What changed in this filing

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Item 1. Financial Statements

2022-05-09 compared with 2022-02-08 · 814 added, 814 removed, 3186 unchanged (34% of the section changed)

This section is long enough that the comparison stopped early. What follows is partial, and the remainder is not necessarily unchanged.

3 unchanged sentences

(in thousands, except share and per share data)

December 31, 2021 June 30, 2021

March 31, 2022 June 30, 2021

(Unaudited) (Audited)

11 unchanged sentences

Prepaid expenses 299 1,072

Due from Affiliate (Note 13) — —

7,495,685 6,303,092

15 unchanged sentences

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;

Preferred Stock, par value $0.001 per share (167,900,000 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 each of the Series AA1 and Series MM1 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;

16,394,214 Series A1 shares issued and outstanding;

2 unchanged sentences

0 Series AA1 shares issued and outstanding;

0 Series MM1 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 —

and 6,000,000 Series A shares issued and outstanding as of March 31, 2022) at carrying value plus cumulative accrued and unpaid dividends (Note 9) 564,884 —

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 Assets Applicable to Common Shares as of March 31, 2022 $ 4,236,011 $ —

Components of Net Assets Applicable to Common Shares and Net Assets, respectively

10 unchanged sentences

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 Assets Applicable to Common Shares as of March 31, 2022 $ 4,236,011 $ —

Net Asset Value Per Common Share (Note 16)

4 unchanged sentences

(in thousands, except share and per share data)

Three Months Ended December 31, Six Months Ended December 31,

Three Months Ended March 31, Nine Months Ended March 31,

2022 2021 2022 2021

24 unchanged sentences

Directors’ fees 131 113 360 339

Excise tax — — — —

Other general and administrative expenses 3,547 2,060 10,439 10,977

15 unchanged sentences

Net Increase in Net Assets Resulting from Operations 164,296 246,408 630,040 720,121

Preferred stock dividend 7,202 46 9,609 46

Preferred stock dividends 7,139 400 16,748 446

Net Increase in Net Assets Resulting from Operations applicable to Common Stockholders $ 157,157 $ 246,008 $ 613,292 $ 719,675

9 unchanged sentences

(in thousands, except share data)

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

For the Three Months Ended March 31, 2022 Shares Par Paid-in-capital in excess of par(1) Distributable Earnings (Loss)(1) Total Net Asset Applicable to Common Shares

Balance as of December 31, 2021(1) 390,584,255 $391 $ 4,030,760 $ 108,977 $ 4,140,128

Net Increase in Net Assets resulting from Operations:

5 unchanged sentences

Capital Transactions

Reclassification of preferred stock issuance costs to temporary equity(2) 11,970 11,970

Shares issued through reinvestment of dividends 1,120,220 1 9,049 9,050

Conversion of preferred stock to common stock 13,661 — 115 115

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

Tax reclassifications of net assets (Note 12) 20 (20) —

Total increase for the three months ended March 31, 2022 1,133,881 1 9,184 86,698 95,883

Balance as of March 31, 2022 391,718,136 $ 392 $ 4,039,944 $ 195,675 $ 4,236,011

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

For the Three Months Ended March 31, 2021 Liquidation Value Shares Par Paid-in capital in excess of par(1) Distributable earnings (loss)(1) Total Net Assets

Balance as of December 31, 2020 $ 13,786 384,097,645 $384 $ 4,023,978 $ (581,628) $ 3,456,520

Net Increase in Net Assets resulting from Operations:

4 unchanged sentences

Distributions from earnings (58,979) (58,979)

Return of capital to common stockholders(Note 12) (11,024) (11,024)

Capital Transactions

1 unchanged sentence

Shares issued through reinvestment of dividends 9 3,292,927 3 21,297 21,309

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.

Conversion of preferred stock to common stock (80) 9,982 — 80 —

Total increase for the three months ended March 31, 2021 53,114 3,302,909 3 4,774 187,429 245,320

Balance as of March 31, 2021(1) $ 66,900 387,400,554 $ 387 $ 4,028,752 $ (394,199) $ 3,701,840

(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.

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.

3 unchanged sentences

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

Nine Months Ended March 31, 2022 Liquidation Value Shares Par Paid-in capital in excess of par(1) Distributable earnings (loss)(1) Total Net Assets

Balance as of June 30, 2021(1) $ 137,040 388,419,573 $388 $ 4,018,659 $ (210,570) $ 3,945,517

5 unchanged sentences

Distributions from earnings (223,775) (223,775)

Return of capital to common stockholders (Note 12) (3,695) (3,695)

Capital Transactions

4 unchanged sentences

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

Tax reclassifications of net assets (Note 12) 20 (20) —

Total (decrease) increase for the nine months ended March 31, 2022 (137,040) 3,298,563 4 21,285 406,245 290,494

Balance as of March 31, 2022 $ — 391,718,136 $ 392 $ 4,039,944 $ 195,675 $ 4,236,011

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

Nine Months Ended March 31, 2021 Liquidation Value Shares Par Paid-in capital in excess of par(1) Distributable earnings (loss)(1) Total Net Assets

Balance as of June 30, 2020 $ — 373,538,499 $ 374 $ 3,986,417 $ (930,930) $ 3,055,861

1 unchanged sentence

Net investment income 212,508 212,508

Net realized gains 990 990

Net realized losses (10,964) (10,964)

Net change in unrealized gains 518,577 518,577

1 unchanged sentence

Distributions from earnings (183,447) (183,447)

Return of capital to common stockholders (12,263) (12,263)

Return of capital to common stockholders(Note 12) (23,287) (23,287)

Capital Transactions

1 unchanged sentence

Shares issued through reinvestment of dividends 9 13,852,073 13 73,209 73,231

Conversion of preferred stock to common stock (80) 9,982 80 —

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

Total increase for the nine months ended March 31, 2021 66,900 13,862,055 13 42,335 536,731 645,979

Balance as of March 31, 2021(1) $ 66,900 387,400,554 $ 387 $ 4,028,752 $ (394,199) $ 3,701,840

(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 unchanged sentences

(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.

During the nine months ended March 31, 2022, 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.

3 unchanged sentences

(in thousands, except share data)

Six Months Ended December 31,

Nine Months Ended March 31,

Operating Activities

3 unchanged sentences

Net change in unrealized (gains) on investments (398,340) (518,577)

Amortization of (accretion of premiums) discounts, net 28,767 (20,161)

Amortization of discounts (accretion of premiums), net 62,435 (17,163)

Accretion of original issue discount 2,063 903

5 unchanged sentences

Proceeds from sale of investments and collection of investment principal 940,539 673,329

Increase in due to broker 9,896 30

(Decrease) increase in due to broker (14,854) 48,668

Increase in due to Prospect Capital Management 7,787 4,960

3 unchanged sentences

Decrease in due from broker 8,496 1,524

Increase (Decrease) in other liabilities 540 (1,124)

Decrease in other liabilities (144) (1,252)

Increase in other receivables (160) (179)

Increase in due from affiliate — (6)

Increase in due from Prospect Administration — (38)

Decrease in prepaid expenses 773 1,053

(Decrease) Increase in due to Prospect Administration (3,224) 2,240

Decrease in due to Prospect Administration (1,980) (3,255)

Net Cash (Used in) Provided by Operating Activities (589,727) 131,003

21 unchanged sentences

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited)

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF MARCH 31, 2022 (Unaudited)

(in thousands, except share data)

December 31, 2021 (Unaudited)

March 31, 2022 (Unaudited)

Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair

2 unchanged sentences

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)

(20) Energy Equipment & Services First Lien Term Loan 10/1/2017 12.01% (3ML+ 11.00%) 1.00 1/31/2024 $45,322 $45,322 $45,322 1.1% (10)(39)

First Lien Term Loan A to Spartan Energy Services, LLC 10/20/2014 9.00% (1ML+ 8.00%) 1.00 12/31/2022 26,258 26,258 26,258 0.6% (10)(39)

Series A Preferred Units to Spartan Energy Holdings, Inc.

7 unchanged sentences

91,933 86,156 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)

Echelon Transportation, LLC Aerospace & Defense First Lien Term Loan 3/31/2014 6.00% (1ML+ 4.00%) 2.00 3/31/2024 53,209 53,209 53,209 1.3% (10)(39)

Preferred Units (32,842,586 shares) 1/31/2022 — N/A — 32,843 14,750 0.3% (16)

Membership Interest (100%) 3/31/2014 — N/A — 22,738 — —% (16)

108,790 67,959 1.6%

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)

First Tower Finance Company LLC (23) Consumer Finance First Lien Term Loan to First Tower, LLC 6/24/2014 10.00% plus 12.00% PIK — 2/18/2025 348,484 348,484 348,484 8.3% (14)(39)

Class A Units (95,709,910 units) 6/14/2012 — N/A — 31,146 296,672 7.0% (14)(16)

3 unchanged sentences

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)

Health Care Providers & Services First Lien Term Loan A/B 8/1/2018 16.65% (1ML+ 14.65%) 2.00 9/5/2025 14,249 14,249 14,249 0.3% (10)

First Lien Term Loan A 8/3/2012 6.50% (1ML+ 5.50%) 1.00 9/5/2025 96,773 96,773 96,773 2.3% (3)(10)

First Lien Term Loan B 8/3/2012 12.00% PIK — 9/5/2025 157,644 157,644 157,644 3.8% (39)

Common Stock (99,900 shares) 5/3/2019 — N/A — 45,118 141,091 3.3% (16)

2 unchanged sentences

2,378 3,833 0.1%

(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)

(25) Commercial Services & Supplies First Lien Term Loan A 9/19/2013 10.00% (3ML+ 7.00%) 3.00 4/30/2025 31,944 31,944 31,944 0.8% (10)(39)

First Lien Term Loan B 6/23/2014 10.00% (3ML+ 7.00%) plus 10.00% PIK 3.00 4/30/2025 18,404 18,404 18,404 0.4% (10)(39)

Unsecured Note to Broda Enterprises ULC 9/19/2013 10.00% — 1/1/2028 5,719 7,200 5,719 0.1% (14)

Common Stock (42,053 shares) 9/19/2013 — N/A — 27,349 4,428 0.1% (16)

2 unchanged sentences

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited)

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF MARCH 31, 2022 (Unaudited)

(in thousands, except share data)

December 31, 2021 (Unaudited)

March 31, 2022 (Unaudited)

Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair

2 unchanged sentences

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)

(26) Equity Real Estate Investment Trusts (REITs) / Online Lending / Structured Finance First Lien Term Loan A 12/31/2018 4.44% (3ML+ 1.44%) plus 3.53% PIK 3.00 12/31/2023 $378,861 $378,861 $378,861 8.9% (10)(39)

First Lien Term Loan B 12/31/2018 5.00% (3ML+ 2.00%) plus 5.50% PIK 3.00 12/31/2023 29,080 29,080 29,080 0.7% (10)(39)

First Lien Term Loan C 10/31/2019 11.01% (3ML+ 10.00%) plus 2.25% PIK 1.00 12/31/2023 140,800 140,800 140,800 3.3% (10)(39)

First Lien 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 4.3% (10)(39)

Residual Profit Interest 12/31/2018 — N/A — — 63,193 1.5% (35)

4 unchanged sentences

41,106 50,314 1.2%

(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)

(28) Media First Lien Term Loan 12/30/2019 10.50% (3ML+ 8.50%) 2.00 3/31/2027 29,760 29,760 29,760 0.7% (3)(10)

Common Stock (21,418 shares) 12/30/2019 — N/A — — 50,508 1.1%

29,760 80,268 1.8%

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)

Pacific World Corporation (36) Personal Products First Lien Revolving Line of Credit - $26,000 Commitment 9/26/2014 8.25% (1ML+ 7.25%) 1.00 9/26/2025 26,174 26,174 26,174 0.6% (10)(15)(39)

First Lien Term Loan A 12/31/2014 6.25% PIK (1ML+ 5.25%) 1.00 9/26/2025 43,639 43,639 30,613 0.7% (10)(39)

Convertible Preferred Equity (318,038 shares) 6/15/2018 — N/A — 189,295 — —% (16)

2 unchanged sentences

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)

Machinery First Lien Term Loan 12/15/2020 10.01% (3ML+ 9.00%) 1.00 12/15/2028 33,622 33,622 33,622 0.8% (3)(10)

Common Stock (745,107 shares) 6/26/2007 — N/A — 6,866 25,133 0.6%

40,488 58,755 1.4%

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)

Universal Turbine Parts, LLC (34) Trading Companies & Distributors First Lien Delayed Draw Term Loan - $6,965 Commitment 2/28/2019 10.25% (1ML+ 7.75%) 2.50 4/5/2024 3,149 3,149 3,149 0.1% (10)(15)

First Lien Term Loan A 7/22/2016 6.76% (3ML+ 5.75%) 1.00 4/5/2024 29,575 29,575 22,618 0.5% (10)

Preferred Units (47,244,213 units) 3/31/2021 — N/A — 32,500 — —% (16)

1 unchanged sentence

65,224 25,767 0.6%

(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)

(30) Commercial Services & Supplies First Lien Term Loan A 3/31/2014 9.00% PIK — 7/29/2024 59,010 30,651 23,916 0.6% (9)

First Lien Term Loan B 3/31/2014 15.50% PIK — 7/29/2024 87,118 35,568 — —% (9)

First Lien 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)

1 unchanged sentence

Valley Electric Company, Inc.

(31) Construction & Engineering Senior Secured Note to Valley Electric Co.

(31) Construction & Engineering First Lien Term Loan to Valley Electric Co.

12/31/2012 8.00% (3ML+ 5.00%) plus 2.50% PIK 3.00 12/31/2024 10,452 10,452 10,452 0.2% (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)

First Lien Term Loan 6/24/2014 8.00% plus 10.00% PIK — 6/23/2024 33,301 33,301 33,301 0.8% (39)

First Lien Term Loan B 3/28/2022 8.00% plus 4.50% PIK — 6/23/2024 13,000 13,000 13,000 0.3%

Consolidated Revenue Interest (2.00%) 6/22/2018 — N/A — — 1,984 —% (12)

4 unchanged sentences

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited)

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF MARCH 31, 2022 (Unaudited)

(in thousands, except share data)

December 31, 2021 (Unaudited)

March 31, 2022 (Unaudited)

Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair

7 unchanged sentences

221,057 362,180 8.5 %

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)

RGIS Services, LLC Commercial Services & Supplies First Lien 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 — 10,303 15,256 0.4 %

5 unchanged sentences

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited)

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF MARCH 31, 2022 (Unaudited)

(in thousands, except share data)

December 31, 2021 (Unaudited)

March 31, 2022 (Unaudited)

Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair

4 unchanged sentences

31,956 29,168 0.7 %

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)

ABG Intermediate Holdings 2 LLC Textiles, Apparel & Luxury Goods Second Lien Term Loan 12/20/2021 6.80% (3M SOFR+ 6.00%) 0.80 12/20/2029 9,000 8,935 8,955 0.2 % (3)(8)(10)

8,935 8,955 0.2 %

10 unchanged sentences

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)

Health Care Providers & Services First Lien Revolving Line of Credit - $3,000 Commitment 2/21/2013 10.75% (3ML+ 8.75%) 2.00 4/29/2022 — — — — % (10)(15)

First Lien Term Loan 2/21/2013 10.75% (3ML+ 8.75%) 2.00 4/29/2022 65,552 65,552 65,552 1.5 % (3)(10)

65,552 65,552 1.5 %

2 unchanged sentences

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)

Food Products Second Lien Delayed Draw Term Loan - $5,185 Commitment 6/7/2021 8.26% (3ML+ 7.25%) 0.75 6/10/2023 — — — — % (8)(10)(15)

Second Lien Term Loan 6/7/2021 8.26% (3ML+ 7.25%) 0.75 6/11/2029 94,815 94,084 94,815 2.2 % (3)(8)(10)

1 unchanged sentence

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)

Health Care Technology First Lien Revolving Line of Credit - $4,239 Commitment 10/18/2021 6.50% (3ML+ 5.75%) 0.75 8/21/2026 — — — — % (8)(10)(15)

Second Lien 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 64,838 64,838 64,838 1.5 % (8)(10)

64,838 64,838 1.5 %

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)

Belnick, LLC Household Durables First Lien Term Loan 1/20/2022 9.50% (1ML+ 8.50%) 1,000 1/20/2027 86,953 86,953 86,953 2.1 % (3)(10)

86,953 86,953 2.1 %

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)

Broder Bros., Co.

Textiles, Apparel & Luxury Goods First Lien Term Loan 12/4/2017 7.39% (6ML+ 6.00%) 1.00 12/4/2025 177,568 177,568 177,568 4.2 % (3)(10)

177,568 177,568 4.2 %

2 unchanged sentences

42,597 30,057 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)

Candle-Lite Company, LLC Household Products First Lien Term Loan A 1/23/2018 6.75% (3ML+ 5.50%) 1.25 4/30/2023 10,050 10,050 10,050 0.2 % (3)(10)

First Lien Term Loan B 1/23/2018 10.75% (3ML+ 9.50%) 1.25 4/30/2023 10,949 10,949 10,949 0.3 % (3)(10)

20,999 20,999 0.5 %

5 unchanged sentences

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited)

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF MARCH 31, 2022 (Unaudited)

(in thousands, except share data)

December 31, 2021 (Unaudited)

March 31, 2022 (Unaudited)

Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair

24 unchanged sentences

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)

Diversified Financial Services First Lien Term Loan 12/3/2019 10.65% (1ML+ 8.15%) 2.50 6/3/2024 36,971 36,971 36,971 0.9 % (3)(10)

36,971 36,971 0.9 %

5 unchanged sentences

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)

Consumer Finance First Lien Term Loan 7/30/2021 7.50% — 8/1/2028 47,000 47,030 41,128 1.0 % (8)(14)(47)

47,030 41,128 1.0 %

4 unchanged sentences

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)

Paper & Forest Products Second Lien Term Loan 8/26/2016 10.26% (3ML+ 9.25%) 1.00 8/26/2023 11,500 11,454 9,457 0.2 % (8)(10)

11,454 9,457 0.2 %

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)

Household Durables 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 3,269 0.1 % (16)

1 unchanged sentence

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)

(7) Media First Lien Term Loan 11/17/2020 5.75% (1ML+ 4.75%) 1.00 11/17/2023 3,556 3,556 3,433 0.1 % (8)(10)

Class B Common Units (1,039,554 units) 11/17/2020 — N/A — 26,991 294 — % (8)(16)

2 unchanged sentences

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)

2 Second Lien Term Loan 5/6/2021 7.51% (3ML+ 6.50%) 0.75 7/18/2025 5,000 4,980 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)

3 Second Lien Term Loan 8/6/2021 7.01% (3ML+ 6.00%) 0.75 5/21/2029 5,000 5,000 5,000 0.1 % (3)(8)(10)

9,980 10,000 0.2 %

1 unchanged sentence

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited)

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF MARCH 31, 2022 (Unaudited)

(in thousands, except share data)

December 31, 2021 (Unaudited)

March 31, 2022 (Unaudited)

Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair

8 unchanged sentences

(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)

ECI Merger Sub, Inc.) IT Services First Lien 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 46,861 46,861 46,861 1.1 % (3)(10)

13 unchanged sentences

Global Tel*Link Corporation Diversified Telecommunication Services First Lien Term Loan 8/7/2019 4.71% (1ML+ 4.25%) — 11/29/2025 9,723 9,483 9,596 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)

Second Lien Term Loan 11/20/2018 10.41% (1M SOFR+ 10.00%) — 11/29/2026 122,670 121,694 122,474 2.9 % (3)(8)(10)

131,177 132,070 3.1 %

19 unchanged sentences

52,281 52,500 1.2 %

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)

Interventional Management Services, LLC Health Care Providers & Services First Lien Revolving Line of Credit - $5,000 Commitment 2/22/2021 9.51% (3ML+ 8.50%) 1.00 2/22/2025 5,000 5,000 4,986 0.1 % (10)(15)

First Lien Term Loan 2/22/2021 9.51% (3ML+ 8.50%) 1.00 2/20/2026 69,090 69,090 68,891 1.6 % (3)(10)

74,090 73,877 1.7 %

4 unchanged sentences

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited)

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF MARCH 31, 2022 (Unaudited)

(in thousands, except share data)

December 31, 2021 (Unaudited)

March 31, 2022 (Unaudited)

Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair

5 unchanged sentences

27,429 19,685 0.4 %

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% (1ML+ 8.00%) 1.00 12/17/2025 24,688 24,688 24,688 0.6 % (3)(10)

4 unchanged sentences

30,172 30,698 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)

Magnate Worldwide, LLC Air Freight & Logistics First Lien Delayed Draw Term Loan - $2,357 Commitment 3/11/2022 6.25% (1ML+ 5.50%) 0.75 12/30/2028 — — — —% (8)(10)(15)

First Lien Term Loan 3/11/2022 6.25% (1ML+ 5.50%) 0.75 12/30/2028 30,566 30,566 30,566 0.8% (8)(10)

Second Lien Term Loan 12/30/2021 9.51% (3ML+ 8.50%) 0.75 12/30/2029 95,000 95,000 95,000 2.2% (3)(8)(10)

125,566 125,566 3.0 %

22 unchanged sentences

22,860 17,459 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)

OneTouchPoint Corp Professional Services First Lien Term Loan 2/19/2021 9.01% (3ML+ 8.00%) 1.00 2/19/2026 39,690 39,690 39,690 0.9 % (3)(10)

39,690 39,690 0.9 %

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)

Orva Buyer, LLC Internet & Direct Marketing Retail First Lien Term Loan 12/23/2020 9.50% (1ML+ 7.50%) 2.00 12/23/2025 39,488 39,488 39,488 0.9 % (3)(10)

39,488 39,488 0.9 %

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)

PeopleConnect Holdings, LLC (11) Interactive Media & Services First Lien Term Loan 1/22/2020 10.00% (3ML+ 8.25%) 1.75 1/22/2025 242,681 242,681 242,681 5.7 % (3)(10)

242,681 242,681 5.7 %

1 unchanged sentence

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited)

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF MARCH 31, 2022 (Unaudited)

(in thousands, except share data)

December 31, 2021 (Unaudited)

March 31, 2022 (Unaudited)

Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair

23 unchanged sentences

22,691 23,000 0.5 %

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)

The RK Logistics Group, Inc.

Commercial Services & Supplies First Lien Term Loan 3/24/2022 11.50% (3ML+ 10.50%) 1.00 3/24/2027 15,750 15,750 15,750 0.4% (10)

Class A Common Units (263,000 units) 3/24/2022 — N/A — 1,500 1,535 —% (16)

Class B Common Units (1,237,000 units) 3/24/2022 — N/A — — — —% (16)

17,250 17,285 0.4 %

RME Group Holding Company Media First Lien Term Loan A 5/4/2017 8.01% (3ML+ 7.00%) 1.00 5/4/2022 26,333 26,333 26,333 0.6 % (3)(10)

First Lien Term Loan B 5/4/2017 13.01% (3ML+ 12.00%) 1.00 5/4/2022 21,911 21,911 21,911 0.5 % (3)(10)

48,244 48,244 1.1 %

Romark WM-R Ltd.

1 unchanged sentence

21,090 14,792 0.3 %

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)

Rosa Mexicano Hotels, Restaurants & Leisure First Lien Revolving Line of Credit - $500 Commitment 3/29/2018 8.75% (3ML+ 7.50%) 1.25 5/29/2023 412 412 405 — % (10)(15)

First Lien Term Loan 3/29/2018 8.75% (3ML+ 7.50%) 1.25 5/29/2023 23,102 23,102 22,714 0.5 % (10)

23,514 23,119 0.5 %

4 unchanged sentences

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)

IT Services First Lien Term Loan 1/31/2022 9.01% (3ML+ 8.00%) 1.00 1/31/2027 51,870 51,870 51,870 1.2 % (3)(10)

51,870 51,870 1.2 %

1 unchanged sentence

4,919 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.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited)

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF MARCH 31, 2022 (Unaudited)

(in thousands, except share data)

December 31, 2021 (Unaudited)

March 31, 2022 (Unaudited)

Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair

1 unchanged sentence

Non-Control/Non-Affiliate Investments (less than 5.00% voting control)

Shutterfly, LLC Internet & Direct Marketing Retail 2021 Refinancing First Lien Term Loan B 7/1/2021 5.75% (1ML+ 5.00%) 0.75 9/25/2026 $ 20,295 $ 20,207 $ 19,810 0.5 % (3)(8)(10)

20,207 19,810 0.5 %

Sorenson Communications, LLC Diversified Telecommunication Services First Lien Term Loan 3/12/2021 6.51% (3ML+ 5.50%) 0.75 3/17/2026 16,200 16,056 16,200 0.4 % (3)(8)(10)

16,056 16,200 0.4 %

Southern Veterinary Partners Health Care Providers & Services Second Lien Term Loan 10/2/2020 8.76% (3ML+ 7.75%) 1.00 10/5/2028 8,000 7,934 8,000 0.2 % (3)(8)(10)

7 unchanged sentences

6,969 5,647 0.1 %

Stryker Energy, LLC Energy Equipment & Services Overriding Royalty Interests 12/4/2006 — N/A — — — — % (13)

Stryker Energy, LLC Energy Equipment & Services Overriding Royalty Interest 12/4/2006 — N/A — — — — % (13)

Sudbury Mill CLO Ltd.

22 unchanged sentences

21,855 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)

USG Intermediate, LLC Leisure Products First Lien Revolving Line of Credit - $3,000 Commitment 4/15/2015 10.25% (1ML+ 9.25%) 1.00 2/9/2027 1,500 1,500 1,500 — % (10)(15)

First Lien Term Loan B 4/15/2015 12.75% (1ML+ 11.75%) 1.00 2/9/2027 37,550 37,550 37,550 0.9 % (3)(10)

Equity 4/15/2015 — N/A — — — — % (16)

4 unchanged sentences

14,517 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.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF DECEMBER 31, 2021 (Unaudited)

CONSOLIDATED SCHEDULES OF INVESTMENTS AS OF MARCH 31, 2022 (Unaudited)

(in thousands, except share data)

December 31, 2021 (Unaudited)

March 31, 2022 (Unaudited)

Portfolio Company Industry Investments(1)(37) Acquisition Date(44) Coupon/Yield Floor Legal Maturity Principal Value Amortized Cost Fair

1 unchanged sentence

Non-Control/Non-Affiliate Investments (less than 5.00% voting control)

Victor Technology, LLC Commercial Services & Supplies First Lien Term Loan 12/3/2021 8.51% (3ML+ 7.50%) 1.00 12/3/2028 $ 29,925 $ 29,925 $ 29,854 0.7 % (3)(10)

29,925 29,854 0.7 %

Vision Solutions, Inc.

(29) IT Services Second Lien Term Loan 4/23/2021 8.00% (1ML+ 7.25%) 0.75 4/23/2029 60,000 59,492 59,671 1.4 % (3)(8)(10)

59,492 59,671 1.4 %

Voya CLO 2012-4, Ltd.

12 unchanged sentences

Commercial Services & Supplies Second Lien Term Loan 8/14/2018 7.76% (3ML+ 6.75%) — 8/17/2026 7,000 6,981 6,980 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)

2021 Second Lien Term Loan 7/30/2021 7.76% (3ML+ 6.75%) 0.75 8/17/2026 13,250 13,164 13,213 0.3 % (3)(8)(10)

20,145 20,193 0.5 %

15 unchanged sentences

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)

(20) Energy Equipment & Services First Lien 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)

First Lien 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.

3 unchanged sentences

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)

Credit Central Loan Company, LLC (21) Consumer Finance Second Lien 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)

1 unchanged sentence

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)

Echelon Transportation, LLC Aerospace & Defense First Lien 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)

First Lien 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)

6 unchanged sentences

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)

Health Care Providers & Services First Lien 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)

First Lien 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)

First Lien 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)

2 unchanged sentences

2,378 3,833 0.1%

(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)

(25) Commercial Services & Supplies First Lien Term Loan A 9/19/2013 10.00% (3ML+ 7.00%) 3.00 4/30/2025 29,867 29,867 29,867 0.8% (10)(39)

First Lien Term Loan 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)

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)

10 unchanged sentences

National Property REIT Corp.

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)

(26) Equity Real Estate Investment Trusts (REITs) / Online Lending / Structured Finance First Lien 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)

First Lien 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)

First Lien 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)

First Lien 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)

4 unchanged sentences

41,106 47,993 1.2%

(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)

(28) Media First Lien Delayed Draw Term Loan - $10,000 Commitment 3/25/2020 10.50% (3ML+ 8.50%) 2.00 12/30/2024 — — — —% (10)(15)

First Lien Term Loan 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)

Pacific World Corporation (36) Personal Products First Lien 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)

First Lien 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)

2 unchanged sentences

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)

Machinery First Lien 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)

Universal Turbine Parts, LLC (34) Trading Companies & Distributors First Lien 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)

First Lien 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)

1 unchanged sentence

65,248 27,106 0.7%

(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)

(30) Commercial Services & Supplies First Lien Term Loan A 3/31/2014 9.00% PIK — 7/29/2024 55,117 30,651 31,815 0.8% (9)

First Lien Term Loan B 3/31/2014 15.50% PIK — 7/29/2024 77,483 35,568 — —% (9)

First Lien 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)

1 unchanged sentence

Valley Electric Company, Inc.

(31) Construction & Engineering Senior Secured Note to Valley Electric Co.

(31) Construction & Engineering First Lien Debt to Valley Electric Co.

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)

First Lien Term Loan 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)

18 unchanged sentences

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)

RGIS Services, LLC Commercial Services & Supplies First Lien 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)

16 unchanged sentences

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)

Consumer Finance First Lien Term Loan 12/8/2017 12.00% — 12/15/2022 39,998 37,429 38,041 1.0 % (8)(46)

37,429 38,041 1.0 %

10 unchanged sentences

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)

Health Care Providers & Services First Lien Revolving Line of Credit - $3,000 Commitment 2/21/2013 10.75% (3ML+ 8.75%) 2.00 4/29/2022 — — — — % (10)(15)

First Lien 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 %

2 unchanged sentences

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)

Food Products Second Lien 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)

1 unchanged sentence

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)

Textiles, Apparel & Luxury Goods First Lien Term Loan 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 %

5 unchanged sentences

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)

Candle-Lite Company, LLC Household Products First Lien 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)

First Lien 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 %

38 unchanged sentences

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)

Cinedigm DC Holdings, LLC Entertainment First Lien 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)

Diversified Financial Services First Lien 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 %

27 unchanged sentences

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)

(7) Media First Lien 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)

1 unchanged sentence

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)

Machinery Incremental Amendment No.

2 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)

IT Services First Lien 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)

4 unchanged sentences

(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)

ECI Merger Sub, Inc.) IT Services First Lien 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)

12 unchanged sentences

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)

GEON Performance Solutions, LLC Chemicals First Lien 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)

32 unchanged sentences

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)

Interventional Management Services, LLC Health Care Providers & Services First Lien 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)

First Lien 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 %

44 unchanged sentences

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)

OneTouchPoint Corp Professional Services First Lien 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)

Orva Buyer, LLC Specialty Retail First Lien 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 %

1 unchanged sentence

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)

PeopleConnect Holdings, LLC (11) Interactive Media & Services First Lien Revolving Line of Credit - $8,918 Commitment 1/22/2020 10.00% (1ML+ 8.25%) 1.75 1/22/2025 — — — — % (10)(15)

First Lien 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 %

2 unchanged sentences

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)

Redstone Holdco 2 LP (49) IT Services Second Lien 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)

7 unchanged sentences

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)

RME Group Holding Company Media First Lien 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)

First Lien 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 %

2 unchanged sentences

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)

Rosa Mexicano Hotels, Restaurants & Leisure First Lien 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)

First Lien 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 %

13 unchanged sentences

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)

IT Services First Lien 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)

First Lien 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 %

1 unchanged sentence

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)

Shutterfly, Inc.

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 %

10 unchanged sentences

6,962 5,629 0.1 %

Stryker Energy, LLC Energy Equipment & Services Overriding Royalty Interests 12/4/2006 — N/A — — — — % (13)(16)

Stryker Energy, LLC Energy Equipment & Services Overriding Royalty Interest 12/4/2006 — N/A — — — — % (13)(16)

Sudbury Mill CLO Ltd.

36 unchanged sentences

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)

USG Intermediate, LLC Leisure Products First Lien 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)

First Lien 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)

26 unchanged sentences

(in thousands, except share data)

Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021

Endnote Explanations as of March 31, 2022 (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.

6 unchanged sentences

(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.

The fair values of the investments held by PCF at March 31, 2022 and June 30, 2021 were $2,533,667 and $1,797,733, respectively, representing 34.1% and 29.0% of our total investments, respectively.

(4) Keystone Acquisition Corp.

13 unchanged sentences

(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.

(f/k/a Clearstream.TV, Inc.), and Engine International, Inc., are joint borrowers on the first lien term loan.

(8) Syndicated investment which was originated by a financial institution and broadly distributed.

1 unchanged sentence

(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.

The 1-Month LIBOR, or “1ML”, was 0.45% as of March 31, 2022 and 0.10% as of June 30, 2021.

The 2-Month LIBOR, or “2ML”, was 0.13% as of June 30, 2021.

The 3-Month LIBOR, or “3ML”, was 0.96% as of March 31, 2022 and 0.15% as of June 30, 2021.

The 6-Month LIBOR, or “6ML”, was 1.47% as of March 31, 2022 and 0.16% as of June 30, 2021.

The 12-Month LIBOR, or “12ML”, was 0.25% as of June 30, 2021.

The 1-Month Secured Overnight Financing Rate or “1MS”, was 0.30% as of March 31, 2022.

The 3-Month Secured Overnight Financing Rate or “3MS”, was 0.68% as of March 31, 2022.

(11) PeopleConnect Holdings, Inc.

7 unchanged sentences

(in thousands, except share data)

Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued)

Endnote Explanations as of March 31, 2022 (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.

As of March 31, 2022 and June 30, 2021, our qualifying assets, as a percentage of total assets, stood at 79.22% 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.

As of March 31, 2022 and June 30, 2021, we had $43,351 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.

12 unchanged sentences

(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”) as of March 31, 2022 and June 30, 2021.

CP Energy owns directly or indirectly 100% of each of CP Well Testing, LLC;

5 unchanged sentences

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.

(“Spartan Holdings”), which owns 100% of Spartan Energy Services, LLC (“Spartan”), a portfolio company of Prospect with $26,258 in first lien term loans (the “Spartan Term Loans”) due to us as of March 31, 2022.

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.

3 unchanged sentences

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.

(21) Credit Central Holdings of Delaware, LLC (“Credit Central Delaware”), a consolidated entity in which we own 100% of the membership interests, owns 99.01% of Credit Central Loan Company, LLC (f/k/a Credit Central Holdings, LLC (“Credit Central”)) as of March 31, 2022 and June 30, 2021, respectively.

Credit Central owns 100% of each of Credit Central, LLC;

6 unchanged sentences

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.

(23) First Tower Holdings of Delaware LLC (“First Tower Delaware”), a consolidated entity in which we own 100% of the membership interests, owns 80.03% of First Tower Finance Company LLC (“First Tower Finance”), which owns 100% of First Tower, LLC, the operating company as of March 31, 2022 and June 30, 2021.

We report First Tower Finance as a separate controlled company.

5 unchanged sentences

(in thousands, except share data)

Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued)

Endnote Explanations as of March 31, 2022 (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.

9 unchanged sentences

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.

As of March 31, 2022 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.

7 unchanged sentences

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.

2 unchanged sentences

(“NMMB Holdings”), a consolidated entity in which we own 100% of the equity, owns 90.42% and 94.82% of the fully diluted equity of NMMB, Inc.

(“NMMB”) as of December 31, 2021 and June 30, 2021, respectively.

(“NMMB”) as of March 31, 2022 and June 30, 2021, respectively.

NMMB owns 100% of Refuel Agency, Inc., which owns 100% of Armed Forces Communications, Inc.

3 unchanged sentences

(30) Prospect owns 99.96% of the equity of USES Corp.

as of December 31, 2021 and June 30, 2021.

as of March 31, 2022 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.

4 unchanged sentences

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.

(32) As of March 31, 2022 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 March 31, 2022 and June 30, 2021.

(34) On December 10, 2018, UTP Holdings Group, Inc.

1 unchanged sentence

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.

(35) As of March 31, 2022 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 March 31, 2022 and June 30, 2021.

As a result, Prospect’s investment in Pacific World is classified as a control investment.

3 unchanged sentences

(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:

Endnote Explanations as of March 31, 2022 (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 March 31, 2022:

Industry 1st Lien

Term Loan 2nd Lien

Term Loan 3rd Lien Term Loan Subordinated Structured Notes Subordinated Unsecured Debt Equity (B)

Term Loan Subordinated Structured Notes Unsecured Debt Equity (B)

Control Investments

47 unchanged sentences

Paper & Forest Products — 11,454 — — — 11,454

Professional Services 63,569 48,386 — — — 111,955

See notes to consolidated financial statements.

2 unchanged sentences

(in thousands, except share data)

Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued)

Endnote Explanations as of March 31, 2022 (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)

Professional Services 63,743 48,276 — — — — 112,019

Term Loan Subordinated Structured Notes Unsecured Debt Equity (B)

Software — 52,281 — — — 52,281

4 unchanged sentences

Total Portfolio Investment Cost $ 3,665,815 $ 1,480,241 $ 1,016,280 $ 7,200 $ 718,401 $ 6,887,937

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:

The following table shows the composition of our investment portfolio at fair value by control designation, investment type and by industry as of March 31, 2022:

Industry 1st Lien

Term Loan 2nd Lien

Term Loan 3rd Lien Term Loan Subordinated Structured Notes Subordinated Unsecured Debt Equity (B)

Term Loan Subordinated Structured Notes Unsecured Debt Equity (B)

Fair Value Total Fair Value % of Net Assets Applicable to Common Stock

20 unchanged sentences

(in thousands, except share data)

Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued)

Endnote Explanations as of March 31, 2022 (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)

Term Loan Subordinated Structured Notes Unsecured Debt Equity (B)

Fair Value Total Fair Value % of Net Assets Applicable to Common Stock

45 unchanged sentences

(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:

See notes to consolidated financial statements.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED)

(in thousands, except share data)

Endnote Explanations as of March 31, 2022 (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)

Term Loan 3rd Lien Term Loan Subordinated Structured Notes Unsecured Debt Equity (B)

Control Investments

57 unchanged sentences

(in thousands, except share data)

Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued)

Endnote Explanations as of March 31, 2022 (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:

1 unchanged sentence

Term Loan 1.5 Lien Term Loan 2nd Lien

Term Loan 3rd Lien Term Loan Subordinated Structured Notes Subordinated Unsecured Debt Equity (B)

Term Loan 3rd Lien Term Loan Subordinated Structured Notes Unsecured Debt Equity (B)

Fair Value Total Fair Value % of Net Assets

41 unchanged sentences

Insurance — — 22,280 — — — — 22,280 0.6 %

See notes to consolidated financial statements.

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 %

7 unchanged sentences

Software — — 22,500 — — — — 22,500 0.6 %

See notes to consolidated financial statements.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED)

(in thousands, except share data)

Endnote Explanations as of March 31, 2022 (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 Unsecured Debt Equity (B)

Fair Value Total Fair Value % of Net Assets

Technology Hardware, Storage & Peripherals — — 12,500 — — — — 12,500 0.3 %

12 unchanged sentences

(in thousands, except share data)

Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued)

Endnote Explanations as of March 31, 2022 (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 -

3 unchanged sentences

CP Energy Services Inc.

- Senior Secured Term Loan 12.00 % — % 12.00 % (A)

- First Lien Term Loan 12.01 % — % 12.01 % (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 %

- First Lien Term Loan A to Spartan Energy Services, LLC 9.00 % — % 9.00 % (B)

Credit Central Loan Company, LLC - First Lien Term Loan 10.00 % — % 10.00 % (C)

Echelon Transportation, LLC - First Lien Term Loan 2.25 % — % 2.25 % (D)

First Tower Finance Company LLC - First Lien Term Loan 4.11 % 7.89 % 12.00 %

InterDent, Inc.

- Senior Secured Term Loan B 12.00 % — % 12.00 %

- Senior Secured Note A 10.00 % — % — % (F)

- Senior Secured Note B 20.00 % — % 10.00 % (F)

- First Lien Term Loan B 12.00 % — % 12.00 %

- First Lien Term Loan A 6.53 % 3.47 % — % (E)

- First Lien Term Loan B 7.88 % 2.12 % 10.00 % (E)

National Property REIT Corp.

- Senior Secured Term Loan A — % 3.53 % 3.53 %

- First Lien Term Loan A — % 3.53 % 3.53 %

National Property REIT Corp.

- Senior Secured Term Loan B — % 5.50 % 5.50 %

- First Lien Term Loan B — % 5.50 % 5.50 %

National Property REIT Corp.

- Senior Secured Term Loan C — % 2.25 % 2.25 %

- First Lien 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 %

- First Lien Term Loan D — % 2.50 % 2.50 %

Nationwide Loan Company LLC - First Lien Term Loan — % 10.00 % 10.00 %

Pacific World Corporation - Revolving Line of Credit 8.25 % — % 8.25 % (F)

Pacific World Corporation - First Lien Term Loan A 6.25 % — % 6.25 %

The Octave Music Group, Inc.

1 unchanged sentence

Town & Country Holdings, Inc.

- First Lien Term Loan 8.125 % — % 8.125 % (H)

- First Lien Term Loan 8.125 % — % 8.125 % (G)

TPS, LLC - First Lien Term Loan 1.50 % — % 1.50 %

Valley Electric Co.

- Senior Secured Note — % 2.50 % 2.50 %

- First Lien Term Loan 0.86 % 1.64 % 2.50 %

Valley Electric Company, Inc.

- Senior Secured Note — % 10.00 % 10.00 %

- First Lien Term Loan — % 10.00 % 10.00 %

Valley Electric Company, Inc.

- First Lien Term Loan B — % — % — % (H)

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%.

(A) Effective March 31, 2022, the CP Energy Fourteenth Amendment to Loan Agreement was amended to allow 100% of the March 31, 2022 interest accruing in cash to be payable in kind resulting in a current PIK rate capitalized of 12.01%.

(B) On October 28, 2021, the Spartan Energy Services, LLC Twenty-Second Amendment to Amended and Restated Senior Secured Loan Agreement 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.

On January 31, 2022, the Echelon Fifth Amendment and Restated Credit Agreement was amended to remove the PIK rate.

(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%.

(G) Effective as of December 29, 2021, the Pacific World Corporation Amendment No.

(F) 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.

(G) 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%.

(H) On March 28, 2022, the Valley Electric Company, Inc, Loan Agreement was amended to allow interest accruing at a maximum current PIK rate of 4.50%.

See notes to consolidated financial statements.

2 unchanged sentences

(in thousands, except share data)

Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued)

Endnote Explanations as of March 31, 2022 (Unaudited) and June 30, 2021 (Continued)

3 unchanged sentences

Current PIK Rate

Cinedigm DC Holdings, LLC - Senior Secured Term Loan —% 2.50% 2.50%

Cinedigm DC Holdings, LLC - First Lien 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 Lien Term Loan 12.00% —% 12.00% (A)

Credit Central Loan Company, LLC - Second Lien Term Loan —% 10.00% 10.00% (B)

Echelon Transportation, LLC - First Lien Term Loan 2.25% —% 2.25% (C)

Echelon Transportation, LLC - First Lien 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%

- Senior Secured Note A 10.00% —% —% (E)

- Senior Secured Note B 20.00% —% 10.00% (E)

- First Lien Term Loan B 12.00% —% 12.00%

- First Lien Term Loan A 10.00% —% —% (E)

- First Lien Term Loan B 20.00% —% 10.00% (E)

National Property REIT Corp.

- Senior Secured Term Loan A —% 3.53% 3.53%

- First Lien Term Loan A —% 3.53% 3.53%

National Property REIT Corp.

- Senior Secured Term Loan B —% 5.50% 5.50%

- First Lien Term Loan B —% 5.50% 5.50%

National Property REIT Corp.

- Senior Secured Term Loan C —% 2.25% 2.25%

- First Lien 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%

- First Lien Term Loan D —% 2.50% 2.50%

Nationwide Loan Company LLC - First Lien Term Loan —% 10.00% 10.00%

Pacific World Corporation - First Lien Term Loan A 6.25% —% 6.25%

PGX Holdings, Inc.

4 unchanged sentences

- 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)

Rosa Mexicano - First Lien Revolving Line of Credit 4.50% —% 4.50% (F)

Rosa Mexicano - First Lien Term Loan 4.50% —% 4.50% (F)

The Octave Music Group, Inc.

2 unchanged sentences

Valley Electric Co.

- Senior Secured Note —% 2.50% 2.50%

- First Lien Term Loan —% 2.50% 2.50%

Valley Electric Company, Inc.

- Senior Secured Note —% 10.00% 10.00%

- First Lien Term Loan —% 10.00% 10.00%

Venio LLC - First Lien Term Loan 10.00% —% 10.00%

11 unchanged sentences

(in thousands, except share data)

Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued)

Endnote Explanations as of March 31, 2022 (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:

Transactions during the nine months ended March 31, 2022 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

gains (losses) Fair Value at March 31, 2022 Interest

income Dividend

27 unchanged sentences

(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:

Transactions during the nine months ended March 31, 2022 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

gains (losses) Fair Value at March 31, 2022 Interest

income Dividend

13 unchanged sentences

(in thousands, except share data)

Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued)

Endnote Explanations as of March 31, 2022 (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.

50 unchanged sentences

(in thousands, except share data)

Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued)

Endnote Explanations as of March 31, 2022 (Unaudited) and June 30, 2021 (Continued)

(44) Acquisition date represents the date of PSEC's initial investment.

5 unchanged sentences

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

First Lien Term Loan 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

4 unchanged sentences

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

First Lien 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

First Lien Term Loan 12/9/2016 42,000

Barings CLO 2018-III Subordinated Structured Note 5/18/2018 9,255

2 unchanged sentences

Broder Bros., Co.

Senior Secured Note 1/29/2019, 2/28/2019, 9/10/2021, 9/30/2021 25,370

First Lien Term Loan 1/29/2019, 2/28/2019, 9/10/2021, 9/30/2021 25,370

Brookside Mill CLO Ltd.

5 unchanged sentences

Subordinated Structured Note 10/12/2018, 12/20/2021 2,860

Collections Acquisition Company, Inc.

First Lien Term Loan 1/13/2022 6,900

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

First Lien Term Loan A to Spartan Energy Services, LLC 4/9/2021, 1/10/2022 12,181

CP Energy Services Inc.

1 unchanged sentence

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

Credit Central Loan Company, LLC First Lien 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

First Lien Term Loan 8/31/2021, 11/18/2021, 1/12/2022 17,033

Curo Group Holdings Corp.

1 unchanged sentence

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

Echelon Transportation, LLC First Lien 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

First Tower Finance Company LLC First Lien Term Loan to First Tower, LLC 12/15/2015, 3/9/2018, 3/24/2022 43,047

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

3 unchanged sentences

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

GEON Performance Solutions, LLC First Lien 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, 2/7/2022 96,743

2 unchanged sentences

Interdent, Inc.

Senior Secured Term Loan A 2/11/2014, 4/21/2014, 11/25/2014, 12/23/2014, 7/14/2021 83,903

First Lien Term Loan A 2/11/2014, 4/21/2014, 11/25/2014, 12/23/2014, 7/14/2021, 3/28/2022 93,903

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

First Lien Term Loan B 2/11/2014, 4/21/2014, 11/25/2014, 12/23/2014 76,125

Interventional Management Services, LLC First Lien Revolving Line of Credit 2/25/2021, 11/17/2021 5,000

Jefferson Mill CLO Ltd.

3 unchanged sentences

Kickapoo Ranch Pet Resort Membership Interest 10/21/2019, 12/4/2019 28

Subordinated Structured Note 9/25/2015, 5/18/2018 9,422

See notes to consolidated financial statements.

2 unchanged sentences

(in thousands, except share data)

Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued)

Endnote Explanations as of March 31, 2022 (Unaudited) and June 30, 2021 (Continued)

Portfolio Company Investment Follow-On Acquisition Dates Follow-On Acquisitions

(Excluding initial investment cost)

Subordinated Structured Note 9/25/2015, 5/18/2018 9,422

LGC US FINCO, LLC First Lien Term Loan 3/2/2022 2,095

Common Stock 6/23/2014 7,200

Senior Secured Note A 1/17/2017, 3/23/2021 10,650

Senior Secured Note B 1/17/2017, 6/3/2019 11,000

First Lien Term Loan A 1/17/2017, 3/23/2021 10,650

First Lien Term Loan 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

Nationwide Loan Company LLC First Lien Term Loan 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

First Lien 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, 1/14/2022, 2/15/2022, 3/17/2022, 3/28/2022 412,119

National Property REIT Corp.

Senior Secured Term Loan B 12/8/20221, 12/17/2021 6,400

First Lien Term Loan B 12/8/20221, 12/17/2021, 1/13/2022, 2/8/2022, 2/14/2022, 2/17/2022, 2/24/2022 28,880

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

Senior Secured Term Loan 12/30/2019 15,100

First Lien Term Loan C 10/23/2019, 1/23/2020, 3/31/2020, 4/8/2020, 8/4/2020, 12/7/2021, 1/7/2022, 2/2/2022 151,800

First Lien Term Loan 12/30/2019, 3/28/2022 40,100

Octagon Investment Partners XV, Ltd.

2 unchanged sentences

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 First Lien 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

PeopleConnect Holdings, LLC First Lien Revolving Line of Credit 1/31/2020 1,115

PeopleConnect Holdings, LLC First Lien 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

First Lien Term Loan - new 11/16/2021 20,000

PGX Holdings, Inc.

1 unchanged sentence

PGX Holdings, Inc.

1.5 Lien Loan 9/18/2020, 12/31/2020 14,362

1.5 Lien Term Loan 9/18/2020, 12/31/2020 14,362

PGX Holdings, Inc.

3 unchanged sentences

Subordinated Structured Note 3/29/2018 5,125

Rosa Mexicano Revolving Line of Credit 3/27/2020 500

Rosa Mexicano First Lien Revolving Line of Credit 3/27/2020 500

R-V Industries, Inc.

First Lien Term Loan 3/4/2022 5,000

R-V Industries, Inc.

Common Stock 12/27/2016 1,854

2 unchanged sentences

SEOTownCenter, Inc.

Senior Secured Term Loan A 11/2/2018 3,000

First Lien 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

First Lien Term Loan B 11/2/2018 2,000

Shutterfly, LLC 2021 Refinancing First Lien Term Loan B 9/17/2021 3,969

Symphony CLO XV, Ltd.

6 unchanged sentences

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

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

Universal Turbine Parts, LLC First Lien Delayed Draw Term Loan 10/24/2019, 2/7/2020, 2/26/2020, 4/5/2021 3,216

First Lien 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 First Lien 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 First Lien Term Loan B 8/24/2017, 7/30/2021, 2/9/2022 27,975

Valley Electric Company, Inc.

1 unchanged sentence

Valley Electric Company, Inc.

Senior Secured Note 6/30/2014, 8/31/2018 5,129

First Lien Term Loan 6/30/2014, 8/31/2018, 3/28/2022 18,129

Vision Solutions, Inc.

2 unchanged sentences

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.

2 unchanged sentences

(in thousands, except share data)

Endnote Explanations as of December 31, 2021 (Unaudited) and June 30, 2021 (Continued)

Endnote Explanations as of March 31, 2022 (Unaudited) and June 30, 2021 (Continued)

Portfolio Company Investment Follow-On Acquisition Dates Follow-On Acquisitions

(Excluding initial investment cost)

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

(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.

7 unchanged sentences

(d/b/a Legere Pharmaceuticals).

(47) This investment represents a Level 2 security in the ASC 820 table as of December 31, 2021.

(47) This investment represents a Level 2 security in the ASC 820 table as of March 31, 2022.

See Notes 2 and 3 within the accompanying notes to consolidated financial statements for further discussion.

1 unchanged sentence

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.

As of March 31, 2022, $14,517 in aggregate principal remained outstanding.

We expect to receive additional distributions from remaining assets and legal claims against a third party.

6 unchanged sentences

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)

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)

(in thousands, except share and per share data)

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.

44 unchanged sentences

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.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

10 unchanged sentences

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.

As of March 31, 2022 and June 30, 2021, our qualifying assets as a percentage of total assets, stood at 79.22% and 76.31%, respectively.

Investment Transactions

33 unchanged sentences

government securities.

Political developments, including civil conflicts and war, sanctions or other measures by the United States or other governments, natural disasters, public health crises and other events outside of the Company's control can directly or indirectly have a material adverse impact on the Company and our portfolio companies.

Investment Valuation

8 unchanged sentences

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.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

1 unchanged sentence

(in thousands, except share and per share data)

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.

For most of our investments, market quotations are not available.

28 unchanged sentences

The main risk factors are default risk, prepayment risk, interest rate risk, downgrade risk, and credit spread risk.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

Valuation of Other Financial Assets and Financial Liabilities

2 unchanged sentences

See Note 8 for the disclosure of the fair value of our outstanding debt and the market observable inputs used in determining fair value.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

Convertible Notes

12 unchanged sentences

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.

As of March 31, 2022, 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.

15 unchanged sentences

See Note 10 for further discussion.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

Federal and State Income Taxes

4 unchanged sentences

Book and tax basis differences relating to stockholder dividends and distributions and other permanent book and tax differences are reclassified to paid-in capital.

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.

As of March 31, 2022, we do not expect to have any excise tax due for the 2022 calendar year.

Thus, we have not accrued any excise tax for this period.

9 unchanged sentences

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.

As of March 31, 2022, 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.

11 unchanged sentences

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 modifications to or exchanges of our Revolving Credit Facility, any unamortized deferred costs relating to

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

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.

2 unchanged sentences

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

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 and June 30, 2021, there are no prepaid expenses related to registration expenses and all amounts incurred have been expensed.

These prepaid expenses are charged to capital upon the receipt of proceeds from an equity offering or charged to expense if no offering is completed.

As of March 31, 2022 and June 30, 2021, there are no prepaid expenses related to registration expenses and all amounts incurred have been expensed.

Guarantees and Indemnification Agreements

8 unchanged sentences

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.

Diluted earnings per share gives effect to all dilutive potential common shares outstanding using the if-converted method for Preferred Stock.

Diluted earnings per share excludes all dilutive potential common shares if their effect is anti-dilutive.

Preferred Stock

In accordance with ASC 480-10-S99-3A, the Company’s Preferred Stock (as defined in “Note 9.

Equity Offerings, Offering Expenses, and Distributions”) has been classified in temporary equity on the Statement of Assets and Liabilities for the fiscal year ended June 30, 2022.

The Preferred Stock is recorded net of offering costs and issuance costs.

Unpaid dividend relating to the Preferred Stock are included in the preferred stock carrying value on the Statement of Assets and Liabilities .

Dividends declared on the Preferred Stock are included in preferred stock dividends on the Statement of Operations.

5.50% Preferred Stock issued prior to the issuance of our 5.35% Series A Preferred Stock has a carrying value on our Consolidated Statements of Assets and Liabilities equal to liquidation value per share.

Recent Accounting Pronouncements

3 unchanged sentences

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.

The Company did not utilize the optional expedients and exceptions provided by ASU 2020-04 during the three months ended March 31, 2022.

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):

3 unchanged sentences

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.

We do not expect this ASU to have a material impact on our consolidated financial statements and disclosures.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

2 unchanged sentences

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 March 31, 2022, we had investments in 127 long-term portfolio investments and CLOs, which had an amortized cost of $6,887,937 and a fair value of $7,429,931.

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

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 $1,844,869 and $781,138 during the nine months ended March 31, 2022 and March 31, 2021, respectively.

Debt repayments and considerations from sales of equity securities of approximately $952,621 and $673,329 were received during the nine months ended March 31, 2022 and March 31, 2021, respectively.

During the nine months ended March 31, 2022, we capitalized $61,030 of payment in kind interest on our statement of cash flows.

Of this amount, approximately $56,824 was accrued as interest income in the current period and the remaining $4,206 is included due to the timing of interest payment dates and resulting capitalization occurring in the current year.

During the nine months ended March 31, 2021, we capitalized $58,750 of payment in kind interest on our statement of cash flows.

Of this amount, approximately $53,729 was accrued as interest income in the current period and the remaining $5,021 is included due to the timing of interest payment dates and resulting capitalization occurring in the prior year.

The following table shows the composition of our investment portfolio as of March 31, 2022 and June 30, 2021:

March 31, 2022 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

First Lien Revolving Line of Credit $ 36,235 $ 36,214 $ 27,522 $ 27,503

First Lien Debt 3,629,580 3,561,170 3,166,861 3,128,845

1.5 Lien Debt — — 18,164 18,164

Second Lien Debt 1,480,241 1,373,240 1,047,653 959,311

Third Lien Debt — — 3,950 3,950

Unsecured Debt 7,200 5,719 7,200 3,715

Subordinated Structured Notes 1,016,280 728,833 1,090,175 756,109

6 unchanged sentences

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.

• First Lien Revolving Line of Credit includes our debt investments in first lien revolvers as well as our debt investments in delayed draw term loans.

• First Lien Debt includes our debt investments listed on the SOI such as first lien term loans and first lien bonds.

• 1.5 Lien Debt includes our debt investments listed on the SOI as 1.5 lien term loans.

• Second Lien Debt includes our debt investments listed on the SOI as second lien term loans.

• Third Lien Debt includes our debt investments listed on the SOI as third lien term loans

• Unsecured Debt includes our debt investments listed on the SOI as unsecured.

• 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:

The following table shows the fair value of our investments disaggregated into the three levels of the ASC 820 valuation hierarchy as of March 31, 2022:

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

First Lien Revolving Line of Credit $ — $ — $ 36,214 $ 36,214

First Lien Debt — 58,977 3,502,193 3,561,170

Second Lien Debt — — 1,373,240 1,373,240

Unsecured Debt — — 5,719 5,719

Subordinated Structured Notes — — 728,833 728,833

1 unchanged sentence

Total Investments $ — $ 58,977 $ 7,370,954 $ 7,429,931

$ — $ 52,982 $ 6,949,864 $ 7,002,846

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

3 unchanged sentences

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

First Lien Revolving Line of Credit $ — $ — $ 27,503 $ 27,503

First Lien Debt — 24,706 3,104,139 3,128,845

1.5 Lien Debt — — 18,164 18,164

Second Lien Debt — 15,188 944,123 959,311

Third Lien Debt — — 3,950 3,950

Unsecured Debt — — 3,715 3,715

Subordinated Structured Notes — — 756,109 756,109

1 unchanged sentence

Total Investments $ — $ 39,894 $ 6,161,884 $ 6,201,778

$ — $ 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:

The following tables show the aggregate changes in the fair value of our Level 3 investments during the nine months ended March 31, 2022:

Fair Value Measurements Using Unobservable Inputs (Level 3)

9 unchanged sentences

Repayments and sales of portfolio investments (334,929) (190,082) (385,223) (910,234)

Transfers out of Level 3(2) — — (9,600) (9,600)

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 March 31, 2022 $ 3,378,505 $ 417,652 $ 3,574,797 $ 7,370,954

First Lien Revolving Line of Credit First Lien Debt 1.5 Lien Debt Second Lien Debt Third Lien Debt Unsecured Debt Subordinated Structured Notes Equity Total

Fair value as of June 30, 2021 $ 27,503 $ 3,104,139 $ 18,164 $ 944,123 $ 3,950 $ 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

Net realized (losses) gains on investments — (385) — — — 10 (16,573) 5,294 (11,654)

Net change in unrealized (losses) gains (2) (26,884) — (13,597) — 2,004 46,619 400,472 408,612

Net realized and unrealized (losses) gains (2) (27,269) — (13,597) — 2,014 30,046 405,766 396,958

Purchases of portfolio investments 9,000 886,132 — 794,594 — — 9,518 17,166 1,716,410

3 unchanged sentences

Transfers within Level 3(1) — 38,748 — (69,893) — — — 31,145 —

Transfers out of Level 3(2) — (9,600) — — — — — — (9,600)

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

Fair value as of March 31, 2022 $ 36,214 $ 3,502,193 $ — $ 1,373,240 $ — $ 5,719 $ 728,833 $ 1,724,755 $ 7,370,954

(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.

During the three months ended December 31, 2021 one of our first lien notes transferred out of Level 2 to Level 3 because inputs to the valuation became unobservable.

During the three months ended March 31, 2022 one of our first lien notes transferred out of Level 3 to Level 2 because inputs to the valuation became observable.

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The following tables show the aggregate changes in the fair value of our Level 3 investments during the six months ended December 31, 2020:

The following tables show the aggregate changes in the fair value of our Level 3 investments during the nine months ended March 31, 2021:

Fair Value Measurements Using Unobservable Inputs (Level 3)

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Transfers out of Level 3(2) — — (35,665) (35,665)

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 March 31, 2021 $ 2,721,942 $ 299,985 $ 2,813,623 $ 5,835,550

First Lien Revolving Line of Credit First Lien Debt 1.5 Lien Debt Second Lien Revolving Line of Credit Second Lien Debt Third Lien Debt Unsecured Debt Subordinated Structured Notes Equity Total

Fair value as of June 30, 2020 $ 28,405 $ 2,422,523 $ 1,981 $ 8,539 $ 1,263,427 $ 3,990 $ 51,079 $ 708,961 $ 743,423 $ 5,232,328

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Transfers out of Level 3(2) — (32,795) — — (2,870) — — — — (35,665)

Fair Value as of December 31, 2020 $ 25,178 $ 2,626,794 $ 1,181,641 $ — $ 745,390 $ 1,023,725 $ 5,602,728

Fair value as of March 31, 2021 $ 27,183 $ 2,985,465 $ 17,522 $ — $ 859,843 $ 3,970 $ 5,295 $ 750,599 $ 1,185,673 $ 5,835,550

(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.

During the three months ended December 31, 2020 one of our first lien notes and one of our second lien notes transferred out of Level 3 to Level 2 because the inputs to the valuation became observable.

During the three months ended March 31, 2021 two of our first lien notes transferred out of Level 3 to Level 2 because the inputs to the valuation became observable.

For the nine months ended March 31, 2022 and March 31, 2021, the net change in unrealized gains (losses) on the investments that use Level 3 inputs was $407,396 and $400,225 for investments still held as of March 31, 2022 and March 31, 2021, 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.

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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

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

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vaccine produced by Johnson & Johnson is currently authorized for emergency use, and the U.S.

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.

Additionally, the 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.

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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.

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 March 31, 2022, 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.

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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 COVID-19 pandemic has adversely impacted the fair value of some of our investments as of March 31, 2022, 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.

As a result, our valuations at March 31, 2022 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.

Accordingly, we may incur net unrealized losses or may incur realized losses after March 31, 2022, which could have a material adverse effect on our business, financial condition and results of operations.

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The ranges of unobservable inputs used in the fair value measurement of our Level 3 investments as of December 31, 2021 were as follows:

The ranges of unobservable inputs used in the fair value measurement of our Level 3 investments as of March 31, 2022 were as follows:

Unobservable Input

Asset Category Fair Value Primary Valuation Approach or Technique Input Range Weighted

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%

First Lien Debt $ 1,656,095 Discounted cash flow (Yield analysis) Market yield 6.8% to 16.9% 10.8%

First Lien Debt 506,564 Enterprise value waterfall (Market approach) EBITDA multiple 5.5x to 11.0x 9.2x

First Lien Debt 134,728 Enterprise value waterfall (Market approach) Revenue multiple 0.5x to 1.3x 1.0x

First Lien Debt 53,209 Enterprise value waterfall (Discounted cash flow) Discount rate 7.7% to 9.7% 8.7%

First Lien Debt 12,199 Asset recovery analysis Recoverable amount n/a n/a

First Lien Debt (1) 29,080 Enterprise value waterfall Loss-adjusted discount rate 5.0% to 9.1% 7.8%

Projected loss rates 0.0% to 1.5% 0.0%

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

First Lien Debt (1) 140,800 Enterprise value waterfall Discount rate (3) 8.3% to 13.9% 10.4%

First Lien Debt (2) 423,186 Enterprise value waterfall (Market approach) Tangible book value multiple 1.4x to 3.5x 2.9x

Earnings multiple 4.8x to 6.8x 6.2x

Discount rate 12.2% to 13.2% 12.7%

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

First Lien Debt 20,260 Enterprise value waterfall (Market approach) Tangible book value multiple 1.3x to 1.5x 1.4x

First Lien Debt 562,286 Enterprise value waterfall (NAV analysis) Capitalization Rate 3.0% to 7.5% 4.3%

Second Lien Debt 1,320,499 Discounted cash flow (Yield analysis) Market yield 8.6% to 25.0% 11.6%

Second Lien Debt 46,457 Enterprise value waterfall (Market approach) Revenue multiple n/a n/a

EBITDA Multiple 0.8x to 9.5x 7.4x

Tangible book value multiple n/a n/a

Earnings multiple 4.8x to 5.8x 5.3x

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

Second Lien Debt 6,284 Asset recovery analysis Recoverable amount n/a n/a

Unsecured Debt 5,719 Enterprise value waterfall (Market approach) Revenue multiple 0.5x to 0.6x 0.5x

Subordinated Structured Notes 728,833 Discounted cash flow Discount rate (3) 5.3% to 27.4% 16.9%

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Preferred Equity 1,195 Enterprise value waterfall (Market approach) EBITDA multiple 4.0x to 5.0x 4.5x

Preferred Equity 14,750 Enterprise value waterfall (Market approach) Discount rate 7.7% to 9.7% 8.7%

Common Equity/Interests/Warrants 490,278 Enterprise value waterfall (Market approach) EBITDA multiple 1.8x to 11.0x 9.0x

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Asset Category Fair Value Primary Valuation Approach or Technique Input Range Weighted

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%

First Lien Debt $ 1,403,795 Discounted cash flow (Yield analysis) Market yield 4.4% to 19.5% 9.2%

First Lien Debt 436,000 Enterprise value waterfall (Market approach) EBITDA multiple 5.5x to 11.5x 9.7x

First Lien Debt 105,212 Enterprise value waterfall (Market approach) Revenue multiple 0.8x to 1.6x 1.3x

First Lien Debt 75,406 Enterprise value waterfall (Discounted cash flow) Discount rate 7.7% to 9.7% 8.7%

First Lien Debt 12,760 Asset recovery analysis Recoverable amount n/a n/a

First Lien 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

First Lien Debt (2) 90,200 Enterprise value waterfall Discount rate (3) 6.8% to 12.4% 9.2%

First Lien 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

First Lien Debt 20,260 Enterprise value waterfall (Market approach) Tangible book value multiple 1.2x to 1.4x 1.3x

First Lien Debt 656,701 Enterprise value waterfall (NAV analysis) Capitalization Rate 3.8% to 8.1% 5.9%

1.5 Lien Debt 18,164 Discounted cash flow (Yield analysis) Market yield 4.9% to 5.7% 5.3%

Second Lien Debt 869,050 Discounted cash flow (Yield analysis) Market yield 6.7% to 25.0% 10.2%

Second Lien 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

Second Lien Debt 6,936 Asset recovery analysis Recoverable amount n/a n/a

Third Lien Debt 3,950 Enterprise value waterfall (Market approach) Revenue multiple 0.4x to 0.5x 0.5x

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%

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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%

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Asset Category Fair Value Primary Valuation Approach or Technique Input Range Weighted

Common Equity/Interests/Warrants 14,524 Enterprise value waterfall (Discounted cash flow) Discount rate 7.7% to 30.0% 13.8%

Common Equity/Interests/Warrants 11,717 Asset recovery analysis Recoverable amount n/a n/a

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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

During the nine months ended March 31, 2022, the valuation methodology for Dunn Paper Holdings, Inc.

(“Dunn Paper”) changed to remove the yield analysis and incorporate the Current V alue Method (“CVM”) approach, given Dunn Paper’s current liquidity and declining performance.

As a result, the fair value of our investment in Dunn Paper decreased to $9,457 as of March 31, 2022, a discount of $1,997 to its amortized cost, compared to the unrealized discount of $82 recorded at June 30, 2021.

During the nine months ended March 31, 2022, the valuation methodology for First Brands Group LLC (“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 widened credit market spreads, the fair value of our investment in First Brands First Lien Term Loan decreased to $16,474 as of March 31, 2022, which is equal to its amortized cost, compared to the $153 unrealized appreciation recorded at June 30, 2021.

During the nine months ended March 31, 2022, the valuation methodology for Global Tel*Link Corporation (“GTL”) for the First Lien Term Loan changed to incorporate market quotes, which were more active in the current period.

As a result of a decrease in the quoted price of the First Lien Term Loan, the fair value of our investment in GTL First Lien Term Loan decreased to $9,596 as of March 31, 2022, a premium of $113 from its amortized cost, compared to the $289 unrealized appreciation recorded at June 30, 2021.

During the nine months ended March 31, 2022 , the valuation methodology for K&N Parent, Inc.

(“K&N”) for the Second Lien Term Loan changed to incorporate the CVM approach due to a decline in enterprise value.

As a result, our investment in K&N Second Lien Term Loan decreased to $18,001 as of March 31, 2022, a discount of $7,676 from its amortized cost, compared to the $272 unrealized appreciation recorded at June 30, 2021.

During the nine months ended March 31, 2022 , the valuation methodology for The Octave Music Group, Inc (“Octave”) changed to incorporate the expected repayment of our investment, which occurred on April 1, 2022.

As a result, the fair value of our investment in Octave decreased to $22,093 as of March 31, 2022, a premium of $236 from its amortized cost, compared to the $292 unrealized appreciation recorded at June 30, 2021.

During the nine months ended March 31, 2022 , the valuation methodology for Research Now Group, Inc (“Research Now”) for the First Lien Term Loan changed to remove the yield method due to increased trading activity and liquidity of market quotes.

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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.

As a result of widening market spreads and a decrease in market quotes, the fair value of our investment in Research Now First Lien Term Loan decreased to $9,479 as of March 31, 2022, a premium of $117 from its amortized cost, compared to the $267 unrealized appreciation recorded at June 30, 2021.

During the nine months ended March 31, 2022 , the valuation methodology for Securus Technologies (‘Securus”) for the Second Lien Term Loan changed to incorporate market quotes, which were more active in the current period.

As a result of credit spread tightening and decreased leverage, the fair value of our investment in Securus Second Lien Term Loan increased to $50,007 as of March 31, 2022, a discount of $565 from its amortized cost, compared to the $1,233 unrealized loss recorded at June 30, 2021.

During the nine months ended March 31, 2022, 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 $16,200 as of March 31, 2022, a premium of $144 to its amortized cost, compared to the $171 unrealized appreciation recorded at June 30, 2021.

During the nine months ended March 31, 2022, the valuation methodology 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 $163,165 as of March 31, 2022, 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 nine months ended March 31, 2022 , the valuation methodology for Universal Fiber Systems, LLC (“Universal Fiber”) changed to incorporate the expected repayment of our investment, which occurred on April 7, 2022.

As a result of the company’s performance, the fair value of our investment in Universal Fiber increased to $37,000, a premium of $53 from its amortized cost, compared to the $353 unrealized loss recorded at June 30, 2021.

During the nine months ended March 31, 2022, we received partial repayments of $289,882 of our loans previously outstanding with NPRC and provided $268,547 of debt financing and $11,620 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.

As of March 31, 2022, the outstanding investment in online consumer loans by certain of NPRC’s wholly-owned subsidiaries was comprised of 626 individual loans, residual interest in four securitizations, and one high yield corporate bond, and had an aggregate fair value of $40,279.

The average outstanding individual loan balance is approximately $4 and the loans mature on dates ranging from April 1, 2022 to April 19, 2025 with a weighted-average outstanding term of 14 months as of March 31, 2022.

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).

As of March 31, 2022, our investment in NPRC and its wholly-owned subsidiaries relating to online consumer lending had a fair value of $29,080.

As of March 31, 2022, based on outstanding principal balance, 24.1% of the portfolio was invested in super prime loans (borrowers with a Fair Isaac Corporation (“FICO”) score, of 720 or greater), 38.5% of the portfolio in prime loans (borrowers with a FICO score of 660 to 719) and 37.5% 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*

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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.

As of March 31, 2022, the outstanding investment in rated secured structured notes by certain of NPRC’s wholly owned subsidiaries was comprised of 58 investments with a fair value of $303,060 and face value of $315,813.

The average outstanding note is approximately $5,445 with an expected maturity date ranging from April 2026 to January 2032 and weighted-average expected maturity of 7 years as of March 31, 2022.

Coupons range from three-month LIBOR (“3ML”) plus

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

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5.31% to 9.45% with a weighted-average coupon of 3ML + 7.1%.

As of March 31, 2022, our investment in NPRC and its wholly-owned subsidiaries relating to rated secured structured notes had a fair value of $140,800.

As of March 31, 2022, based on outstanding notional balance, 17.8% of the portfolio was invested in Single - B rated tranches and 82.2% of the portfolio in BB rated tranches.

As of March 31, 2022, our investment in NPRC and its wholly owned subsidiaries had an amortized cost of $743,996 and a fair value of $1,528,576, including our investment in online consumer lending and rated secured structured notes as discussed above.

The fair value of $1,358,696 related to NPRC’s real estate portfolio was comprised of forty-seven 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 March 31, 2022.

Property Name City Acquisition Date Purchase Price Mortgage Outstanding

1 unchanged sentence

2 Arlington Park Marietta, LLC Marietta, GA 5/8/2013 14,850 13,494

3 Verandas at Rocky Ridge, LLC Birmingham, AL 11/15/2013 15,600 18,410

3 Taco Bell, OK Yukon, OK 6/4/2014 1,719 —

13 unchanged sentences

17 Vesper Campus Quarters, LLC Corpus Christi, TX 9/28/2016 18,350 14,077

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

Property Name City Acquisition Date Purchase Price Mortgage Outstanding

18 Vesper College Station, LLC College Station, TX 9/28/2016 41,500 31,837

22 unchanged sentences

41 Valora at Homewood Holdings LLC Homewood, AL 11/19/2020 81,250 63,844

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

Property Name City Acquisition Date Purchase Price Mortgage Outstanding

42 NPRC Fairburn LLC Fairburn, GA 12/14/2020 52,140 43,900

10 unchanged sentences

53 Orlando 442 Owner, LLC (West Vue Apartments) Orlando, FL 12/30/2021 97,500 73,000

54 NPRC Wolfchase LLC Memphis, TN 3/18/2022 82,100 60,000

55 NPRC Twin Oaks LLC Hattiesburg.

MS 3/18/2022 44,850 33,830

56 NPRC Lancaster LLC Birmingham, AL 3/18/2022 37,550 28,350

57 NPRC Rutland LLC Macon, GA 3/18/2022 29,750 22,500

58 Southport Owner LLC (Southport Crossing) Indianapolis, IN 3/29/2022 48,100 36,075

2,525,726 2,083,929

3 unchanged sentences

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.

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

On December 15, 2021, we received $176 of escrow proceeds related to Edmentum Holdings, realizing a gain of the same amount.

On January 18, 2022, we received proceeds for our investment in Sudbury Mill CLO Ltd.

We recorded a realized gain of $516 as a result of this transaction.

On January 21, 2022, we sold our investment in Brookside Mill CLO Ltd.

for proceeds of $6,443.

We recorded a realized loss of $7,683 as a result of this transaction.

On March 18, 2022, we sold our First Lien Term Loan for Dunn Paper, Inc.

for proceeds of $4,055.

We recorded a realized loss of $385 as a result of this transaction.

On March 29, 2022, we received a dividend distribution for our Common Stock in NMMB, Inc.

in the amount of $22,152.

We recorded a realized gain of $5,294 as a result of this transaction.

As of March 31, 2022, $4,245,990 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 March 31, 2022, $730,353 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 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 March 31, 2022 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 $30,200 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 March 31, 2022 and June 30, 2021, respectively.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

1 unchanged sentence

(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.

As of March 31, 2022 and June 30, 2021, we had $43,351 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 March 31, 2022 and June 30, 2021.

We have guaranteed $2,737 in standby letters of credit issued through a financial intermediary and $1,835 of equipment lease obligations on behalf of InterDent, Inc.

(“InterDent”) as of December 31, 2021.

(“InterDent”) as of March 31, 2022.

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 .

As of March 31, 2022, 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

4 unchanged sentences

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.

During the three months ended March 31, 2022, 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,

Three Months Ended March 31, Nine Months Ended March 31,

Summary Statement of Operations 2022 2021 2022 2021

22 unchanged sentences

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 lenders had extended commitments of $1,500,000 as of March 31, 2022.

The 2021 Facility includes an accordion feature which allows commitments to be increased up to $1,500,000 in the aggregate.

6 unchanged sentences

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.

As of March 31, 2022, we were in compliance with the applicable covenants.

Interest on borrowings under the 2021 Facility is one-month LIBOR plus 205 basis points.

1 unchanged sentence

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,

For the nine months ended March 31, 2022 and March 31, 2021, 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 March 31, Nine Months Ended March 31,

2022 2021 2022 2021

1 unchanged sentence

Average outstanding balance $737,280 $373,734 $546,080 $376,646

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.

As of March 31, 2022 and June 30, 2021, we had $730,410 and $640,853, respectively, available to us for borrowing under the Revolving Credit Facility, net of $699,440 and $356,937 outstanding borrowings as of the respective balance sheet dates.

As of March 31, 2022, the investments, including cash and cash equivalents, used as collateral for the Revolving Credit Facility had an aggregate fair value of $2,559,645, which represents 34.3% 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.

5 unchanged sentences

In connection with the origination and amendments of the Revolving Credit Facility, we incurred $18,746 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.

As of March 31, 2022, $11,504 remains to be amortized and is reflected as deferred financing costs on the Consolidated Statements of Assets and Liabilities.

During the three months ended March 31, 2022 and March 31, 2021, we recorded $6,452 and $4,509, respectively, of interest costs, unused fees and amortization of financing costs on the Revolving Credit Facility as interest expense.

During the nine months ended March 31, 2022 and March 31, 2021, we recorded $16,153 and $13,772, respectively, of interest costs, unused fees and amortization of financing costs on the Revolving Credit Facility as interest expense.

Convertible Notes

37 unchanged sentences

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.

As of March 31, 2022, the outstanding aggregate principal amount of the 2022 Notes is $60,501.

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.

8 unchanged sentences

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.

As of March 31, 2022, 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.

2 unchanged sentences

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

Conversion rate at March 31, 2022(1)(2) 100.2305 110.7420

Conversion price at March 31, 2022(2)(3) $ 9.98 $ 9.03

Last conversion price calculation date 4/11/2021 3/1/2022

2 unchanged sentences

(2) Represents conversion rate and conversion price, as applicable, taking into account certain de minimis adjustments that will be made on the conversion date.

(3) The conversion price will increase only if the current monthly dividends (per share) exceed the dividend threshold amount (per share).

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

1 unchanged sentence

(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.

10 unchanged sentences

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.

As of March 31, 2022, $1,643 of the original issue discount and $1,151 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 March 31, 2022 and March 31, 2021, we recorded $3,550 and $4,870, respectively, of interest costs and amortization of financing costs on the Convertible Notes as interest expense.

During the nine months ended March 31, 2022 and March 31, 2021, we recorded $11,333 and $17,905, respectively, of interest costs and amortization of financing costs on the Covertible Notes as interest expense.

On March 15, 2013, we issued $250,000 aggregate principal amount of unsecured notes that mature on March 15, 2023 (the “Original 2023 Notes”).

4 unchanged sentences

Total proceeds from the issuance of the Additional 2023 Notes, net of underwriting discounts, were $69,403.

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”).

1 unchanged sentence

The 2023 Notes November Tender Offer resulted in our recognizing a loss of $1,694 during the three months ended December 31, 2020.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

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”).

6 unchanged sentences

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.

As of March 31, 2022, the outstanding aggregate principal amount of the 2023 Notes is $284,219.

On December 10, 2015, we issued $160,000 aggregate principal amount of unsecured notes that mature on June 15, 2024 (the “2024 Notes”).

45 unchanged sentences

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.

As of March 31, 2022, the outstanding aggregate principal amount of the 6.375% 2024 Notes is $81,240.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

16 unchanged sentences

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.

As of March 31, 2022, the outstanding aggregate principal amount of the 2026 Notes is $400,000.

3.364% 2026 Notes

2 unchanged sentences

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.

As of March 31, 2022, the outstanding aggregate principal amount of the 3.364% 2026 Notes is $300,000.

3.437% 2028 Notes

2 unchanged sentences

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.

As of March 31, 2022, 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 $17,834, 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.

As of March 31, 2022, $11,854 of the original issue discount and $11,747 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 March 31, 2022 and March 31, 2021, we recorded $15,581 and $12,879, respectively, of interest costs and amortization of financing costs on the Public Notes as interest expense.

During the nine months ended March 31, 2022 and March 31, 2021, we recorded $46,336 and $38,441, respectively, of interest costs and amortization of financing costs on the Public Notes as interest expense.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

8 unchanged sentences

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.

We have, from time to time, repurchased certain notes issued through the InterNotes® Offerings and, therefore, as of March 31, 2022, $340,774 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.

1 unchanged sentence

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.

During the nine months ended March 31, 2022, we issued $155,909 aggregate principal amount of Prospect Capital InterNotes® for net proceeds of $152,441.

These notes were issued with stated interest rates ranging from 2.25% to 4.63% with a weighted average interest rate of 3.48%.

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:

These notes will mature between February 15, 2025 and March 15, 2052.

The following table summarizes the Prospect Capital InterNotes® issued during the nine months ended March 31, 2022:

(in years) Principal

2 unchanged sentences

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

3 $ 1,499 2.50% 2.50% February 15, 2025 – March 15, 2025

5 58,068 2.25% – 4.50% 3.26% July 15, 2026 – March 15, 2027

7 20,929 2.75% – 4.25% 3.02% July 15, 2028 – February 15, 2029

10 22,435 3.15% – 4.50% 3.38% July 15, 2031 – March 15, 2032

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

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.

15 15,041 3.50% – 4.50% 3.84% July 15, 2036 – February 15, 2037

30 35,515 4.00% – 4.63% 4.06% July 15, 2051 – March 15, 2052

During the nine months ended March 31, 2021, we issued $109,562 aggregate principal amount of our Prospect Capital InterNotes® for net proceeds of $107,830.

These notes were issued with stated interest rates ranging from 1.50% to 6.00% with a weighted average interest rate of 4.70%.

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:

These notes mature between Janaury 15, 2024 and April 15, 2031.

The following table summarizes the Prospect Capital InterNotes® issued during the nine months ended March 31, 2021:

(in years) Principal

2 unchanged sentences

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

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

3 $ 662 1.50 % 1.50% January 15, 2024

5 $ 62,567 3.00% – 5.50% 4.60% July 15, 2025 – April 15, 2026

7 16,921 3.25% – 5.75% 4.84% July 15, 2027 – April 15, 2028

10 29,412 3.50% – 6.00% 4.90% July 15, 2030 – April 15, 2031

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

1 unchanged sentence

(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%.

During the nine months ended March 31, 2022, we repaid $1,223 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 maturity debt with longer-term debt, we redeemed $322,623 aggregate principal amount of Prospect Capital InterNotes® at par with a weighted average interest rate of 5.45%.

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:

The net loss on the extinguishment of Prospect Capital InterNotes® in the nine months ended March 31, 2022 was $6,403.

The following table summarizes the Prospect Capital InterNotes® outstanding as of March 31, 2022:

(in years) Principal

2 unchanged sentences

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

3 $ 2,161 1.50% – 2.50% 2.19% January 15, 2024 – March 15, 2025

5 88,361 2.25% – 4.50% 3.17% January 15, 2026 – March 15, 2027

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

7 29,252 2.75% – 4.25% 3.17% January 15, 2028 – February 15, 2029

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

10 77,185 3.15% – 4.50% 3.85% August 15, 2029 – March 15, 2032

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

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.

15 15,041 3.50% – 4.50% 3.84% July 15, 2036 – February 15, 2037

18 3,085 4.50% – 5.00% 4.73% January 15, 2031 – April 15, 2031

20 1,597 5.75% 5.75% November 15, 2032

25 8,036 6.25% – 6.50% 6.37% November 15, 2038 – May 15, 2039

30 82,372 4.00% – 6.63% 5.29% November 15, 2042 – March 15, 2052

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

During the nine months ended March 31, 2021, we repaid $4,022 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 maturity debt with longer-term debt, we redeemed $112,489 aggregate principal amount of Prospect Capital InterNotes® at par with a weighted average interest rate of 5.45%.

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 net loss on the extinguishment of Prospect Capital InterNotes® in the nine months ended March 31, 2021 was $1,100.

The following table summarizes the Prospect Capital InterNotes® outstanding as of June 30, 2021:

15 unchanged sentences

30 97,608 5.50% – 6.75% 6.25% November 15, 2042 – October 15, 2043

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

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.

In connection with the issuance of Prospect Capital InterNotes ® , we incurred $25,485 of fees which are being amortized over the term of the notes, of which $7,196 remains to be amortized and is included as a reduction within Prospect Capital InterNotes ® on the Consolidated Statement of Assets and Liabilities as of March 31, 2022.

During the three months ended March 31, 2022 and March 31, 2021, we recorded $3,652 and $10,515, respectively, of interest costs and amortization of financing costs on the Prospect Capital InterNotes® as interest expense.

During the nine months ended March 31, 2022 and March 31, 2021, we recorded $13,130 and $30,431, respectively, of interest costs and amortization of financing costs on the Prospect Capital InterNotes® as interest expense.

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 March 31, 2022, our asset coverage ratio stood at 282.6% based on our outstanding senior securities representing indebtedness of $2,622,342 and our asset coverage ratio on our senior securities that are stock was 230.0%.

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.

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 March 31, 2022.

(All figures in this item are in thousands except per unit data)

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Credit Facility

Fiscal 2022 (as of December 31, 2021) $ 472,608 $ 14,731 — —

Fiscal 2022 (as of March 31, 2022) $ 699,440 $ 10,594 — —

Fiscal 2021 (as of June 30, 2021) 356,937 17,408 — —

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Fiscal 2018 (as of June 30, 2018) 37,000 155,503 — —

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

Fiscal 2017 (as of June 30, 2017) — — — —

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Fiscal 2012 (as of June 30, 2012) 100,000 3,277 — 996

Fiscal 2022 (as of December 31, 2021) $ 60,501 $ 2,906 — —

Fiscal 2022 (as of March 31, 2022) $ 60,501 $ 2,826 — —

Fiscal 2021 (as of June 30, 2021) 111,055 2,740 — —

4 unchanged sentences

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 2022 (as of March 31, 2022) $ 284,219 $ 2,826 — —

Fiscal 2021 (as of June 30, 2021) 284,219 2,740 — —

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(in thousands, except share and per share data)

Fiscal 2013 (as of June 30, 2013) 247,725 2,578 — —

2024 Notes(15)

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6.375% 2024 Notes(12)

Fiscal 2022 (as of December 31, 2021) $ 81,240 $ 2,906 — —

Fiscal 2022 (as of March 31, 2022) $ 81,240 $ 2,826 — —

Fiscal 2021 (as of June 30, 2021) 81,389 2,740 — —

1 unchanged sentence

Fiscal 2019 (as of June 30, 2019) 99,726 2,365 — —

Fiscal 2022 (as of December 31, 2021) $ 156,168 $ 2,906 — —

Fiscal 2022 (as of March 31, 2022) $ 156,168 $ 2,826 — —

Fiscal 2021 (as of June 30, 2021) 156,168 2,740 — —

1 unchanged sentence

Fiscal 2019 (as of June 30, 2019) 201,250 2,365 — —

Fiscal 2022 (as of December 31, 2021) $ 400,000 $ 2,906 — —

Fiscal 2022 (as of March 31, 2022) $ 400,000 $ 2,826 — —

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 2022 (as of March 31, 2022) $ 300,000 $ 2,826 — —

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 — —

Fiscal 2022 (as of March 31, 2022) $ 300,000 $ 2,826 — —

2028 Notes(16)

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Prospect Capital InterNotes®

Fiscal 2022 (as of December 31, 2021) $ 340,537 $ 2,906 — —

Fiscal 2022 (as of March 31, 2022) $ 340,774 $ 2,826 — —

Fiscal 2021 (as of June 30, 2021) 508,711 2,740 — —

8 unchanged sentences

Fiscal 2012 (as of June 30, 2012) 20,638 3,277 — —

Preferred Stock

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

1 unchanged sentence

(in thousands, except share and per share data)

Fiscal 2022 (as of December 31, 2021) $ 461,439 $ 2,437 — —

Preferred Stock

Fiscal 2022 (as of March 31, 2022) $ 599,035 $ 2,300 — —

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 2022 (as of March 31, 2022) $ 3,221,377 $ 2,300 — —

Fiscal 2021 (as of June 30, 2021) 2,404,689 2,584 — —

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(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.

(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 $43,351 as of March 31, 2022 as Senior Securities for purposes of Section 18 of the 1940 Act, our asset coverage per unit would be $2,270.

(14) We repaid the outstanding principal amount of the 2020 Notes on April 15, 2020.

5 unchanged sentences

(in thousands, except share and per share data)

The following table shows our outstanding debt as of December 31, 2021.

The following table shows our outstanding debt as of March 31, 2022:

Principal Outstanding Unamortized Discount & Debt Issuance Costs Net Carrying Value Fair Value(1) Effective Interest Rate

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(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.

The fair value of these debt obligations are categorized as Level 2 under ASC 820 as of March 31, 2022.

(2) The maximum draw amount of the Revolving Credit facility as of March 31, 2022 is $1,500,000.

(3) Net Carrying Value excludes deferred financing costs associated with the Revolving Credit Facility.

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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:

The following table shows the contractual maturities of our Revolving Credit Facility, Convertible Notes, Public Notes and Prospect Capital InterNotes® as of March 31, 2022:

Payments Due by Period

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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.

Stock Repurchase Program, Equity Offerings, Offering Expenses, and Distributions

Equity Offerings, Offering Expenses, and Distributions

On February 13, 2020, we filed a registration statement on Form N-2 (File No.

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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”).

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, and amended on February 18, 2022, 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 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 AA1 Preferred Stock (the “Series AA1 Preferred Stock”) and the 5.50% Series MM1 Preferred Stock (the “Series MM1 Preferred Stock” and together with the Series M1 Preferred Stock and the Series M2 Preferred Stock, the “Series M Preferred Stock”).

In connection with such offering, on October 30, 2020 and February 17, 2022, we filed Articles Supplementary with the SDAT, reclassifying and designating an additional 40,000,000 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, Series AA1 Preferred Stock, and Series MM1 Preferred Stock, the “5.50% Preferred Stock”).

The issuance of the Series A2 Preferred Stock settled on May 26, 2021.

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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

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

1 unchanged sentence

(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.

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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

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

1 unchanged sentence

(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.

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 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.

12 unchanged sentences

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:

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

1 unchanged sentence

(in thousands, except share and per share data)

“Change of Control Triggering Event” means the occurrence of any of the following:

• 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);

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“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.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

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(in thousands, except share and per share data)

of such person, other than shares, interests, participations or other equivalents having such power only by reason of the occurrence of a contingency.

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.

During the nine months ended March 31, 2022, we issued 11,230,210 shares of our Series A1 Preferred Stock for net proceeds of $253,786, 1,251,361 shares of our Series M1 Preferred Stock for net proceeds of $30,372, 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:

During the nine months ended March 31, 2022 and March 31, 2021, we distributed approximately $11,078 and $446, respectively, to our 5.50% Preferred Stock holders.

During the nine months ended March 31, 2022, we distributed approximately $4,302 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 nine months ended March 31, 2022 and March 31, 2021, are summarized in the following table:

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

Declaration Date Record Date Payment Date Amount ($ per share), before pro ration for partial periods Amount Distributed

2 unchanged sentences

12/4/2020 12/21/2020 1/4/2021 0.114583 33

Distributions for the six months ended December 31, 2020 $ 46

12/4/2020 1/20/2021 2/1/2021 0.114583 75

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2/9/2021 3/17/2021 4/1/2021 0.114583 228

Distributions for the nine months ended March 31, 2021 $ 446

5/7/2021 7/21/2021 8/2/2021 $ 0.114583 $ 680

1 unchanged sentence

8/24/2021 9/15/2021 10/1/2021 0.114583 941

Distributions for the six months ended December 31, 2021 $ 5,954

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

11/5/2021 1/19/2022 2/1/2022 0.114583 1,498

11/5/2021 2/16/2022 3/1/2022 0.114583 1,688

2/7/2022 3/23/2022 4/1/2022 0.114583 1,938

Distributions for the nine months ended March 31, 2022 $ 11,078

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.

11/5/2021 1/19/2022 2/1/2022 0.334375 2,006

Distributions for the nine months ended March 31, 2022 $ 4,302

The above table includes dividends paid during the nine months ended March 31, 2022.

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

The following dividends were previously declared and will be recorded and paid subsequent to March 31, 2022:

• $0.114583 per share (before pro ration for partial period holders of record) for 5.50% Preferred Stock holders of record on April 20, 2022 with a payment date of May 2, 2022

• $0.114583 per share (before pro ration for partial period holders of record) for 5.50% Preferred Stock holders of record on May 18, 2022 with a payment date of June 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 April 20, 2022 with a payment date of May 2, 2022

As of March 31, 2022, we have accrued approximately $30 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 nine months ended March 31, 2022, we issued 8,428 shares of our Series A1 Preferred Stock and 176 shares of our Series M1 Preferred Stock, in connection with the Preferred Stock Dividend Reinvestment Plan.

During the nine months ended March 31, 2022, 10,350 shares of our Series A1 Preferred Stock were converted to 29,749 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.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

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(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.

The following table shows our outstanding Preferred Stock as of March 31, 2022.

Series Shares Outstanding Liquidation Value

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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.

Our common stockholders’ equity accounts as of December 31, 2021 and June 30, 2021 reflect cumulative shares issued as of those respective dates.

The carrying value is inclusive of cumulative accrued and unpaid dividends as of March 31, 2022.

Our common stockholders’ equity accounts as of March 31, 2022 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.

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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.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

We did not repurchase any shares of our common stock under the Repurchase Program for the nine months ended March 31, 2022 and March 31, 2021.

As of March 31, 2022, the approximate dollar value of shares that may yet be purchased under the Repurchase Program is $65,860.

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.

Excluding common stock dividend reinvestments and shares issued in connection with the 5.50% Preferred Stock Holder Optional Conversion, during the nine months ended March 31, 2022 and March 31, 2021, 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.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

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.

On March 14, 2022, we filed a notice of meeting and the definitive proxy statement in connection with a special meeting of our stockholders that is scheduled to be held on June 10, 2022 for the purpose of asking our stockholders to vote on a proposal to authorize us, with approval of our Board of Directors, to sell shares of our common stock at a price or prices below our then current net asset value per share in one or more offerings during the next 12 months following such approval, subject to certain conditions.

During the nine months ended March 31, 2022 and March 31, 2021, we distributed approximately $210,722 and $206,288, respectively, to our common stockholders.

The following table summarizes our distributions to common stockholders declared and payable for the nine months ended March 31, 2021 and March 31, 2021.

Declaration Date Record Date Payment Date Amount Per Share Amount Distributed (in thousands)

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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

11/6/2020 1/29/2021 2/18/2021 0.06 23,140

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2/9/2021 3/31/2021 4/22/2021 0.06 23,244

Total declared and payable for the nine months ended March 31, 2021 $ 206,288

5/7/2021 7/28/2021 8/19/2021 $ 0.06 $ 23,325

1 unchanged sentence

8/24/2021 9/28/2021 10/21/2021 0.06 23,370

Total declared and payable for the six months ended December 31, 2021 $ 140,283

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

11/5/2021 1/27/2022 2/17/2022 0.06 23,457

2/7/2022 2/24/2022 3/22/2022 0.06 23,479

2/7/2022 3/29/2022 4/20/2022 0.06 23,503

Total declared and payable for the nine months ended March 31, 2022 $ 210,722

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.

As such, the table above includes distributions with record dates during nine months ended March 31, 2022 and March 31, 2021.

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

The following dividends were previously declared and will be recorded and payable subsequent to March 31, 2022:

• $0.06 per share for April 2022 holders of record on April 27, 2022 with a payment date of May 19, 2022

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

1 unchanged sentence

(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.

During the nine months ended March 31, 2022 and March 31, 2021, we issued 3,268,814 and 13,852,073 shares of our common stock, respectively, in connection with the common stock dividend reinvestment plan.

During the nine months ended March 31, 2022, Prospect officers and directors purchased 73,939 shares of our common stock, or 0.02% of total outstanding shares as of March 31, 2022, through shares issued in connection with our common stock dividend reinvestment plan.

As of March 31, 2022, 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.

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,

The following table shows income from such sources during the three and nine months ended March 31, 2022 and March 31, 2021.

Three Months Ended March 31, Nine Months Ended March 31,

2022 2021 2022 2021

8 unchanged sentences

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

During the nine months ended March 31, 2022 and March 31, 2021, 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 nine months ended March 31, 2022 and March 31, 2021:

For the three months ended March 31, 2022 For the Nine Months Ended March 31, 2022

Basic Diluted Basic Diluted

2 unchanged sentences

Earnings per share $ 0.40 $ 0.38 $ 1.57 $ 1.50

For the Three Months Ended December 31, 2020 For the Six Months Ended December 31, 2020

For the Three Months Ended March 31, 2021 For the Nine Months Ended March 31, 2021

Basic Diluted Basic Diluted

8 unchanged sentences

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:

The tax character of dividends paid to common stockholders during the tax years ended August 31, 2021, 2020, and 2019 were as follows:

Tax Year Ended August 31,

3 unchanged sentences

Return of capital 25,784 96,720 —

Total dividends paid to stockholders $ 279,346 (1) $ 265,761 $ 263,773

Total dividends paid to common stockholders $ 276,955 (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.

The Company began issuing shares of Preferred Stock and declaring dividends on shares Preferred Stock outstanding during the tax year ended August 31, 2021.

The tax character of dividends paid to preferred stockholders during the tax year ended August 31, 2021 were as follows:

Tax Year Ended August 31, 2021

Ordinary income $ 2,391

Capital gain —

Return of capital —

Total dividends paid to preferred stockholders $ 2,391 (2)

(2) 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 25, 2021 when our prior Form 10-K was filed for the year ended June 30, 2021, we estimated our distributions for the fiscal year then ended to be $265,593 of distributions of ordinary income and $12,263 of our distributions to be return of capital.

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, 2021, which resulted in changes to distributions previously disclosed in our Form 10-K filing.

8 unchanged sentences

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.

For the 2022 calendar year, 48.13% of our taxable dividends as of March 31, 2022 qualified as interest related dividends which are exempt from U.S.

withholding tax applicable to non-U.S.

4 unchanged sentences

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.

For the 2022 calendar year 69.16% of our taxable ordinary dividends as of March 31, 2022 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.

For the tax year ending August 31, 2022, the tax character of dividends paid to stockholders through March 31, 2022 is expected to be ordinary income and capital gains however due to the difference between our fiscal and tax year ends, the final

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

1 unchanged sentence

(in thousands, except share and per share data)

determination of the tax character of dividends between ordinary income and capital gains will not be made until we file our tax return for the tax year ending August 31, 2022.

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.

15 unchanged sentences

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 March 31, 2022, the cost basis of investments for tax purposes was $6,902,743 resulting in an estimated net unrealized gain of $527,188.

As of March 31, 2022, the gross unrealized gains and losses were $1,595,303 and $1,068,115, 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.

Due to the difference between our fiscal year end and tax year end, the cost basis of our investments for tax purposes as of March 31, 2022 and June 30, 2021 was calculated based on the book cost of investments as of March 31, 2022 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.

8 unchanged sentences

(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

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

1 unchanged sentence

(in thousands, except share and per share data)

receives a fee from us, consisting of two components:

For providing these services the Investment Adviser receives a fee from us, consisting of two components:

a base management fee and an incentive fee.

2 unchanged sentences

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 total gross base management fee incurred to the favor of the Investment Adviser was $36,426 and $29,183 during the three months ended March 31, 2022 and March 31, 2021, respectively.

The total gross base management fee incurred to the favor of the Investment Advisor was $102,472 and $83,866 during the nine months ended March 31, 2022 and March 31, 2021, respectively.

The incentive fee has two parts.

10 unchanged sentences

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.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

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.

6 unchanged sentences

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.

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.

The total income incentive fee incurred was $19,967 and $18,251 during the three months ended March 31, 2022 and March 31, 2021, respectively.

The fees incurred for the nine months ended March 31, 2022 and March 31, 2021 were $59,296 and $53,354, respectively.No capital gains incentive fee was incurred during the nine months ended March 31, 2022 and March 31, 2021.

Income incentive fee for the nine months ended March 31, 2021 includes a $264 adjustment for fees earned in prior periods that were neither expensed nor paid to the Investment Adviser.

Administration Agreement

9 unchanged sentences

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.

The allocation of net overhead expense from Prospect Administration was $4,126 and $2,685 for the three months ended March 31, 2022 and March 31, 2021, respectively.

The allocation of net overhead expense from Prospect Administration was $10,891 and $10,768 for the nine months ended March 31, 2022 and March 31, 2021, respectively.Prospect Administration received estimated payments of $5,391 and $1,038 directly from our portfolio companies, and certain funds managed by the Investment Adviser for legal services during the nine

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

1 unchanged sentence

(in thousands, except share and per share data)

months ended March 31, 2022 and March 31, 2021, respectively.

In addition, we were given a credit in the amount of $3,522 for legal expenses incurred on behalf of our portfolio companies that were remitted to Prospect Administration during the three months ended March 31, 2021.

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.

Managerial Assistance

16 unchanged sentences

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.

During the three months ended March 31, 2022 and March 31, 2021, we received payments of $2,276 and $1,835, respectively, from our portfolio companies for managerial assistance and subsequently remitted these amounts to Prospect Administration.

During the nine months ended March 31, 2022 and March 31, 2021, we received payments of $5,946 and $5,655, respectively, from our portfolio companies for managerial assistance and subsequently remitted these amounts to Prospect Administration.

Co-Investments

7 unchanged sentences

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.

During the three months ended March 31, 2022 and March 31, 2021, we recognized expenses that were reimbursed for valuation services of $28 and

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

1 unchanged sentence

(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.

$32, respectively.

During the nine months ended March 31, 2022 and March 31, 2021, we recognized expenses that were reimbursed for valuation services of $88 and $95, 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.

Transactions with Controlled Companies

12 unchanged sentences

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.

(“Spartan Holdings”), which owns 100% of Spartan Energy Services, LLC (“Spartan”) a portfolio company of Prospect with $26,258 in first lien term loans (the “Spartan Term Loans”) due to us as of March 31, 2022.

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.

4 unchanged sentences

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

CP Energy acquired 100% of our equity investment in Wolf Energy, which is reflected in our valuation of the CP Energy common stock beginning December 31, 2019.

Three Months Ended Nine Months Ended

March 31, 2022 March 31, 2021 March 31, 2022 March 31, 2021

Interest Income

7 unchanged sentences

Realized Gain $ — $ — $ — $ 2,832

Three Months Ended Six Months Ended

December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020

Three Months Ended Nine Months Ended

March 31, 2022 March 31, 2021 March 31, 2022 March 31, 2021

Additions $ 9,681 $ — $ 9,681 $ 26,193

8 unchanged sentences

(in thousands, except share and per share data)

December 31, 2021 June 30, 2021

March 31, 2022 June 30, 2021

Interest Receivable (1)

10 unchanged sentences

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

Three Months Ended Nine Months Ended

March 31, 2022 March 31, 2021 March 31, 2022 March 31, 2021

Interest Income $ 3,781 $ 3,650 $ 11,182 $ 10,569

5 unchanged sentences

(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

Three Months Ended Nine Months Ended

March 31, 2022 March 31, 2021 March 31, 2022 March 31, 2021

Accreted Original Issue Discount $ 155 $ 115 $ 439 $ 325

Interest Income Capitalized as PIK 3,007 2,338 6,564 9,044

December 31, 2021 June 30, 2021

Repayment of Loan Receivable — 3,765 — 3,765

March 31, 2022 June 30, 2021

Interest Receivable (3)

2 unchanged sentences

(4) Represents amounts due from Credit Central to Prospect for reimbursement of expenses paid by Prospect on behalf of Credit Central.

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

Echelon Transportation LLC (f/k/a Echelon Aviation LLC)

1 unchanged sentence

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

During the nine months ended March 31, 2022, Prospect restructured Echelon’s $32,843 First Lien Term Loan into preferred units.

Three Months Ended Nine Months Ended

March 31, 2022 March 31, 2021 March 31, 2022 March 31, 2021

Interest Income $ 1,431 $ 2,470 $ 6,888 $ 7,212

Managerial Assistance (1)

63 63 188 125

Reimbursement of Legal, Tax, etc.

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.

MA payments were paid from Echelon 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

Three Months Ended Nine Months Ended

March 31, 2022 March 31, 2021 March 31, 2022 March 31, 2021

Additions (3)

1 unchanged sentence

Interest Income Capitalized as PIK 5,542 4,745 10,646 9,070

(3) During the six months ended December 31, 2020, Prospect made a follow-on $525 first lien senior secured debt.

December 31, 2021 June 30, 2021

(3) During the nine months ended March 31, 2021, Prospect made a follow-on $865 first lien term loan debt.

March 31, 2022 June 30, 2021

Interest Receivable (4)

20 unchanged sentences

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 Delaware owns 80.03% of First Tower Finance Company LLC (f/k/a First Tower Holdings

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

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

Three Months Ended Nine Months Ended

March 31, 2022 March 31, 2021 March 31, 2022 March 31, 2021

Interest Income $ 18,180 $ 14,970 $ 54,959 $ 45,752

5 unchanged sentences

MA payments were paid from First Tower to Prospect and subsequently remitted to PA.

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

Three Months Ended Nine Months Ended

March 31, 2022 March 31, 2021 March 31, 2022 March 31, 2021

Additions $ 22,123 $ — $ 22,123 $ —

Interest Income Capitalized as PIK 5,554 463 12,804 463

Repayment of Loan Receivable 9,992 — 11,151 4,899

December 31, 2021 June 30, 2021

March 31, 2022 June 30, 2021

Interest Receivable (2)

6 unchanged sentences

Freedom Marine owns 100% of each of Vessel, Vessel II, and Vessel III.

December 31, 2021 June 30, 2021

March 31, 2022 June 30, 2021

Other Receivables $ 4 $ 1

3 unchanged sentences

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.

Effective September 30, 2020, we restructured our investment in InterDent whereby we contributed 100% of the outstanding aggregate principal amount of our First Lien Term Loan C and First Lien 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

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

Three Months Ended Nine Months Ended

March 31, 2022 March 31, 2021 March 31, 2022 March 31, 2021

Interest Income $ 6,604 $ 5,784 $ 19,537 $ 16,507

Structuring Fee

$ 200 $ — $ 200 $ —

Total Other Income $ 200 $ — $ 200 $ —

Managerial Assistance (1)

Reimbursement of Legal, Tax, etc.

$ 366 $ — $ 731 $ —

Reimbursement of Legal, Tax, etc.

(1) No income recognized by Prospect.

1 unchanged sentence

(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

Three Months Ended Nine Months Ended

March 31, 2022 March 31, 2021 March 31, 2022 March 31, 2021

$ 10,000 $ — $ 17,778 $ —

1 unchanged sentence

Repayment of Loan Receivable — — 246 —

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

December 31, 2021 June 30, 2021

March 31, 2022 June 30, 2021

Interest Receivable (3)

5 unchanged sentences

Kickapoo is a luxury pet boarding facility.

December 31, 2021 June 30, 2021

Other Receivables (1)

(1) Represents amounts due from Kickapoo to Prospect for reimbursement of expenses paid by Prospect on behalf of Kickapoo .

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.

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

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

(in thousands, except share and per share data)

December 31, 2021 June 30, 2021

Interest Receivable (3)

Other Receivables (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 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.

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

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.

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).

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

December 31, 2021 June 30, 2021

Interest Receivable (3)

Other Receivables (4)

(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.

(1) All dividends were paid from earnings and profits of Nationwide.

(2) No income recognized by Prospect.

March 31, 2022 June 30, 2021

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements