer resulted in our recognizing a loss of $396 during the three months ended September 30, 2020. On September 3, 2020, we commenced a tender offer to purchase for cash up to $228,820 aggregate principal amount of the 2022 Notes at the purchase price of $101.00, plus accrued and unpaid interest (“2022 Notes September Tender Offer”). On October 1, 2020, $6,035 aggregate principal amount of the 2022 Notes, representing 2.64% of the previously outstanding 2022 Notes, were validly tendered and accepted. On October 19, 2020, we commenced a tender offer to purchase for cash any and all of the $222,785 aggregate principal amount outstanding of the 2022 Notes at the purchase price of $102.625, plus accrued and unpaid interest (“2022 Notes October Tender Offer”). On November 16, 2020, $59,863 aggregate principal amount of the 2022 Notes, representing 26.87% of the previously outstanding 2022 Notes, were validly tendered and accepted. The 2022 Notes September Tender Offer and the 2022 Notes October Tender Offer resulted in our recognizing a loss of $2,433 during the three months ended December 31, 2020. 66 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) On December 16, 2020, we commenced a tender offer to purchase for cash any and all of the $162,922 aggregate principal outstanding amount of the 2022 Notes at the purchase price of $103.50, plus accrued and unpaid interest (“2022 Notes December 2020 Tender Offer”). On January 15, 2021, $26,694 aggregate principal amount of the 2022 Notes, representing 16.38% of the previously outstanding 2022 Notes, were validly tendered and accepted. On February 1, 2021, we commenced a tender offer to purchase for cash up to $30,000 aggregate principal outstanding amount of the 2022 Notes at the purchase price of $103.00, plus accrued and unpaid interest (“2022 Notes February 2021 Tender Offer”). On March 2, 2021, $25,123 aggregate principal amount of the 2022 Notes, representing 18.44% of the previously outstanding 2022 Notes, were validly tendered and accepted. The 2022 Notes December 2020 Tender Offer and the 2022 Notes February 2021 Tender Offer resulted in our recognizing a loss of $2,225 during the three months ended March 31, 2021. On March 16, 2021, we commenced a tender offer to purchase for cash up to $30,000 aggregate principal outstanding amount of the 2022 Notes at the purchase price of $102.00, plus accrued and unpaid interest (“2022 Notes March 2021 Tender Offer”). On April 13, 2021, $50 aggregate principal amount of the 2022 Notes, representing 0.05% of the previously outstanding 2022 Notes, were validly tendered and accepted. The 2022 Notes March 2021 Tender Offer resulted in our recognizing a loss of $1. On August 26, 2021, we commenced a tender offer to purchase for cash up to $60,000 aggregate principal outstanding amount of the 2022 Notes at the purchase price of $102.50, plus accrued and unpaid interest (“2022 Notes August 2021 Tender Offer”). On September 24, 2021, $50,554 aggregate principal amount of the 2022 Notes, representing 45.52% of the previously outstanding 2022 Notes, were validly tendered and accepted. The 2022 Notes August 2021 Tender Offer resulted in our recognizing a loss of $1,584. As of December 31, 2021, the outstanding aggregate principal amount of the 2022 Notes is $60,501. 2025 Notes On March 1, 2019, we issued $175,000 aggregate principal amount of senior convertible notes that mature on March 1, 2025 (the “2025 Notes”), unless previously converted or repurchased in accordance with their terms. We granted the underwriters a 13-day over-allotment option to purchase up to an additional $26,250 aggregate principal amount of the 2025 Notes. The underwriters fully exercised the over-allotment option on March 11, 2019 and we issued $26,250 aggregate principal amount of 2025 Notes at settlement on March 13, 2019. The 2025 Notes bear interest at a rate of 6.375% per year, payable semi-annually on March 1 and September 1 each year, beginning September 1, 2019. Total proceeds from the issuance of the 2025 Notes, net of underwriting discounts and offering costs, were $198,674. On December 28, 2020, we commenced a tender offer to purchase for cash up to $20,000 aggregate principal amount of the 2025 Notes at the purchase price of $111.00, plus accrued and unpaid interest (“2025 Notes December 2020 Tender Offer”). On January 27, 2021, $20,000 aggregate principal amount of the 2025 Notes, representing 9.94% of the previously outstanding 2025 Notes, were validly tendered and accepted. The 2025 Notes December 2020 Tender Offer resulted in our recognizing a loss of $2,676 during the three months ended March 31, 2021. On February 16, 2021, we repurchased an additional $25,082 aggregate principal amount of the 2025 Notes, representing 13.84% of the previously outstanding 2025 Notes, at a price of $107.50, including commissions. As a result of this transaction, we recorded a loss of $2,466, in the amount of the difference between the reacquisition price and the net carrying amount of the 2025 Notes, net of the proportionate amount of unamortized debt issuance costs. As of December 31, 2021, the outstanding aggregate principal amount of the 2025 Notes is $156,168. Certain key terms related to the convertible features for the 2022 Notes, and the 2025 Notes (collectively, the “Convertible Notes”) are listed below. 2022 Notes 2025 Notes Initial conversion rate(1) 100.2305 110.7420 Initial conversion price $ 9.98 $ 9.03 Conversion rate at December 31, 2021(1)(2) 100.2305 110.7420 Conversion price at December 31, 2021(2)(3) $ 9.98 $ 9.03 Last conversion price calculation date 4/11/2021 3/1/2021 Dividend threshold amount (per share)(4) $ 0.083330 $ 0.060000 (1) Conversion rates denominated in shares of common stock per $1 principal amount of the Convertible Notes converted. (2) Represents conversion rate and conversion price, as applicable, taking into account certain de minimis adjustments that will be made on the conversion date. 67 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) (3) The conversion price will increase only if the current monthly dividends (per share) exceed the dividend threshold amount (per share). (4) The conversion rate is increased if monthly cash dividends paid to common shares exceed the monthly dividend threshold amount, subject to adjustment. Current dividend rates are at or below the minimum dividend threshold amount for further conversion rate adjustments for all bonds. Interest accrues from the date of the original issuance of the Convertible Notes or from the most recent date to which interest has been paid or duly provided. Upon conversion, the holder will receive a separate cash payment with respect to the notes surrendered for conversion representing accrued and unpaid interest to, but not including, the conversion date. Any such payment will be made on the settlement date applicable to the relevant conversion on the Convertible Notes. If a holder converts the Convertible Notes after a record date for an interest payment but prior to the corresponding interest payment date, the holder will receive shares of our common stock based on the conversion formula described above, a cash payment representing accrued and unpaid interest through the record date in the normal course and a separate cash payment representing accrued and unpaid interest from the record date to the conversion date. No holder of Convertible Notes will be entitled to receive shares of our common stock upon conversion to the extent (but only to the extent) that such receipt would cause such converting holder to become, directly or indirectly, a beneficial owner (within the meaning of Section 13(d) of the Securities Exchange Act of 1934 and the rules and regulations promulgated thereunder) of more than 5.0% of the shares of our common stock outstanding at such time. The 5.0% limitation shall no longer apply following the effective date of any fundamental change. We will not issue any shares in connection with the conversion or redemption of the Convertible Notes which would equal or exceed 20% of the shares outstanding at the time of the transaction in accordance with NASDAQ rules. Subject to certain exceptions, holders may require us to repurchase, for cash, all or part of their Convertible Notes upon a fundamental change at a price equal to 100% of the principal amount of the Convertible Notes being repurchased plus any accrued and unpaid interest up to, but excluding, the fundamental change repurchase date. In addition, upon a fundamental change that constitutes a non-stock change of control we will also pay holders an amount in cash equal to the present value of all remaining interest payments (without duplication of the foregoing amounts) on such Convertible Notes through and including the maturity date. In connection with the issuance of the Convertible Notes, we recorded a discount of $3,369 and debt issuance costs of $9,035 which are being amortized over the terms of the Convertible Notes. As of December 31, 2021, $1,775 of the original issue discount and $1,331 of the debt issuance costs remain to be amortized and is included as a reduction within Convertible Notes on the Consolidated Statement of Assets and Liabilities. During the three months ended December 31, 2021 and December 31, 2020, we recorded $3,547 and $6,170, respectively, of interest costs and amortization of financing costs on the Convertible Notes as interest expense. During the six months ended December 31, 2021 and December 31, 2020, we recorded $7,782 and $13,035, respectively, of interest costs and amortization of financing costs on the Covertible Notes as interest expense. Note 6. Public Notes 2023 Notes On March 15, 2013, we issued $250,000 aggregate principal amount of unsecured notes that mature on March 15, 2023 (the “Original 2023 Notes”). The Original 2023 Notes bear interest at a rate of 5.875% per year, payable semi-annually on March 15 and September 15 of each year, beginning September 15, 2013. Total proceeds from the issuance of the Original 2023 Notes, net of underwriting discounts and offering costs, were $243,641. On June 20, 2018, we issued an additional $70,000 aggregate principal amount of unsecured notes that mature on March 15, 2023 (the “Additional 2023 Notes”, and together with the Original 2023 Notes, the “2023 Notes”). The Additional 2023 Notes were a further issuance of, and are fully fungible and rank equally in right of payment with, the Original 2023 Notes and bear interest at a rate of 5.875% per year, payable semi-annually on March 15 and September 15 of each year, beginning September 15, 2018. Total proceeds from the issuance of the Additional 2023 Notes, net of underwriting discounts, were $69,403. 68 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) On November 17, 2020, we commenced a tender offer to purchase for cash up to $30,000 aggregate principal amount of the 2023 Notes at the purchase price of $105.00, plus accrued and unpaid interest (“2023 Notes November Tender Offer”). On December 15, 2020, $36,644 aggregate principal amount of the 2023 Notes were tendered, of which, $30,000 aggregate principal amount, representing 9.38% of the previously outstanding 2023 Notes, were validly accepted pursuant to the applicable 2023 Notes November Tender Offer (applying a proration factor of approximately 82.27%). The 2023 Notes November Tender Offer resulted in our recognizing a loss of $1,694 during the three months ended December 31, 2020. On March 9, 2021, we commenced a tender offer to purchase for cash any and all of the $290,000 aggregate principal amount of the 2023 Notes at the purchase price of $104.25, plus accrued and unpaid interest (“2023 Notes March 9, 2021 Tender Offer”). On March 15, 2021, $4,219 aggregate principal amount of the 2023 Notes were tendered, representing 1.45% of the previously outstanding 2023 Notes. On March 23, 2021, we commenced a tender offer to purchase for cash any and all of the $285,781 aggregate principal amount of the 2023 Notes at the purchase price of $104.20, plus accrued and unpaid interest (“2023 Notes March 23, 2021 Tender Offer”). On March 29, 2021, $726 aggregate principal amount of the 2023 Notes were tendered, representing 0.25% of the previously outstanding 2023 Notes. The 2023 Notes March 9, 2021 Tender Offer and the 2023 Notes March 23, 2021 Tender Offer resulted in our recognizing a loss of $234 during the three months ended March 31, 2021. On April 7, 2021, we commenced a tender offer to purchase for cash up to $30,000 aggregate principal amount of the 2023 Notes at the purchase price of $104.15, plus accrued and unpaid interest (“2023 Notes April 2021 Tender Offer”). On May 4, 2021, $836 aggregate principal amount of the 2023 Notes were tendered, representing 0.29% of the previously outstanding 2023 Notes. The 2023 Notes April 2021 Tender Offer resulted in our recognizing a loss of $43 during the three months ended June 30, 2021. As of December 31, 2021, the outstanding aggregate principal amount of the 2023 Notes is $284,219. 2024 Notes On December 10, 2015, we issued $160,000 aggregate principal amount of unsecured notes that mature on June 15, 2024 (the “2024 Notes”). The 2024 Notes bore interest at a rate of 6.25% per year, payable quarterly on March 15, June 15, September 15 and December 15 of each year, beginning March 15, 2016. Total proceeds from the issuance of the 2024 Notes, net of underwriting discounts and offering costs, were $155,043. On June 16, 2016, we entered into an at-the-market (“ATM”) program with FBR Capital Markets & Co., through which we could sell, by means of ATM offerings, from time to time, up to $100,000 in aggregate principal amount of our existing 2024 Notes (“Initial 2024 Notes ATM”). Following the Initial 2024 Notes ATM, the aggregate principal amount of the 2024 Notes issued was $199,281 for net proceeds of $193,253, after commissions and offering costs. On July 2, 2018, we entered into a second ATM program with B. Riley FBR, Inc. and BB&T Capital Markets, and on August 31, 2018 with Comerica Securities, Inc., through which we could sell, by means of ATM offerings, up to $100,000 in aggregate principal amount of the 2024 Notes (“Second 2024 Notes ATM”). Prior to the February 2021 full redemption discussed below, the 2024 Notes were listed on the New York Stock Exchange (“NYSE”) and traded thereon under the ticker “PBB”. During the year ended June 30, 2019, we issued an additional $35,162 aggregate principal amount under the Second 2024 Notes ATM, for net proceeds of $34,855, after commissions and offering costs. On March 20, 2020, we commenced a tender offer to purchase for cash any and all of the $234,443 aggregate principal amount of the 2024 Notes (“2024 Notes March Tender Offer”). On March 31, 2020, $655 aggregate principal amount of the 2024 Notes, representing 0.3% of the previously outstanding 2024 Notes, were validly tendered and accepted. The 2024 Notes March Tender Offer resulted in our recognizing a gain of $203 during the three months ended March 31, 2020. On February 16, 2021, we redeemed $233,788 of the aggregate principal amount of the 2024 Notes. The transaction resulted in our recognizing a loss of $3,391 during the three months ended March 31, 2021. Following the redemption, none of the 2024 Notes remained outstanding. 69 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) 2028 Notes On June 7, 2018, we issued $55,000 aggregate principal amount of unsecured notes that mature on June 15, 2028 (the “2028 Notes”). The 2028 Notes bear interest at a rate of 6.25% per year, payable quarterly on March 15, June 15, September 15, and December 15 of each year, beginning September 15, 2018. Total proceeds from the issuance of the 2028 Notes, net of underwriting discounts and offering costs were $53,119. On July 2, 2018, we entered into an ATM program with B. Riley FBR, Inc. and BB&T Capital Markets, and on August 31, 2018 with Comerica Securities, Inc., through which we could sell, by means of ATM offerings, up to $100,000 in aggregate principal amount of our existing 2028 Notes (“2028 Notes ATM” or “2028 Notes Follow-on Program”). The 2028 Notes are listed on the NYSE and trade thereon under the ticker “PBY.” During the year ended June 30, 2019, we issued an additional $15,761 aggregate principal amount under the 2028 Notes ATM, for net proceeds of $15,530, after commissions and offering costs. On June 15, 2021, we redeemed $70,761 of the aggregate principal amount of the 2028 Notes. The transaction resulted in our recognizing a loss of $1,934 during the three months ended June 30, 2021. Following the redemption, none of the 2028 Notes remained outstanding. 6.375% 2024 Notes On October 1, 2018, we issued $100,000 aggregate principal amount of unsecured notes that mature on January 15, 2024 (the “6.375% 2024 Notes”). The 6.375% 2024 Notes bear interest at a rate of 6.375% per year, payable semi-annually on January 15 and July 15 of each year, beginning January 15, 2019. Total proceeds from the issuance of the 6.375% 2024 Notes, net of underwriting discounts and offering costs, were $98,985. On November 17, 2020, we commenced a tender offer to purchase for cash up to $10,000 aggregate principal amount of the 6.375% 2024 Notes at the purchase price of $108.00, plus accrued and unpaid interest (“6.375% 2024 Notes November Tender Offer”). On December 15, 2020, $11,848 aggregate principal amount of the 6.375% 2024 Notes were tendered, of which, $10,000 aggregate principal amount, representing 10% of the previously outstanding 6.375% 2024 Notes, were validly accepted pursuant to the applicable 6.375% 2024 Notes Tender Offer (applying a proration factor of approximately 84.56%). The 6.375% 2024 Notes November Tender Offer resulted in our recognizing a loss of $866 during the three months ended December 31, 2020. On March 2, 2021, we commenced a tender offer to purchase for cash any and all of the $90,000 aggregate principal amount of the 6.375% 2024 Notes at the purchase price of $109.00, plus accrued and unpaid interest (“6.375% 2024 Notes March 2, 2021 Tender Offer”). On March 8, 2021, $7,738 aggregate principal amount of the 6.375% 2024 Notes, representing 8.60% of the previously outstanding 6.375% 2024 Notes, were validly tendered and accepted. On March 16, 2021, we commenced a tender offer to purchase for cash any and all of the $82,262 aggregate principal amount of the 6.375% 2024 Notes at the purchase price of $108.75, plus accrued and unpaid interest (“6.375% 2024 Notes March 16, 2021 Tender Offer”). On March 22, 2021, $647 aggregate principal amount of the 6.375% 2024 Notes, representing 0.79% of the previously outstanding 6.375% 2024 Notes, were validly tendered and accepted. The 6.375% 2024 Notes March 2, 2021 Tender Offer and the 6.375% 2024 Notes March 16, 2021 Tender Offer resulted in our recognizing a loss of $806 during the three months ended March 31, 2021. On April 7, 2021, we commenced a tender offer to purchase for cash up to $30,000 aggregate principal amount of the 6.375% 2024 Notes at the purchase price of $107.50, plus accrued and unpaid interest (“6.375% 2024 Notes April 2021 Tender Offer”). On May 4, 2021, $226 aggregate principal amount of the 6.375% 2024 notes, representing 0.28% of the previously outstanding 6.375% 2024 Notes, were validly tendered and accepted. The 6.375% 2024 Notes April 2021 Tender Offer resulted in our recognizing a loss of $18 during the three months ended June 30, 2021. On October 8, 2021, we commenced a tender offer to purchase for cash any and all of the $81,389 aggregate principal amount of the 6.375% 2024 Notes at a purchase price of $107.75, plus accrued and unpaid interest (“6.375% 2024 Notes October 2021 Tender Offer”). On October 15, 2021, $149 aggregate principal amount of the 6.375% 2024 Notes, representing 0.18% of the previously outstanding 6.375% 2024 Notes, were validly tendered and accepted. The 6.375% 2024 Notes October 2021 Tender Offer resulted in our recognizing a loss of $12. As of December 31, 2021, the outstanding aggregate principal amount of the 6.375% 2024 Notes is $81,240. 70 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) 2029 Notes On December 5, 2018, we issued $50,000 aggregate principal amount of unsecured notes that mature on June 15, 2029 (the “2029 Notes”). The 2029 Notes bear interest at a rate of 6.875% per year, payable quarterly on March 15, June 15, September 15, and December 15 of each year, beginning March 15, 2019. Total proceeds from the issuance of the 2029 Notes, net of underwriting discounts and offering costs, were $48,057. On February 9, 2019, we entered into an ATM program with B. Riley FBR, Inc., BB&T Capital Markets, and Comerica Securities, Inc., through which we could sell, by means of ATM offerings, up to $100,000 in aggregate principal amount of our existing 2029 Notes (“2029 Notes ATM” or “2029 Notes Follow-on Program”). The 2029 Notes are listed on the NYSE and trade thereon under the ticker “PBC.” During the year ended June 30, 2019, we issued an additional $19,170 aggregate principal amount under the 2029 Notes ATM, for net proceeds of $18,523, after commissions and offering costs. On December 30, 2021, we redeemed $69,170 of the aggregate principal amount of the 2029 Notes. The transaction resulted in our recognizing a loss of $2,044 during the three months ended December 31, 2021. Following the redemption, none of the 2029 Notes remained outstanding. 2026 Notes On January 22, 2021, we issued $325,000 aggregate principal amount of unsecured notes that mature on January 22, 2026 (the “Original 2026 Notes”). The Original 2026 Notes bear interest at a rate of 3.706% per year, payable semi-annually on July 22, and January 22 of each year, beginning on July 22, 2021. Total proceeds from the issuance of the 2026 Notes, net of underwriting discounts and offering costs, were $317,720. On February 19, 2021, we issued an additional $75,000 aggregate principal amount of unsecured notes that mature on January 22, 2026 (the “Additional 2026 Notes”, and together with the Original 2026 Notes, the “2026 Notes”). The Additional 2026 Notes were a further issuance of, and are fully fungible and rank equally in right of payment with, the Original 2026 Notes and bear interest at a rate of 3.706% per year, payable semi-annually on July 22 and January 22 of each year, beginning July 22, 2021. Total proceeds from the issuance of the Additional 2026 Notes, net of underwriting discounts and offering costs, were $74,061. As of December 31, 2021, the outstanding aggregate principal amount of the 2026 Notes is $400,000. 3.364% 2026 Notes On May 27, 2021, we issued $300,000 aggregate principal amount of unsecured notes that mature on November 15, 2026 (the “3.364% 2026 Notes”). The 3.364% 2026 Notes bear interest at a rate of 3.364% per year, payable semi-annually on November 15, and May 15 of each year, beginning on November 15, 2021. Total proceeds from the issuance of the 3.364% 2026 Notes, net of underwriting discounts and offering costs, were $293,283. As of December 31, 2021, the outstanding aggregate principal amount of the 3.364% 2026 Notes is $300,000. 3.437% 2028 Notes On September 30, 2021, we issued $300,000 aggregate principal amount of unsecured notes that mature on October 15, 2028 (the “3.437% 2028 Notes”). The 3.437% 2028 Notes bear interest at a rate of 3.437% per year, payable semi-annually on April 15 and October 15 of each year, beginning on April 15, 2022. Total proceeds from the issuance of the 3.437% 2028 Notes, net of underwriting discounts and offering costs, were $291,798. As of December 31, 2021, the outstanding aggregate principal amount of the 3.437% 2028 Notes is $300,000. The 2023 Notes, the 6.375% 2024 Notes, the 2026 Notes, the 3.364% 2026 Notes, and the 3.437% 2028 Notes (collectively, the “Public Notes”) are direct unsecured obligations and rank equally with all of our unsecured indebtedness from time to time outstanding. In connection with the issuance of the Public Notes we recorded a discount of $15,802 and debt issuance costs of $17,770, which are being amortized over the term of the notes. As of December 31, 2021, $12,467 of the original issue discount and $12,375 of the debt issuance costs remain to be amortized and are included as a reduction within Public Notes on the Consolidated Statement of Assets and Liabilities . During the three months ended December 31, 2021 and December 31, 2020, we recorded $16,822 and $12,719, respectively, of interest costs and amortization of financing costs on the Public Notes as interest expense. During the six months ended December 31, 2021 and December 31, 2020, we recorded $30,754 and $25,562, respectively, of interest costs and amortization of financing costs on the Public Notes as interest expense. 71 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Note 7. Prospect Capital InterNotes® On February 16, 2012, we entered into a selling agent agreement (the “Original Selling Agent Agreement”) with InspereX LLC (formerly known as “Incapital LLC”), as purchasing agent for our issuance and sale from time to time of up to $500,000 of Prospect Capital InterNotes®, which was increased to $1,500,000 in May 2014. On May 10, 2019, the Original Selling Agent Agreement was terminated, and we entered into a new selling agent agreement with InspereX LLC (the “May 2019 Selling Agent Agreement”), authorizing the issuance and sale from time to time of up to $1,000,000 of Prospect Capital InterNotes®. On September 16, 2019, the May 2019 Selling Agent Agreement was terminated, and we entered into a new selling agent agreement with InspereX LLC (the “September 2019 Selling Agent Agreement”), authorizing the issuance and sale from time to time of up to $500,000 of Prospect Capital InterNotes®. We sold approximately $1,700,000 in aggregate principal amount of Prospect Capital InterNotes® under the Original Selling Agent Agreement, May 2019 Selling Agent Agreement, and September 2019 Selling Agent Agreement (collectively the “Previous Selling Agent Agreements”). On February 13, 2020, the September 2019 Selling Agent Agreement was terminated, and we entered into a new selling agent agreement with InspereX LLC (the “Selling Agent Agreement”), authorizing the issuance and sale from time to time of up to $1,000,000 of Prospect Capital InterNotes® (collectively with the previously authorized selling agent agreements, the “InterNotes® Offerings”). Additional agents may be appointed by us from time to time in connection with the InterNotes® Offering and become parties to the Selling Agent Agreement. We have, from time to time, repurchased certain notes issued through the InterNotes® Offerings and, therefore, as of December 31, 2021, $340,537 aggregate principal amount of Prospect Capital InterNotes® were outstanding. These notes are direct unsecured obligations and rank equally with all of our unsecured indebtedness from time to time outstanding. Each series of notes will be issued by a separate trust. These notes bear interest at fixed interest rates and offer a variety of maturities no less than twelve months from the original date of issuance. During the six months ended December 31, 2021, we issued $120,322 aggregate principal amount of Prospect Capital InterNotes® for net proceeds of $117,442. These notes were issued with stated interest rates ranging from 2.25% to 4.25% with a weighted average interest rate of 3.32%. These notes will mature between July 15, 2026 and December 15, 2051. The following table summarizes the Prospect Capital InterNotes® issued during the six months ended December 31, 2021: Tenor at Origination (in years) Principal Amount Interest Rate Range Weighted Average Interest Rate Maturity Date Range 5 $ 32,244 2.25% – 3.25% 2.63% July 15, 2026 – December 15, 2026 7 20,018 2.75% – 3.50% 2.99% July 15, 2028 – December 15, 2028 10 20,045 3.15% – 3.75% 3.30% July 15, 2031 – December 15, 2031 12 2,422 3.70% 3.70% July 15, 2033 15 14,098 3.50% – 4.00% 3.80% July 15, 2036 – December 15, 2036 30 31,495 4.00% – 4.25% 4.01% July 15, 2051 – December 15, 2051 $ 120,322 During the six months ended December 31, 2020, we issued $81,467 aggregate principal amount of our Prospect Capital InterNotes® for net proceeds of $80,203. These notes were issued with stated interest rates ranging from 4.25% to 6.00% with a weighted average interest rate of 5.12%. These notes mature between July 15, 2025 and December 15, 2030 . The following table summarizes the Prospect Capital InterNotes® issued during the six months ended December 31, 2020: Tenor at Origination (in years) Principal Amount Interest Rate Range Weighted Average Interest Rate Maturity Date Range 5 $ 49,426 4.25% – 5.50% 4.99% July 15, 2025 – December 15, 2025 7 13,064 4.50% – 5.75% 5.18% July 15, 2027 – December 15, 2027 10 18,977 4.75% – 6.00% 5.40% July 15, 2030 – December 15, 2030 $ 81,467 During the six months ended December 31, 2021, we repaid $957 aggregate principal amount of Prospect Capital InterNotes® at par in accordance with the Survivor’s Option, as defined in the InterNotes® Offering prospectus. In order to replace short 72 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) maturity debt with longer-term debt, we redeemed $287,539 aggregate principal amount of Prospect Capital InterNotes® at par with a weighted average interest rate of 5.34%. As a result of these transactions, we recorded a loss in the amount of the unamortized debt issuance costs. The net loss on the extinguishment of Prospect Capital InterNotes® in the six months ended December 31, 2021 was $5,462. The following table summarizes the Prospect Capital InterNotes® outstanding as of December 31, 2021: Tenor at Origination (in years) Principal Amount Interest Rate Range Weighted Average Interest Rate Maturity Date Range 3 $ 662 1.50% 1.50% January 15, 2024 5 62,537 2.25% – 3.25% 2.81% January 15, 2026 – December 15, 2026 6 15,107 3.00% 3.00% June 15, 2027 – July 15, 2027 7 28,341 2.75% – 4.00% 3.15% January 15, 2028 – December 15, 2028 8 3,511 3.40% – 3.50% 3.45% June 15, 2029 – July 15, 2029 10 74,926 3.15% – 4.50% 3.84% August 15, 2029 – December 15, 2031 12 15,066 3.70% – 4.00% 3.95% June 15, 2033 – July 15, 2033 15 14,978 3.50% – 6.00% 3.93% August 15, 2028 – December 15, 2036 18 6,509 4.50% – 6.25% 5.50% January 15, 2031 – August 15, 2031 20 2,482 5.75% – 6.00% 5.84% November 15, 2032 – September 15, 2033 25 21,611 6.25% – 6.50% 6.41% August 15, 2038 – May 15, 2039 30 94,807 4.00% – 6.75% 5.52% November 15, 2042 – December 15, 2051 $ 340,537 During the six months ended December 31, 2020, we repaid $2,689 aggregate principal amount of Prospect Capital InterNotes® at par in accordance with the Survivor’s Option, as defined in the InterNotes® Offering prospectus. As a result of these transactions, we recorded a loss in the amount of the unamortized debt issuance costs. The net loss on the extinguishment of Prospect Capital InterNotes® in the six months ended December 31, 2020 was $69. The following table summarizes the Prospect Capital InterNotes® outstanding as of June 30, 2021: Tenor at Origination (in years) Principal Amount Interest Rate Range Weighted Average Interest Rate Maturity Date Range 3 $ 662 1.50% 1.50% January 15, 2024 5 46,968 3.00% – 4.25% 3.28% August 15, 2024 – May 15, 2026 6 15,107 3.00% 3.00% June 15, 2027 – July 15, 2027 7 59,729 3.25% – 5.75% 4.31% July 15, 2024 – May 15, 2028 8 3,511 3.40% – 3.50% 3.45% June 15, 2029 – July 15, 2029 10 201,285 3.50% – 6.25% 5.09% January 15, 2024 – July 15, 2031 12 14,432 4.00% – 6.00% 4.25% November 15, 2025 – July 15, 2033 15 16,801 5.75% – 6.00% 5.79% May 15, 2028 – November 15, 2028 18 18,487 4.50% – 6.25% 5.59% December 15, 2030 – August 15, 2031 20 3,777 5.75% – 6.00% 5.89% November 15, 2032 – October 15, 2033 25 30,344 6.25% – 6.50% 6.39% August 15, 2038 – May 15, 2039 30 97,608 5.50% – 6.75% 6.25% November 15, 2042 – October 15, 2043 $ 508,711 In connection with the issuance of Prospect Capital InterNotes ® , we incurred $25,785 of fees which are being amortized over the term of the notes, of which $7,667 remains to be amortized and is included as a reduction within Prospect Capital InterNotes ® on the Consolidated Statement of Assets and Liabilities as of December 31, 2021. During the three months ended December 31, 2021 and December 31, 2020, we recorded $4,177 and $10,208, respectively, of 73 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) interest costs and amortization of financing costs on the Prospect Capital InterNotes® as interest expense. During the six months ended December 31, 2021 and December 31, 2020, we recorded $9,479 and $19,916, respectively, of interest costs and amortization of financing costs on the Prospect Capital InterNotes® as interest expense. Note 8. Fair Value and Maturity of Debt Outstanding As of December 31, 2021, our asset coverage ratio stood at 290.6% based on our outstanding senior securities representing indebtedness of $2,395,273 and our asset coverage ratio on our senior securities that are stock was 243.7%. As of June 30, 2021, our asset coverage ratio stood at 274.0% based on our outstanding senior securities representing indebtedness of $2,267,649 and our asset coverage ratio on our senior securities that are stock was 258.4%. Refer to Note 9, Equity Offerings, Offering Expenses and Distributions for additional discussion on our senior securities that are stock. Information about our senior securities is shown in the following table as of the end of each of the last ten fiscal years and as of December 31, 2021. (All figures in this item are in thousands except per unit data) Total Amount Outstanding(1) Asset Coverage per Unit(2) Involuntary Liquidating Preference per Unit(3) Average Market Value per Unit(4) Credit Facility Fiscal 2022 (as of December 31, 2021) $ 472,608 $ 14,731 — — Fiscal 2021 (as of June 30, 2021) 356,937 17,408 — — Fiscal 2020 (as of June 30, 2020) 237,536 22,000 — — Fiscal 2019 (as of June 30, 2019) 167,000 34,298 — — Fiscal 2018 (as of June 30, 2018) 37,000 155,503 — — Fiscal 2017 (as of June 30, 2017) — — — — Fiscal 2016 (as of June 30, 2016) — — — — Fiscal 2015 (as of June 30, 2015) 368,700 18,136 — — Fiscal 2014 (as of June 30, 2014) 92,000 69,470 — — Fiscal 2013 (as of June 30, 2013) 124,000 34,996 — — Fiscal 2012 (as of June 30, 2012) 96,000 22,668 — — 2015 Notes(5) Fiscal 2015 (as of June 30, 2015) $ 150,000 $ 2,241 — — Fiscal 2014 (as of June 30, 2014) 150,000 2,305 — — Fiscal 2013 (as of June 30, 2013) 150,000 2,578 — — Fiscal 2012 (as of June 30, 2012) 150,000 3,277 — — 2016 Notes(6) Fiscal 2016 (as of June 30, 2016) $ 167,500 $ 2,269 — — Fiscal 2015 (as of June 30, 2015) 167,500 2,241 — — Fiscal 2014 (as of June 30, 2014) 167,500 2,305 — — Fiscal 2013 (as of June 30, 2013) 167,500 2,578 — — Fiscal 2012 (as of June 30, 2012) 167,500 3,277 — — 2017 Notes(7) Fiscal 2017 (as of June 30, 2017) $ 50,734 $ 2,251 — — Fiscal 2016 (as of June 30, 2016) 129,500 2,269 — — Fiscal 2015 (as of June 30, 2015) 130,000 2,241 — — Fiscal 2014 (as of June 30, 2014) 130,000 2,305 — — Fiscal 2013 (as of June 30, 2013) 130,000 2,578 — — Fiscal 2012 (as of June 30, 2012) 130,000 3,277 — — 74 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) 2018 Notes(8) Fiscal 2017 (as of June 30, 2017) $ 85,419 $ 2,251 — — Fiscal 2016 (as of June 30, 2016) 200,000 2,269 — — Fiscal 2015 (as of June 30, 2015) 200,000 2,241 — — Fiscal 2014 (as of June 30, 2014) 200,000 2,305 — — Fiscal 2013 (as of June 30, 2013) 200,000 2,578 — — 2019 Notes(10) Fiscal 2018 (as of June 30, 2018) $ 101,647 $ 2,452 — — Fiscal 2017 (as of June 30, 2017) 200,000 2,251 — — Fiscal 2016 (as of June 30, 2016) 200,000 2,269 — — Fiscal 2015 (as of June 30, 2015) 200,000 2,241 — — Fiscal 2014 (as of June 30, 2014) 200,000 2,305 — — Fiscal 2013 (as of June 30, 2013) 200,000 2,578 — — 5.00% 2019 Notes(11) Fiscal 2018 (as of June 30, 2018) $ 153,536 $ 2,452 — — Fiscal 2017 (as of June 30, 2017) 300,000 2,251 — — Fiscal 2016 (as of June 30, 2016) 300,000 2,269 — — Fiscal 2015 (as of June 30, 2015) 300,000 2,241 — — Fiscal 2014 (as of June 30, 2014) 300,000 2,305 — — 2020 Notes (14) Fiscal 2019 (as of June 30, 2019) $ 224,114 $ 2,365 — — Fiscal 2018 (as of June 30, 2018) 392,000 2,452 — — Fiscal 2017 (as of June 30, 2017) 392,000 2,251 — — Fiscal 2016 (as of June 30, 2016) 392,000 2,269 — — Fiscal 2015 (as of June 30, 2015) 392,000 2,241 — — Fiscal 2014 (as of June 30, 2014) 400,000 2,305 — — 6.95% 2022 Notes(9) Fiscal 2014 (as of June 30, 2014) $ 100,000 $ 2,305 — $ 1,038 Fiscal 2013 (as of June 30, 2013) 100,000 2,578 — 1,036 Fiscal 2012 (as of June 30, 2012) 100,000 3,277 — 996 2022 Notes Fiscal 2022 (as of December 31, 2021) $ 60,501 $ 2,906 — — Fiscal 2021 (as of June 30, 2021) 111,055 2,740 — — Fiscal 2020 (as of June 30, 2020) 258,240 2,408 — — Fiscal 2019 (as of June 30, 2019) 328,500 2,365 — — Fiscal 2018 (as of June 30, 2018) 328,500 2,452 — — Fiscal 2017 (as of June 30, 2017) 225,000 2,251 — — 2023 Notes(12) Fiscal 2022 (as of December 31, 2021) $ 284,219 $ 2,906 — — Fiscal 2021 (as of June 30, 2021) 284,219 2,740 — — Fiscal 2020 (as of June 30, 2020) 319,145 2,408 — — Fiscal 2019 (as of June 30, 2019) 318,863 2,365 — — Fiscal 2018 (as of June 30, 2018) 318,675 2,452 — — Fiscal 2017 (as of June 30, 2017) 248,507 2,251 — — Fiscal 2016 (as of June 30, 2016) 248,293 2,269 — — Fiscal 2015 (as of June 30, 2015) 248,094 2,241 — — Fiscal 2014 (as of June 30, 2014) 247,881 2,305 — — Fiscal 2013 (as of June 30, 2013) 247,725 2,578 — — 75 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) 2024 Notes(15) Fiscal 2020 (as of June 30, 2020) $ 233,788 $ 2,408 — $ 959 Fiscal 2019 (as of June 30, 2019) 234,443 2,365 — 1,002 Fiscal 2018 (as of June 30, 2018) 199,281 2,452 — 1,029 Fiscal 2017 (as of June 30, 2017) 199,281 2,251 — 1,027 Fiscal 2016 (as of June 30, 2016) 161,364 2,269 — 951 6.375% 2024 Notes(12) Fiscal 2022 (as of December 31, 2021) $ 81,240 $ 2,906 — — Fiscal 2021 (as of June 30, 2021) 81,389 2,740 — — Fiscal 2020 (as of June 30, 2020) 99,780 2,408 — — Fiscal 2019 (as of June 30, 2019) 99,726 2,365 — — 2025 Notes Fiscal 2022 (as of December 31, 2021) $ 156,168 $ 2,906 — — Fiscal 2021 (as of June 30, 2021) 156,168 2,740 — — Fiscal 2020 (as of June 30, 2020) 201,250 2,408 — — Fiscal 2019 (as of June 30, 2019) 201,250 2,365 — — 2026 Notes Fiscal 2022 (as of December 31, 2021) $ 400,000 $ 2,906 — — Fiscal 2021 (as of June 30, 2021) 400,000 2,740 — — 3.364% 2026 Notes Fiscal 2022 (as of December 31, 2021) $ 300,000 $ 2,906 — — Fiscal 2021 (as of June 30, 2021) 300,000 2,740 — — 3.437% 2028 Notes Fiscal 2022 (as of December 31, 2021) $ 300,000 $ 2,906 — — 2028 Notes(16) Fiscal 2020 (as of June 30, 2020) $ 70,761 $ 2,408 — $ 950 Fiscal 2019 (as of June 30, 2019) 70,761 2,365 — 984 Fiscal 2018 (as of June 30, 2018) 55,000 2,452 — 1,004 2029 Notes(17) Fiscal 2021 (as of June 30, 2021) 69,170 2,740 — 1,028 Fiscal 2020 (as of June 30, 2020) 69,170 2,408 — 970 Fiscal 2019 (as of June 30, 2019) 69,170 2,365 — 983 Prospect Capital InterNotes® Fiscal 2022 (as of December 31, 2021) $ 340,537 $ 2,906 — — Fiscal 2021 (as of June 30, 2021) 508,711 2,740 — — Fiscal 2020 (as of June 30, 2020) 680,229 2,408 — — Fiscal 2019 (as of June 30, 2019) 707,699 2,365 — — Fiscal 2018 (as of June 30, 2018) 760,924 2,452 — — Fiscal 2017 (as of June 30, 2017) 980,494 2,251 — — Fiscal 2016 (as of June 30, 2016) 908,808 2,269 — — Fiscal 2015 (as of June 30, 2015) 827,442 2,241 — — Fiscal 2014 (as of June 30, 2014) 785,670 2,305 — — Fiscal 2013 (as of June 30, 2013) 363,777 2,578 — — Fiscal 2012 (as of June 30, 2012) 20,638 3,277 — — Preferred Stock 76 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Fiscal 2022 (as of December 31, 2021) $ 461,439 $ 2,437 — — Fiscal 2021 (as of June 30, 2021) 137,040 2,584 — — All Senior Securities(12)(13) Fiscal 2022 (as of December 31, 2021) $ 2,856,712 $ 2,437 — — Fiscal 2021 (as of June 30, 2021) 2,404,689 2,584 — — Fiscal 2020 (as of June 30, 2020) 2,169,899 2,408 — — Fiscal 2019 (as of June 30, 2019) 2,421,526 2,365 — — Fiscal 2018 (as of June 30, 2018) 2,346,563 2,452 — — Fiscal 2017 (as of June 30, 2017) 2,681,435 2,251 — — Fiscal 2016 (as of June 30, 2016) 2,707,465 2,269 — — Fiscal 2015 (as of June 30, 2015) 2,983,736 2,241 — — Fiscal 2014 (as of June 30, 2014) 2,773,051 2,305 — — Fiscal 2013 (as of June 30, 2013) 1,683,002 2,578 — — Fiscal 2012 (as of June 30, 2012) 664,138 3,277 — — (1) Except as noted, the total amount of each class of senior securities outstanding at the end of the year/period presented (in 000’s). (2) The asset coverage ratio for a class of secured senior securities representing indebtedness is calculated as our consolidated total assets, less all liabilities and indebtedness not represented by senior securities, divided by secured senior securities representing indebtedness. The asset coverage ratio for a class of unsecured senior securities is inclusive of all senior securities. This asset coverage ratio is multiplied by $1,000 to determine the Asset Coverage Per Unit. (3) This column is inapplicable. (4) This column is inapplicable, except for the 6.95% 2022 Notes, the 2024 Notes, the 2028 Notes and the 2029 Notes. The average market value per unit is calculated as an average of quarter-end prices and shown as the market value per $1,000 of indebtedness. (5) We repaid the outstanding principal amount of the 2015 Notes on December 15, 2015. (6) We repaid the outstanding principal amount of the 2016 Notes on August 15, 2016. (7) We repaid the outstanding principal amount of the 2017 Notes on October 15, 2017. (8) We repaid the outstanding principal amount of the 2018 Notes on March 15, 2018. (9) We redeemed the 6.95% 2022 Notes on May 15, 2015. (10) We repaid the outstanding principal amount of the 2019 Notes on January 15, 2019. (11) We redeemed the 5.00% 2019 Notes on September 26, 2018. (12) For the fiscal years ended June 30, 2020 or prior, the 2023 Notes and 6.375% 2024 Notes are presented net of unamortized discount. (13) While we do not consider commitments to fund under revolving arrangements to be Senior Securities, if we were to elect to treat such unfunded commitments, which were $48,672 as of December 31, 2021 as Senior Securities for purposes of Section 18 of the 1940 Act, our asset coverage per unit would be $2,396. (14) We repaid the outstanding principal amount of the 2020 Notes on April 15, 2020. (15) We redeemed the 2024 Notes on February 16, 2021. (16) We redeemed the 2028 Notes on June 15, 2021. (17) We redeemed the 2029 Notes on December 30, 2021. 77 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) The following table shows our outstanding debt as of December 31, 2021. Principal Outstanding Unamortized Discount & Debt Issuance Costs Net Carrying Value Fair Value(1) Effective Interest Rate Revolving Credit Facility(2) $ 472,608 $ 9,869 $ 472,608 (3) $ 472,608 1ML+2.05% (6) 2022 Notes 60,501 222 60,279 61,557 (4) 5.64% (7) 2025 Notes 156,168 2,884 153,284 171,785 (4) 6.63% (7) Convertible Notes 216,669 213,563 233,342 6.375% 2024 Notes 81,240 382 80,858 87,785 (4) 6.57% (7) 2023 Notes 284,219 1,004 283,215 297,691 (4) 6.07% (7) 2026 Notes 400,000 8,055 391,945 407,100 (4) 3.99% (7) 3.364% 2026 Notes 300,000 6,656 293,344 299,190 (4) 3.60% (7) 3.437% 2028 Notes 300,000 8,745 291,255 288,537 (4) 3.63% (7) Public Notes 1,365,459 1,340,617 1,380,303 Prospect Capital InterNotes® 340,537 7,667 332,870 383,193 (5) 5.94% (8) Total $ 2,395,273 $ 2,359,658 $ 2,469,446 (1) As permitted by ASC 825-10-25, we have not elected to value our Revolving Credit Facility, Convertible Notes, Public Notes and Prospect Capital InterNotes® at fair value. The fair value of these debt obligations are categorized as Level 2 under ASC 820 as of December 31, 2021. (2) The maximum draw amount of the Revolving Credit facility as of December 31, 2021 is $1,297,500. (3) Net Carrying Value excludes deferred financing costs associated with the Revolving Credit Facility. See Note 2 for accounting policy details. (4) We use available market quotes to estimate the fair value of the Convertible Notes and Public Notes. (5) The fair value of Prospect Capital InterNotes® is estimated by discounting remaining payments using current Treasury rates plus spread based on observable market inputs. (6) Represents the rate on drawn down and outstanding balances. Deferred debt issuance costs are amortized on a straight-line method over the stated life of the obligation. (7) The effective interest rate is equal to the effect of the stated interest, the accretion of original issue discount and amortization of debt issuance costs. (8) For the Prospect Capital InterNotes®, the rate presented is the weighted average effective interest rate. Interest expense and deferred debt issuance costs, which are amortized on a straight-line method over the stated life of the obligation which approximates level yield, are weighted against the average year-to-date principal balance. 78 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) The following table shows our outstanding debt as of June 30, 2021: Principal Outstanding Unamortized Discount & Debt Issuance Costs Net Carrying Value Fair Value (1) Effective Interest Rate Revolving Credit Facility (2) $ 356,937 $ 11,141 $ 356,937 (3) $ 356,937 1ML+2.05% (6) 2022 Notes 111,055 825 110,230 113,799 (4) 5.69 % (7) 2025 Notes 156,168 3,298 152,870 171,590 (4) 6.63 % (7) Convertible Notes 267,223 263,100 285,389 6.375% 2024 Notes 81,389 467 80,922 88,996 (4) 6.57 % (7) 2023 Notes 284,219 1,397 282,822 302,616 (4) 6.07 % (7) 2026 Notes 400,000 8,768 391,232 413,032 (4) 3.94 % (7) 3.364% 2026 Notes 300,000 7,279 292,721 300,693 (4) 3.57 % (7) 2029 Notes 69,170 2,150 67,020 71,336 (4) 7.38 % (7) Public Notes 1,134,778 1,114,717 1,176,673 Prospect Capital InterNotes ® 508,711 10,496 498,215 591,013 (5) 6.17 % (8) Total $ 2,267,649 $ 2,232,969 $ 2,410,012 (1) As permitted by ASC 825-10-25, we have not elected to value our Revolving Credit Facility, Convertible Notes, Public Notes and Prospect Capital InterNotes® at fair value. The fair value of these debt obligations are categorized as Level 2 under ASC 820 as of June 30, 2021. (2) The maximum draw amount of the Revolving Credit facility as of June 30, 2021 is $1,107,500. (3) Net Carrying Value excludes deferred financing costs associated with the Revolving Credit Facility. See Note 2 for accounting policy details. (4) We use available market quotes to estimate the fair value of the Convertible Notes and Public Notes. (5) The fair value of Prospect Capital InterNotes® is estimated by discounting remaining payments using current Treasury rates plus spread based on observable market inputs. (6) Represents the rate on drawn down and outstanding balances. Deferred debt issuance costs are amortized on a straight-line method over the stated life of the obligation. (7) The effective interest rate is equal to the effect of the stated interest, the accretion of original issue discount and amortization of debt issuance costs. For the 2029 Notes, the rate presented is a combined effective interest rate of their respective original Note issuances and Note Follow-on Programs. (8) For the Prospect Capital InterNotes®, the rate presented is the weighted average effective interest rate. Interest expense and deferred debt issuance costs, which are amortized on a straight-line method over the stated life of the obligation which approximates level yield, are weighted against the average year-to-date principal balance. The following table shows the contractual maturities of our Revolving Credit Facility, Convertible Notes, Public Notes and Prospect Capital InterNotes® as of December 31, 2021: Payments Due by Period Total Less than 1 Year 1 – 3 Years 3 – 5 Years After 5 Years Revolving Credit Facility $ 472,608 — $ — $ 472,608 $ — Convertible Notes 216,669 60,501 — 156,168 — Public Notes 1,365,459 — 365,459 700,000 300,000 Prospect Capital InterNotes® 340,537 — 662 62,537 277,338 Total Contractual Obligations $ 2,395,273 $ 60,501 $ 366,121 $ 1,391,313 $ 577,338 79 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) The following table shows the contractual maturities of our Revolving Credit Facility, Convertible Notes, Public Notes and Prospect Capital InterNotes® as of June 30, 2021: Payments Due by Period Total Less than 1 Year 1 – 3 Years 3 – 5 Years After 5 Years Revolving Credit Facility $ 356,937 $ — $ — $ 356,937 $ — Convertible Notes 267,223 — 111,055 156,168 — Public Notes 1,134,778 — 365,608 400,000 369,170 Prospect Capital InterNotes ® 508,711 — 11,744 51,822 445,145 Total Contractual Obligations $ 2,267,649 $ — $ 488,407 $ 964,927 $ 814,315 We may from time to time seek to cancel or purchase our outstanding debt through cash purchases and/or exchanges, in open market purchases, privately negotiated transactions or otherwise. The amounts involved may be material. In addition, we may from time to time enter into additional debt facilities, increase the size of existing facilities or issue additional debt securities, including secured debt, unsecured debt and/or debt securities convertible into common stock. Any such purchases or exchanges of outstanding debt would be subject to prevailing market conditions, our liquidity requirements, contractual and regulatory restrictions and other factors. Note 9. Stock Repurchase Program, Equity Offerings, Offering Expenses, and Distributions On February 13, 2020, we filed a registration statement on Form N-2 (File No. 333-236415) that was effective upon filing pursuant to Rule 462(e) under the Securities Act as permitted under the Small Business Credit Availability Act. The registration statement permits us to issue, through one or more transactions, an indeterminate amount of securities, consisting of common stock, preferred stock, debt securities, subscription rights to purchase our securities, warrants representing rights to purchase our securities or separately tradeable units combining two or more of our securities. Preferred Stock On August 3, 2020, we entered into a Dealer Manager Agreement with Preferred Capital Securities, LLC (“PCS”), pursuant to which PCS has agreed to serve as the Company’s agent, principal distributor and dealer manager for the Company’s offering of up to 40,000,000 shares, par value $0.001 per share, of preferred stock, with a liquidation preference of $25.00 per share. Such preferred stock will initially be issued in multiple series, including the 5.50% Series A1 Preferred Stock (“Series A1 Preferred Stock”), the 5.50% Series M1 Preferred Stock (“Series M1 Preferred Stock”), and the 5.50% Series M2 Preferred Stock (“Series M2 Preferred Stock”, and together with the Series M1 Preferred Stock, the “Series M Preferred Stock”). In connection with such offering, on August 3, 2020, we filed Articles Supplementary with the State Department of Assessments and Taxation of Maryland (“SDAT”), reclassifying and designating 120,000,000 shares of the Company’s authorized and unissued shares of common stock into shares of preferred stock as “Convertible Preferred Stock.” On October 30, 2020, we entered into a Dealer Manager Agreement with InspereX LLC, pursuant to which InspereX LLC has agreed to serve as the Company’s agent and dealer manager for the Company’s offering of up to 10,000,000 shares, par value $0.001 per share, of 5.50% Series AA1 Preferred Stock, with a liquidation preference of $25.00 per share (the “Series AA1 Preferred Stock”). In connection with such offering, on October 30, 2020, we filed Articles Supplementary with the SDAT, reclassifying and designating an additional 20,000,000 shares of the Company’s authorized and unissued shares of common stock into shares of preferred stock as Convertible Preferred Stock. On May 19, 2021, we entered into an Underwriting Agreement with UBS Securities LLC, relating to the offer and sale of 187,000 shares, par value $0.001 per share, of 5.50% Series A2 Preferred Stock, with a liquidation preference of $25.00 per share (the “Series A2 Preferred Stock”, and together with the Series A1 Preferred Stock, Series M1 Preferred Stock, Series M2 Preferred Stock and Series AA1 Preferred Stock, the “5.50% Preferred Stock”). The issuance of the Series A2 Preferred Stock settled on May 26, 2021. In connection with such offering, on May 19, 2021, we filed Articles Supplementary with the SDAT, reclassifying and designating an additional 1,000,000 shares of the Company’s authorized and unissued shares of common stock into shares of preferred stock as Convertible Preferred Stock. In connection with the offerings of the 5.50% Preferred Stock, we adopted and amended, respectively, a preferred stock dividend reinvestment plan (the “Preferred Stock Plan” or the “Preferred Stock DRIP”), pursuant to which holders of the 5.50% Preferred Stock will have dividends on their 5.50% Preferred Stock automatically reinvested in additional shares of such 5.50% Preferred Stock at a price per share of $25.00, if they elect. Each series of 5.50% Preferred Stock ranks (with respect to the payment of dividends and rights upon liquidation, dissolution or winding up) (a) senior to our common stock, (b) on parity with each other series of our preferred stock, and (c) junior to our 80 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) existing and future secured and unsecured indebtedness . See Note 8, Fair Value and Maturity of Debt Outstanding for further discussion on our senior securities. At any time prior to the listing of the 5.50% Preferred Stock on a national securities exchange, shares of the 5.50% Preferred Stock are convertible, at the option of the holder of the 5.50% Preferred Stock (the “Holder Optional Conversion”). We will settle any Holder Optional Conversion by paying or delivering, as the case may be, (A) any portion of the Settlement Amount (as defined below) that we elect to pay in cash and (B) a number of shares of our common stock at a conversion rate equal to (1) (a) the Settlement Amount, minus (b) any portion of the Settlement Amount that we elect to pay in cash, divided by (2) the arithmetic average of the daily volume weighted average price of shares of our common stock over each of the five consecutive trading days ending on the Holder Conversion Exercise Date (such arithmetic average, the “5-day VWAP”). For the Series A1 Preferred Stock, the Series AA1 Preferred Stock, and the Series A2 Preferred Stock, “Settlement Amount” means (A) $25.00 per share (the “Stated Value”), plus (B) unpaid dividends accrued to, but not including, the Holder Conversion Exercise Date, minus (C) the applicable 5.50% Holder Optional Conversion Fee for the respective Holder Conversion Deadline. For the Series M Preferred Stock, “Settlement Amount” means (A) the Stated Value, plus (B) unpaid dividends accrued to, but not including, the Holder Conversion Exercise Date, minus (C) the applicable Series M Clawback, if any. “Series M Clawback”, if applicable, means an amount equal to the aggregate amount of all dividends, whether paid or accrued, on such share of Series M Stock in the three full months prior to the Holder Conversion Exercise Date. Subject to certain limited exceptions, we will not pay any portion of the Settlement Amount in cash (other than cash in lieu of fractional shares of our common stock) until the five year anniversary of the date on which a share of 5.50% Preferred Stock has been issued. Beginning on the five year anniversary of the date on which a share of 5.50% Preferred Stock is issued, we may elect to settle all or a portion of any Holder Optional Conversion in cash without limitation or restriction. The right of holders to convert a share of 5.50% Preferred Stock will terminate upon the listing of such share on a national securities exchange. Subject to certain limited exceptions allowing earlier redemption, beginning on the earlier of the five year anniversary of the date on which a share of 5.50% Preferred Stock has been issued, or, for listed shares of 5.50% Preferred Stock, five years from the earliest date on which any series that has been listed was first issued (the earlier of such dates, the “Redemption Eligibility Date”), such share of 5.50% Preferred Stock may be redeemed at any time or from time to time at our option (the “Issuer Optional Redemption”), at a redemption price of 100% of the Stated Value of the shares of 5.50% Preferred Stock to be redeemed plus unpaid dividends accrued to, but not including, the date fixed for redemption. Subject to certain limitations, each share of 5.50% Preferred Stock may be converted at our option (the “Issuer Optional Conversion”). We will settle any Issuer Optional Conversion by paying or delivering, as the case may be, (A) any portion of the IOC Settlement Amount (as defined below) that we elect to pay in cash and (B) a number of shares of our common stock at a conversion rate equal to (1) (a) the IOC Settlement Amount, minus (b) any portion of the IOC Settlement Amount that we elect to pay in cash, divided by (2) the 5-day VWAP, subject to our ability to obtain or maintain any stockholder approval that may be required under the 1940 Act to permit us to sell our common stock below net asset value if the 5-day VWAP represents a discount to our net asset value per share of common stock. For the 5.50% Preferred Stock, “IOC Settlement Amount” means (A) the Stated Value, plus (B) unpaid dividends accrued to, but not including, the date fixed for conversion. In connection with an Issuer Optional Conversion, we will use commercially reasonable efforts to obtain or maintain any stockholder approval that may be required under the 1940 Act to permit us to sell our common stock below net asset value. If we do not have or obtain any required stockholder approval under the 1940 Act to sell our common stock below net asset value and the 5-day VWAP is at a discount to our net asset value per share of common stock, we will settle any conversions in connection with an Issuer Optional Conversion by paying or delivering, as the case may be, (A) any portion of the IOC Settlement Amount that we elect to pay in cash and (B) a number of shares of our common stock at a conversion rate equal to (1) (a) the IOC Settlement Amount, minus (b) any portion of the IOC Settlement Amount that we elect to pay in cash, divided by (2) the NAV per share of common stock at the close of business on the business day immediately preceding the date of conversion. We will not pay any portion of the IOC Settlement Amount from an Issuer Optional Conversion in cash (other than cash in lieu of fractional shares of our common stock) until the Redemption Eligibility Date. Beginning on the Redemption Eligibility Date, we may elect to settle any Issuer Optional Conversion in cash without limitation or restriction. In the event that we exercise an Issuer Optional Conversion with respect to any shares of 5.50% Preferred Stock, the holder of such 5.50% Preferred Stock may instead elect a Holder Optional Conversion with respect to such 5.50% Preferred Stock provided that the date of conversion for such Holder Optional Conversion would occur prior to the date of conversion for an Issuer Optional Conversion. On July 12, 2021, we entered into an underwriting agreement by and among us, Prospect Capital Management L.P., Prospect Administration LLC, and Morgan Stanley & Co. LLC, RBC Capital Markets, LLC and UBS Securities LLC, as representatives of the underwriters, relating to the offer and sale of 6,000,000 shares, or $150,000 in aggregate liquidation preference, of our 5.35% Series A Fixed Rate Cumulative Perpetual Preferred Stock, par value $0.001 per share (the “Series A Preferred Stock” or “5.35% Preferred Stock”), at a public offering price of $25.00 per share. Pursuant to the Underwriting Agreement, we also 81 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) granted the underwriters a 30-day option to purchase up to an additional 900,000 shares of Series A Preferred Stock solely to cover over-allotments. The offer settled on July 19, 2021, and no additional shares of Series A Preferred Stock were issued pursuant to the option. In connection with such offering, on July 15, 2021, we filed Articles Supplementary with SDAT, reclassifying and designating 6,900,000 shares of the Company’s authorized and unissued shares of Common Stock into shares of Series A Preferred Stock. The Series A Preferred Stock ranks (with respect to the payment of dividends and rights upon liquidation, dissolution or winding up) (a) senior to our common stock, (b) on parity with each other series of our preferred stock, and (c) junior to our existing and future secured and unsecured indebtedness . See Note 8, Fair Value and Maturity of Debt Outstanding for further discussion on our senior securities. Subject to certain limited exceptions allowing earlier redemption, at any time after the close of business on July 19, 2026 (any such date, an “Optional Redemption Date”), at our sole option, we may redeem the Series A Preferred Stock in whole or, from time to time, in part, out of funds legally available for such redemption, at a price per share equal to the liquidation preference of $25.00 per share, plus an amount equal to all unpaid dividends on such shares (whether or not earned or declared, but excluding interest thereon) accumulated up to, but excluding, the date fixed for redemption. We may also redeem the Series A Preferred Stock at any time, in whole or, from time to time, in part, including prior to the Optional Redemption Date, pro rata, based on liquidation preference, with all other series of our then outstanding preferred stock, in the event that our Board determines to redeem any series of our preferred stock, in whole or, from time to time, in part, because such redemption is deemed necessary by the Board to comply with the asset coverage requirements of the 1940 Act or for us to maintain RIC status. In the event of a Change of Control Triggering Event (as defined below), we may, at our option, exercise our special optional redemption right to redeem the Series A Preferred Stock, in whole or in part, within 120 days after the first date on which such Change of Control Triggering Event has occurred by paying the liquidation preference, plus an amount equal to all unpaid dividends on such shares (whether or not earned or declared, but excluding interest thereon) accumulated up to, but excluding, the date fixed for such redemption. To the extent that we exercise our optional redemption right or our special optional redemption right relating to the Series A Preferred Stock, the holders of Series A Preferred Stock will not be permitted to exercise the conversion right described below in respect of their shares called for redemption. Except to the extent that we have elected to exercise our optional redemption right or our special optional redemption right by providing notice of redemption prior to the Change of Control Conversion Date (as defined below), upon the occurrence of a Change of Control Triggering Event, each holder of Series A Preferred Stock will have the right to convert some or all of the Series A Preferred Stock held by such holder on the Change of Control Conversion Date into a number of our shares of common stock per Series A Preferred Stock to be converted equal to the lesser of: • the quotient obtained by dividing (i) the sum of the Liquidation Preference per share plus an amount equal to all unpaid dividends thereon (whether or not earned or declared, but excluding interest thereon) accumulated up to, but excluding, the Change of Control Conversion Date (unless the Change of Control Conversion Date is after a Record Date for a Series A Preferred Stock dividend payment and prior to the corresponding Series A Preferred Stock dividend payment date, in which case no additional amount for such accrued and unpaid dividends will be included in this sum) by (ii) the Common Stock Price (as defined below); and • 6.03865, subject to certain adjustments, subject, in each case, to provisions for the receipt of alternative consideration upon conversion as described in the applicable prospectus supplement. If we have provided or provide a redemption notice with respect to some or all of the Series A Preferred Stock, holders of any Series A Preferred Stock that we have called for redemption will not be permitted to exercise their Change of Control Conversion Right in respect of any of their Series A Preferred Stock that have been called for redemption, and any Series A Preferred Stock subsequently called for redemption that have been tendered for conversion will be redeemed on the applicable date of redemption instead of converted on the Change of Control Conversion Date. For purposes of the foregoing discussion of a redemption upon the occurrence of a Change of Control Triggering Event, the following definitions are applicable: “Change of Control Triggering Event” means the occurrence of any of the following: 82 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) • the direct or indirect sale, lease, transfer, conveyance or other disposition (other than by way of merger or consolidation and other than an Excluded Transaction) in one or a series of related transactions, of all or substantially all of the assets of the Company and its Controlled Subsidiaries taken as a whole to any “person” or “group” (as those terms are used in Section 13(d)(3) of the Exchange Act) (other than to any Permitted Holders); provided that, for the avoidance of doubt, a pledge of assets pursuant to any of our secured debt instruments or the secured debt instruments of our Controlled Subsidiaries shall not be deemed to be any such sale, lease, transfer, conveyance or disposition; or • the consummation of any transaction (including, without limitation, any merger or consolidation and other than an Excluded Transaction) the result of which is that any “person” or “group” (as those terms are used in Section 13(d)(3) of the Exchange Act) (other than any Permitted Holders) becomes the “beneficial owner” (as defined in Rules 13d-3 and 13d-5 under the Exchange Act), directly or indirectly, of more than 50% of our outstanding Voting Stock, measured by voting power rather than number of shares. Notwithstanding the foregoing, the consummation of any of the transactions referred to in the bullet points above will not be deemed a Change of Control Triggering Event if we or the acquiring or surviving consolidated entity has or continues to have a class of common securities (or ADRs representing such securities) listed on the NYSE, the NYSE American or NASDAQ, or listed or quoted on an exchange or quotation system that is a successor to the NYSE, the NYSE American or NASDAQ, or is otherwise listed or quoted on a national securities exchange. The “Change of Control Conversion Date” is the date the shares of Series A Preferred Stock are to be converted, which will be a business day selected by us that is no fewer than 20 days nor more than 35 days after the date on which we provide the notice described above to the holders of Series A Preferred Stock. The “Common Stock Price” will be (i) if the consideration to be received in the Change of Control Triggering Event by the holders of our common stock is solely cash, the amount of cash consideration per share of our common stock or (ii) if the consideration to be received in the Change of Control Triggering Event by holders of our common stock is other than solely cash (x) the average of the closing sale prices per share of our common stock (or, if no closing sale price is reported, the average of the closing bid and ask prices or, if more than one in either case, the average of the average closing bid and the average closing ask prices) for the ten consecutive trading days immediately preceding, but not including, the effective date of the Change of Control Triggering Event as reported on the principal U.S. securities exchange on which our common stock is then traded, or (y) the average of the last quoted bid prices for our common stock in the over-the-counter market as reported by OTC Markets Group Inc. or similar organization for the ten consecutive trading days immediately preceding, but not including, the effective date of the Change of Control Triggering Event, if our common stock is not then listed for trading on a U.S. securities exchange. “Controlled Subsidiary” means any of our subsidiaries, 50% or more of the outstanding equity interests of which are owned by us and our direct or indirect subsidiaries and of which we possess, directly or indirectly, the power to direct or cause the direction of the management or policies, whether through the ownership of voting equity interests, by agreement or otherwise. “Excluded Transaction” means (i) any transaction that does not result in any reclassification, conversion, exchange or cancellation of all or substantially all of the outstanding shares of our Voting Stock; (ii) any changes resulting from a subdivision or combination or a change solely in par value; (iii) any transaction where the shares of our Voting Stock outstanding immediately prior to such transaction constitute, or are converted into or exchanged for, a majority of the Voting Stock of the surviving “person” (as that term is used in Section 13(d)(3) of the Exchange Act) or any direct or indirect parent company of the surviving “person” (as that term is used in Section 13(d)(3) of the Exchange Act) immediately after giving effect to such transaction; (iv) any transaction if (A) we become a direct or indirect wholly-owned subsidiary of a holding company and (B)(1) the direct or indirect holders of the Voting Stock of such holding company immediately following that transaction are substantially the same as the holders of our Voting Stock immediately prior to that transaction or (2) immediately following that transaction no “person” (as that term is used in Section 13(d)(3) of the Exchange Act) is the beneficial owner, directly or indirectly, of more than 50% of the Voting Stock of such holding company; or (v) any transaction primarily for the purpose of changing our jurisdiction of incorporation or form of organization. “Permitted Holders” means (i) us, (ii) one or more of our Controlled Subsidiaries and (iii) Prospect Capital Management or any affiliate of Prospect Capital Management that is organized under the laws of a jurisdiction located in the United States of America and in the business of managing or advising clients. “Voting Stock” as applied to stock of any person, means shares, interests, participations or other equivalents in the equity interest (however designated) in such person having ordinary voting power for the election of the directors (or the equivalent) of such person, other than shares, interests, participations or other equivalents having such power only by reason of the occurrence of a contingency. 83 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Except as provided above in connection with a Change of Control Triggering Event, the Series A Preferred Stock is not convertible into or exchangeable for any other securities or property. For so long as the Series A Preferred Stock is outstanding, we will not exercise any option we have to convert any other series of our outstanding preferred stock to common stock, including the Issuer Optional Conversion, or any other security ranking junior to such preferred stock. As a result, and in accordance with ASC 480, we have presented both our 5.50% Preferred Stock and Series A Preferred Stock within temporary equity on our Consolidated Statement of Assets and Liabilities as of December 31, 2021. During the six months ended December 31, 2021, we issued 6,588,940 shares of our Series A1 Preferred Stock for net proceeds of $149,357, 388,441 shares of our Series M1 Preferred Stock for net proceeds of $9,446, and 6,000,000 shares of our Series A Preferred Stock for net proceeds of $145,275, each excluding offering costs and preferred stock dividend reinvestments. Shares of the 5.50% Preferred Stock will pay a monthly dividend, when and if declared by the Board, at a fixed annual rate of 5.50% per annum of the Stated Value of $25.00 per share (computed on the basis of a 360-day year consisting of twelve 30-day months), payable in cash or through the issuance of additional 5.50% Preferred Stock through the 5.50% Preferred Stock DRIP. Shares of the Series A Preferred Stock will pay a quarterly dividend, when and if declared by the Board, at a fixed annual rate of 5.35% per annum of the Stated Value of $25.00 per share (computed on the basis of a 360-day year consisting of twelve 30-day months), payable in cash During the six months ended December 31, 2021 and December 31, 2020, we distributed approximately $5,954 and $46, respectively, to our 5.50% Preferred Stock holders. During the six months ended December 31, 2021, we distributed approximately $2,296 to our 5.35% Series A Preferred Stock holders. Our distributions to our 5.50% Preferred Stock holders and 5.35% Series A Preferred Stock holders for the six months ended December 31, 2021 and December 31, 2020, are summarized in the following table: Declaration Date Record Date Payment Date Amount ($ per share), before pro ration for partial periods Amount Distributed 5.50% Preferred Stock holders 11/6/2020 11/18/2020 12/1/2020 $ 0.114583 $ 13 12/4/2020 12/21/2020 1/4/2021 0.114583 33 Distributions for the six months ended December 31, 2020 $ 46 5/7/2021 7/21/2021 8/2/2021 $ 0.114583 $ 680 5/7/2021 8/18/2021 9/1/2021 0.114583 786 8/24/2021 9/15/2021 10/1/2021 0.114583 941 8/24/2021 10/20/2021 11/1/2021 0.114583 1,054 8/24/2021 11/17/2021 12/1/2021 0.114583 1,197 11/5/2021 12/15/2021 1/3/2022 0.114583 1,296 Distributions for the six months ended December 31, 2021 $ 5,954 5.35% Series A Preferred Stock holders 8/24/2021 10/20/2021 11/1/2021 $ 0.382674 $ 2,296 Distributions for the six months ended December 31, 2021 $ 2,296 The above table includes dividends paid during the six months ended December 31, 2021. It does not include distributions previously declared to the 5.50% Preferred Stock holders and 5.35% Series A Preferred Stock holders of record for any future dates, as those amounts are not yet determinable. The following dividends were previously declared and will be recorded and paid subsequent to December 31, 2021: • $0.114583 per share (before pro ration for partial period holders of record) for 5.50% Preferred Stock holders of record on January 19, 2022 with a payment date of February 1, 2022 84 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) • $0.114583 per share (before pro ration for partial period holders of record) for 5.50% Preferred Stock holders of record on February 16, 2022 with a payment date of March 1, 2022 • $0.334375 per share (before pro ration for partial period holders of record) for 5.35% Series A Preferred Stock holders of record on January 19, 2022 with a payment date of February 1, 2022 As of December 31, 2021, we have accrued approximately $22 and $1,338 in dividends that have not yet been declared for our 5.50% Preferred Stock holders and 5.35% Series A Preferred Stock holders, respectively. During the six months ended December 31, 2021, we issued 4,231 shares of our Series A1 Preferred Stock and 104 shares of our Series M1 Preferred Stock, in connection with the Preferred Stock Plan. During the six months ended December 31, 2021, 5,751 shares of our Series A1 Preferred Stock were converted to 16,088 shares of our common stock, in connection with Holder Optional Conversions. The conversion rights discussed above are accounted for as share settled redemption features and are determined to be clearly and closely related to the preferred stock host instruments. As such, we determined that no bifurcation was necessary. The following table shows our outstanding Preferred Stock as of December 31, 2021. Series Shares Outstanding Liquidation Value Series A1 11,751,346 $ 293,784 Series M1 519,211 12,980 Series A2 187,000 4,675 Series A 6,000,000 150,000 Total 18,457,557 $ 461,439 The following table shows our outstanding Preferred Stock as of June 30, 2021. Series Shares Outstanding Liquidation Value Series A1 5,163,926 $ 129,098 Series M1 130,666 3,267 Series A2 187,000 4,675 Total 5,481,592 $ 137,040 Preferred Stock issued prior to the issuance of our 5.35% Series A Preferred Stock has a carrying value equal to liquidation value per share on our Consolidated Statements of Assets and Liabilities . Subsequent issuances of our Preferred Stock classified as temporary equity are recorded net of issuance costs. The carrying value is inclusive of cumulative accrued and unpaid dividends as of December 31, 2021. Common Stock Our common stockholders’ equity accounts as of December 31, 2021 and June 30, 2021 reflect cumulative shares issued as of those respective dates. Our common stock has been issued through public offerings, a registered direct offering, the exercise of over-allotment options on the part of the underwriters, our common stock dividend reinvestment plan in connection with the acquisition of certain controlled portfolio companies and in connection with our 5.50% Preferred Stock Holder Optional Conversion. When our common stock is issued, the related offering expenses have been charged against paid-in capital in excess of par. All underwriting fees and offering expenses were borne by us. On August 24, 2011, our Board of Directors approved a share repurchase plan (the “Repurchase Program”) under which we may repurchase up to $100,000 of our common stock at prices below our net asset value per share. Prior to any repurchase, we are required to notify stockholders of our intention to purchase our common stock. We did not repurchase any shares of our common stock under the Repurchase Program for the six months ended December 31, 2021 and December 31, 2020. As of December 31, 2021, the approximate dollar value of shares that may yet be purchased under the Repurchase Program is $65,860. 85 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) On June 12, 2020, we entered into equity distribution agreements with each of RBC Capital Markets, LLC, Barclays Capital Inc., and KeyBanc Capital Markets Inc. pursuant to which we may offer and sell, by means of at-the-market offerings, up to 50,000,000 shares of our $0.001 par value Common Stock (“Common Stock ATM”). Excluding common stock dividend reinvestments and shares issued in connection with the 5.50% Preferred Stock Holder Optional Conversion, during the six months ended December 31, 2021 and December 31, 2020, we did not issue any shares of our common stock. On February 9, 2016, we amended our common stock dividend reinvestment plan that provided for reinvestment of our dividends or distributions on behalf of our stockholders, unless a stockholder elects to receive cash, to add the ability of stockholders to purchase additional common shares by making optional cash investments. Under the revised dividend reinvestment and direct common stock repurchase plan, stockholders may elect to purchase additional common shares through our transfer agent in the open market or in negotiated transactions. On April 17, 2020, our Board of Directors approved further amendments to our common stock dividend reinvestment plan, effective May 21, 2020, that principally provide for the number of newly-issued shares of our common stock to be credited to a stockholder’s account shall be determined by dividing the total dollar amount of the distribution payable to such common stockholder by 95% of the market price per share of our common stock at the close of regular trading on the Nasdaq Global Select Market on the date fixed by the Board of Directors for such distribution. On June 11, 2021, at a special meeting of our stockholders, our stockholders authorized us to sell shares of our common stock (during the next 12 months) at a price or prices below our net asset value per share at the time of sale in one or more offerings, subject to certain conditions as set forth in the proxy statement relating to the special meeting (including that the number of shares sold on any given date does not exceed 25% of its outstanding common stock immediately prior to such sale). During the six months ended December 31, 2021 and December 31, 2020, we distributed approximately $140,283 and $136,685, respectively, to our common stockholders. The following table summarizes our distributions declared and payable for the six months ended December 31, 2020 and December 31, 2020. Declaration Date Record Date Payment Date Amount Per Share Amount Distributed (in thousands) 5/8/2020 7/31/2020 8/20/2020 $ 0.06 $ 22,515 5/8/2020 8/31/2020 9/17/2020 0.06 22,619 8/25/2020 9/30/2020 10/22/2020 0.06 22,727 8/25/2020 10/30/2020 11/19/2020 0.06 22,836 11/6/2020 11/30/2020 12/24/2020 0.06 22,942 11/6/2020 12/31/2020 1/21/2021 0.06 23,046 Total declared and payable for the six months ended December 31, 2020 $ 136,685 5/7/2021 7/28/2021 8/19/2021 $ 0.06 $ 23,325 5/7/2021 8/27/2021 9/23/2021 0.06 23,348 8/24/2021 9/28/2021 10/21/2021 0.06 23,370 8/24/2021 10/27/2021 11/18/2021 0.06 23,392 11/5/2021 11/26/2021 12/23/2021 0.06 23,413 11/5/2021 12/29/2021 1/20/2022 0.06 23,435 Total declared and payable for the six months ended December 31, 2021 $ 140,283 Dividends and distributions to common stockholders are recorded on the ex-dividend date. As such, the table above includes distributions with record dates during six months ended December 31, 2021 and December 31, 2020. It does not include distributions previously declared to common stockholders of record on any future dates, as those amounts are not yet determinable. The following dividends were previously declared and will be recorded and payable subsequent to December 31, 2021: • $0.06 per share for January 2022 holders of record on January 27, 2022 with a payment date of February 17, 2022 86 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) During the six months ended December 31, 2021 and December 31, 2020, we issued 2,148,594 and 10,559,146 shares of our common stock, respectively, in connection with the common stock dividend reinvestment plan. During the six months ended December 31, 2021, Prospect officers and directors purchased 49,196 shares of our common stock, or 0.01% of total outstanding shares as of December 31, 2021, through shares issued in connection with our common stock dividend reinvestment plan. As of December 31, 2021, we have reserved 23,358,402 shares of our common stock for issuance upon conversion of the Convertible Notes (see Note 5) and 1,000,000,000 shares of our common stock for issuance upon conversion of the 5.50% Preferred Stock. Note 10. Other Income Other income consists of structuring fees, overriding royalty interests, revenue receipts related to net profit interests, deal deposits, administrative agent fees, and other miscellaneous and sundry cash receipts. The following table shows income from such sources during the three and six months ended December 31, 2021 and December 31, 2020. Three Months Ended December 31, Six Months Ended December 31, 2021 2020 2021 2020 Structuring, advisory, and amendment fees $ 16,853 $ 15,992 $ 28,814 $ 17,418 Royalty and net revenue interests 10,487 9,108 20,294 18,174 Administrative agent fees 159 125 327 249 Total other income $ 27,499 $ 25,225 $ 49,435 $ 35,841 Note 11. Net Increase (Decrease) in Net Assets per Common Share Earnings per share is calculated in accordance with ASC 260, “Earnings per Share”. Basic earnings per share is calculated by dividing the net increase (decrease) in net assets resulting from operations, less preferred dividends, by the weighted average number of common shares outstanding. Diluted earnings per share gives effect to all dilutive potential common shares outstanding using the if-converted method for Preferred Stock (Refer to Note 9). Diluted earnings per share excludes all dilutive potential common shares if their effect is anti-dilutive. During the six months ended December 31, 2021 and December 31, 2020, we did not have potential common shares that would be anti-dilutive. The following information sets forth the computation of basic and diluted earnings per common share for the three and six months ended December 31, 2021 and December 31, 2020: For the three months ended December 31, 2021 For the Six Months Ended December 31, 2021 Basic Diluted Basic Diluted Net increase in net assets resulting from operations applicable to Common Stockholders $ 246,411 $ 253,613 $ 456,135 $ 465,744 Weighted average common shares outstanding 389,991,324 417,952,347 389,438,733 412,840,135 Earnings per share $ 0.63 $ 0.61 $ 1.17 $ 1.13 For the Three Months Ended December 31, 2020 For the Six Months Ended December 31, 2020 Basic Diluted Basic Diluted Net increase in net assets resulting from operations applicable to Common Stockholders $ 305,921 $ 305,967 $ 473,667 $ 473,713 Weighted average common shares outstanding 381,157,121 381,817,317 378,534,006 378,864,104 Earnings per share $ 0.80 $ 0.80 $ 1.25 $ 1.25 87 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Note 12. Income Taxes While our fiscal year end for financial reporting purposes is June 30 of each year, our tax year end is August 31 of each year. The information presented in this footnote is based on our tax year end for each period presented, unless otherwise specified. For income tax purposes, dividends paid and distributions made to stockholders are reported as ordinary income, capital gains, non-taxable return of capital, or a combination thereof. The tax character of dividends paid to stockholders during the tax years ended August 31, 2021, 2020, and 2019 were as follows: Tax Year Ended August 31, 2021 2020 2019 Ordinary income $ 250,801 $ 169,041 $ 263,773 Capital gain — — — Return of capital 28,545 96,720 — Total dividends paid to stockholders $ 279,346 (1) $ 265,761 $ 263,773 (1) Final determination of tax character will not be final until we file our return for the tax year ended August 31, 2021. As of August 26, 2020 when our prior Form 10-K was filed for the year ended June 30, 2020, we estimated our distributions for the fiscal and tax years disclosed therein to be distributions of ordinary income. Subsequent to our filing date, we obtained more information from our underlying investments as to the character of the distributions for the tax year ended August 31, 2020, which resulted in changes to distributions previously disclosed in our Form 10-K filing. As a result of the change, our total distributable loss on our Consolidated Statement of Assets and Liabilities for the year ended June 30, 2020 changed from $1,015,387 to $930,930, with $84,457 being reclassified to distributions from capital. The remaining reclassification of tax distributions classified as return of capital for the tax year ended August 31, 2020 have been adjusted in the fiscal year ended June 30, 2021. This adjustment resulted in an increase to distributable earnings of $12,263 for the three months ended September 30, 2020 . We generate certain types of income that may be exempt from U.S. withholding tax when distributed to non-U.S. stockholders. Under IRC Section 871(k), a RIC is permitted to designate distributions of qualified interest income and short-term capital gains as exempt from U.S. withholding tax when paid to non-U.S. stockholders with proper documentation. For the 2021 calendar year, 41.98% of our taxable dividends as of December 31, 2021 qualified as interest related dividends which are exempt from U.S. withholding tax applicable to non-U.S. stockholders. This percentage is based on the best estimates available at the time of this filing. The final percentage will be determined with the filing of Form 1099-DIV. We also generate income that may be beneficial to shareholders that face interest expense limitations. Under IRC Section 163(j), a RIC is permitted to designate distributions attributable to net business interest income as section 163(j) interest dividends. For the 2021 calendar year 65.63% of our taxable ordinary dividends as of December 31, 2021 qualified as section 163(j) interest dividends. This percentage is based on the best estimates available at the time of this filing. The final percentage will be determined with the filing of Form 1099-DIV. For the tax year ending August 31, 2022, the tax character of dividends paid to stockholders through December 31, 2021 is expected to be ordinary income and return of capital however due to the difference between our fiscal and tax year ends, the final determination of the tax character of dividends between ordinary income, capital gains, and return of capital will not be made until we file our tax return for the tax year ending August 31, 2022. 88 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Taxable income generally differs from net increase in net assets resulting from operations for financial reporting purposes due to temporary and permanent differences in the recognition of income and expenses, and generally excludes net unrealized gains or losses, as unrealized gains or losses are generally not included in taxable income until they are realized. The following reconciles the net increase in net assets resulting from operations to taxable income for the tax years ended August 31, 2021, 2020, and 2019: Tax Year Ended August 31, 2021 2020 2019 Net increase (decrease) in net assets resulting from operations $ 428,106 $ (78,949) $ 93,093 Net realized (gains) losses on investments 16,173 10,139 (5,923) Net unrealized (gains) losses on investments (143,654) 328,997 217,159 Other temporary book-to-tax differences (49,882) (91,368) (87,511) Permanent differences (20) 57 78 Taxable income before deductions for distributions $ 250,723 (2) $ 168,876 $ 216,896 (2) Final determination of permanent differences will not be final until we file our return for the tax year ended August 31, 2021. Capital losses in excess of capital gains earned in a tax year may generally be carried forward and used to offset capital gains, subject to certain limitations. As of August 31, 2021, we had capital loss carryforwards of approximately $129,669 available for use in later tax years. The unused balance each year will be carried forward and utilized as gains are realized, subject to limitations. While our ability to utilize losses in the future depends upon a variety of factors that cannot be known in advance, some of the Company’s capital loss carryforwards may become permanently unavailable due to limitations by the Code. For the tax year ended August 31, 2021, we had no cumulative taxable income in excess of cumulative distributions. As of December 31, 2021, the cost basis of investments for tax purposes was $6,553,433 resulting in an estimated net unrealized gain of $449,413. As of December 31, 2021, the gross unrealized gains and losses were $1,514,719 and $1,065,306, respectively. As of June 30, 2021, the cost basis of investments for tax purposes was $6,050,304 resulting in an estimated net unrealized gain of $151,474. As of June 30, 2021, the gross unrealized gains and losses were $1,208,128 and $1,056,654, respectively. Due to the difference between our fiscal year end and tax year end, the cost basis of our investments for tax purposes as of December 31, 2021 and June 30, 2021 was calculated based on the book cost of investments as of December 31, 2021 and June 30, 2021, respectively, with cumulative book-to-tax adjustments for investments through August 31, 2021 and 2020, respectively. In general, we may make certain adjustments to the classification of net assets as a result of permanent book-to-tax differences, which may include merger-related items, differences in the book and tax basis of certain assets and liabilities, and nondeductible federal excise taxes, among other items. During the tax year ended August 31, 2021, we decreased overdistributed net investment income by $20 and increased capital in excess of par value by $20. During the tax year ended August 31, 2020, we increased overdistributed net investment income by $57 and decreased capital in excess of par value by $57. Due to the difference between our fiscal and tax year end, the reclassifications for the taxable year ended August 31, 2021 are being recorded in the fiscal year ending June 30, 2022 and the reclassifications for the taxable year ended August 31, 2020 were recorded in the fiscal year ended June 30, 2021. The reclassifications, if any, for the taxable year ended August 31, 2021 will be recorded in the fiscal year ending June 30, 2022 once we file our tax return for the tax year ending August 31, 2021. Note 13. Related Party Agreements and Transactions Investment Advisory Agreement We have entered into an investment advisory and management agreement with the Investment Adviser (the “Investment Advisory Agreement”) under which the Investment Adviser, subject to the overall supervision of our Board of Directors, manages the day-to-day operations of, and provides investment advisory services to, us. Under the terms of the Investment Advisory Agreement, the Investment Adviser: (i) determines the composition of our portfolio, the nature and timing of the changes to our portfolio and the manner of implementing such changes, (ii) identifies, evaluates and negotiates the structure of the investments we make (including performing due diligence on our prospective portfolio companies), and (iii) closes and monitors investments we make. The Investment Adviser’s services under the Investment Advisory Agreement are not exclusive, and it is free to furnish similar services to other entities so long as its services to us are not impaired. For providing these services the Investment Adviser 89 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) receives a fee from us, consisting of two components: a base management fee and an incentive fee. The base management fee is calculated at an annual rate of 2.00% on our total assets. For services currently rendered under the Investment Advisory Agreement, the base management fee is payable quarterly in arrears. The base management fee is calculated based on the average value of our gross assets at the end of the two most recently completed calendar quarters and appropriately adjusted for any share issuances or repurchases during the current calendar quarter. The total gross base management fee incurred to the favor of the Investment Adviser was $33,843 and $27,833 during the three months ended December 31, 2021 and December 31, 2020, respectively. The total gross base management fee incurred to the favor of the Investment Advisor was $66,046 and $54,683 during the six months ended December 31, 2021 and December 31, 2020, respectively. The incentive fee has two parts. The first part, the income incentive fee, is calculated and payable quarterly in arrears based on our pre-incentive fee net investment income less preferred dividends for the immediately preceding calendar quarter. For this purpose, pre-incentive fee net investment income means interest income, dividend income and any other income (including any other fees (other than fees for providing managerial assistance), such as commitment, origination, structuring, diligence and consulting fees and other fees that we receive from portfolio companies) accrued during the calendar quarter, minus our operating expenses for the quarter (including the base management fee, expenses payable under the Administration Agreement described below, and any interest expense and dividends paid on any issued and outstanding preferred stock, but excluding the incentive fee). Pre-incentive fee net investment income includes, in the case of investments with a deferred interest feature (such as original issue discount, debt instruments with payment-in-kind interest and zero coupon securities), accrued income that we have not yet received in cash. Pre-incentive fee net investment income does not include any realized capital gains, realized capital losses or unrealized capital gains or losses. Pre-incentive fee net investment income, expressed as a rate of return on the value of our net assets at the end of the immediately preceding calendar quarter, is compared to a “hurdle rate” of 1.75% per quarter (7.00% annualized). The net investment income used to calculate this part of the incentive fee is also included in the amount of the gross assets used to calculate the 2.00% base management fee. We pay the Investment Adviser an income incentive fee with respect to our pre-incentive fee net investment income in each calendar quarter as follows: • No incentive fee in any calendar quarter in which our pre-incentive fee net investment income does not exceed the hurdle rate; • 100.00% of our pre-incentive fee net investment income with respect to that portion of such pre-incentive fee net investment income, if any, that exceeds the hurdle rate but is less than 125.00% of the quarterly hurdle rate in any calendar quarter (8.75% annualized assuming a 7.00% annualized hurdle rate); and • 20.00% of the amount of our pre-incentive fee net investment income, if any, that exceeds 125.00% of the quarterly hurdle rate in any calendar quarter (8.75% annualized assuming a 7.00% annualized hurdle rate). These calculations are appropriately prorated for any period of less than three months and adjusted for any share issuances or repurchases during the current quarter. The second part of the incentive fee, the capital gains incentive fee, is determined and payable in arrears as of the end of each calendar year (or upon termination of the Investment Advisory Agreement, as of the termination date), and equals 20.00% of our realized capital gains for the calendar year, if any, computed net of all realized capital losses and unrealized capital depreciation at the end of such year. In determining the capital gains incentive fee payable to the Investment Adviser, we calculate the aggregate realized capital gains, aggregate realized capital losses and aggregate unrealized capital depreciation, as applicable, with respect to each investment that has been in our portfolio. For the purpose of this calculation, an “investment” is defined as the total of all rights and claims which may be asserted against a portfolio company arising from our participation in the debt, equity, and other financial instruments issued by that company. Aggregate realized capital gains, if any, equal the sum of the differences between the aggregate net sales price of each investment and the aggregate amortized cost basis of such investment when sold or otherwise disposed. Aggregate realized capital losses equal the sum of the amounts by which the aggregate net sales price of each investment is less than the aggregate amortized cost basis of such investment when sold or otherwise disposed. Aggregate unrealized capital depreciation equals the sum of the differences, if negative, between the aggregate valuation of each investment and the aggregate amortized cost basis of such investment as of the applicable calendar year-end. At the end of the applicable calendar year, the amount of capital gains that serves as the basis for our calculation of the capital gains incentive fee involves netting aggregate realized capital gains against aggregate realized capital losses on a since-inception basis and then reducing this amount by the aggregate unrealized capital depreciation. If this number is positive, then the capital gains incentive fee payable is equal to 20.00% of such amount, less the aggregate amount of any capital gains incentive fees paid since inception. 90 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) The total income incentive fee incurred was $19,589 and $20,717 during the three months ended December 31, 2021 and December 31, 2020, respectively. The fees incurred for the six months ended December 31, 2021 and December 31, 2020 were $39,329 and $35,103, respectively.No capital gains incentive fee was incurred during the six months ended December 31, 2021 and December 31, 2020. Income incentive fee for the three months ended December 31, 2020 includes a $264 adjustment for fees earned in prior periods that were neither expensed nor paid to the Investment Adviser. Administration Agreement We have also entered into an administration agreement (the “Administration Agreement”) with Prospect Administration under which Prospect Administration, among other things, provides (or arranges for the provision of) administrative services and facilities for us. For providing these services, we reimburse Prospect Administration for our allocable portion of overhead incurred by Prospect Administration in performing its obligations under the Administration Agreement, including rent and our allocable portion of the costs of our Chief Financial Officer and Chief Compliance Officer and her staff, including the internal legal staff. Under this agreement, Prospect Administration furnishes us with office facilities, equipment and clerical, bookkeeping and record keeping services at such facilities. Prospect Administration also performs, or oversees the performance of, our required administrative services, which include, among other things, being responsible for the financial records that we are required to maintain and preparing reports to our stockholders and reports filed with the SEC. In addition, Prospect Administration assists us in determining and publishing our net asset value, overseeing the preparation and filing of our tax returns and the printing and dissemination of reports to our stockholders, and generally oversees the payment of our expenses and the performance of administrative and professional services rendered to us by others. Under the Administration Agreement, Prospect Administration also provides on our behalf managerial assistance to those portfolio companies to which we are required to provide such assistance (see Managerial Assistance section below). The Administration Agreement may be terminated by either party without penalty upon 60 days’ written notice to the other party. Prospect Administration is a wholly-owned subsidiary of the Investment Adviser. The Administration Agreement provides that, absent willful misfeasance, bad faith or negligence in the performance of its duties or by reason of the reckless disregard of its duties and obligations, Prospect Administration and its officers, managers, partners, agents, employees, controlling persons, members and any other person or entity affiliated with it are entitled to indemnification from us for any damages, liabilities, costs and expenses (including reasonable attorneys’ fees and amounts reasonably paid in settlement) arising from the rendering of Prospect Administration’s services under the Administration Agreement or otherwise as administrator for us. Our payments to Prospect Administration are reviewed quarterly by our Board of Directors. The allocation of net overhead expense from Prospect Administration was $2,239 and $3,426 for the three months ended December 31, 2021 and December 31, 2020, respectively. The allocation of net overhead expense from Prospect Administration was $6,765 and $8,083 for the six months ended December 31, 2021 and December 31, 2020, respectively.Prospect Administration received estimated payments of $4,315 and $548 directly from our portfolio companies, and certain funds managed by the Investment Adviser for legal services during the six months ended December 31, 2021 and December 31, 2020, respectively. We were given a credit for these payments as a reduction of the administrative services cost payable by us to Prospect Administration. Had Prospect Administration not received these payments, Prospect Administration’s charges for its administrative services would have increased by this amount. 91 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Managerial Assistance As a BDC, we are obligated under the 1940 Act to make available to certain of our portfolio companies significant managerial assistance. “Making available significant managerial assistance” refers to any arrangement whereby we provide significant guidance and counsel concerning the management, operations, or business objectives and policies of a portfolio company. We are also deemed to be providing managerial assistance to all portfolio companies that we control, either by ourselves or in conjunction with others. The nature and extent of significant managerial assistance provided by us to controlled and non-controlled portfolio companies will vary according to the particular needs of each portfolio company. Examples of such activities include (i) advice on recruiting, hiring, management and termination of employees, officers and directors, succession planning and other human resource matters; (ii) advice on capital raising, capital budgeting, and capital expenditures; (iii) advice on advertising, marketing, and sales; (iv) advice on fulfillment, operations, and execution; (v) advice on managing relationships with unions and other personnel organizations, financing sources, vendors, customers, lessors, lessees, lawyers, accountants, regulators and other important counterparties; (vi) evaluating acquisition and divestiture opportunities, plant expansions and closings, and market expansions; (vii) participating in audit committee, nominating committee, board and management meetings; (viii) consulting with and advising board members and officers of portfolio companies (on overall strategy and other matters); and (ix) providing other organizational, operational, managerial and financial guidance. Prospect Administration, when performing a managerial assistance agreement executed with each portfolio company to which we provide managerial assistance, arranges for the provision of such managerial assistance on our behalf. When doing so, Prospect Administration utilizes personnel of our Investment Adviser. We, on behalf of Prospect Administration, invoice portfolio companies receiving and paying for managerial assistance, and we remit to Prospect Administration its cost of providing such services, including the charges deemed appropriate by our Investment Adviser for providing such managerial assistance. No income is recognized by Prospect. During the three months ended December 31, 2021 and December 31, 2020, we received payments of $1,835 and $1,973, respectively, from our portfolio companies for managerial assistance and subsequently remitted these amounts to Prospect Administration. During the six months ended December 31, 2021 and December 31, 2020, we received payments of $3,670 and $3,820, respectively, from our portfolio companies for managerial assistance and subsequently remitted these amounts to Prospect Administration. Co-Investments On January 13, 2020, we received an exemptive order from the SEC (the “Order”), which superseded a prior co-investment exemptive order granted on February 10, 2014, that gave us the ability to negotiate terms other than price and quantity of co-investment transactions with other funds managed by the Investment Adviser or certain affiliates, including Priority Income Fund, Inc. and Prospect Sustainable Income Fund, Inc. (f/k/a Prospect Flexible Income Fund, Inc.), where co-investing would otherwise be prohibited under the 1940 Act, subject to the conditions included therein. Under the terms of the Order, a “required majority” (as defined in Section 57(o) of the 1940 Act) of our independent directors must make certain conclusions in connection with a co-investment transaction, including that (1) the terms of the proposed transaction, including the consideration to be paid, are reasonable and fair to us and our stockholders and do not involve overreaching of us or our stockholders on the part of any person concerned and (2) the transaction is consistent with the interests of our stockholders and is consistent with our investment objective and strategies. In certain situations where a co-investment with one or more funds managed or owned by the Investment Adviser or its affiliates is not covered by the Order, such as when there is an opportunity to invest in different securities of the same issuer, the personnel of the Investment Adviser or its affiliates will need to decide which fund will proceed with the investment. Such personnel will make these determinations based on policies and procedures, which are designed to reasonably ensure that investment opportunities are allocated fairly and equitably among affiliated funds over time and in a manner that is consistent with applicable laws, rules and regulations. Moreover, except in certain circumstances, when relying on the Order, we will be unable to invest in any issuer in which one or more funds managed by the Investment Adviser or its affiliates has previously invested. We reimburse CLO investment valuation services fees initially incurred by Priority Income Fund, Inc. During the three months ended December 31, 2021 and December 31, 2020, we recognized expenses that were reimbursed for valuation services of $30 and $32, respectively. During the six months ended December 31, 2021 and December 31, 2020, we recognized expenses that were reimbursed for valuation services of $61 and $63, respectively.Conversely, Priority Income Fund, Inc. and Prospect Sustainable Income Fund, Inc. (f/k/a Prospect Flexible Income Fund, Inc.) reimburse us for software fees, expenses which were initially incurred by Prospect. As of December 31, 2020, we accrued a receivable from Priority Income Fund, Inc. and Prospect 92 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Sustainable Income Fund, Inc. (f/k/a Prospect Flexible Income Fund, Inc.) for software fees of $7. There was no such receivable outstanding as of December 31, 2021. Note 14. Transactions with Controlled Companies The descriptions below detail the transactions which Prospect Capital Corporation (“Prospect”) has entered into with each of our controlled companies. Certain of the controlled entities discussed below were consolidated effective July 1, 2014 (see Note 1). As such, transactions with these Consolidated Holding Companies are presented on a consolidated basis. CP Energy Services Inc. Prospect owns 100% of the equity of CP Holdings of Delaware LLC (“CP Holdings”), a Consolidated Holding Company. CP Holdings owns 99.8% of the equity of CP Energy Services, Inc. (“CP Energy”), and the remaining equity is owned by CP Energy management. CP Energy owns directly or indirectly 100% of each of CP Well; Wright Foster Disposals, LLC; Foster Testing Co., Inc.; ProHaul Transports, LLC; and Wright Trucking, Inc. CP Energy provides oilfield flowback services and fluid hauling and disposal services through its subsidiaries. On April 6, 2018, Arctic Oilfield Equipment USA, Inc. (“Arctic Equipment”), a previously controlled portfolio company, merged with and into CP Energy, with CP Energy continuing as the surviving corporation. In June 2019, CP Energy purchased a controlling interest in the common equity of Spartan Energy Holdings, Inc. (“Spartan Holdings”), which owns 100% of Spartan Energy Services, LLC (“Spartan”) a portfolio company of Prospect with $34,399 in senior secured term loans (the “Spartan Term Loans”) due to us as of June 30, 2019. As a result of CP Energy’s purchase, and given Prospect’s controlling interest in CP Energy, our Spartan Term Loans are presented as control investments under CP Energy beginning June 30, 2019. Spartan remains the direct borrow and guarantor to Prospect for the Spartan Term Loans. In December 2019, Wolf Energy Holdings, Inc. (“Wolf Energy Holdings”), our Consolidated Holding Company that previously owned 100% of Appalachian Energy LLC (“AEH”); Wolf Energy Services Company, LLC (“Wolf Energy Services”); and Wolf Energy, LLC (collectively our previously controlled membership interest and net profit interest investments in “Wolf Energy”), merged with and into CP Energy, with CP Energy continuing as the surviving entity. CP Energy acquired 100% of our equity investment in Wolf Energy, which is reflected in our valuation of the CP Energy common stock as of December 31, 2019. Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income Interest Income from CP Energy $ 1,309 $ 1,162 $ 2,580 $ 2,289 Interest Income from Spartan 363 302 723 605 Total Interest Income $ 1,672 $ 1,464 $ 3,303 $ 2,894 Other Income Administrative Agent $ — $ 7 $ 6 $ 13 Total Other Income $ — $ 7 $ 6 $ 13 Realized Gain $ — $ — $ — $ 2,832 Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Additions $ — $ — $ — $ 26,193 Interest Income Capitalized as PIK CP Energy 1,309 1,161 2,581 2,288 Spartan 364 — 363 — Total Interest Income Capitalized as PIK $ 1,673 $ 1,161 $ 2,944 $ 2,288 Repayment of Loan Receivable — — — 23,361 Return of Capital — — — 1 93 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) As of December 31, 2021 June 30, 2021 Interest Receivable (1) $ 19 $ 18 Other Receivables (2) 151 27 (1) Interest income recognized but not yet paid. (2) Represents amounts due from CP Energy and Spartan to Prospect for reimbursement of expenses paid by Prospect on behalf of CP Energy and Spartan. Credit Central Loan Company, LLC Prospect owns 100% of the equity of Credit Central Holdings of Delaware, LLC (“Credit Central Delaware”), a Consolidated Holding Company. Credit Central Delaware owns 99.01% of the equity of Credit Central Loan Company, LLC (f/k/a Credit Central Holdings, LLC) (“Credit Central”), with entities owned by Credit Central management owning the remaining equity. Credit Central owns 100% of each of Credit Central, LLC; Credit Central South, LLC; Credit Central of Texas, LLC; and Credit Central of Tennessee, LLC. Credit Central is a branch-based provider of installment loans. Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income $ 3,751 $ 3,549 $ 7,401 $ 6,919 Managerial Assistance (1) 175 175 350 350 Reimbursement of Legal, Tax, etc. (2) 1 — 1 — (1) No income recognized by Prospect. MA payments were paid from Credit Central to Prospect and subsequently remitted to PA. (2) Paid from Credit Central to PA as reimbursement for legal, tax, and portfolio level accounting services provided directly to Credit Central (No direct income recognized by Prospect, but we were given a credit for these payments as a reduction to the administrative services payable by Prospect to PA). Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Accreted Original Issue Discount $ 147 $ 109 $ 284 $ 210 Interest Income Capitalized as PIK 1,802 3,438 3,557 6,706 As of December 31, 2021 June 30, 2021 Interest Receivable (3) $ 40 $ 38 Other Receivables (4) 1 1 (3) Interest income recognized but not yet paid. (4) Represents amounts due from Credit Central to Prospect for reimbursement of expenses paid by Prospect on behalf of Credit Central. Echelon Transportation LLC (f/k/a Echelon Aviation LLC) Prospect owns 100% of the membership interests of Echelon Transportation LLC (“Echelon”). Echelon owns 60.7% of the equity of AerLift Leasing Limited (“AerLift”). Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income $ 2,756 $ 2,404 $ 5,457 $ 4,742 Managerial Assistance (1) 63 63 125 63 Reimbursement of Legal, Tax, etc. (2) 102 — 102 — 94 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) (1) No income recognized by Prospect. MA payments were paid from Credit Central to Prospect and subsequently remitted to PA. (2) Paid from Echelon to PA as reimbursement for legal, tax, and portfolio level accounting services provided directly to Echelon (No direct income recognized by Prospect, but we were given a credit for these payments as a reduction to the administrative services payable by Prospect to PA). Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Additions (3) $ — $ 525 $ — $ 525 Interest Income Capitalized as PIK — — 5,104 4,325 (3) During the six months ended December 31, 2020, Prospect made a follow-on $525 first lien senior secured debt. As of December 31, 2021 June 30, 2021 Interest Receivable (4) $ 4,643 $ 4,290 Other Receivables (5) 1 1 (4) Interest income recognized but not yet paid. (5) Represents amounts due from Echelon to Prospect for reimbursement of expenses paid by Prospect on behalf of Echelon. Energy Solutions Holdings Inc. Prospect owns 100% of the equity of Energy Solutions Holdings Inc. (f/k/a Gas Solutions Holdings Inc.) (“Energy Solutions”), a Consolidated Holding Company. Energy Solutions owns 100% of each of Change Clean Energy Company, LLC (f/k/a Change Clean Energy Holdings, LLC) (“Change Clean”); Freedom Marine Solutions, LLC (f/k/a Freedom Marine Services Holdings, LLC) (“Freedom Marine”); and Yatesville Coal Company, LLC (f/k/a Yatesville Coal Holdings, LLC) (“Yatesville”). Change Clean owns 100% of each of Change Clean Energy, LLC and Down East Power Company, LLC, and 50.1% of BioChips LLC. Freedom Marine owns 100% of each of Vessel Company, LLC (f/k/a Vessel Holdings, LLC) (“Vessel”); Vessel Company II, LLC (f/k/a Vessel Holdings II, LLC) (“Vessel II”); and Vessel Company III, LLC (f/k/a Vessel Holdings III, LLC) (“Vessel III”). Yatesville owns 100% of North Fork Collieries, LLC. Energy Solutions owns interests in companies operating in the energy sector. These include companies operating offshore supply vessels, ownership of a non-operating biomass electrical generation plant and several coal mines. Energy Solutions subsidiaries formerly owned interests in gathering and processing business in east Texas. Transactions between Prospect and Freedom Marine are separately discussed below under “Freedom Marine Solutions, LLC.” First Tower Finance Company LLC Prospect owns 100% of the equity of First Tower Holdings of Delaware LLC (“First Tower Delaware”), a Consolidated Holding Company. First Tower Delaware owns 80.1% of First Tower Finance Company LLC (f/k/a First Tower Holdings LLC) (“First Tower Finance”). First Tower Finance owns 100% of First Tower, LLC (“First Tower”), a multiline specialty finance company. Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income $ 18,441 $ 15,302 $ 36,779 $ 30,782 Other Income Structuring Fee $ — $ 10,000 $ 7,234 $ 10,000 Total Other Income $ — $ 10,000 $ 7,234 $ 10,000 Managerial Assistance (1) $ 600 $ 600 $ 1,200 $ 1,200 (1) No income recognized by Prospect. MA payments were paid from First Tower to Prospect and subsequently remitted to PA. 95 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income Capitalized as PIK $ 3,473 $ — $ 7,250 $ — Repayment of loan receivable 851 12 1,159 4,899 As of December 31, 2021 June 30, 2021 Interest Receivable (2) $ 202 $ 198 Other Receivables (3) 4 1 (2) Interest income recognized but not yet paid. (3) Represents amounts due from First Tower to Prospect for reimbursement of expenses paid by Prospect on behalf of First Tower. Freedom Marine Solutions, LLC As discussed above, Prospect owns 100% of the equity of Energy Solutions, a Consolidated Holding Company. Energy Solutions owns 100% of Freedom Marine. Freedom Marine owns 100% of each of Vessel, Vessel II, and Vessel III. As of December 31, 2021 June 30, 2021 Other Receivables $ 4 $ 1 InterDent, Inc. During the year ended June 30, 2018, Prospect exercised its rights and remedies under its loan documents to exercise the shareholder voting rights in respect of the stock of InterDent, Inc. (“InterDent”) and to appoint a new Board of Directors of InterDent, all the members of which are our Investment Adviser’s professionals. As a result, Prospect’s investment in InterDent is classified as a control investment. Effective September 30, 2020, we restructured our investment in InterDent whereby we contributed 100% of the outstanding aggregate principal amount of our Senior Secured Term Loan C and Senior Secured Term Loan D to the capital of InterDent. The principal contributions were made gross of all previously accrued and unpaid interest paid-in-kind. Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income $ 6,605 $ 5,786 $ 12,933 $ 10,723 Managerial Assistance (1) 366 — 366 — Reimbursement of Legal, Tax, etc. (2) 1,443 — 1,443 — (1) No income recognized by Prospect. MA payments were paid from InterDent to Prospect and subsequently remitted to PA. (2) Paid from InterDent to PA as reimbursement for legal, tax, and portfolio level accounting services provided directly to InterDent (No direct income recognized by Prospect, but we were given a credit for these payments as a reduction to the administrative services payable by Prospect to PA). Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Additions $ — $ — $ 7,778 $ — Interest Income Capitalized as PIK 4,553 4,040 8,971 7,322 Repayment of loan receivable 123 — 246 — 96 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) As of December 31, 2021 June 30, 2021 Interest Receivable (3) $ 73 $ 67 Other Receivables (4) 11 11 (3) Interest income recognized but not yet paid. (4) Represents amounts due from InterDent to Prospect for reimbursement of expenses paid by Prospect on behalf of InterDent. Kickapoo Ranch Pet Resort Prospect owns 100% of the membership interest of Kickapoo Ranch Pet Resort (“Kickapoo”). Kickapoo is a luxury pet boarding facility. As of December 31, 2021 June 30, 2021 Other Receivables (1) $ 7 $ 7 (1) Represents amounts due from Kickapoo to Prospect for reimbursement of expenses paid by Prospect on behalf of Kickapoo . MITY, Inc. Prospect owns 100% of the equity of MITY Holdings of Delaware Inc. (“MITY Delaware”), a Consolidated Holding Company. MITY Delaware owns 100% of the equity of MITY, Inc. (f/k/a MITY Enterprises, Inc.) (“MITY”). MITY owns 100% of each of MITY-Lite, Inc. (“MITY-Lite”); Broda USA, Inc. (f/k/a Broda Enterprises USA, Inc.) (“Broda USA”); and Broda Enterprises ULC (“Broda Canada”). MITY is a designer, manufacturer and seller of multipurpose room furniture and specialty healthcare seating products. During the three months ended December 31, 2016, Prospect formed a separate legal entity, MITY FSC, Inc., (“MITY FSC”) in which Prospect owns 100% of the equity. MITY FSC does not have material operations. This entity earns commission payments from MITY-Lite based on its sales to foreign customers, and distributes it to its shareholder. We recognize such commission, if any, as other income. Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income Interest Income from MITY-Lite $ 1,820 $ 2,416 $ 3,577 $ 4,789 Interest Income from Broda Canada — — — — Total Interest Income $ 1,820 $ 2,416 $ 3,577 $ 4,789 Managerial Assistance (1) $ — $ 75 $ — $ 150 Reimbursement of Legal, Tax, etc. (2) 10 — 10 — Realized Gain 3 — 6 — (1) No income recognized by Prospect. MA payments were paid from MITY to Prospect and subsequently remitted to PA. (2) Paid from Mity to PA as reimbursement for legal, tax, and portfolio level accounting services provided directly to Mity (No direct income recognized by Prospect, but we were given a credit for these payments as a reduction to the administrative services payable by Prospect to PA). Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income Capitalized as PIK $ 1,669 $ 873 $ 3,276 $ 1,724 Repayment of loan receivable — 147 — 292 97 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) As of December 31, 2021 June 30, 2021 Interest Receivable (3) $ 21 $ 19 Other Receivables (4) 4 — (3) Interest income recognized but not yet paid. (4) Represents amounts due from MITY to Prospect for reimbursement of expenses paid by Prospect on behalf of MITY. National Property REIT Corp. Prospect owns 100% of the equity of NPH Property Holdings, LLC (“NPH”), a consolidated holding company. NPH owns 100% of the common equity of National Property REIT Corp. (“NPRC”). NPRC is a Maryland corporation and a qualified REIT for federal income tax purposes. In order to qualify as a REIT, NPRC issued 125 shares of Series A Cumulative Non-Voting Preferred Stock to 125 accredited investors. The preferred stockholders are entitled to receive cumulative dividends semi-annually at an annual rate of 12.5% and do not have the ability to participate in the management or operation of NPRC. NPRC was formed to hold for investment, operate, finance, lease, manage, and sell a portfolio of real estate assets and engage in any and all other activities as may be necessary, incidental or convenient to carry out the foregoing. NPRC acquires real estate assets, including, but not limited to, industrial, commercial, and multi-family properties. NPRC may acquire real estate assets directly or through joint ventures by making a majority equity investment in a property-owning entity (the “JV”). Additionally, through its wholly owned subsidiaries, NPRC invests in online consumer loans and rated secured structured notes (“RSSN”). Effective October 31, 2019, we amended the terms of our credit agreement to increase our investment in NPRC and its wholly-owned subsidiaries through a new Senior Secured Term Loan C (“TLC”). During the three months ended December 31, 2019, we provided $51,428 and $12,857 in TLC and equity financing, respectively. NPRC used the proceeds to fund purchases of rated secured structured notes. Effective June 19, 2020, we amended and restated the terms of our credit agreement with NPRC, as part of the amendment we increased our investment through a new Term Loan D secured note in the aggregate principal amount of $183,425 and the proceeds were returned to us as a return of capital, reducing our equity investment in NPRC. We received structuring fees of $3,669 as a result of the amendment. During the six months ended December 31, 2021, we received partial repayments of $279,882 of our loans previously outstanding with NPRC and provided $112,156 of debt financing and $3,200 of equity financing to NPRC for the acqusition of real estate properties, to fund capital expenditures for existing real estate properties, to provide working capital, to fund purchases of rated secured structured notes, and to support the purchase of high yield corporate debt. Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income $ 16,564 $ 14,441 $ 32,561 $ 27,843 Other Income Structuring Fee $ 1,222 $ 1,433 $ 1,222 $ 1,433 Royalty/Net Interest 10,315 8,939 19,940 17,837 Total Other Income $ 11,537 $ 10,372 $ 21,162 $ 19,270 Managerial Assistance (1) $ 525 $ 525 $ 1,050 $ 1,050 Reimbursement of Legal, Tax, etc. (2) 593 530 2,711 694 (1) No income recognized by Prospect. MA payments were paid from NPRC to Prospect and subsequently remitted to PA. (2) Paid from NPRC to PA as reimbursement for legal, tax, and portfolio level accounting services provided directly to NPRC (No direct income recognized by Prospect, but we were given a credit for these payments as a reduction to the administrative services payable by Prospect to PA). 98 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Additions $ 105,466 $ 83,024 $ 115,356 $ 121,770 Repayment of loan receivable 245,982 23,421 279,882 38,750 As of December 31, 2021 June 30, 2021 Interest Receivable (3) $ 42 $ 35 Other Receivables (4) 6 3 (3) Interest income recognized but not yet paid. (4) Represents amounts due from NPRC to Prospect for reimbursement of expenses paid by Prospect on behalf of NPRC. Nationwide Loan Company LLC Prospect owns 100% of the membership interests of Nationwide Acceptance Holdings LLC (“Nationwide Holdings”), a Consolidated Holding Company. Nationwide Holdings owns 94.48% of the equity of Nationwide Loan Company LLC (“Nationwide”), with members of Nationwide management owning the remaining 5.52% of the equity. On March 24, 2020, Prospect received distributions of $1,500 that were paid from Nationwide Holdings to Prospect and were recognized as a return of capital by Prospect. Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income $ 1,035 $ 1,035 $ 2,071 $ 2,068 Dividend Income (1) 500 — 1,750 — Managerial Assistance (2) 100 100 200 200 Reimbursement of Legal, Tax, etc. (3) 9 — 9 — (1) All dividends were paid from earnings and profits of Nationwide. (2) No income recognized by Prospect. MA payments were paid from Nationwide to Prospect and subsequently remitted to PA. (3) Paid from Nationwide to PA as reimbursement for legal, tax, and portfolio level accounting services provided directly to Nationwide (No direct income recognized by Prospect, but we were given a credit for these payments as a reduction to the administrative services payable by Prospect to PA). Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income Capitalized as PIK $ — $ — $ — $ 173 As of December 31, 2021 June 30, 2021 Interest Receivable (4) $ 11 $ 11 Other Receivables (5) 5 2 (4 ) Interest income recognized but not yet paid. (5) Represents amounts due from Nationwide to Prospect for reimbursement of expenses paid by Prospect on behalf of Nationwide. 99 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) NMMB, Inc. Prospect owns 100% of the equity of NMMB Holdings, Inc. (“NMMB Holdings”), a Consolidated Holding Company. NMMB Holdings owns 95.17% and 94.82% of the fully-diluted equity of NMMB, Inc. (f/k/a NMMB Acquisition, Inc.) (“NMMB”) as of December 31, 2021 and June 30, 2021 , respectively, with NMMB management owning the remaining equity. NMMB owns 100% of Refuel Agency, Inc. (“Refuel Agency”). Refuel Agency owns 100% of Armed Forces Communications, Inc. (“Armed Forces”). NMMB is an advertising media buying business. On December 30, 2019, NMMB executed a dividend recapitalization whereby Prospect invested $15,100 of a first lien term loan to repay NMMB’s existing term loan, provide a shareholder distribution, and pay fees and expenses. As part of the recapitalization, Prospect converted its Series A and Series B preferred securities into 92.42% common equity and received a dividend distribution of $2,797. Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income Interest Income from NMMB $ 130 $ 134 $ 261 $ 269 Total Interest Income $ 130 $ 134 $ 261 $ 269 Dividend Income (1) $ 3,046 $ — $ 3,046 $ — Managerial Assistance (2) 100 100 200 200 (1) All dividends were paid from earnings and profits of NMMB. (2) No income recognized by Prospect. MA payments were paid from NMMB to Prospect and subsequently remitted to PA. Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Repayment of loan receivable Repayment from NMMB $ 38 $ 38 $ 76 $ 76 Total Repayment of loan receivable (2) $ 38 $ 38 $ 76 $ 76 (2) During the six months ended December 31, 2021 and December 31, 2020, Prospect received partial repayments totaling $76 and $76, respectively, for our Senior Secured Notes outstanding with NMMB, Inc. As of December 31, 2021 June 30, 2021 Interest Receivable (3) $ 1 $ 1 Other Receivables (4) 1 — (3) Interest income recognized but not yet paid. (4) Represents amounts due from NMMB to Prospect for reimbursement of expenses paid by Prospect on behalf of NMMB. Pacific World Corporation Prospect owns 100% of the preferred equity of Pacific World Corporation (“Pacific World”), which represents a 99.97% and 99.97% ownership interest of Pacific World as of December 31, 2021 and June 30, 2021 , respectively. As a result, Prospect’s investment in Pacific World is classified as a control investment. Effective June 30, 2020, we restructured our investment in Pacific World whereby we contributed 100% of the outstanding aggregate principal amount of our Senior Secured Term Loan B and all but $39,082 of the outstanding aggregate principal amount of our Senior Secured Term Loan A to the capital of Pacific World. The principal contributions were made gross of all previously accrued and unpaid interest paid-in-kind. 100 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income $ 1,198 $ 1,016 $ 2,322 $ 2,157 Managerial Assistance — — — 69 Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Additions (1) $ 4,500 $ — $ 6,500 $ — Interest Income Capitalized as PIK 1,486 631 2,169 1,265 (1) During the six months ended December 31, 2021, Prospect provided $4,000 of debt financing and $2,500 of equity financing to Pacific World to fund working capital needs. As of December 31, 2021 June 30, 2021 Interest Receivable (2) $ 46 $ 36 Other Receivables (3) 96 37 (2) Interest income recognized but not yet paid. (3) Represents amounts due from Pacific World to Prospect for reimbursement of expenses paid by Prospect on behalf of Pacific World. R-V Industries, Inc. Prospect owns 88.27% of the fully-diluted equity of R-V Industries, Inc. (“R-V”), with R-V management owning the remaining 11.73% of the equity. On December 15, 2020 we restructured our $28,622 Senior Subordinated Note with R-V into a $28,622 Senior Secured Note. No realized gain or loss was recorded as a result of the transaction. Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income $ 715 $ 715 $ 1,431 $ 1,431 Dividend Income (1) 441 — 441 — Managerial Assistance (2) 45 45 90 90 Reimbursement of Legal, Tax, etc. (3) — — 4 — (1) All dividends were paid from earnings and profits of R-V. (2) No income recognized by Prospect. MA payments were paid from R-V to Prospect and subsequently remitted to PA. (3) Paid from R-V to PA as reimbursement for legal, tax, and portfolio level accounting services provided directly to R-V (No direct income recognized by Prospect, but we were given a credit for these payments as a reduction to the administrative services payable by Prospect to PA). As of December 31, 2021 June 30, 2021 Interest Receivable (3) $ 8 $ 8 Other Receivables (4) 1 — (3) Interest income recognized but not yet paid. 101 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) SB Forging Company, Inc. As of June 30, 2014, Prospect owned 79.53% of the fully-diluted common, 85.76% of the Series A Preferred and 100% of the Series B Preferred equity of ARRM Services, Inc. (f/k/a ARRM Holdings, Inc.) (“ARRM”). ARRM owned 100% of the equity of Ajax Rolled Ring & Machine, LLC (f/k/a Ajax Rolled Ring & Machine, Inc.) (“Ajax”). Ajax forges large seamless steel rings on two forging mills in the company’s York, South Carolina facility. The rings are used in a range of industrial applications, including in construction equipment and power turbines. Ajax also provides machining and other ancillary services. SB Forging Company II, Inc. (f/k/a Gulf Coast Machine & Supply Company) Prospect owns 100% of the preferred equity of Gulf Coast Machine & Supply Company (“Gulf Coast”). Gulf Coast is a provider of value-added forging solutions to energy and industrial end markets. On November 14, 2017, we received proceeds of $1,363 from our insurance carrier related to our investment in Gulfco. The $1,363 reimbursed us for covered third-party legal expenses incurred and expensed in prior periods, for which we recorded the amount received as a reduction to our legal fees for the current period. Prospect Administration also received $1,430 from the insurance carrier related to covered legal services provided by Prospect Administration which was recorded as a reduction of allocation of overhead from Prospect Administration. In June 2018, SB Forging Company II, Inc. received escrow proceeds of $2,050 related to the sale. The escrow proceeds and $154 of excess cash held at SB Forging Company II, Inc. were subsequently distributed and in connection with the liquidation of our investment, we recorded a realized gain of $2,204 in our Consolidated Statement of Operations during the year ended June 30, 2019. Universal Turbine Parts, LLC On December 10, 2018, UTP Holdings Group, Inc. (“UTP Holdings”) purchased all of the voting stock of Universal Turbine Parts, LLC (“UTP”) and appointed a new Board of Directors to UTP Holdings, consisting of three employees of the Investment Advisor. At the time UTP Holdings acquired UTP, UTP Holdings (f/k/a Harbortouch Holdings of Delaware) was a wholly-owned holding company controlled by Prospect and therefore Prospect’s investment in UTP is classified as a control investment. Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income $ 593 $ 591 $ 1,186 $ 1,185 Managerial Assistance (1) 3 3 6 6 (1) No income recognized by Prospect. MA payments were paid from UTP to Prospect and subsequently remitted to PA. Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Repayment of loan receivable $ 8 $ 170 $ 16 $ 340 As of December 31, 2021 June 30, 2021 Interest Receivable (2) $ 6 $ 6 Other Receivables (3) 16 4 (2) Interest income recognized but not yet paid. (3) Represents amounts due from UTP to Prospect for reimbursement of expenses paid by Prospect on behalf of UTP. USES Corp. On June 15, 2016, we provided additional $1,300 debt financing to USES Corp. (“United States Environmental Services” or “USES”) and its subsidiaries in the form of additional Term Loan A debt and, in connection with such Term Loan A debt 102 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) financing, USES issued to us 99,900 shares of its common stock. On June 29, 2016, we provided additional $2,200 debt financing to USES and its subsidiaries in the form of additional Term Loan A debt and, in connection with such Term Loan A debt financing, USES issued to us 169,062 shares of its common stock. As a result of such debt financing and recapitalization, as of June 29, 2016, we held 268,962 shares of USES common stock representing a 99.96% common equity ownership interest in USES. As such, USES became a controlled company on June 30, 2016. Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income $ 51 $ 1 $ 102 $ 1 Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Additions (1) $ — $ 2,000 $ — $ 2,000 (1) During the six months ended December 31, 2020, Prospect provided $2,000 of new Senior Acquisition Term Loan financing to USES to fund company’s equity investment. As of December 31, 2021 June 30, 2021 Interest Receivable (2) $ 1 $ 1 Other Receivables (3) 62 — (2) Interest income recognized but not yet paid. (3) Represents amounts due from USES to Prospect for reimbursement of expenses paid by Prospect on behalf of USES. Valley Electric Company, Inc. Prospect owns 100% of the common stock of Valley Electric Holdings I, Inc. (“Valley Holdings I”), a Consolidated Holding Company. Valley Holdings I owns 100% of Valley Electric Holdings II, Inc. (“Valley Holdings II”), a Consolidated Holding Company. Valley Holdings II owns 94.99% of Valley Electric Company, Inc. (“Valley Electric”), with Valley Electric management owning the remaining 5.01% of the equity. Valley Electric owns 100% of the equity of VE Company, Inc., which owns 100% of the equity of Valley Electric Co. of Mt. Vernon, Inc. (“Valley”), a leading provider of specialty electrical services in the state of Washington and among the top 50 electrical contractors in the United States. Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Interest Income Interest Income from Valley $ 280 $ 280 $ 560 $ 560 Interest Income from Valley Electric 1,499 1,499 2,997 2,997 Total Interest Income $ 1,779 $ 1,779 $ 3,557 $ 3,557 Dividend Income (1) $ 1,700 $ 2,261 $ 1,700 $ 2,261 Other Income Residual Profit Interest $ 166 $ 166 $ 333 $ 333 Total Other Income $ 166 $ 166 $ 333 $ 333 Managerial Assistance (2) $ 150 $ 150 $ 300 $ 300 (1) All dividends were paid from earnings and profits. (2) No income recognized by Prospect. MA payments were paid from Valley Electric to Prospect and subsequently remitted to PA. 103 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Three Months Ended Six Months Ended December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Repayment of loan receivable $ — $ 1,061 $ — $ 1,061 As of December 31, 2021 June 30, 2021 Interest Receivable (3) $ 20 $ 20 Other Receivables (4) 2 2 (3) Interest income recognized but not yet paid. (4) Represents amounts due from Valley Electric to Prospect for reimbursement of expenses paid by Prospect on behalf of Valley Electric. Wolf Energy, LLC Prospect owns 100% of the equity of Wolf Energy Holdings Inc. (“Wolf Energy Holdings”), a Consolidated Holding Company. Wolf Energy Holdings owns 100% of each of Appalachian Energy LLC (f/k/a Appalachian Energy Holdings, LLC) (“AEH”); Coalbed, LLC (“Coalbed”); and Wolf Energy, LLC (“Wolf Energy”). AEH owns 100% of C&S Operating, LLC. Wolf Energy Holdings is a holding company formed to hold 100% of the outstanding membership interests of each of AEH and Coalbed. The membership interests and associated operating company debt of AEH and Coalbed, which were previously owned by Manx Energy, Inc. (“Manx”), were assigned to Wolf Energy Holdings effective June 30, 2012. The purpose of assignment was to remove those activities from Manx deemed non-core by the Manx convertible debt investors who were not interested in funding those operations. On June 30, 2012, AEH and Coalbed loans, with a cost basis of $7,991, were assigned by Prospect to Wolf Energy Holdings from Manx. In December 2019, Wolf Energy Holdings, Inc. (“Wolf Energy Holdings”), our Consolidated Holding Company that previously owned 100% of Appalachian Energy LLC (“AEH”); Wolf Energy Services Company, LLC (“Wolf Energy Services”); and Wolf Energy, LLC (collectively our previously controlled membership interest and net profit interest investments in “Wolf Energy”), merged with and into CP Energy, with CP Energy continuing as the surviving entity. CP Energy acquired 100% of our equity in Wolf Energy, which is reflected in our valuation of CP Energy common stock as of December 31, 2019. During the six months ended December 31, 2019, the cost basis in Wolf Energy Holdings of $3,914 was transferred to CP Energy. Note 15. Litigation From time to time, we may become involved in various investigations, claims and legal proceedings that arise in the ordinary course of our business. These matters may relate to intellectual property, employment, tax, regulation, contract or other matters. The resolution of such matters as may arise will be subject to various uncertainties and, even if such claims are without merit, could result in the expenditure of significant financial and managerial resources. We are not aware of any material legal proceedings as of December 31, 2021. 104 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued) (in thousands, except share and per share data) Note 16. Financial Highlights The following is a schedule of financial highlights for the six months ended December 31, 2021 and December 31, 2020: Three Months Ended December 31, Six Months Ended December 31, 2021 2020 2021 2020 Per Share Data Net asset value per common share at beginning of period $ 10.12 $ 8.40 $ 9.81 $ 8.18 Net investment income (1) 0.22 0.21 0.43 0.37 Net realized and change in unrealized gains (1) 0.43 0.59 0.77 0.88 Net increase from operations 0.65 0.80 1.20 1.25 Distributions of net investment income to preferred stockholders (0.02) — (4) (0.03) — (4) Distributions of net investment income to common stockholders (0.18) (8) (0.18) (0.36) (8) (0.33) Return of Capital to common stockholders — (8) — — (8) (0.03) Common stock transactions (2) (0.01) (0.05) (0.02) (0.10) Offering costs from issuance of preferred stock — — (4) (0.03) — (4) Reclassification of preferred stock issuance costs (9) 0.03 — 0.03 — Net asset value per common share at end of period $ 10.60 (5) $ 8.96 (5) $ 10.60 $ 8.96 (5) Per common share market value at end of period $ 8.41 $ 5.41 $ 8.41 $ 5.41 Total return based on market value (3) 11.67 % 11.47 % 4.91 % 13.87 % Total return based on net asset value (3) 7.10 % 10.55 % 13.09 % 17.81 % Shares of common stock outstanding at end of period 390,584,255 384,097,645 390,584,255 384,097,645 Weighted average shares of common stock outstanding 389,991,324 381,157,121 389,438,733 378,535,006 Ratios/Supplemental Data Net assets at end of period $ 4,140,128 $ 3,456,520 $ 4,140,128 $ 3,456,520 Portfolio turnover rate 6.61 % 6.21 % 11.73 % 9.05 % Annualized ratio of operating expenses to average net assets applicable to common shares (7) 8.89 % 10.94 % 8.98 % 10.90 % Annualized ratio of net investment income to average net assets applicable to common shares (7) 8.47 % 9.83 % 8.42 % 8.61 % 105 PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANC