|                                                   |
|---------------------------------------------------|
|                                                   |  |
| ý                                            | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
| For the quarterly period ended September 30, 2020 |
| OR                                                |
| o                                                 | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |

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|--------------------------------------------------------------------|
|                                                                    |  |
| Maryland                                                           | 43-2048643 |
| (State or other jurisdiction of incorporation or organization)     | (I.R.S. Employer Identification No.) |
| 10 East 40th Street, 42nd Floor                                    |   |
| New York, New York                                                 | 10016 |
| (Address of principal executive offices)                           | (Zip Code) |
| Registrant's telephone number, including area code: (212) 448-0702 |

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|                                      |
|--------------------------------------|
|                                      |  |  |
| Title of each class                  | Trading symbols | Name of each exchange on which registered |
| Common Stock, $0.001 par value       | PSEC | NASDAQ Global Select Market |
| 6.25% Notes due 2024, par value $25  | PBB | New York Stock Exchange |
| 6.25% Notes due 2028, par value $25  | PBY | New York Stock Exchange |
| 6.875% Notes due 2029, par value $25 | PBC | New York Stock Exchange |

|                                                     |
|-----------------------------------------------------|
|                                                     |  |  |
| Large accelerated filer ý                 |   | Accelerated filer o |
| Non-accelerated filer o                        |   | Smaller reporting company o |
|                                                |   | Emerging growth company o |
|  (Do not check if a smaller reporting company) |

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|          |
|----------|
|          |  |  |
|     |   | Page |
|     | Forward-Looking Statements | 3 |
| PART I   | FINANCIAL INFORMATION |   |
| Item 1.  | Financial Statements |   |
|     | Consolidated Statements of Assets and Liabilities as of September 30, 2020 (unaudited) and June 30, 2020 | 4 |
|     | Consolidated Statements of Operations for the three months ended September 30, 2020 and September 30, 2019 (unaudited) | 5 |
|     | Consolidated Statements of Changes in Net Assets for the three months ended September 30, 2020 and September 30, 2019 (unaudited) | 6 |
|     | Consolidated Statements of Cash Flows for the three months ended September 30, 2020 and September 30, 2019 (unaudited) | 7 |
|     | Consolidated Schedules of Investments as of September 30, 2020 (unaudited) and June 30, 2020 | 8 |
|     | Notes to Consolidated Financial Statements | 48 |
| Item 2.  | Management’s Discussion and Analysis of Financial Condition and Results of Operations | 104 |
| Item 3.  | Quantitative and Qualitative Disclosures About Market Risk | 137 |
| Item 4.  | Controls and Procedures | 139 |
| PART II  | OTHER INFORMATION |   |
| Item 1.  | Legal Proceedings | 140 |
| Item 1A. | Risk Factors | 140 |
| Item 2.  | Unregistered Sales of Equity Securities and Use of Proceeds | 144 |
| Item 3.  | Defaults Upon Senior Securities | 144 |
| Item 4.  | Mine Safety Disclosures | 144 |
| Item 5.  | Other Information | 145 |
| Item 6.  | Exhibits | 148 |
|     | Signatures |   |

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|         |                               |
|---------|-------------------------------|
| • | our future operating results; |
|         |                                                                      |
|---------|----------------------------------------------------------------------|
| • | our business prospects and the prospects of our portfolio companies; |
|         |                                                   |
|---------|---------------------------------------------------|
| • | the impact of investments that we expect to make; |
|         |                                                                    |
|---------|--------------------------------------------------------------------|
| • | our contractual arrangements and relationships with third parties; |
|         |                                                                                                                  |
|---------|------------------------------------------------------------------------------------------------------------------|
| • | the dependence of our future success on the general economy and its impact on the industries in which we invest; |
|         |                                                                                                                                                                                                                                 |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | the impact of global health epidemics, including, but not limited to, the recent and ongoing novel coronavirus (“Wuhan Virus”) pandemic, on our and our portfolio companies’ business and the global economy; |
|         |                                                                                          |
|---------|------------------------------------------------------------------------------------------|
| • | uncertainty surrounding the financial stability of the United States, Europe, and China; |
|         |                                                                     |
|---------|---------------------------------------------------------------------|
| • | the ability of our portfolio companies to achieve their objectives; |
|         |                                                                                                                                                                                                                                              |
|---------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | difficulty in obtaining financing or raising capital, especially in the current credit and equity environment, and the impact of a protracted decline in the liquidity of credit markets on our and our portfolio companies’ business; |
|         |                                                                                                                                   |
|---------|-----------------------------------------------------------------------------------------------------------------------------------|
| • | the level and volatility of prevailing interest rates and credit spreads, magnified by the current turmoil in the credit markets; |
|         |                                                                                                        |
|---------|--------------------------------------------------------------------------------------------------------|
| • | the impact of changes in London Interbank Offered Rate (“LIBOR”) on our operating results; |
|         |                                                                                                                                                       |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | adverse developments in the availability of desirable loan and investment opportunities whether they are due to competition, regulation or otherwise; |
|         |                                                                                                                                  |
|---------|----------------------------------------------------------------------------------------------------------------------------------|
| • | a compression of the yield on our investments and the cost of our liabilities, as well as the level of leverage available to us; |
|         |                                                                                                                                                    |
|---------|----------------------------------------------------------------------------------------------------------------------------------------------------|
| • | our regulatory structure and tax treatment, including our ability to operate as a business development company and a regulated investment company; |
|         |                                                         |
|---------|---------------------------------------------------------|
| • | the adequacy of our cash resources and working capital; |
|         |                                                                                   |
|---------|-----------------------------------------------------------------------------------|
| • | the timing of cash flows, if any, from the operations of our portfolio companies; |
|         |                                                                                                                                |
|---------|--------------------------------------------------------------------------------------------------------------------------------|
| • | the ability of the Investment Adviser to locate suitable investments for us and to monitor and administer our investments; and |
|         |                                                                                                                                                                                                                                                                                                                                                                                                 |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | authoritative generally accepted accounting principles or policy changes from such standard-setting bodies as the Financial Accounting Standards Board, the Securities and Exchange Commission, Internal Revenue Service, the NASDAQ Global Select Market, and other authorities that we are subject to, as well as their counterparts in any foreign jurisdictions where we might do business. |

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|                                                                                                                                                              |
|--------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                              |  |  |  |  |  |  |  |
|                                                                                                                                                         | September 30, 2020 |   | June 30, 2020 |
|                                                                                                                                                         |   |
|                                                                                                                                                         | (Unaudited) |   | (Audited) |
| Assets                                                                                                                                                       |   |   |   |  |
| Investments at fair value:                                                                                                                                   |   |  |   |   |  |
| Control investments (amortized cost of $2,321,471 and $2,286,725, respectively)                                                                              | $ | 2,307,572 |  |   | $ | 2,259,292 |  |
| Affiliate investments (amortized cost of $171,649 and $163,484, respectively)                                                                                | 262,175 |  |   | 187,537 |  |
| Non-control/non-affiliate investments (amortized cost of $3,335,811 and $3,332,509, respectively)                                                            | 2,816,638 |  |   | 2,785,499 |  |
| Total investments at fair value (amortized cost of $5,828,931 and $5,782,718, respectively)                                                                  | 5,386,385 |  |   | 5,232,328 |  |
| Cash                                                                                                                                                         | 28,303 |  |   | 44,561 |  |
| Receivables for:                                                                                                                                             |   |   |   |
| Interest, net                                                                                                                                                | 11,011 |  |   | 11,712 |  |
| Other                                                                                                                                                        | 938 |  |   | 106 |  |
| Deferred financing costs on Revolving Credit Facility (Note 4)                                                                                               | 8,596 |  |   | 9,145 |  |
| Due from broker                                                                                                                                              | 1,892 |  |   | 1,063 |  |
| Prepaid expenses                                                                                                                                             | 907 |  |   | 1,248 |  |
| Due from Affiliate (Note 13)                                                                                                                                 | 38 |  |   | — |  |
| Total Assets                                                                                                                                            | 5,438,070 |  |   | 5,300,163 |  |
| Liabilities                                                                                                                                             |   |  |   |   |  |
| Revolving Credit Facility (Notes 4 and 8)                                                                                                                    | 250,993 |  |   | 237,536 |  |
| Public Notes (less unamortized discount and debt issuance costs of $11,011 and $11,613,  respectively) (Notes 6 and 8)                             | 782,708 |  |   | 782,106 |  |
| Prospect Capital InterNotes® (less unamortized debt issuance costs of $12,959 and $12,802,     respectively) (Notes 7 and 8)                       | 705,362 |  |   | 667,427 |  |
| Convertible Notes (less unamortized debt issuance costs of $7,899 and $8,892, respectively) (Notes 5 and 8)                                                  | 422,171 |  |   | 450,598 |  |
| Due to Prospect Capital Management (Note 13)                                                                                                                 | 41,232 |  |   | 42,481 |  |
| Interest payable                                                                                                                                             | 17,374 |  |   | 29,066 |  |
| Dividends payable                                                                                                                                            | 22,727 |  |   | 22,412 |  |
| Accrued expenses                                                                                                                                             | 5,654 |  |   | 3,648 |  |
| Due to Prospect Administration (Note 13)                                                                                                                     | 8,164 |  |   | 7,000 |  |
| Due to broker                                                                                                                                                | — |  |   | 1 |  |
| Other liabilities                                                                                                                                            | 658 |  |   | 2,027 |  |
| Total Liabilities                                                                                                                                       | 2,257,043 |  |   | 2,244,302 |  |
| Commitments and Contingencies (Note 3)                                                                                                                       |  |  |   |   |
| Net Assets                                                                                                                                              | $ | 3,181,027 |  |   | $ | 3,055,861 |  |
|                                                                                                                                                         |   |   |   |
| Components of Net Assets                                                                                                                                |   |  |   |   |  |
| Common stock, par value $0.001 per share (1,880,000,000 common shares authorized; 378,776,958 and 373,538,499 issued and outstanding, respectively) (Note 9) | $ | 379 |  |   | $ | 374 |  |
| Paid-in capital in excess of par (Note 9)                                                                                                                    | 4,096,150 |  |   | 4,070,874 |  |
| Total distributable loss                                                                                                                                     | (915,502 | ) |   | (1,015,387 | ) |
| Net Assets                                                                                                                                              | $ | 3,181,027 |  |   | $ | 3,055,861 |  |
| Net Asset Value Per Share (Note 16)                                                                                                                     | $ | 8.40 |  |   | $ | 8.18 |  |

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|                                                                           |
|---------------------------------------------------------------------------|
|                                                                           |  |  |  |  |  |  |  |
|                                                                      | Three Months Ended September 30, |
|                                                                      | 2020 |   | 2019 |
| Investment Income                                                         |   |   |   |
| Interest income:                                                          |   |   |   |
| Control investments                                                       | $ | 48,727 |  |   | $ | 50,866 |  |
| Affiliate investments                                                     | 7,362 |  |   | 239 |  |
| Non-control/non-affiliate investments                                     | 51,250 |  |   | 61,950 |  |
| Structured credit securities                                              | 24,900 |  |   | 32,901 |  |
| Total interest income                                                     | 132,239 |  |   | 145,956 |  |
| Dividend income:                                                          |   |   |   |
| Control investments                                                       | — |  |   | 3,800 |  |
| Non-control/non-affiliate investments                                     | 25 |  |   | 454 |  |
| Total dividend income                                                     | 25 |  |   | 4,254 |  |
| Other income:                                                             |   |   |   |
| Control investments                                                       | 9,071 |  |   | 11,383 |  |
| Non-control/non-affiliate investments                                     | 1,545 |  |   | 290 |  |
| Total other income (Note 10)                                              | 10,616 |  |   | 11,673 |  |
| Total Investment Income                                                   | 142,880 |  |   | 161,883 |  |
| Operating Expenses                                                        |   |   |   |
| Base management fee (Note 13)                                             | 26,850 |  |   | 28,463 |  |
| Income incentive fee (Note 13)                                            | 14,386 |  |   | 17,765 |  |
| Interest and credit facility expenses                                     | 34,049 |  |   | 38,898 |  |
| Allocation of overhead from Prospect Administration (Note 13)             | 4,657 |  |   | 3,494 |  |
| Audit, compliance and tax related fees                                    | 938 |  |   | 375 |  |
| Directors’ fees                                                     | 113 |  |   | 113 |  |
| Other general and administrative expenses                                 | 4,342 |  |   | 1,715 |  |
| Total Operating Expenses                                                  | 85,335 |  |   | 90,823 |  |
| Net Investment Income                                                     | 57,545 |  |   | 71,060 |  |
| Net Realized and Net Change in Unrealized Gains (Losses) from Investments |   |   |   |
| Net realized gains (losses)                                               |   |   |   |
| Control investments                                                       | 2,832 |  |   | — |  |
| Non-control/non-affiliate investments                                     | 11 |  |   | (2,198 | ) |
| Net realized gains (losses)                                               | 2,843 |  |   | (2,198 | ) |
| Net change in unrealized gains (losses)                                   |   |   |   |
| Control investments                                                       | 13,535 |  |   | (39,021 | ) |
| Affiliate investments                                                     | 66,473 |  |   | 18,020 |  |
| Non-control/non-affiliate investments                                     | 27,836 |  |   | (27,458 | ) |
| Net change in unrealized gains (losses)                                   | 107,844 |  |   | (48,459 | ) |
| Net Realized and Net Change in Unrealized Gains (Losses) from Investments | 110,687 |  |   | (50,657 | ) |
| Net realized losses on extinguishment of debt                             | (486 | ) |   | (2,338 | ) |
| Net Increase in Net Assets Resulting from Operations                      | $ | 167,746 |  |   | $ | 18,065 |  |
| Net increase in net assets resulting from operations per share            | $ | 0.45 |  |   | $ | 0.05 |  |
| Dividends declared per share                                              | $ | (0.18 | ) |   | $ | (0.18 | ) |

----

|                                                                         |
|-------------------------------------------------------------------------|
|                                                                         |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                    |   | Common Stock |   |   |   |   |
| Three Months Ended September 30, 2019                                   |   | Shares |   | Par |   | Paid-in capital in excess of par |   | Distributable earnings (loss) |   | Total Net Assets |
| Balance as of June 30, 2019                                             |   | 367,131,025 |  |  | $ | 367 |  |  | $ | 4,039,872 |  |  | $ | (733,964 | ) |  | $ | 3,306,275 |  |
| Net Increase in Net Assets resulting from Operations:                   |   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Net investment income                                                   |   |  |  |  |  |  |  |  |  | 71,060 |  |  | 71,060 |  |
| Net realized losses                                                     |   |  |  |  |  |  |  |  |  | (4,536 | ) |  | (4,536 | ) |
| Net change in unrealized losses                                         |   |  |  |  |  |  |  |  |  | (48,459 | ) |  | (48,459 | ) |
| Distributions to Shareholders                                           |   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Distributions from earnings                                             |   |  |  |  |  |  |  |  |  | (66,111 | ) |  | (66,111 | ) |
| Shares issued through reinvestment of dividends                         |   | 232,847 |  |  |  |  |  | 1,544 |  |  |  |  |  | 1,544 |  |
| Tax reclassifications of net assets (Note 12)                           |   |  |  |  |  |  |  | (78 | ) |  | 78 |  |  | — |  |
| Total increase (decrease) for the three months ended September 30, 2019 |   | 232,847 |  |  | — |  |  | 1,466 |  |  | (47,968 | ) |  | (46,502 | ) |
| Balance as of September 30, 2019                                        |   | 367,363,872 |  |  | $ | 367 |  |  | $ | 4,041,338 |  |  | $ | (781,932 | ) |  | $ | 3,259,773 |  |

|                                                              |
|--------------------------------------------------------------|
|                                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                         |   | Common Stock |   |   |   |   |
| Three Months Ended September 30, 2020                        |   | Shares |   | Par |   | Paid-in capital in excess of par |   | Distributable earnings (loss) |   | Total Net Assets |
| Balance as of June 30, 2020                                  |  | 373,538,499 |  |  | $ | 374 |  |  | $ | 4,070,874 |  |  | $ | (1,015,387 | ) |  | $ | 3,055,861 |  |
| Net Increase in Net Assets resulting from Operations:        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Net investment income                                        |  |  |  |  |  |  |  |  |  | 57,545 |  |  | 57,545 |  |
| Net realized gains                                           |  |  |  |  |  |  |  |  |  | 2,357 |  |  | 2,357 |  |
| Net change in unrealized gains                               |  |  |  |  |  |  |  |  |  | 107,844 |  |  | 107,844 |  |
| Distributions to Shareholders                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Distributions from earnings                                  |  |  |  |  |  |  |  |  |  | (67,861 | ) |  | (67,861 | ) |
| Shares issued through reinvestment of dividends              |  | 5,238,459 |  |  | 5 |  |  | 25,276 |  |  |  |  |  | 25,281 |  |
| Total increase for the three months ended September 30, 2020 |  | 5,238,459 |  |  | 5 |  |  | 25,276 |  |  | 99,885 |  |  | 125,166 |  |
| Balance as of September 30, 2020                             |  | 378,776,958 |  |  | $ | 379 |  |  | $ | 4,096,150 |  |  | $ | (915,502 | ) |  | $ | 3,181,027 |  |

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|                                                                          |
|--------------------------------------------------------------------------|
|                                                                          |  |  |  |  |  |  |  |
|                                                                     | Three Months Ended September 30, |
|                                                                     | 2020 |   | 2019 |
| Operating Activities                                                     |   |   |   |
| Net increase in net assets resulting from operations                     | $ | 167,746 |  |   | $ | 18,065 |  |
| Net realized losses on extinguishment of debt                            | 486 |  |   | 2,338 |  |
| Net realized (gains) losses on investments                               | (2,843 | ) |   | 2,198 |  |
| Net change in unrealized (gains) losses on investments                   | (107,844 | ) |   | 48,459 |  |
| Amortization of (accretion of premiums) discounts, net                   | (14,482 | ) |   | 1,704 |  |
| Accretion of original issue discount                                     | 269 |  |   | 254 |  |
| Amortization of deferred financing costs                                 | 1,921 |  |   | 2,241 |  |
| Payment-in-kind interest                                                 | (20,341 | ) |   | (14,498 | ) |
| Structuring fees                                                         | (170 | ) |   | (612 | ) |
| Change in operating assets and liabilities:                              |   |   |   |
| Payments for purchases of investments                                    | (156,630 | ) |   | (79,430 | ) |
| Proceeds from sale of investments and collection of investment principal | 148,253 |  |   | 245,173 |  |
| Decrease in due to broker                                                | (1 | ) |   | — |  |
| Decrease in due to Prospect Capital Management                           | (1,249 | ) |   | (297 | ) |
| Decrease in interest receivable, net                                     | 701 |  |   | 13,978 |  |
| Decrease in interest payable                                             | (11,692 | ) |   | (11,740 | ) |
| Increase (decrease) in accrued expenses                                  | 2,006 |  |   | (726 | ) |
| Increase in due from broker                                              | (829 | ) |   | (4,121 | ) |
| (Decrease) increase in other liabilities                                 | (1,369 | ) |   | 39 |  |
| (Increase) decrease in other receivables                                 | (832 | ) |   | 3,126 |  |
| Increase in due from affiliate                                           | (38 | ) |   | — |  |
| Decrease in prepaid expenses                                             | 341 |  |   | 281 |  |
| Increase (decrease) in due to Prospect Administration                    | 1,164 |  |   | (1,374 | ) |
| Net Cash Provided by Operating Activities                                | 4,567 |  |   | 225,058 |  |
| Financing Activities                                                     |   |   |   |
| Borrowings under Revolving Credit Facility (Note 4)                      | 212,900 |  |   | 211,000 |  |
| Principal payments under Revolving Credit Facility (Note 4)              | (199,443 | ) |   | (270,000 | ) |
| Redemptions of Convertible Notes, net (Note 5)                           | (29,420 | ) |   | (47,016 | ) |
| Issuances of Prospect Capital InterNotes® (Note 7)                  | 38,657 |  |   | 95,135 |  |
| Redemptions of Prospect Capital InterNotes®, net (Note 7)           | (565 | ) |   | (145,459 | ) |
| Financing costs paid and deferred                                        | (689 | ) |   | (5,088 | ) |
| Dividends paid                                                           | (42,265 | ) |   | (64,554 | ) |
| Net Cash Used in Financing Activities                                    | (20,825 | ) |   | (225,982 | ) |
| Net Decrease in Cash                                                     | (16,258 | ) |   | (924 | ) |
| Cash at beginning of period                                              | 44,561 |  |   | 107,098 |  |
| Cash at End of Period                                                    | $ | 28,303 |  |   | $ | 106,174 |  |
| Supplemental Disclosures                                                 |   |   |   |
| Cash paid for interest                                                   | $ | 43,551 |  |   | $ | 48,143 |  |
| Non-Cash Financing Activities                                            |   |   |   |
| Value of shares issued through reinvestment of dividends                 | $ | 25,281 |  |   | $ | 1,544 |  |
| Cost basis of investments written off as worthless                       | $ | — |  |   | $ | 2,420 |  |

----

|                                                                           |
|---------------------------------------------------------------------------|
|                                                                           |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                           |  |  |   |   |   |  | September 30, 2020 (Unaudited) |   |   |
| Portfolio Company                                                    | Industry | Investments(1)(37) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |   |
|                                                                      |   |   |   |   |   |   |   |   |   |   |   |
| Control Investments (greater than 25.00% voting control)(40)              |   |   |   |   |   |   |   |   |   |
|                                                                      |   |   |   |   |   |   |   |   |   |   |   |
| CP Energy Services Inc. (20)                                              | Energy Equipment & Services | Senior Secured Term Loan | 10/1/2017 | 12.00% (3ML+ 11.00%) | 1.00 |  | 12/29/2022 | $ | 37,870 |  | $ | 37,870 |  | $ | 34,894 |  | 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 | 13,156 |  | 13,156 |  | 13,156 |  | 0.3 | % | (10) |
| Series A Preferred Units to Spartan Energy Holdings, Inc. (10,000 shares) | 9/25/2020 |  | — |  | N/A | — |  | 26,193 |  | 6,259 |  | 0.2 | % | (16) |
| Series B Convertible Preferred Stock (790 shares)                         | 10/30/2015 |  | — |  | N/A | — |  | 63,225 |  | — |  | — | % | (16) |
| Common Stock (102,924 shares)                                             | 8/2/2013 |  | — |  | N/A | — |  | 86,240 |  | — |  | — | % | (16) |
|                                                                           |  |  |  |  |  |  |  |    |  | 226,684 |  | 54,309 |  | 1.6 | % |  |
| Credit Central Loan Company, LLC (21)                                     | Consumer Finance | Subordinated Term Loan | 12/28/2012 | 10.00% plus 10.00% PIK | — |  | 6/26/2024 | 66,126 |  | 63,239 |  | 66,126 |  | 2.1 | % | (14)(39) |
| Class A Units (14,867,312 units)                                          | 12/28/2012 |  | — |  | N/A | — |  | 19,331 |  | 12,198 |  | 0.4 | % | (14)(16) |
| Net Revenues Interest (25% of Net Revenues)                               | 1/28/2015 |  | — |  | N/A | — |  | — |  | — |  | — | % | (14)(16) |
|                                                                           |  |  |  |  |  |  |  |    |  | 82,570 |  | 78,324 |  | 2.5 | % |  |
| 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 | 48,160 |  | 48,160 |  | 48,160 |  | 1.5 | % | (10)(39) |
| Senior Secured Term Loan                                                  | 12/9/2016 | 11.00% (1ML+ 9.00%) plus 1.00% PIK | 2.00 |  | 12/7/2024 | 21,637 |  | 21,637 |  | 21,637 |  | 0.7 | % | (10)(39) |
| Membership Interest (100%)                                                | 3/31/2014 |  | — |  | N/A | — |  | 22,738 |  | 22,327 |  | 0.7 | % | (16) |
|                                                                           |  |  |  |  |  |  |  |    |  | 92,535 |  | 92,124 |  | 2.9 | % |  |
| First Tower Finance Company LLC (23)                                      | Consumer Finance | Subordinated Term Loan to First Tower, LLC | 6/24/2014 | 10.00% plus 12.00% PIK | — |  | 6/24/2024 | 272,158 |  | 272,158 |  | 272,158 |  | 8.6 | % | (14)(39) |
| Class A Units (95,709,910 units)                                          | 6/14/2012 |  | — |  | N/A | — |  | 81,146 |  | 237,942 |  | 7.5 | % | (14)(16) |
|                                                                           |  |  |  |  |  |  |  |    |  | 353,304 |  | 510,100 |  | 16.1 | % |  |
| Freedom Marine Solutions, LLC (24)                                        | Energy Equipment & Services | Membership Interest (100%) | 11/9/2006 |  | — |  | N/A | — |  | 43,892 |  | 12,351 |  | 0.4 | % | (16) |
|                                                                           |  |  |  |  |  |  |  |    |  | 43,892 |  | 12,351 |  | 0.4 | % |  |
| InterDent, Inc. (29)                                                      | Health Care Providers & Services | Senior Secured Term Loan A/B | 8/1/2018 | 11.85% (1ML+ 9.85%) | 2.00 |  | 9/5/2022 | 14,250 |  | 14,249 |  | 14,249 |  | 0.4 | % | (10)(39) |
| Senior Secured Term Loan A                                                | 8/3/2012 | 6.50% (1ML+ 5.50%) | 1.00 |  | 9/5/2022 | 79,242 |  | 79,242 |  | 79,242 |  | 2.5 | % | -10 |
| Senior Secured Term Loan B                                                | 8/3/2012 | 10.00% PIK | — |  | 9/5/2022 | 131,725 |  | 131,725 |  | 131,725 |  | 4.1 | % |  |
| Common Stock (99,900 shares)                                              | 5/3/2019 |  | — |  | N/A | — |  | 45,118 |  | 11,768 |  | 0.4 | % | (16) |
|                                                                           |  |  |  |  |  |  |  |    |  | 270,334 |  | 236,984 |  | 7.4 | % |  |
| Kickapoo Ranch Pet Resort                                                 | Diversified Consumer Services | Membership Interest (100%) | 8/26/2019 |  | — |  | N/A | — |  | 2,378 |  | 3,000 |  | 0.1 | % | (16) |
|                                                                           |  |  |  |  |  |  |  |    |  | 2,378 |  | 3,000 |  | 0.1 | % |  |
| MITY, Inc. (25)                                                           | Commercial Services & Supplies | Senior Secured Note A | 9/19/2013 | 10.00% (3ML+ 7.00%) | 3.00 |  | 4/30/2025 | 26,250 |  | 26,250 |  | 26,250 |  | 0.8 | % | (10) |
| Senior Secured Note B                                                     | 6/23/2014 | 10.00% (3ML+ 7.00%) plus 10.00% PIK | 3.00 |  | 4/30/2025 | 33,859 |  | 33,859 |  | 22,729 |  | 0.7 | % | (10)(39) |
| Subordinated Unsecured Note to Broda Enterprises ULC                      | 9/19/2013 | 10.00% | — |  | 1/1/2028 | 7,200 |  | 6,205 |  | — |  | — | % | (14) |
| Common Stock (42,053 shares)                                              | 9/19/2013 |  | — |  | N/A | — |  | 6,849 |  | — |  | — | % | (16) |
|                                                                           |  |  |  |  |  |  |  |    |  | 73,163 |  | 48,979 |  | 1.5 | % |  |
| 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 | 319,379 |  | 319,379 |  | 319,379 |  | 10.0 | % | (10)(39) |
| Senior Secured Term Loan B                                                | 12/31/2018 | 5.00% (3ML+ 2.00%) plus 5.50% PIK | 3.00 |  | 12/31/2023 | 30,621 |  | 30,621 |  | 30,621 |  | 1.0 | % | (10)(39) |
| Senior Secured Term Loan C                                                | 10/31/2019 | 11.00% (3ML+ 10.00%) plus 2.25% PIK | 1.00 |  | 12/31/2023 | 101,200 |  | 101,200 |  | 101,200 |  | 3.2 | % | (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 |  | 5.8 | % | (10)(39) |
| Residual Profit Interest                                                  | 12/31/2018 |  | — |  | N/A | — |  | — |  | — |  | — | % | (35) |
| Common Stock (3,254,594 shares)                                           | 12/31/2013 |  | — |  | N/A | — |  | 210 |  | 278,955 |  | 8.8 | % | (45) |
|                                                                           |  |  |  |  |  |  |  |    |  | 634,835 |  | 913,580 |  | 28.8 | % |  |

----

|                                                              |
|--------------------------------------------------------------|
|                                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                              |  |  |   |   |   |  | September 30, 2020 (Unaudited) |   |   |
| Portfolio Company                                       | Industry | Investments(1)(37) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |
| Control Investments (greater than 25.00% voting control)(40) |   |   |   |   |   |   |   |   |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |
| Nationwide Loan Company LLC (27)                             | Consumer Finance | Senior Subordinated Term Loan to Nationwide Acceptance LLC | 6/18/2014 | 10.00% plus 10.00% PIK | — |  | 6/18/2021 | $ | 20,260 |  | $ | 20,260 |  | $ | 20,260 |  | 0.6 | % | (14)(39) |
| Class A Units (38,550,460 units)                             | 1/31/2013 |  | — |  | N/A | — |  | 20,462 |  | 16,836 |  | 0.5 | % | (14)(16) |
|                                                              |  |  |  |  |  |  |  |    |  | 40,722 |  | 37,096 |  | 1.1 | % |  |
| NMMB, Inc. (28)                                              | Media | Delayed Draw Term Loan - $10,000 Commitment | 3/25/2020 | 10.50% (3ML+ 8.50%) | 2.00 |  | 12/30/2024 | — |  | — |  | — |  | — | % | (10)(15) |
| Senior Secured Note                                          | 12/30/2019 | 10.50% (3ML+ 8.50%) | 2.00 |  | 12/30/2024 | 4,987 |  | 4,987 |  | 4,987 |  | 0.2 | % | (3)(10) |
| Common Stock (21,419 shares)                                 | 12/30/2019 |  | — |  | N/A | — |  | 12,869 |  | 23,113 |  | 0.7 | % |  |
|                                                              |  |  |  |  |  |  |  |    |  | 17,856 |  | 28,100 |  | 0.9 | % |  |
| Pacific World Corporation (36)                               | Personal Products | Revolving Line of Credit - $26,000 Commitment | 9/26/2014 | 8.25% (1ML+ 7.25%) | 1.00 |  | 9/26/2025 | 20,825 |  | 20,825 |  | 20,825 |  | 0.7 | % | (10)(15) |
| Senior Secured Term Loan A                                   | 12/31/2014 | 6.25% PIK (1ML+ 5.25%) | 1.00 |  | 9/26/2025 | 39,716 |  | 39,716 |  | 39,716 |  | 1.2 | % | (10)(39) |
| Convertible Preferred Equity (273,400 shares)                | 6/15/2018 |  | — |  | N/A | — |  | 186,795 |  | 6,433 |  | 0.2 | % | (16) |
| Common Stock (6,778,414 shares)                              | 9/29/2017 |  | — |  | N/A | — |  | — |  | — |  | — | % | (16) |
|                                                              |  |  |  |  |  |  |  |    |  | 247,336 |  | 66,974 |  | 2.1 | % |  |
| R-V Industries, Inc.                                         | Machinery | Senior Subordinated Note | 6/12/2013 | 10.00% (3ML+ 9.00%) | 1.00 |  | 3/31/2022 | 28,623 |  | 28,623 |  | 28,622 |  | 0.9 | % | (3)(10) |
| Common Stock (745,107 shares)                                | 6/26/2007 |  | — |  | N/A | — |  | 6,866 |  | 12,477 |  | 0.4 | % | (16) |
|                                                              |  |  |  |  |  |  |  |    |  | 35,489 |  | 41,099 |  | 1.3 | % |  |
| 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 |  | 7/22/2021 | 2,880 |  | 2,880 |  | 2,880 |  | 0.1 | % | (10)(15) |
| Senior Secured Term Loan A                                   | 7/22/2016 | 6.75% (3ML+ 5.75%) | 1.00 |  | 7/22/2021 | 29,900 |  | 29,900 |  | 25,586 |  | 0.8 | % | (10) |
| Senior Secured Term Loan B                                   | 7/22/2016 | 12.75% PIK (3ML+ 11.75%) | 1.00 |  | 7/22/2021 | 44,340 |  | 32,500 |  | — |  | — | % | (9)(10) |
| Common Stock (10,000 units)                                  | 12/10/2018 |  | — |  | N/A | — |  | — |  | — |  | — | % | (16) |
|                                                              |  |  |  |  |  |  |  |    |  | 65,280 |  | 28,466 |  | 0.9 | % |  |
| USES Corp. (30)                                              | Commercial Services & Supplies | Senior Secured Term Loan A | 3/31/2014 | 9.00% PIK | — |  | 7/29/2022 | 51,493 |  | 30,651 |  | 22,462 |  | 0.7 | % | (9) |
| Senior Secured Term Loan B                                   | 3/31/2014 | 15.50% PIK | — |  | 7/29/2022 | 68,943 |  | 35,568 |  | — |  | — | % | (9) |
| Common Stock (268,962 shares)                                | 6/15/2016 |  | — |  | N/A | — |  | — |  | — |  | — | % | (16) |
|                                                              |  |  |  |  |  |  |  |    |  | 66,219 |  | 22,462 |  | 0.7 | % |  |
| Valley Electric Company, Inc. (31)                           | Construction & Engineering | Senior Secured Note to Valley Electric Co. of Mt. Vernon, Inc. | 12/31/2012 | 8.00% (3ML+ 5.00%) plus 2.50% PIK | 3.00 |  | 12/31/2024 | 10,430 |  | 10,430 |  | 10,430 |  | 0.3 | % | (3)(10)(39) |
| Senior Secured Note                                          | 6/24/2014 | 8.00% plus 10.00% PIK | — |  | 6/23/2024 | 33,301 |  | 33,301 |  | 33,301 |  | 1.0 | % | (39) |
| Consolidated Revenue Interest (2.0%)                         | 6/22/2018 |  | — |  | N/A | — |  | — |  | 2,332 |  | 0.1 | % | (12) |
| Common Stock (50,000 shares)                                 | 12/31/2012 |  | — |  | N/A | — |  | 25,143 |  | 87,561 |  | 2.8 | % |  |
|                                                              |  |  |   |   |   |  |    |  | 68,874 |  | 133,624 |  | 4.2 | % |   |
| Total Control Investments (Level 3)                          |   | $ | 2,321,471 |  | $ | 2,307,572 |  | 72.5 | % |   |

----

|                                                            |
|------------------------------------------------------------|
|                                                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                       |   |   |   |   |   |   | September 30, 2020 (Unaudited) |   |   |
| Portfolio Company                                     | Industry | Investments(1)(37) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |   |
|                                                       |   |   |   |   |   |   |   |   |   |   |   |
| Affiliate Investments (5.00% to 24.99% voting control)(41) |   |   |   |   |   |   |   |   |   |
|                                                       |   |   |   |   |   |   |   |   |   |   |   |
| Edmentum Ultimate Holdings, LLC (22)                       | Diversified Consumer Services | Second Lien Revolving Credit Facility to Edmentum, Inc. - $7,834 Commitment | 6/9/2015 | 5.00% PIK | — |  | 12/9/2021 | $ | 8,648 |  | $ | 8,648 |  | $ | 8,648 |  | 0.2 | % | (15)(39) |
| Unsecured Senior PIK Note                                  | 6/9/2015 | 8.50% PIK | — |  | 12/9/2021 | 9,114 |  | 9,114 |  | 9,114 |  | 0.3 | % | (39) |
| Unsecured Junior PIK Note                                  | 6/9/2015 | 10.00% PIK | — |  | 12/9/2021 | 44,148 |  | 32,875 |  | 44,148 |  | 1.4 | % | (39) |
| Class A Units (370,964 units)                              | 6/9/2015 |  | — |  | N/A | — |  | 6,577 |  | 5,698 |  | 0.2 | % | (16) |
|                                                       |   |   |  |  |  |  |  |   | 57,214 |  | 67,608 |  | 2.1 | % |  |
|  Nixon, Inc. (32)                                     |  Textiles, Apparel & Luxury Goods | Common Stock (857 units) | 5/12/2017 |  | — |  | N/A | — |  | — |  | — |  | — | % | (16) |
|                                                       |   |   |  |  |  |  |  |   | — |  | — |  | — | % |  |
| PGX Holdings, Inc. (6)                                     | Diversified Consumer Services | 1.5 Lien Term Loan | 5/27/2020 | 11.50% PIK (12ML+ 10.50%) | 1.00 |  | 3/29/2024 | 2,873 |  | 2,873 |  | 2,873 |  | 0.1 | % | (10)(39) |
| Second Lien Term Loan                                      | 9/29/2014 | 15.75% PIK (1ML+ 14.75%) | 1.00 |  | 9/29/2024 | 108,758 |  | 108,757 |  | 108,757 |  | 3.4 | % | (10)(39) |
| Common Stock (40,780,359 shares)                           | 5/27/2020 |  | — |  | N/A | — |  | — |  | 57,951 |  | 1.8 | % | (16) |
|                                                       |   |   |  |  |  |  |  |   | 111,630 |  | 169,581 |  | 5.3 | % |  |
| Targus Cayman HoldCo Limited (33)                          | Textiles, Apparel & Luxury Goods | Common Stock (7,383,395 shares) | 2/12/2016 |  | — |  | N/A | — |  | 2,805 |  | 24,986 |  | 0.8 | % | (16) |
|                                                       |   |   |   |   |   |   |   | 2,805 |  | 24,986 |  | 0.8 | % |   |
| Total Affiliate Investments (Level 3)                      |   | $ | 171,649 |  | $ | 262,175 |  | 8.2 | % |   |

----

|                                                                        |
|------------------------------------------------------------------------|
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |   |   |   | September 30, 2020 (Unaudited) |   |   |
| Portfolio Company                                                 | Industry | Investments(1)(37) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |   |
|                                                                   |   |   |   |   |   |   |   |   |   |   |   |
| Non-Control/Non-Affiliate Investments (less than 5.00% voting control) |   |   |   |   |   |   |   |
|                                                                   |   |   |   |   |   |   |   |   |   |   |   |
| 8th Avenue Food & Provisions, Inc.                                 | Food Products | Second Lien Term Loan | 10/10/2018 | 7.90% (1ML+ 7.75%) | — |  | 10/1/2026 | $ | 25,000 |  | $ | 24,859 |  | $ | 25,000 |  | 0.8 | % | (3)(8)(10) |
|                                                                        |  |  |   |   |   |   |    |  | 24,859 |  | 25,000 |  | 0.8 | % |  |
| ACE Cash Express, Inc.                                                 | Consumer Finance | Senior Secured Note | 12/15/2017 | 12.00% | — |  | 12/15/2022 | 34,498 |  | 32,156 |  | 29,210 |  | 0.9 | % | (8)(14) |
|                                                                        |  |  |   |   |   |   |    |  | 32,156 |  | 29,210 |  | 0.9 | % |  |
| Ahead Data Blue, LLC                                                   | IT Services | Second Lien Term Loan | 12/13/2019 | 10.00% (1ML+ 8.50%) | 1.50 |  | 11/8/2025 | 70,000 |  | 70,000 |  | 70,000 |  | 2.2 | % | (3)(10) |
|                                                                        |  |  |   |   |   |   |    |  | 70,000 |  | 70,000 |  | 2.2 | % |  |
| AmeriLife Holdings, LLC                                                | Insurance | Second Lien Term Loan | 4/2/2020 | 9.50% (6ML+ 8.50%) | 1.00 |  | 3/18/2028 | 14,250 |  | 13,978 |  | 13,978 |  | 0.4 | % | (8)(10) |
|                                                                        |  |  |   |   |   |   |    |  | 13,978 |  | 13,978 |  | 0.4 | % |  |
| Apidos CLO XI                                                          | Structured Finance | Subordinated Structured Note | 12/6/2012 | Residual Interest, current yield 10.40% | — |  | 10/17/2030 | 40,500 |  | 32,862 |  | 26,231 |  | 0.8 | % | (5)(14) |
|                                                                        |  |  |   |   |   |   |    |  | 32,862 |  | 26,231 |  | 0.8 | % |  |
| Apidos CLO XII                                                         | Structured Finance | Subordinated Structured Note | 3/15/2013 | Residual Interest, current yield 14.79% | — |  | 4/15/2031 | 52,203 |  | 39,315 |  | 30,351 |  | 1.0 | % | (5)(14) |
|                                                                        |  |  |   |   |   |   |    |  | 39,315 |  | 30,351 |  | 1.0 | % |  |
| Apidos CLO XV                                                          | Structured Finance | Subordinated Structured Note | 9/13/2013 | Residual Interest, current yield 13.20% | — |  | 4/21/2031 | 48,515 |  | 40,149 |  | 28,846 |  | 0.9 | % | (5)(14) |
|                                                                        |  |  |   |   |   |   |    |  | 40,149 |  | 28,846 |  | 0.9 | % |  |
| Apidos CLO XXII                                                        | Structured Finance | Subordinated Structured Note | 9/16/2015 | Residual Interest, current yield 16.74% | — |  | 4/21/2031 | 35,855 |  | 30,678 |  | 25,133 |  | 0.8 | % | (5)(14) |
|                                                                        |  |  |   |   |   |   |    |  | 30,678 |  | 25,133 |  | 0.8 | % |  |
| 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 |  | 4/30/2021 | — |  | — |  | — |  | — | % | (10)(15) |
| Senior Secured Term Loan                                               | 2/21/2013 | 10.75% (3ML+ 8.75%) | 2.00 |  | 4/30/2021 | 71,205 |  | 71,205 |  | 71,205 |  | 2.2 | % | (3)(10) |
|                                                                        |  |  |   |   |   |   |    |  | 71,205 |  | 71,205 |  | 2.2 | % |  |
| Barings CLO 2018-III                                                   | Structured Finance | Subordinated Structured Note | 10/9/2014 | Residual Interest, current yield 5.58% | — |  | 7/20/2029 | 83,098 |  | 47,714 |  | 31,875 |  | 1.0 | % | (5)(14) |
|                                                                        |  |  |   |   |   |   |    |  | 47,714 |  | 31,875 |  | 1.0 | % |  |
| Broder Bros., Co.                                                      | Textiles, Apparel & Luxury Goods | Senior Secured Note | 12/4/2017 | 9.75% (3ML+ 8.50%) | 1.25 |  | 12/2/2022 | 165,390 |  | 165,390 |  | 165,390 |  | 5.2 | % | (3)(10) |
|                                                                        |  |  |   |   |   |   |    |  | 165,390 |  | 165,390 |  | 5.2 | % |  |
| Brookside Mill CLO Ltd.                                                | Structured Finance | Subordinated Structured Note | 4/25/2013 | Residual Interest, current yield 0.00% | — |  | 1/17/2028 | 36,300 |  | 17,033 |  | 12,204 |  | 0.4 | % | (5)(14)(17) |
|                                                                        |  |  |   |   |   |   |    |  | 17,033 |  | 12,204 |  | 0.4 | % |  |
| California Street CLO IX Ltd.                                          | Structured Finance | Subordinated Structured Note | 4/19/2012 | Residual Interest, current yield 8.25% | — |  | 7/16/2032 | 58,915 |  | 41,677 |  | 27,920 |  | 0.9 | % | (5)(14) |
|                                                                        |  |  |   |   |   |   |    |  | 41,677 |  | 27,920 |  | 0.9 | % |  |
| Candle-Lite Company, LLC                                               | Household Products | Senior Secured Term Loan A | 1/23/2018 | 6.75% (3ML+ 5.50%) | 1.25 |  | 1/23/2023 | 11,875 |  | 11,875 |  | 11,875 |  | 0.4 | % | (3)(10) |
| Senior Secured Term Loan B                                             | 1/23/2018 | 10.75% (3ML+ 9.50%) | 1.25 |  | 1/23/2023 | 12,500 |  | 12,500 |  | 12,500 |  | 0.4 | % | (3)(10) |
|                                                                        |  |  |   |   |   |   |    |  | 24,375 |  | 24,375 |  | 0.8 | % |   |
| Capstone Logistics Acquisition, Inc.                                   | Commercial Services & Supplies | Second Lien Term Loan | 10/7/2014 | 9.25% (1ML+ 8.25%) | 1.00 |  | 10/7/2022 | 98,982 |  | 98,811 |  | 98,982 |  | 3.1 | % | (3)(8)(10) |
|                                                                        |  |  |   |   |   |   |    |  | 98,811 |  | 98,982 |  | 3.1 | % |   |
| Carlyle C17 CLO Limited                                                | Structured Finance | Subordinated Structured Note | 1/24/2013 | Residual Interest, current yield 19.82% | — |  | 4/30/2031 | 24,870 |  | 15,599 |  | 13,480 |  | 0.4 | % | (5)(14) |
|                                                                        |  |  |   |   |   |   |    |  | 15,599 |  | 13,480 |  | 0.4 | % |   |
| Carlyle Global Market Strategies CLO 2014-4-R, Ltd.                    | Structured Finance | Subordinated Structured Note | 4/7/2017 | Residual Interest, current yield 16.36% | — |  | 7/15/2030 | 25,534 |  | 19,436 |  | 16,156 |  | 0.5 | % | (5)(14) |
|                                                                        |  |  |   |   |   |   |    |  | 19,436 |  | 16,156 |  | 0.5 | % |   |
| Carlyle Global Market Strategies CLO 2016-3, Ltd.                      | Structured Finance | Subordinated Structured Note | 8/9/2016 | Residual Interest, current yield 10.76% | — |  | 10/22/2029 | 32,200 |  | 34,433 |  | 26,191 |  | 0.8 | % | (5)(14) |
|                                                                        |  |  |   |   |   |   |    |  | 34,433 |  | 26,191 |  | 0.8 | % |   |

----

|                                                                        |
|------------------------------------------------------------------------|
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |   |   |   | September 30, 2020 (Unaudited) |   |   |
| Portfolio Company                                                 | Industry | Investments(1)(37) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |   |
|                                                                   |   |   |   |   |   |   |   |   |   |   |   |
| Non-Control/Non-Affiliate Investments (less than 5.00% voting control) |   |   |   |   |   |   |   |
|                                                                   |   |   |   |   |   |   |   |   |   |   |   |
| CCS-CMGC Holdings, Inc.                                                | Health Care Providers & Services | First Lien Term Loan | 5/23/2019 | 5.76% (3ML+ 5.50%) | — |  | 10/1/2025 | $ | 3,615 |  | $ | 3,568 |  | $ | 3,615 |  | 0.1 | % | (3)(8)(10) |
| First Lien Term Loan                                                   | 5/23/2019 | 5.72% (3ML+ 5.50%) | — |  | 10/1/2025 | 5,984 |  | 5,908 |  | 5,984 |  | 0.2 | % | (3)(8)(10) |
| Second Lien Term Loan                                                  | 10/12/2018 | 9.26% (3ML+ 9.00%) | — |  | 10/1/2026 | 37,000 |  | 36,466 |  | 37,000 |  | 1.2 | % | (3)(8)(10) |
|                                                                        |  |  |   |   |   |   |    |  | 45,942 |  | 46,599 |  | 1.5 | % |   |
| Cent CLO 21 Limited                                                    | Structured Finance | Subordinated Structured Note | 5/15/2014 | Residual Interest, current yield 7.79% | — |  | 7/29/2030 | 49,552 |  | 39,083 |  | 27,016 |  | 0.8 | % | (5)(14) |
|                                                                        |  |  |   |   |   |   |    |  | 39,083 |  | 27,016 |  | 0.8 | % |   |
| CIFC Funding 2013-III-R, Ltd.                                          | Structured Finance | Subordinated Structured Note | 8/2/2013 | Residual Interest, current yield 12.54% | — |  | 4/24/2031 | 44,100 |  | 30,064 |  | 22,175 |  | 0.7 | % | (5)(14) |
|                                                                        |  |  |   |   |   |   |    |  | 30,064 |  | 22,175 |  | 0.7 | % |   |
| CIFC Funding 2013-IV, Ltd.                                             | Structured Finance | Subordinated Structured Note | 10/22/2013 | Residual Interest, current yield 15.49% | — |  | 4/28/2031 | 45,500 |  | 33,730 |  | 28,626 |  | 0.9 | % | (5)(14) |
|                                                                        |  |  |   |   |   |   |    |  | 33,730 |  | 28,626 |  | 0.9 | % |   |
| CIFC Funding 2014-IV-R, Ltd.                                           | Structured Finance | Subordinated Structured Note | 8/5/2014 | Residual Interest, current yield 10.76% | — |  | 10/17/2030 | 44,467 |  | 31,478 |  | 21,047 |  | 0.7 | % | (5)(14) |
|                                                                        |  |  |   |   |   |   |    |  | 31,478 |  | 21,047 |  | 0.7 | % |   |
| CIFC Funding 2016-I, Ltd.                                              | Structured Finance | Subordinated Structured Note | 12/9/2016 | Residual Interest, current yield 9.78% | — |  | 10/21/2031 | 34,000 |  | 30,301 |  | 27,045 |  | 0.9 | % | (5)(14) |
|                                                                        |  |  |   |   |   |   |    |  | 30,301 |  | 27,045 |  | 0.9 | % |   |
| Cinedigm DC Holdings, LLC                                              | Entertainment | Senior Secured Term Loan | 2/28/2013 | 11.00% (3ML+ 9.00%) plus 2.50% PIK | 2.00 |  | 3/31/2021 | 12,107 |  | 12,057 |  | 12,038 |  | 0.4 | % | (10)(39) |
|                                                                        |  |  |   |   |   |   |    |  | 12,057 |  | 12,038 |  | 0.4 | % |   |
| Class Valuation, LLC                                                   | Real Estate Management & Development | Senior Secured Term Loan | 3/12/2018 | 9.75% (3ML+ 8.25%) | 1.50 |  | 3/10/2023 | 31,537 |  | 31,537 |  | 31,537 |  | 1.0 | % | (3)(10) |
|                                                                        |  |  |   |   |   |   |    |  | 31,537 |  | 31,537 |  | 1.0 | % |   |
| 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 |  | 0.9 | % | (3)(10) |
|                                                                        |  |  |   |   |   |   |    |  | 30,165 |  | 30,165 |  | 0.9 | % |   |
| Columbia Cent CLO 27 Limited                                           | Structured Finance | Subordinated Structured Note | 12/18/2013 | Residual Interest, current yield 6.24% | — |  | 10/25/2028 | 40,275 |  | 23,202 |  | 18,935 |  | 0.6 | % | (5)(14) |
|                                                                        |  |  |   |   |   |   |    |  | 23,202 |  | 18,935 |  | 0.6 | % |  |
| Coverall North America, Inc.                                           | Commercial Services & Supplies | Senior Secured Term Loan A | 11/2/2015 | 7.00% (3ML+ 6.00%) | 1.00 |  | 5/3/2021 | — |  | — |  | — |  | — | % | (3)(10) |
|                                                                   |   |   |   |   |   |   |   | 21,872 |  | 21,872 |  | 0.7 | % |   |
| CP VI Bella Midco                                                      | IT Services | Second Lien Term Loan | 2/26/2018 | 6.90% (1ML+ 6.75%) | — |  | 12/29/2025 | 15,750 |  | 15,712 |  | 15,750 |  | 0.5 | % | (3)(8)(10) |
|                                                                        |  |  |   |   |   |   |    |  | 15,712 |  | 15,750 |  | 0.5 | % |  |
| Curo Group Holdings Corp.                                              | Consumer Finance | Second Lien Term Loan | 7/30/2020 | — | — |  | 9/1/2025 | 3,421 |  | 2,757 |  | 2,870 |  | 0.1 | % |  |
|                                                                   |   |   |   |   |   |   |   | 2,757 |  | 2,870 |  | 0.1 | % |  |
| Digital Room, LLC                                                      | Commercial Services & Supplies | First Lien Term Loan | 5/29/2019 | 5.27% (6ML+ 5.00%) | — |  | 5/21/2026 | 9,875 |  | 9,769 |  | 9,631 |  | 0.3 | % | (3)(8)(10) |
| Second Lien Term Loan                                                  | 5/30/2019 | 9.27% (6ML+ 9.00%) | — |  | 5/21/2027 | 70,000 |  | 70,000 |  | 68,199 |  | 2.1 | % | (3)(8)(10) |
|                                                                        |  |  |   |   |   |   |    |  | 79,769 |  | 77,830 |  | 2.4 | % |   |
| Dunn Paper, Inc.                                                       | Paper & Forest Products | First Lien Term Loan | 11/27/2019 | 5.75% (2ML+ 4.75%) | 1.00 |  | 8/26/2022 | 3,541 |  | 3,475 |  | 3,475 |  | 0.1 | % | (3)(8)(10) |
| First Lien Term Loan                                                   | 11/27/2019 | 5.75% (1ML+ 4.75%) | 1.00 |  | 8/26/2022 | 947 |  | 929 |  | 929 |  | — | % | (3)(8)(10) |
| Second Lien Term Loan                                                  | 10/7/2016 | 9.75% (1ML+ 8.75%) | 1.00 |  | 8/26/2023 | 11,500 |  | 11,404 |  | 11,404 |  | 0.4 | % | (3)(8)(10) |
|                                                                        |  |  |  |   |   |   |    |  | 15,808 |  | 15,808 |  | 0.5 | % |   |
| Easy Gardener Products, Inc.                                           | Household Durables | Third Lien Term Loan | 6/11/2020 | 10.25% (3ML+ 10.00%) | 0.25 |  | 9/30/2024 | 3,980 |  | 3,980 |  | 3,980 |  | 0.1 | % | (10) |
| Class A Units of EZG Holdings, Inc. (200 units)                        | 6/11/2020 |  | — |  | N/A | — |  | 312 |  | 781 |  | — | % | (16) |
| Class B Units of EZG Holdings, Inc. (12,525 units)                     | 6/11/2020 |  | — |  | N/A | — |  | 1,688 |  | 5,029 |  | 0.2 | % | (16) |
|                                                                        |  |  |  |  |  |  |  |    |  | 5,980 |  | 9,790 |  | 0.3 | % |  |

----

|                                                                        |
|------------------------------------------------------------------------|
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |   |   |   | September 30, 2020 (Unaudited) |   |   |
| Portfolio Company                                                 | Industry | Investments(1)(37) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |   |
|                                                                   |   |   |   |   |   |   |   |   |   |   |   |
| Non-Control/Non-Affiliate Investments (less than 5.00% voting control) |   |   |   |   |   |   |   |
|                                                                   |   |   |   |   |   |   |   |   |   |   |   |
| EDSCO Holding Company LLC                                              | Machinery | Senior Secured Term Loan | 1/10/2020 | 7.50% (1ML+ 6.00%) | 1.50 |  | 1/10/2025 | $ | 17,703 |  | $ | 17,703 |  | $ | 17,703 |  | 0.6 | % | (3)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 17,703 |  | 17,703 |  | 0.6 | % |  |
| Engine Group, Inc. (7)                                                 | Media | Senior Secured Term Loan | 9/25/2017 | 6.00% (1ML+ 5.00%) | 1.00 |  | 9/15/2022 | 4,220 |  | 4,220 |  | 3,204 |  | 0.1 | % | (8)(9)(10) |
| Second Lien Term Loan                                                  | 9/25/2017 | 10.00% (1ML+ 9.00%) | 1.00 |  | 9/15/2023 | 35,000 |  | 35,000 |  | 7,386 |  | 0.2 | % | (8)(9)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 39,220 |  | 10,590 |  | 0.3 | % |  |
| EXC Holdings III Corp                                                  | Technology Hardware, Storage & Peripherals | Second Lien Term Loan | 12/5/2017 | 8.50% (3ML+ 7.50%) | 1.00 |  | 12/1/2025 | 12,500 |  | 12,419 |  | 12,377 |  | 0.4 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 12,419 |  | 12,377 |  | 0.4 | % |  |
| First Brands Group                                                     | Auto Components | First Lien Term Loan | 8/6/2020 | 8.50% (2ML+ 7.50%) | 1.00 |  | 2/2/2024 | 27,179 |  | 25,724 |  | 26,477 |  | 0.8 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 25,724 |  | 26,477 |  | 0.8 | % |  |
| Galaxy XV CLO, Ltd.                                                    | Structured Finance | Subordinated Structured Note | 2/13/2013 | Residual Interest, current yield 13.37% | — |  | 10/15/2030 | 50,525 |  | 35,931 |  | 25,611 |  | 0.8 | % | (5)(14) |
|                                                                        |  |  |  |  |  |  |  |    |  | 35,931 |  | 25,611 |  | 0.8 | % |  |
| Galaxy XXVII CLO, Ltd.                                                 | Structured Finance | Subordinated Structured Note | 9/30/2013 | Residual Interest, current yield 12.40% | — |  | 5/16/2031 | 24,575 |  | 16,679 |  | 11,559 |  | 0.4 | % | (5)(14) |
|                                                                        |  |  |  |  |  |  |  |    |  | 16,679 |  | 11,559 |  | 0.4 | % |  |
| Galaxy XXVIII CLO, Ltd.                                                | Structured Finance | Subordinated Structured Note | 5/30/2014 | Residual Interest, current yield 11.41% | — |  | 7/15/2031 | 39,905 |  | 29,154 |  | 16,170 |  | 0.5 | % | (5)(14) |
|                                                                        |  |  |  |  |  |  |  |    |  | 29,154 |  | 16,170 |  | 0.5 | % |  |
| GEON Performance Solutions, LLC                                        | Chemicals | Revolving Line of Credit - $3,621 Commitment | 12/12/2019 | 7.88% (1ML+ 6.25%) | 1.63 |  | 10/25/2024 | — |  | — |  | — |  | — | % | (10)(15) |
| First Lien Term Loan                                                   | 12/12/2019 | 7.88% (1ML+ 6.25%) | 1.63 |  | 10/25/2024 | 31,222 |  | 31,077 |  | 31,222 |  | 1.0 | % | (3)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 31,077 |  | 31,222 |  | 1.0 | % |  |
| Global Tel*Link Corporation                                            | Diversified Telecommunication Services | First Lien Term Loan | 8/20/2019 | 4.40% (1ML+ 4.25%) | — |  | 11/29/2025 | 9,874 |  | 9,536 |  | 9,471 |  | 0.3 | % | (3)(8)(10) |
| Second Lien Term Loan                                                  | 12/4/2018 | 8.40% (1ML+ 8.25%) | — |  | 11/29/2026 | 40,170 |  | 39,424 |  | 39,082 |  | 1.2 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 48,960 |  | 48,553 |  | 1.5 | % |  |
| GlobalTranz Enterprises, Inc.                                          | Air Freight & Logistics | Second Lien Term Loan | 5/15/2019 | 8.39% (1ML+ 8.25%) | — |  | 5/15/2027 | 12,500 |  | 12,500 |  | 10,386 |  | 0.3 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 12,500 |  | 10,386 |  | 0.3 | % |  |
| Eze Castle Integration, Inc. (f/k/a/ H.I.G. ECI Merger Sub, Inc.)      | IT Services | First Lien Term Loan | 7/15/2020 | 10.00% (1ML+ 8.50%) | 1.50 |  | 7/15/2025 | 48,094 |  | 48,094 |  | 48,094 |  | 1.5 | % | (3)(10) |
| Delayed Draw Term Loan - $1,786 Commitment                             | 7/15/2020 | 10.00% (1ML+ 8.50%) | 1.50 |  | 7/15/2025 | — |  | — |  | — |  | — | % | (3)(10)(15) |
|                                                                        |  |  |  |  |  |  |  |    |  | 48,094 |  | 48,094 |  | 1.5 | % |  |
| Halcyon Loan Advisors Funding 2012-1 Ltd.                              | Structured Finance | Subordinated Structured Note | 8/7/2012 | Residual Interest, current yield 0.00% | — |  | 8/15/2023 | 23,188 |  | 3,726 |  | — |  | — | % | (5)(14)(17) |
|                                                                        |  |  |  |  |  |  |  |    |  | 3,726 |  | — |  | — | % |  |
| Halcyon Loan Advisors Funding 2013-1 Ltd.                              | Structured Finance | Subordinated Structured Note | 3/8/2013 | Residual Interest, current yield 0.00% | — |  | 4/15/2025 | 40,400 |  | 19,984 |  | — |  | — | % | (5)(14)(17) |
|                                                                        |  |  |  |  |  |  |  |    |  | 19,984 |  | — |  | — | % |  |
| Halcyon Loan Advisors Funding 2014-1 Ltd.                              | Structured Finance | Subordinated Structured Note | 2/7/2014 | Residual Interest, current yield 0.00% | — |  | 4/20/2026 | 24,500 |  | 11,822 |  | — |  | — | % | (5)(14)(17) |
|                                                                        |  |  |  |  |  |  |  |    |  | 11,822 |  | — |  | — | % |  |
| Halcyon Loan Advisors Funding 2014-2 Ltd.                              | Structured Finance | Subordinated Structured Note | 4/14/2014 | Residual Interest, current yield 0.00% | — |  | 4/28/2025 | 41,164 |  | 21,322 |  | — |  | — | % | (5)(14)(17) |
|                                                                        |  |  |  |  |  |  |  |    |  | 21,322 |  | — |  | — | % |  |
| Halcyon Loan Advisors Funding 2015-3 Ltd.                              | Structured Finance | Subordinated Structured Note | 7/23/2015 | Residual Interest, current yield 0.00% | — |  | 10/18/2027 | 39,598 |  | 29,671 |  | 15,189 |  | 0.5 | % | (5)(14)(17) |
|                                                                        |  |  |  |  |  |  |  |    |  | 29,671 |  | 15,189 |  | 0.5 | % |  |

----

|                                                                        |
|------------------------------------------------------------------------|
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |   |   |   | September 30, 2020 (Unaudited) |   |   |
| Portfolio Company                                                 | Industry | Investments(1)(37) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |   |
|                                                                   |   |   |   |   |   |   |   |   |   |   |   |
| Non-Control/Non-Affiliate Investments (less than 5.00% voting control) |   |   |   |   |   |   |   |
|                                                                   |   |   |   |   |   |   |   |   |   |   |   |
| Halyard MD OpCo, LLC                                                   | Media | First Lien Term Loan | 8/6/2018 | 10.00% (3ML+ 8.00%) | 2.00 |  | 8/6/2023 | $ | 10,265 |  | $ | 10,265 |  | $ | 10,265 |  | 0.3 | % | (3)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 10,265 |  | 10,265 |  | 0.3 | % |  |
| HarbourView CLO VII-R, Ltd.                                            | Structured Finance | Subordinated Structured Note | 6/5/2015 | Residual Interest, current yield 0.00% | — |  | 7/18/2031 | 19,025 |  | 12,817 |  | 5,010 |  | 0.2 | % | (5)(14)(17) |
|                                                                        |  |  |  |  |  |  |  |    |  | 12,817 |  | 5,010 |  | 0.2 | % |  |
| Help/Systems Holdings, Inc.                                            | Software | First Lien Term Loan | 11/29/2019 | 5.75% (3ML+ 4.75%) | 1.00 |  | 11/19/2026 | 8,458 |  | 8,386 |  | 8,458 |  | 0.3 | % | (3)(8)(10) |
| Second Lien Term Loan                                                  | 11/22/2019 | 9.00% (3ML+ 8.00%) | 1.00 |  | 11/19/2027 | 17,500 |  | 17,198 |  | 17,198 |  | 0.5 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 25,584 |  | 25,656 |  | 0.8 | % |  |
| Inpatient Care Management Company, LLC                                 | Health Care Providers & Services | Senior Secured Term Loan | 6/8/2016 | 9.00% (3ML+ 8.00%) | 1.00 |  | 6/8/2021 | 14,000 |  | 14,000 |  | 13,973 |  | 0.4 | % | (3)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 14,000 |  | 13,973 |  | 0.4 | % |  |
| Jefferson Mill CLO Ltd.                                                | Structured Finance | Subordinated Structured Note | 6/26/2015 | Residual Interest, current yield 10.39% | — |  | 10/20/2031 | 23,594 |  | 19,760 |  | 12,476 |  | 0.4 | % | (5)(14) |
|                                                                        |  |  |  |  |  |  |  |    |  | 19,760 |  | 12,476 |  | 0.4 | % |  |
| K&N Parent, Inc.                                                   | Auto Components | First Lien Term Loan | 3/3/2020 | 5.75% (1ML+ 4.75%) | 1.00 |  | 10/20/2023 | 1,431 |  | 1,255 |  | 1,382 |  | — | % | (3)(8)(10) |
| Second Lien Term Loan                                                  | 10/28/2016 | 9.75% (1ML+ 8.75%) | 1.00 |  | 10/21/2024 | 25,887 |  | 25,553 |  | 24,160 |  | 0.8 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 26,808 |  | 25,542 |  | 0.8 | % |  |
| Keystone Acquisition Corp. (4)                                         | Health Care Providers & Services | Second Lien Term Loan | 5/18/2017 | 10.25% (3ML+ 9.25%) | 1.00 |  | 5/1/2025 | 50,000 |  | 50,000 |  | 49,692 |  | 1.6 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 50,000 |  | 49,692 |  | 1.6 | % |  |
| LCM XIV Ltd.                                                           | Structured Finance | Subordinated Structured Note | 6/25/2013 | Residual Interest, current yield 12.46% | — |  | 7/21/2031 | 49,934 |  | 28,707 |  | 19,322 |  | 0.6 | % | (5)(14) |
|                                                                        |  |  |  |  |  |  |  |    |  | 28,707 |  | 19,322 |  | 0.6 | % |  |
| Legility, LLC                                                          | Professional Services | First Lien Term Loan | 2/28/2020 | 7.00% (6ML+ 6.00%) | 1.00 |  | 12/17/2025 | 19,750 |  | 19,390 |  | 19,750 |  | 0.6 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 19,390 |  | 19,750 |  | 0.6 | % |  |
| LGC US FINCO, LLC                                                      | Machinery | First Lien Term Loan | 1/24/2020 | 7.50% (1ML+ 6.50%) | 1.00 |  | 12/20/2025 | 29,550 |  | 28,758 |  | 26,562 |  | 0.8 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 28,758 |  | 26,562 |  | 0.8 | % |  |
| Maverick Healthcare Equity, LLC                                        | Health Care Providers & Services | Preferred Units (1,250,000 units) | 10/31/2007 |  | — |  | N/A | — |  | — |  | — |  | — | % | (16) |
| Class A Common Units (1,250,000 units)                                 | 10/31/2007 |  | — |  | N/A | — |  | — |  | — |  | — | % | (16) |
|                                                                        |  |  |  |  |  |  |  |    |  | — |  | — |  | — | % |  |
| Medusind Acquisition, Inc. (19)                                        | Health Care Providers & Services | First Lien Term Loan | 9/30/2019 | 9.00% (3ML+ 8.00%) | 1.00 |  | 4/8/2024 | 24,324 |  | 24,032 |  | 23,674 |  | 0.7 | % | (3)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 24,032 |  | 23,674 |  | 0.7 | % |  |
| Mountain View CLO 2013-I Ltd.                                          | Structured Finance | Subordinated Structured Note | 4/17/2013 | Residual Interest, current yield 1.15% | — |  | 10/15/2030 | 43,650 |  | 28,516 |  | 15,324 |  | 0.5 | % | (5)(14) |
|                                                                        |  |  |  |  |  |  |  |    |  | 28,516 |  | 15,324 |  | 0.5 | % |  |
| Mountain View CLO IX Ltd.                                              | Structured Finance | Subordinated Structured Note | 5/13/2015 | Residual Interest, current yield 14.50% | — |  | 7/15/2031 | 47,830 |  | 29,590 |  | 26,834 |  | 0.8 | % | (5)(14) |
|                                                                        |  |  |  |  |  |  |  |    |  | 29,590 |  | 26,834 |  | 0.8 | % |  |
| Octagon Investment Partners XV, Ltd.                                   | Structured Finance | Subordinated Structured Note | 1/24/2013 | Residual Interest, current yield 11.73% | — |  | 7/19/2030 | 42,064 |  | 32,969 |  | 24,504 |  | 0.8 | % | (5)(14) |
|                                                                        |  |  |  |  |  |  |  |    |  | 32,969 |  | 24,504 |  | 0.8 | % |  |
| Octagon Investment Partners 18-R Ltd.                                  | Structured Finance | Subordinated Structured Note | 8/12/2015 | Residual Interest, current yield 16.00% | — |  | 4/16/2031 | 46,016 |  | 25,925 |  | 18,360 |  | 0.6 | % | (5)(14) |
|                                                                        |  |  |  |  |  |  |  |    |  | 25,925 |  | 18,360 |  | 0.6 | % |  |
| Pearl Intermediate Parent LLC                                          | Health Care Providers & Services | Second Lien Term Loan | 2/28/2018 | 6.40% (1ML+ 6.25%) | — |  | 2/15/2026 | 5,000 |  | 4,983 |  | 4,994 |  | 0.2 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 4,983 |  | 4,994 |  | 0.2 | % |  |

----

|                                                                        |
|------------------------------------------------------------------------|
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |   |   |   | September 30, 2020 (Unaudited) |   |   |
| Portfolio Company                                                 | Industry | Investments(1)(37) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |   |
|                                                                   |   |   |   |   |   |   |   |   |   |   |   |
| Non-Control/Non-Affiliate Investments (less than 5.00% voting control) |   |   |   |   |   |   |   |
|                                                                   |   |   |   |   |   |   |   |   |   |   |   |
| 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) |
| Delayed Draw Term Loan - $5,000 Commitment                             | 1/22/2020 | 10.00% (3ML+ 8.25%) | 1.75 |  | 1/22/2021 | — |  | — |  | — |  | — | % | (10)(15) |
| Senior Secured Term Loan                                               | 1/22/2020 | 10.00% (3ML+ 8.25%) | 1.75 |  | 1/22/2025 | 195,577 |  | 195,577 |  | 195,577 |  | 6.1 | % | (3)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 195,577 |  | 195,577 |  | 6.1 | % |  |
| PG Dental Holdings New Jersey, LLC                                     | Health Care Providers & Services | Delayed Draw Term Loan - $5,000 Commitment | 5/31/2019 | 10.00% (3ML+ 7.25%) | 2.75 |  | 5/31/2024 | 2,500 |  | 2,500 |  | 2,500 |  | 0.1 | % | (3)(10)(15) |
| Senior Secured Term Loan                                               | 5/31/2019 | 10.00% (3ML+ 7.25%) | 2.75 |  | 5/31/2024 | 22,185 |  | 22,185 |  | 22,185 |  | 0.7 | % | (3)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 24,685 |  | 24,685 |  | 0.8 | % |  |
| PlayPower, Inc.                                                        | Leisure Products | First Lien Term Loan | 5/16/2019 | 5.72% (3ML+ 5.50%) | — |  | 5/10/2026 | 6,246 |  | 6,194 |  | 5,993 |  | 0.2 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 6,194 |  | 5,993 |  | 0.2 | % |  |
| Research Now Group, Inc. & Survey Sampling International LLC       | Professional Services | First Lien Term Loan | 1/5/2018 | 6.50% (6ML+ 5.50%) | 1.00 |  | 12/20/2024 | 9,725 |  | 9,404 |  | 9,619 |  | 0.3 | % | (3)(8)(10) |
| Second Lien Term Loan                                                  | 1/5/2018 | 10.50% (6ML+ 9.50%) | 1.00 |  | 12/20/2025 | 50,000 |  | 47,727 |  | 49,167 |  | 1.5 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 57,131 |  | 58,786 |  | 1.8 | % |  |
| RGIS Services, LLC                                                     | Commercial Services & Supplies | Senior Secured Term Loan | 6/25/2020 | 8.50% (3ML+ 7.50%) | 1.00 |  | 6/25/2025 | 8,822 |  | 8,822 |  | 8,822 |  | 0.2 | % | (8)(10) |
| Membership Interest (4.34%)                                            | 6/25/2020 |  | — |  | N/A | — |  | 10,303 |  | 8,419 |  | 0.3 | % | (16) |
|                                                                        |  |  |  |  |  |  |  |    |  | 19,125 |  | 17,241 |  | 0.5 | % |  |
| RME Group Holding Company                                              | Media | Senior Secured Term Loan A | 5/4/2017 | 7.00% (3ML+ 6.00%) | 1.00 |  | 5/4/2022 | 27,459 |  | 27,458 |  | 27,153 |  | 0.8 | % | (3)(10) |
| Senior Secured Term Loan B                                             | 5/4/2017 | 12.00% (3ML+ 11.00%) | 1.00 |  | 5/4/2022 | 22,286 |  | 22,286 |  | 22,032 |  | 0.7 | % | (3)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 49,744 |  | 49,185 |  | 1.5 | % |  |
| Rocket Software, Inc.                                                  | Software | Second Lien Term Loan | 12/7/2018 | 8.51% (3ML+ 8.25%) | — |  | 11/27/2026 | 50,000 |  | 49,615 |  | 48,730 |  | 1.5 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 49,615 |  | 48,730 |  | 1.5 | % |  |
| Romark WM-R Ltd.                                                       | Structured Finance | Subordinated Structured Note | 4/11/2014 | Residual Interest, current yield 10.90% | — |  | 4/21/2031 | 27,725 |  | 23,604 |  | 14,940 |  | 0.5 | % | (5)(14) |
|                                                                        |  |  |  |  |  |  |  |    |  | 23,604 |  | 14,940 |  | 0.5 | % |  |
| Rosa Mexicano                                                          | Hotels, Restaurants & Leisure | Revolving Line of Credit - $500 Commitment | 3/29/2018 | 6.50% (3ML+ 5.25%) plus 2.25% PIK | 1.25 |  | 3/29/2023 | 510 |  | 510 |  | 465 |  | — | % | (10)(15)(39) |
| Senior Secured Term Loan                                               | 3/29/2018 | 6.50% (3ML+ 5.25%) plus 2.25% PIK | 1.25 |  | 3/29/2023 | 23,324 |  | 23,324 |  | 21,256 |  | 0.7 | % | (10)(39) |
|                                                                        |  |  |  |  |  |  |  |    |  | 23,834 |  | 21,721 |  | 0.7 | % |  |
| Securus Technologies Holdings, Inc.                                    | Communications Equipment | First Lien Term Loan | 9/3/2019 | 5.50% (6ML+ 4.50%) | 1.00 |  | 11/1/2024 | 9,898 |  | 9,142 |  | 9,007 |  | 0.3 | % | (8)(10) |
| Second Lien Term Loan                                                  | 11/3/2017 | 9.25% (6ML+ 8.25%) | 1.00 |  | 11/1/2025 | 50,662 |  | 50,539 |  | 45,184 |  | 1.4 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 59,681 |  | 54,191 |  | 1.7 | % |  |
| SEOTownCenter, Inc.                                                    | IT Services | Senior Secured Term Loan A | 4/10/2018 | 7.73% (3ML+ 7.50%) | — |  | 4/7/2023 | 24,644 |  | 24,643 |  | 24,644 |  | 0.8 | % | (3)(10)(39) |
| Senior Secured Term Loan B                                             | 4/10/2018 | 12.73% (3ML+ 12.50%) | — |  | 4/7/2023 | 19,119 |  | 19,119 |  | 19,119 |  | 0.6 | % | (3)(10)(39) |
|                                                                        |  |  |  |  |  |  |  |    |  | 43,762 |  | 43,763 |  | 1.4 | % |  |
| Shearer’s Foods, LLC                                             | Food Products | Second Lien Term Loan | 9/28/2020 | 8.75% (3ML+ 7.75%) | 1.00 |  | 9/23/2028 | 5,000 |  | 4,900 |  | 4,938 |  | 0.2 | % | (8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 4,900 |  | 4,938 |  | 0.2 | % |  |
| Shutterfly, Inc.                                                       | Internet & Direct Marketing Retail | First Lien Term Loan | 12/9/2019 | 7.00% (3ML+ 6.00%) | 1.00 |  | 9/25/2026 | 17,419 |  | 15,775 |  | 16,562 |  | 0.5 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 15,775 |  | 16,562 |  | 0.5 | % |  |
| Sorenson Communications, LLC                                           | Diversified Telecommunication Services | First Lien Term Loan | 5/8/2019 | 6.72% (3ML+ 6.50%) | — |  | 4/29/2024 | 7,564 |  | 7,507 |  | 7,564 |  | 0.2 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |  |  |  |    |  | 7,507 |  | 7,564 |  | 0.2 | % |  |

----

|                                                                            |
|----------------------------------------------------------------------------|
|                                                                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                            |  |  |  |   |   |   | September 30, 2020 (Unaudited) |   |   |
| Portfolio Company                                                     | Industry | Investments(1)(37) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |   |
|                                                                       |   |   |   |   |   |   |   |   |   |   |   |
| Non-Control/Non-Affiliate Investments (less than 5.00% voting control)     |   |   |   |   |   |   |   |
|                                                                       |   |   |   |   |   |   |   |   |   |   |   |
| Spectrum Holdings III Corp                                                 | Health Care Equipment & Supplies | Second Lien Term Loan | 2/13/2018 | 8.00% (6ML+ 7.00%) | 1.00 |  | 1/31/2026 | $ | 7,500 |  | $ | 7,475 |  | $ | 5,845 |  | 0.2 | % | (3)(8)(10) |
|                                                                            |  |  |  |  |  |  |  |    |  | 7,475 |  | 5,845 |  | 0.2 | % |  |
| Staples, Inc.                                                              | Distributors | First Lien Term Loan | 12/3/2019 | 5.25% (3ML+ 5.00%) | — |  | 4/16/2026 | 8,932 |  | 8,854 |  | 8,438 |  | 0.3 | % | (3)(8)(10) |
|                                                                            |  |  |  |  |  |  |  |    |  | 8,854 |  | 8,438 |  | 0.3 | % |  |
| Strategic Materials                                                        | Household Durables | Second Lien Term Loan | 11/1/2017 | 8.75% (3ML+ 7.75%) | 1.00 |  | 11/1/2025 | 7,000 |  | 6,956 |  | 5,249 |  | 0.2 | % | (3)(8)(10) |
|                                                                            |  |  |  |  |  |  |  |    |  | 6,956 |  | 5,249 |  | 0.2 | % |  |
| Sudbury Mill CLO Ltd.                                                      | Structured Finance | Subordinated Structured Note | 11/14/2013 | Residual Interest, current yield 0.00% | — |  | 1/19/2026 | 28,200 |  | 13,875 |  | 3,135 |  | 0.1 | % | (5)(14)(17) |
|                                                                            |  |  |  |  |  |  |  |    |  | 13,875 |  | 3,135 |  | 0.1 | % |  |
| Symphony CLO XIV, Ltd.                                                     | Structured Finance | Subordinated Structured Note | 5/6/2014 | Residual Interest, current yield 0.00% | — |  | 7/14/2026 | 49,250 |  | 29,076 |  | 15,318 |  | 0.5 | % | (5)(14)(17) |
|                                                                            |  |  |  |  |  |  |  |    |  | 29,076 |  | 15,318 |  | 0.5 | % |  |
| Symphony CLO XV, Ltd.                                                      | Structured Finance | Subordinated Structured Note | 10/17/2014 | Residual Interest, current yield 8.04% | — |  | 1/19/2032 | 63,831 |  | 43,830 |  | 22,567 |  | 0.7 | % | (5)(14) |
|                                                                            |  |  |  |  |  |  |  |    |  | 43,830 |  | 22,567 |  | 0.7 | % |  |
| TGP HOLDINGS III LLC                                                       | Household Durables | Second Lien Term Loan | 10/3/2017 | 9.50% (3ML+ 8.50%) | 1.00 |  | 9/25/2025 | 3,000 |  | 2,972 |  | 3,000 |  | 0.1 | % | (8)(10) |
|                                                                            |  |  |  |  |  |  |  |    |  | 2,972 |  | 3,000 |  | 0.1 | % |  |
| The Octave Music Group, Inc. (f/k/a Touchtunes Interactive Networks, Inc.) | Entertainment | First Lien Term Loan | 3/6/2020 | 6.25% (1ML+ 5.25%) plus 0.75% PIK | 1.00 |  | 5/29/2025 | 38,573 |  | 38,225 |  | 37,002 |  | 1.2 | % | (8)(10)(39) |
|                                                                            |  |  |  |  |  |  |  |    |  | 38,225 |  | 37,002 |  | 1.2 | % |  |
| Town & Country Holdings, Inc.                                          | Distributors | First Lien Term Loan | 1/26/2018 | 8.73% (3ML+ 8.50%) | — |  | 1/26/2023 | 163,521 |  | 163,521 |  | 163,521 |  | 5.1 | % | (3)(10)(39) |
|                                                                            |  |  |  |  |  |  |  |    |  | 163,521 |  | 163,521 |  | 5.1 | % |  |
| Transplace Holdings, Inc.                                                  | Transportation Infrastructure | Second Lien Term Loan | 10/16/2017 | 9.75% (6ML+ 8.75%) | 1.00 |  | 10/6/2025 | 28,104 |  | 27,683 |  | 27,683 |  | 0.9 | % | (3)(8)(10) |
|                                                                            |  |  |  |  |  |  |  |    |  | 27,683 |  | 27,683 |  | 0.9 | % |  |
| United Sporting Companies, Inc. (18)                                       | Distributors | Second Lien Term Loan | 9/28/2012 | 12.75% (1ML+ 11.00%) plus 2.00% PIK | 1.75 |  | 11/16/2019 | 147,423 |  | 105,431 |  | 6,580 |  | 0.2 | % | (9)(10) |
|                                                                            |  |  |  |  |  |  |  |    |  | 105,431 |  | 6,580 |  | 0.2 | % |  |
| Universal Fiber Systems, LLC                                               | Textiles, Apparel & Luxury Goods | Second Lien Term Loan | 10/16/2015 | 10.50% (1ML+ 9.50%) | 1.00 |  | 10/2/2022 | 37,000 |  | 36,789 |  | 34,797 |  | 1.1 | % | (3)(8)(10) |
|                                                                            |  |  |  |  |  |  |  |    |  | 36,789 |  | 34,797 |  | 1.1 | % |  |
| Upstream Newco, Inc.                                                       | Health Care Providers & Services | First Lien Term Loan | 12/2/2019 | 4.65% (1ML+ 4.50%) | — |  | 11/20/2026 | 8,210 |  | 8,172 |  | 8,018 |  | 0.2 | % | (3)(8)(10) |
| Second Lien Term Loan                                                      | 12/2/2019 | 8.65% (1ML+ 8.50%) | — |  | 11/20/2027 | 22,000 |  | 21,816 |  | 21,869 |  | 0.7 | % | (3)(8)(10) |
|                                                                            |  |  |  |  |  |  |  |    |  | 29,988 |  | 29,887 |  | 0.9 | % |  |
| USG Intermediate, LLC                                                      | Leisure Products | Revolving Line of Credit - $3,000 Commitment | 4/15/2015 | 10.25% (1ML+ 9.25%) | 1.00 |  | 8/24/2021 | 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 |  | 8/24/2022 | 16,393 |  | 16,393 |  | 16,393 |  | 0.5 | % | (3)(10) |
| Equity                                                                     | 4/15/2015 |  | — |  | N/A | — |  | 1 |  | — |  | — | % | (16) |
|                                                                            |  |  |  |  |  |  |  |    |  | 19,394 |  | 19,393 |  | 0.6 | % |  |
| Venio LLC                                                                  | Professional Services | Second Lien Term Loan | 2/19/2014 | 4.00% plus 10.00% PIK (3ML + 7.50%) | — |  | 2/19/2020 | 18,196 |  | 18,196 |  | 18,196 |  | 0.6 | % | (10)(39) |
|                                                                            |  |  |  |  |  |  |  |    |  | 18,196 |  | 18,196 |  | 0.6 | % |  |
| Versant Health Holdco, Inc. (f/k/a Wink Holdco, Inc.)                      | Insurance | Second Lien Term Loan | 12/12/2017 | 7.75% (1ML+ 6.75%) | 1.00 |  | 12/1/2025 | 3,000 |  | 2,990 |  | 3,000 |  | 0.1 | % | (3)(8)(10) |
|                                                                            |  |  |  |  |  |  |  |    |  | 2,990 |  | 3,000 |  | 0.1 | % |  |
| Voya CLO 2012-4, Ltd.                                                      | Structured Finance | Subordinated Structured Note | 11/5/2012 | Residual Interest, current yield 5.31% | — |  | 10/15/2030 | 40,613 |  | 30,399 |  | 23,584 |  | 0.7 | % | (5)(14) |
|                                                                            |  |  |  |  |  |  |  |    |  | 30,399 |  | 23,584 |  | 0.7 | % |  |

----

|                                                                        |
|------------------------------------------------------------------------|
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |   |   |   | September 30, 2020 (Unaudited) |   |   |
| Portfolio Company                                                 | Industry | Investments(1)(37) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |   |
|                                                                   |   |   |   |   |   |   |   |   |   |   |   |
| Non-Control/Non-Affiliate Investments (less than 5.00% voting control) |   |   |   |   |   |   |   |
|                                                                   |   |   |   |   |   |   |   |   |   |   |   |
| Voya CLO 2014-1, Ltd.                                                  | Structured Finance | Subordinated Structured Note | 2/5/2014 | Residual Interest, current yield 4.95% | — |  | 4/18/2031 | $ | 40,772 |  | $ | 30,683 |  | $ | 18,428 |  | 0.6 | % | (5)(14) |
|                                                                        |  |  |  |  |  |  |  |    |  | 30,683 |  | 18,428 |  | 0.6 | % |  |
| Voya CLO 2016-3, Ltd.                                                  | Structured Finance | Subordinated Structured Note | 9/30/2016 | Residual Interest, current yield 8.36% | — |  | 10/20/2031 | 28,100 |  | 26,204 |  | 19,485 |  | 0.6 | % | (5)(14) |
|                                                                        |  |  |  |  |  |  |  |    |  | 26,204 |  | 19,485 |  | 0.6 | % |  |
| Voya CLO 2017-3, Ltd.                                                  | Structured Finance | Subordinated Structured Note | 6/13/2017 | Residual Interest, current yield 9.80% | — |  | 7/22/2030 | 44,885 |  | 49,945 |  | 39,467 |  | 1.3 | % | (5)(14) |
|                                                                        |  |  |  |  |  |  |  |    |  | 49,945 |  | 39,467 |  | 1.3 | % |  |
| VT Topco, Inc.                                                         | Commercial Services & Supplies | Second Lien Term Loan | 8/23/2018 | 7.15% (1ML+ 7.00%) | — |  | 8/17/2026 | 7,000 |  | 6,974 |  | 6,688 |  | 0.2 | % |   |
|                                                                        |  |  |  |  |  |  |  |    |  | 6,974 |  | 6,688 |  | 0.2 | % |   |
| Total Non-Control/Non-Affiliate Investments (Level 3)                  |   | $ | 3,335,811 |  | $ | 2,816,638 |  | 88.5 | % |   |
|                                                                   |   |   |   |   |   |
| Total Portfolio Investments (Level 3)                                  |   | $ | 5,828,931 |  | $ | 5,386,385 |  | 169.2 | % |   |

----

|                                                              |
|--------------------------------------------------------------|
|                                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                         |   |   |   |   |   |   | June 30, 2020 |   |
| Portfolio Company                                       | Industry | Investments(1)(38) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |
| LEVEL 3 PORTFOLIO INVESTMENTS                                |   |   |   |   |   |   |   |   |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |
| Control Investments (greater than 25.00% voting control)(42) |   |   |   |   |   |   |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |
| CP Energy Services Inc. (20)                                 | Energy Equipment & Services | Senior Secured Term Loan | 10/1/2017 | 12.00% (3ML+ 11.00%) | 1.00 |  | 12/29/2022 | $ | 36,744 |  | $ | 36,744 |  | $ | 36,744 |  | 1.2% | (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 | 13,156 |  | 13,156 |  | 13,156 |  | 0.4% | (10) |
| Senior Secured Term Loan B to Spartan Energy Services, LLC   | 10/20/2014 | 15.00% PIK (1ML+ 14.00%) | 1.00 |  | 12/31/2022 | 25,234 |  | 23,360 |  | 5,555 |  | 0.1% |  |
| Series B Convertible Preferred Stock (790 shares)            | 10/30/2015 |   | — |  | N/A | — |  | 63,225 |  | 14,430 |  | 0.5% | (16) |
| Common Stock (102,924 shares)                                | 8/2/2013 |   | — |  | N/A | — |  | 86,241 |  | — |  | —% | (16) |
|                                                         |   |   |   |   |   |   |   | 222,726 |  | 69,885 |  | 2.2% |   |
| Credit Central Loan Company, LLC (21)                        | Consumer Finance | Subordinated Term Loan | 12/28/2012 | 10.00% plus 10.00% PIK | — |  | 6/26/2024 | 62,859 |  | 59,870 |  | 62,859 |  | 2.1% | (14)(39) |
| Class A Units (14,867,312 units)                             | 12/28/2012 |   | — |  | N/A | — |  | 19,331 |  | 12,826 |  | 0.4% | (14)(16) |
| Net Revenues Interest (25% of Net Revenues)                  | 1/28/2015 |   | — |  | N/A | — |  | — |  | — |  | —% | (14)(16) |
|                                                         |   |   |   |   |   |   |   | 79,201 |  | 75,685 |  | 2.5% |   |
| 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 | 45,072 |  | 45,072 |  | 45,072 |  | 1.4% | (10)(39) |
| Senior Secured Term Loan                                     | 12/9/2016 | 11.00% (1ML+ 9.00%) plus 1.00% PIK | 2.00 |  | 12/7/2024 | 20,399 |  | 20,399 |  | 20,399 |  | 0.7% | (10)(39) |
| Membership Interest (100%)                                   | 3/31/2014 |   | — |  | N/A | — |  | 22,737 |  | 20,156 |  | 0.7% | (16) |
|                                                         |   |   |   |   |   |   |   | 88,208 |  | 85,627 |  | 2.8% |   |
| First Tower Finance Company LLC (23)                         | Consumer Finance | Subordinated Term Loan to First Tower, LLC | 6/24/2014 | 10.00% plus 10.50% PIK | — |  | 6/24/2024 | 277,069 |  | 277,069 |  | 277,069 |  | 9.0% | (14)(39) |
| Class A Units (95,709,910 units)                             | 6/14/2012 |   | — |  | N/A | — |  | 81,146 |  | 231,396 |  | 7.6% | (14)(16) |
|                                                         |   |   |   |   |   |   |   | 358,215 |  | 508,465 |  | 16.6% |   |
| Freedom Marine Solutions, LLC (24)                           | Energy Equipment & Services | Membership Interest (100%) | 11/9/2006 |   | — |  | N/A | — |  | 43,892 |  | 12,351 |  | 0.4% | (16) |
|                                                         |   |   |   |   |   |   |   | 43,892 |  | 12,351 |  | 0.4% |   |
| InterDent, Inc. (29)                                         | Health Care Providers & Services | Senior Secured Term Loan A/B | 8/1/2018 | 7.05% (1ML+ 5.05%) | 2.00 |  | 9/5/2020 | 14,249 |  | 14,249 |  | 14,249 |  | 0.5% | (10)(39) |
| Senior Secured Term Loan A                                   | 8/3/2012 | 6.25% (1ML+ 5.50%) | 0.75 |  | 9/5/2020 | 79,242 |  | 79,242 |  | 79,242 |  | 2.6% | (10)(39) |
| Senior Secured Term Loan B                                   | 8/3/2012 | 10.00% PIK | — |  | 9/5/2020 | 128,443 |  | 128,443 |  | 128,443 |  | 4.2% | (39) |
| Senior Secured Term Loan C                                   | 3/22/2018 | 18.00% PIK | — |  | 9/5/2020 | 48,929 |  | 35,767 |  | 8,823 |  | 0.3% |  |
| Senior Secured Term Loan D                                   | 9/19/2018 | 1.00% PIK | — |  | 9/5/2020 | 9,458 |  | 9,351 |  | — |  | —% |  |
| Common Stock (99,900 shares)                                 | 5/3/2019 |   | — |  | N/A | — |  | 1 |  | — |  | —% | (16) |
|                                                         |   |   |   |   |   |   |   | 267,053 |  | 230,757 |  | 7.6% |   |
| Kickapoo Ranch Pet Resort                                    | Diversified Consumer Services | Membership Interest (100%) | 8/26/2019 |   | — |  | N/A | — |  | 2,378 |  | 3,286 |  | 0.1% | (16) |
|                                                         |   |   |   |   |   |   |   | 2,378 |  | 3,286 |  | 0.1% |   |
| MITY, Inc. (25)                                              | Commercial Services & Supplies | Senior Secured Note A | 9/19/2013 | 10.00% (3ML+ 7.00%) | 3.00 |  | 4/30/2025 | 26,250 |  | 26,250 |  | 26,250 |  | 0.9% | (10) |
| Senior Secured Note B                                        | 6/23/2014 | 10.00% (3ML+ 7.00%) plus 10.00% PIK | 3.00 |  | 4/30/2025 | 33,008 |  | 33,008 |  | 25,655 |  | 0.8% | (10)(39) |
| Subordinated Unsecured Note to Broda Enterprises ULC         | 9/19/2013 | 10.00% | — |  | 1/1/2028 | 7,200 |  | 6,350 |  | — |  | —% | (14) |
| Common Stock (42,053 shares)                                 | 9/19/2013 |   | — |  | N/A | — |  | 6,849 |  | — |  | —% | (16) |
|                                                         |   |   |   |   |   |   |   | 72,457 |  | 51,905 |  | 1.7% |   |

----

|                                                              |
|--------------------------------------------------------------|
|                                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                         |   |   |   |   |   |   | June 30, 2020 |   |
| Portfolio Company                                       | Industry | Investments(1)(38) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |
| LEVEL 3 PORTFOLIO INVESTMENTS                                |   |   |   |   |   |   |   |   |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |
| Control Investments (greater than 25.00% voting control)(42) |   |   |   |   |   |   |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |
| National Property REIT Corp. (26)                            | Equity Real Estate Investment Trusts (REITs) / Online Lending / Structured Finance | Senior Secured Term Loan A | 12/31/2018 | 4.44% (3ML+ 1.44%) plus 3.53% PIK | 3.00 |  | 12/31/2023 | $ | 302,633 |  | $ | 302,633 |  | $ | 302,633 |  | 9.9% | (10)(39) |
| Senior Secured Term Loan B                                   | 12/31/2018 | 5.00% (3ML+ 2.00%) plus 5.50% PIK | 3.00 |  | 12/31/2023 | 45,950 |  | 45,950 |  | 45,950 |  | 1.5% | (10)(39) |
| Senior Secured Term Loan C                                   | 10/31/2019 | 11.00% (3ML+ 10.00%) plus 2.25% PIK | 1.00 |  | 12/31/2023 | 79,200 |  | 79,200 |  | 79,200 |  | 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 |  | 6.0% | (10)(39) |
| Residual Profit Interest                                     | 12/31/2018 |   | — |  | N/A | — |  | — |  | 21,461 |  | 0.7% | (35) |
| Common Stock (3,254,594 shares)                              | 12/31/2013 |   | — |  | N/A | — |  | 210 |  | 246,064 |  | 8.1% | (45) |
|                                                         |   |   |   |   |   |   |   | 611,418 |  | 878,733 |  | 28.8% |   |
| Nationwide Loan Company LLC (27)                             | Consumer Finance | Senior Subordinated Term Loan to Nationwide Acceptance LLC | 6/18/2014 | 10.00% plus 10.00% PIK | — |  | 6/18/2021 | 20,087 |  | 20,087 |  | 20,087 |  | 0.6% | (14)(39) |
| Class A Units (38,550,460 units)                             | 1/31/2013 |   | — |  | N/A | — |  | 20,462 |  | 17,151 |  | 0.6% | (14)(16) |
|                                                         |   |   |   |   |   |   |   | 40,549 |  | 37,238 |  | 1.2% |   |
| NMMB, Inc. (28)                                              | Media | Delayed Draw Term Loan - $10,000 Commitment | 3/25/2020 | 10.50% (3ML+ 8.50%) | 2.00 |  | 12/30/2024 | — |  | — |  | — |  | —% | (10)(15) |
| Senior Secured Note                                          | 12/30/2019 | 10.50% (3ML+ 8.50%) | 2.00 |  | 12/30/2024 | 5,025 |  | 5,025 |  | 5,025 |  | 0.2% | (3)(10) |
| Common Stock (21,419 shares)                                 | 12/30/2019 |   | — |  | N/A | — |  | 12,869 |  | 28,643 |  | 0.9% |   |
|                                                         |   |   |   |   |   |   |   | 17,894 |  | 33,668 |  | 1.1% |   |
| Pacific World Corporation (36)                               | Personal Products | Revolving Line of Credit - $26,000 Commitment | 9/26/2014 | 8.25% (1ML+ 7.25%) | 1.00 |  | 9/26/2020 | 20,825 |  | 20,825 |  | 20,825 |  | 0.7% | (10)(15) |
| Senior Secured Term Loan A                                   | 12/31/2014 | 6.25% PIK (1ML+ 5.25%) | 1.00 |  | 9/26/2020 | 39,082 |  | 39,082 |  | 39,082 |  | 1.3% | (10)(39) |
| Convertible Preferred Equity (247,330 shares)                | 6/15/2018 |   | — |  | N/A | — |  | 186,795 |  | — |  | —% | (16) |
| Common Stock (6,778,414 shares)                              | 9/29/2017 |   | — |  | N/A | — |  | — |  | — |  | —% | (16) |
|                                                         |   |   |   |   |   |   |   | 246,702 |  | 59,907 |  | 2.0% |   |
| R-V Industries, Inc.                                         | Machinery | Senior Subordinated Note | 6/12/2013 | 10.00% (3ML+ 9.00%) | 1.00 |  | 3/31/2022 | 28,622 |  | 28,622 |  | 28,622 |  | 0.9% | (3)(10) |
| Common Stock (745,107 shares)                                | 6/26/2007 |   | — |  | N/A | — |  | 6,867 |  | 9,943 |  | 0.3% | (16) |
|                                                         |   |   |   |   |   |   |   | 35,489 |  | 38,565 |  | 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 |  | 7/22/2021 | 2,887 |  | 2,887 |  | 2,887 |  | 0.1% | (10)(15) |
| Senior Secured Term Loan A                                   | 7/22/2016 | 6.75% (3ML+ 5.75%) | 1.00 |  | 7/22/2021 | 30,063 |  | 30,063 |  | 23,712 |  | 0.8% | (10) |
| Senior Secured Term Loan B                                   | 7/22/2016 | 12.75% PIK (3ML+ 11.75%) | 1.00 |  | 7/22/2021 | 42,941 |  | 32,500 |  | — |  | —% | (9)(10) |
| Common Stock (10,000 units)                                  | 12/10/2018 |   | — |  | N/A | — |  | — |  | — |  | —% | (16) |
|                                                         |   |   |   |   |   |   |   | 65,450 |  | 26,599 |  | 0.9% |   |
| USES Corp. (30)                                              | Commercial Services & Supplies | Senior Secured Term Loan A | 3/31/2014 | 9.00% PIK | — |  | 7/29/2022 | 50,327 |  | 30,651 |  | 17,325 |  | 0.6% | (9) |
| Senior Secured Term Loan B                                   | 3/31/2014 | 15.50% PIK | — |  | 7/29/2022 | 66,283 |  | 35,568 |  | — |  | —% | (9) |
| Common Stock (268,962 shares)                                | 6/15/2016 |   | — |  | N/A | — |  | — |  | — |  | —% | (16) |
|                                                         |   |   |   |   |   |   |   | 66,219 |  | 17,325 |  | 0.6% |   |

----

|                                                              |
|--------------------------------------------------------------|
|                                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                         |   |   |   |   |   |   | June 30, 2020 |   |
| Portfolio Company                                       | Industry | Investments(1)(38) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |
| LEVEL 3 PORTFOLIO INVESTMENTS                                |   |   |   |   |   |   |   |   |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |
| Control Investments (greater than 25.00% voting control)(42) |   |   |   |   |   |   |   |
|                                                         |   |   |   |   |   |   |   |   |   |   |   |
| Valley Electric Company, Inc. (31)                           | Construction & Engineering | Senior Secured Note to Valley Electric Co. of Mt. Vernon, Inc. | 12/31/2012 | 8.00% (3ML+ 5.00%) plus 2.50% PIK | 3.00 |  | 12/31/2024 | $ | 10,430 |  | $ | 10,430 |  | $ | 10,430 |  | 0.3% | (3)(10)(39) |
| Senior Secured Note                                          | 6/24/2014 | 8.00% plus 10.00% PIK | — |  | 6/23/2024 | 33,301 |  | 33,301 |  | 33,301 |  | 1.1% | (39) |
| Consolidated Revenue Interest (2.0%)                         | 6/22/2018 |   | — |  | N/A | — |  | — |  | 2,448 |  | 0.1% | (12) |
| Common Stock (50,000 shares)                                 | 12/31/2012 |   | — |  | N/A | — |  | 25,143 |  | 83,117 |  | 2.7% |   |
|                                                         |   |   |   |   |   |   |   | 68,874 |  | 129,296 |  | 4.2% |   |
| Total Control Investments (Level 3)                          |   | $ | 2,286,725 |  | $ | 2,259,292 |  | 73.9% |   |

----

|                                                            |
|------------------------------------------------------------|
|                                                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                       |   |   |   |   |   |   | June 30, 2020 |   |
| Portfolio Company                                     | Industry | Investments(1)(38) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |   |
|                                                       |   |   |   |   |   |   |   |   |   |   |   |
| LEVEL 3 PORTFOLIO INVESTMENTS                              |   |   |   |   |   |   |   |   |   |
|                                                       |   |   |   |   |   |   |   |   |   |   |   |
| Affiliate Investments (5.00% to 24.99% voting control)(43) |   |   |   |   |   |   |   |
|                                                       |   |   |   |   |   |   |   |   |   |   |   |
| Edmentum Ultimate Holdings, LLC (22)                       | Diversified Consumer Services | Second Lien Revolving Credit Facility to Edmentum, Inc. - $7,834 Commitment | 6/9/2015 | 5.00% PIK | — |  | 12/9/2021 | $ | 8,539 |  | $ | 9,986 |  | $ | 8,539 |  | 0.2% | (15)(39) |
| Unsecured Senior PIK Note                                  | 6/9/2015 | 8.50% PIK | — |  | 12/9/2021 | 8,920 |  | 8,920 |  | 8,920 |  | 0.3% | (39) |
| Unsecured Junior PIK Note                                  | 6/9/2015 | 10.00% PIK | — |  | 12/9/2021 | 43,048 |  | 28,665 |  | 42,159 |  | 1.4% | (39) |
| Class A Units (370,964 units)                              | 6/9/2015 |   | — |  | N/A | — |  | 6,577 |  | — |  | —% | (16) |
|                                                       |   |   |   |   |   |   |   | 54,148 |  | 59,618 |  | 1.9% |   |
| Nixon, Inc. (32)                                           | Textiles, Apparel & Luxury Goods | Common Stock (857 units) | 5/12/2017 |   | — |  | N/A | — |  | — |  | — |  | —% | (16) |
|                                                       |   |   |   |   |   |   |   | — |  | — |  | —% |   |
| PGX Holdings, Inc. (6)                                     | Diversified Consumer Services | 1.5 Lien Term Loan | 5/27/2020 | 11.50% PIK (3ML+ 10.50%) | 1.00 |  | 3/29/2024 | 1,981 |  | 1,981 |  | 1,981 |  | 0.1% | (10)(39) |
| Second Lien Term Loan                                      | 9/29/2014 | 15.75% PIK (1ML+ 14.75%) | 1.00 |  | 9/29/2024 | 104,550 |  | 104,550 |  | 98,873 |  | 3.2% | (10)(39) |
| Common Stock (28,961,715 shares)                           | 5/27/2020 |   | — |  | N/A | — |  | — |  | 5,857 |  | 0.2% | (16) |
|                                                       |   |   |   |   |   |   |   | 106,531 |  | 106,711 |  | 3.5% |   |
| Targus Cayman HoldCo Limited (33)                          | Textiles, Apparel & Luxury Goods | Common Stock (7,383,395 shares) | 2/12/2016 |   | — |  | N/A | — |  | 2,805 |  | 21,208 |  | 0.7% | (16) |
|                                                       |   |   |   |   |   |   |   | 2,805 |  | 21,208 |  | 0.7% |   |
| Total Affiliate Investments (Level 3)                      |   | $ | 163,484 |  | $ | 187,537 |  | 6.1% |   |

----

|                                                                        |
|------------------------------------------------------------------------|
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  | June 30, 2020 |  |
| Portfolio Company                                                 | Industry | Investments(1)(38) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| LEVEL 3 PORTFOLIO INVESTMENTS                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Non-Control/Non-Affiliate Investments (less than 5.00% voting control) |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| 8th Avenue Food & Provisions, Inc.                                 | Food Products | Second Lien Term Loan | 10/10/2018 | 7.93% (1ML+ 7.75%) | — |  | 10/1/2026 | $ | 25,000 |  | $ | 24,853 |  | $ | 25,000 |  | 0.8 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 24,853 |  | 25,000 |  | 0.8 | % |  |
| ACE Cash Express, Inc.                                                 | Consumer Finance | Senior Secured Note | 12/15/2017 | 12.00% | — |  | 12/15/2022 | 30,000 |  | 28,806 |  | 24,338 |  | 0.8 | % | (8)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 28,806 |  | 24,338 |  | 0.8 | % |  |
| Ahead Data Blue, LLC                                                   | IT Services | Second Lien Term Loan | 12/13/2019 | 10.00% (3ML+ 8.50%) | 1.50 |  | 11/8/2025 | 70,000 |  | 70,000 |  | 70,000 |  | 2.3 | % | (3)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 70,000 |  | 70,000 |  | 2.3 | % |  |
| AmeriLife Holdings, LLC                                                | Insurance | Second Lien Term Loan | 4/2/2020 | 9.50% (3ML+ 8.50%) | 1.00 |  | 3/18/2028 | 10,000 |  | 9,806 |  | 9,806 |  | 0.3 | % | (8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 9,806 |  | 9,806 |  | 0.3 | % |  |
| Apidos CLO XI                                                          | Structured Finance | Subordinated Structured Note | 12/6/2012 | Residual Interest, current yield 8.74% | — |  | 10/17/2030 | 40,500 |  | 32,650 |  | 25,211 |  | 0.8 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 32,650 |  | 25,211 |  | 0.8 | % |  |
| Apidos CLO XII                                                         | Structured Finance | Subordinated Structured Note | 3/15/2013 | Residual Interest, current yield 14.25% | — |  | 4/15/2031 | 52,202 |  | 38,099 |  | 29,275 |  | 1.0 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 38,099 |  | 29,275 |  | 1.0 | % |  |
| Apidos CLO XV                                                          | Structured Finance | Subordinated Structured Note | 9/13/2013 | Residual Interest, current yield 12.38% | — |  | 4/21/2031 | 48,515 |  | 39,270 |  | 27,793 |  | 0.9 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 39,270 |  | 27,793 |  | 0.9 | % |  |
| Apidos CLO XXII                                                        | Structured Finance | Subordinated Structured Note | 9/16/2015 | Residual Interest, current yield 15.58% | — |  | 4/21/2031 | 35,855 |  | 30,035 |  | 24,192 |  | 0.8 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 30,035 |  | 24,192 |  | 0.8 | % |  |
| Ark-La-Tex Wireline Services, LLC                                      | Energy Equipment & Services | Escrow Receivable | 4/8/2014 |  | — |  | N/A | — |  | — |  | — |  | — | % |  |
|                                                                        |  |  |  |  |    |  |  |    |  | — |  | — |  | — | % |  |
| 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 |  | 4/30/2021 | — |  | — |  | — |  | — | % | (10)(15) |
| Senior Secured Term Loan                                               | 2/21/2013 | 10.75% (3ML+ 8.75%) | 2.00 |  | 4/30/2021 | 71,409 |  | 71,409 |  | 71,409 |  | 2.3 | % | (3)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 71,409 |  | 71,409 |  | 2.3 | % |  |
| Barings CLO 2018-III                                                   | Structured Finance | Subordinated Structured Note | 10/9/2014 | Residual Interest, current yield 3.93% | — |  | 7/20/2029 | 83,098 |  | 48,464 |  | 30,106 |  | 1.0 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 48,464 |  | 30,106 |  | 1.0 | % |  |
| Broder Bros., Co.                                                      | Textiles, Apparel & Luxury Goods | Senior Secured Note | 12/4/2017 | 9.75% (3ML+ 8.50%) | 1.25 |  | 12/2/2022 | 166,307 |  | 166,307 |  | 164,656 |  | 5.4 | % | (3)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 166,307 |  | 164,656 |  | 5.4 | % |  |
| Brookside Mill CLO Ltd.                                                | Structured Finance | Subordinated Structured Note | 4/25/2013 | Residual Interest, current yield 0.00% | — |  | 1/17/2028 | 36,300 |  | 17,033 |  | 11,920 |  | 0.4 | % | (5)(14)(17) |
|                                                                        |  |  |  |  |    |  |  |    |  | 17,033 |  | 11,920 |  | 0.4 | % |  |
| California Street CLO IX Ltd.                                          | Structured Finance | Subordinated Structured Note | 4/19/2012 | Residual Interest, current yield 6.69% | — |  | 7/16/2032 | 58,915 |  | 40,994 |  | 27,579 |  | 0.9 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 40,994 |  | 27,579 |  | 0.9 | % |  |
| Candle-Lite Company, LLC                                               | Household Products | Senior Secured Term Loan A | 1/23/2018 | 6.75% (3ML+ 5.50%) | 1.25 |  | 1/23/2023 | 11,937 |  | 11,937 |  | 11,937 |  | 0.4 | % | (3)(10) |
| Senior Secured Term Loan B                                             | 1/23/2018 | 10.75% (3ML+ 9.50%) | 1.25 |  | 1/23/2023 | 12,500 |  | 12,500 |  | 12,425 |  | 0.4 | % | (3)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 24,437 |  | 24,362 |  | 0.8 | % |  |
| Capstone Logistics Acquisition, Inc.                                   | Commercial Services & Supplies | Second Lien Term Loan | 10/7/2014 | 9.32% (6ML+ 8.25%) | 1.00 |  | 10/7/2022 | 98,982 |  | 98,790 |  | 98,982 |  | 3.2 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 98,790 |  | 98,982 |  | 3.2 | % |  |
| Carlyle C17 CLO Limited                                                | Structured Finance | Subordinated Structured Note | 1/24/2013 | Residual Interest, current yield 20.31% | — |  | 4/30/2031 | 24,870 |  | 15,391 |  | 13,009 |  | 0.4 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 15,391 |  | 13,009 |  | 0.4 | % |  |

----

|                                                                        |
|------------------------------------------------------------------------|
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  | June 30, 2020 |  |
| Portfolio Company                                                 | Industry | Investments(1)(38) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| LEVEL 3 PORTFOLIO INVESTMENTS                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Non-Control/Non-Affiliate Investments (less than 5.00% voting control) |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Carlyle Global Market Strategies CLO 2014-4-R, Ltd.                    | Structured Finance | Subordinated Structured Note | 4/7/2017 | Residual Interest, current yield 17.05% | — |  | 7/15/2030 | $ | 25,534 |  | $ | 18,656 |  | $ | 15,534 |  | 0.5 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 18,656 |  | 15,534 |  | 0.5 | % |  |
| Carlyle Global Market Strategies CLO 2016-3, Ltd.                      | Structured Finance | Subordinated Structured Note | 8/9/2016 | Residual Interest, current yield 12.42% | — |  | 10/22/2029 | 32,200 |  | 33,536 |  | 25,358 |  | 0.8 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 33,536 |  | 25,358 |  | 0.8 | % |  |
| CCS-CMGC Holdings, Inc.                                                | Health Care Providers & Services | First Lien Term Loan | 5/23/2019 | 6.57% (6ML+ 5.50%) | — |  | 10/1/2025 | 6,010 |  | 5,929 |  | 5,929 |  | 0.2 | % | (3)(8)(10) |
| First Lien Term Loan                                                   | 5/23/2019 | 6.26% (3ML+ 5.50%) | — |  | 10/1/2025 | 3,615 |  | 3,566 |  | 3,566 |  | 0.1 | % | (3)(8)(10) |
| Second Lien Term Loan                                                  | 10/12/2018 | 9.76% (3ML+ 9.00%) | — |  | 10/1/2026 | 37,000 |  | 36,443 |  | 36,443 |  | 1.2 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 45,938 |  | 45,938 |  | 1.5 | % |  |
| Cent CLO 21 Limited                                                    | Structured Finance | Subordinated Structured Note | 5/15/2014 | Residual Interest, current yield 7.80% | — |  | 7/29/2030 | 49,552 |  | 38,806 |  | 26,006 |  | 0.9 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 38,806 |  | 26,006 |  | 0.9 | % |  |
| CIFC Funding 2013-III-R, Ltd.                                          | Structured Finance | Subordinated Structured Note | 8/2/2013 | Residual Interest, current yield 10.23% | — |  | 4/24/2031 | 44,100 |  | 29,717 |  | 21,373 |  | 0.7 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 29,717 |  | 21,373 |  | 0.7 | % |  |
| CIFC Funding 2013-IV, Ltd.                                             | Structured Finance | Subordinated Structured Note | 10/22/2013 | Residual Interest, current yield 13.44% | — |  | 4/28/2031 | 45,500 |  | 33,090 |  | 27,518 |  | 0.9 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 33,090 |  | 27,518 |  | 0.9 | % |  |
| CIFC Funding 2014-IV-R, Ltd.                                           | Structured Finance | Subordinated Structured Note | 8/5/2014 | Residual Interest, current yield 9.49% | — |  | 10/17/2030 | 44,467 |  | 31,238 |  | 22,711 |  | 0.7 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 31,238 |  | 22,711 |  | 0.7 | % |  |
| CIFC Funding 2016-I, Ltd.                                              | Structured Finance | Subordinated Structured Note | 12/9/2016 | Residual Interest, current yield 9.57% | — |  | 10/21/2031 | 34,000 |  | 30,096 |  | 26,209 |  | 0.9 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 30,096 |  | 26,209 |  | 0.9 | % |  |
| Cinedigm DC Holdings, LLC                                              | Entertainment | Senior Secured Term Loan | 2/28/2013 | 11.00% (3ML+ 9.00%) plus 2.50% PIK | 2.00 |  | 3/31/2021 | 12,107 |  | 12,057 |  | 12,107 |  | 0.4 | % | (10)(39) |
|                                                                        |  |  |  |  |    |  |  |    |  | 12,057 |  | 12,107 |  | 0.4 | % |  |
| Class Valuation, LLC                                                   | Real Estate Management & Development | Senior Secured Term Loan | 3/12/2018 | 9.75% (3ML+ 8.25%) | 1.50 |  | 3/10/2023 | 31,747 |  | 31,747 |  | 31,747 |  | 1.0 | % | (3)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 31,747 |  | 31,747 |  | 1.0 | % |  |
| 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 |  | 1.0 | % | (3)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 30,165 |  | 30,165 |  | 1.0 | % |  |
| Columbia Cent CLO 27 Limited                                           | Structured Finance | Subordinated Structured Note | 12/18/2013 | Residual Interest, current yield 7.78% | — |  | 10/25/2028 | 40,275 |  | 23,099 |  | 18,356 |  | 0.6 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 23,099 |  | 18,356 |  | 0.6 | % |  |
| Coverall North America, Inc.                                           | Commercial Services & Supplies | Senior Secured Term Loan A | 11/2/2015 | 7.00% (3ML+ 6.00%) | 1.00 |  | 5/3/2021 | 2,622 |  | 2,622 |  | 2,622 |  | 0.1 | % | (3)(10) |
| Senior Secured Term Loan B                                             | 11/2/2015 | 12.00% (3ML+ 11.00%) | 1.00 |  | 5/3/2021 | 22,750 |  | 22,750 |  | 22,750 |  | 0.7 | % | (3)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 25,372 |  | 25,372 |  | 0.8 | % |  |
| CP VI Bella Midco                                                      | IT Services | Second Lien Term Loan | 2/26/2018 | 6.93% (1ML+ 6.75%) | — |  | 12/29/2025 | 15,750 |  | 15,711 |  | 15,750 |  | 0.5 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 15,711 |  | 15,750 |  | 0.5 | % |  |
| Digital Room, LLC                                                      | Commercial Services & Supplies | First Lien Term Loan | 5/29/2019 | 6.07% (6ML+ 5.00%) | — |  | 5/21/2026 | 9,900 |  | 9,785 |  | 9,359 |  | 0.3 | % | (3)(8)(10) |
| Second Lien Term Loan                                                  | 5/30/2019 | 10.07% (6ML+ 9.00%) | — |  | 5/21/2027 | 70,000 |  | 70,000 |  | 66,761 |  | 2.2 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 79,785 |  | 76,120 |  | 2.5 | % |  |
| Dunn Paper, Inc.                                                       | Paper & Forest Products | First Lien Term Loan | 11/27/2019 | 5.75% (1ML+ 4.75%) | 1.00 |  | 8/26/2022 | 4,488 |  | 4,393 |  | 4,393 |  | 0.1 | % | (3)(8)(10) |
| Second Lien Term Loan                                                  | 10/7/2016 | 9.75% (1ML+ 8.75%) | 1.00 |  | 8/26/2023 | 11,500 |  | 11,395 |  | 11,395 |  | 0.4 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 15,788 |  | 15,788 |  | 0.5 | % |  |

----

|                                                                        |
|------------------------------------------------------------------------|
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  | June 30, 2020 |  |
| Portfolio Company                                                 | Industry | Investments(1)(38) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| LEVEL 3 PORTFOLIO INVESTMENTS                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Non-Control/Non-Affiliate Investments (less than 5.00% voting control) |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Easy Gardener Products, Inc.                                           | Household Durables | Third Lien Term Loan | 6/11/2020 | 10.31% (3ML+ 10.00%) | 0.25 |  | 9/30/2024 | $ | 3,990 |  | $ | 3,990 |  | $ | 3,990 |  | 0.2 | % | (10) |
| Class A Units of EZG Holdings, Inc. (200 units)                        | 6/11/2020 |  | — |  | N/A | — |  | 313 |  | 781 |  | — | % | (16) |
| Class B Units of EZG Holdings, Inc. (12,525 units)                     | 6/11/2020 |  | — |  | N/A | — |  | 1,688 |  | 3,072 |  | 0.1 | % | (16) |
|                                                                        |  |  |  |  |    |  |  |    |  | 5,991 |  | 7,843 |  | 0.3 | % |  |
| EDSCO Holding Company LLC                                              | Machinery | Senior Secured Term Loan | 1/10/2020 | 7.50% (1ML+ 6.00%) | 1.50 |  | 1/10/2025 | 19,875 |  | 19,875 |  | 19,875 |  | 0.7 | % | (3)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 19,875 |  | 19,875 |  | 0.7 | % |  |
| Engine Group, Inc. (7)                                                 | Media | Senior Secured Term Loan | 9/25/2017 | 6.00% (1ML+ 5.00%) | 1.00 |  | 9/15/2022 | 4,220 |  | 4,220 |  | 3,760 |  | 0.1 | % | (8)(9)(10) |
| Second Lien Term Loan                                                  | 9/25/2017 | 10.00% (1ML+ 9.00%) | 1.00 |  | 9/15/2023 | 35,000 |  | 35,000 |  | 2,754 |  | 0.1 | % | (8)(9)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 39,220 |  | 6,514 |  | 0.2 | % |  |
| EXC Holdings III Corp                                                  | Technology Hardware, Storage & Peripherals | Second Lien Term Loan | 12/5/2017 | 8.94% (3ML+ 7.50%) | 1.00 |  | 12/1/2025 | 12,500 |  | 12,415 |  | 12,318 |  | 0.4 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 12,415 |  | 12,318 |  | 0.4 | % |  |
| Galaxy XV CLO, Ltd.                                                    | Structured Finance | Subordinated Structured Note | 2/13/2013 | Residual Interest, current yield 11.47% | — |  | 10/15/2030 | 50,525 |  | 35,451 |  | 24,637 |  | 0.8 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 35,451 |  | 24,637 |  | 0.8 | % |  |
| Galaxy XXVII CLO, Ltd.                                                 | Structured Finance | Subordinated Structured Note | 9/30/2013 | Residual Interest, current yield 10.18% | — |  | 5/16/2031 | 24,575 |  | 16,647 |  | 11,093 |  | 0.4 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 16,647 |  | 11,093 |  | 0.4 | % |  |
| Galaxy XXVIII CLO, Ltd.                                                | Structured Finance | Subordinated Structured Note | 5/30/2014 | Residual Interest, current yield 9.89% | — |  | 7/15/2031 | 39,905 |  | 28,584 |  | 16,973 |  | 0.6 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 28,584 |  | 16,973 |  | 0.6 | % |  |
| GEON Performance Solutions, LLC                                        | Chemicals | Revolving Line of Credit - $3,621 Commitment | 12/12/2019 | 7.88% (1ML+ 6.25%) | 1.63 |  | 10/25/2024 | 769 |  | 769 |  | 767 |  | — | % | (10)(15) |
| First Lien Term Loan                                                   | 12/12/2019 | 7.88% (1ML+ 6.25%) | 1.63 |  | 10/25/2024 | 31,223 |  | 31,068 |  | 31,124 |  | 1.0 | % | (3)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 31,837 |  | 31,891 |  | 1.0 | % |  |
| Global Tel*Link Corporation                                            | Diversified Telecommunication Services | First Lien Term Loan | 8/20/2019 | 4.43% (1ML+ 4.25%) | — |  | 11/29/2025 | 9,893 |  | 9,538 |  | 9,237 |  | 0.3 | % | (3)(8)(10) |
| Second Lien Term Loan                                                  | 12/4/2018 | 8.43% (1ML+ 8.25%) | — |  | 11/29/2026 | 40,170 |  | 39,394 |  | 37,908 |  | 1.2 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 48,932 |  | 47,145 |  | 1.5 | % |  |
| GlobalTranz Enterprises, Inc.                                          | Air Freight & Logistics | Second Lien Term Loan | 5/15/2019 | 8.43% (1ML+ 8.25%) | — |  | 5/15/2027 | 12,500 |  | 12,500 |  | 10,755 |  | 0.4 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 12,500 |  | 10,755 |  | 0.4 | % |  |
| H.I.G. ECI Merger Sub, Inc.                                            | IT Services | Senior Secured Term Loan A | 5/31/2018 | 7.00% (3ML+ 5.50%) | 1.50 |  | 5/31/2023 | 43,792 |  | 43,792 |  | 44,230 |  | 1.4 | % | (3)(10) |
| Senior Secured Term Loan B                                             | 5/31/2018 | 12.00% (3ML+ 10.50%) | 1.50 |  | 5/31/2023 | 29,900 |  | 29,900 |  | 30,199 |  | 1.0 | % | (3)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 73,692 |  | 74,429 |  | 2.4 | % |  |
| Halcyon Loan Advisors Funding 2012-1 Ltd.                              | Structured Finance | Subordinated Structured Note | 8/7/2012 | Residual Interest, current yield 0.00% | — |  | 8/15/2023 | 23,187 |  | 3,736 |  | — |  | — | % | (5)(14)(17) |
|                                                                        |  |  |  |  |    |  |  |    |  | 3,736 |  | — |  | — | % |  |
| Halcyon Loan Advisors Funding 2013-1 Ltd.                              | Structured Finance | Subordinated Structured Note | 3/8/2013 | Residual Interest, current yield 0.00% | — |  | 4/15/2025 | 40,400 |  | 19,984 |  | — |  | — | % | (5)(14)(17) |
|                                                                        |  |  |  |  |    |  |  |    |  | 19,984 |  | — |  | — | % |  |
| Halcyon Loan Advisors Funding 2014-1 Ltd.                              | Structured Finance | Subordinated Structured Note | 2/7/2014 | Residual Interest, current yield 0.00% | — |  | 4/20/2026 | 24,500 |  | 11,822 |  | — |  | — | % | (5)(14)(17) |
|                                                                        |  |  |  |  |    |  |  |    |  | 11,822 |  | — |  | — | % |  |
| Halcyon Loan Advisors Funding 2014-2 Ltd.                              | Structured Finance | Subordinated Structured Note | 4/14/2014 | Residual Interest, current yield 0.00% | — |  | 4/28/2025 | 41,164 |  | 21,322 |  | — |  | — | % | (5)(14)(17) |
|                                                                        |  |  |  |  |    |  |  |    |  | 21,322 |  | — |  | — | % |  |
| Halcyon Loan Advisors Funding 2015-3 Ltd.                              | Structured Finance | Subordinated Structured Note | 7/23/2015 | Residual Interest, current yield 0.00% | — |  | 10/18/2027 | 39,597 |  | 29,716 |  | 16,694 |  | 0.5 | % | (5)(14)(17) |
|                                                                        |  |  |  |  |    |  |  |    |  | 29,716 |  | 16,694 |  | 0.5 | % |  |

----

|                                                                        |
|------------------------------------------------------------------------|
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  | June 30, 2020 |  |
| Portfolio Company                                                 | Industry | Investments(1)(38) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| LEVEL 3 PORTFOLIO INVESTMENTS                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Non-Control/Non-Affiliate Investments (less than 5.00% voting control) |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Halyard MD OpCo, LLC                                                   | Media | First Lien Term Loan | 8/6/2018 | 10.00% (3ML+ 8.00%) | 2.00 |  | 8/6/2023 | $ | 10,415 |  | $ | 10,415 |  | $ | 10,415 |  | 0.3 | % | (3)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 10,415 |  | 10,415 |  | 0.3 | % |  |
| HarbourView CLO VII-R, Ltd.                                            | Structured Finance | Subordinated Structured Note | 6/5/2015 | Residual Interest, current yield 0.00% | — |  | 7/18/2031 | 19,025 |  | 12,817 |  | 5,814 |  | 0.2 | % | (5)(14)(17) |
|                                                                        |  |  |  |  |    |  |  |    |  | 12,817 |  | 5,814 |  | 0.2 | % |  |
| Help/Systems Holdings, Inc.                                            | Software | First Lien Term Loan | 11/29/2019 | 5.75% (1ML+ 4.75%) | 1.00 |  | 11/19/2026 | 8,500 |  | 8,425 |  | 8,425 |  | 0.3 | % | (3)(8)(10) |
| Second Lien Term Loan                                                  | 11/22/2019 | 9.00% (1ML+ 8.00%) | 1.00 |  | 11/19/2027 | 17,500 |  | 17,184 |  | 17,184 |  | 0.6 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 25,609 |  | 25,609 |  | 0.9 | % |  |
| Inpatient Care Management Company, LLC                                 | Health Care Providers & Services | Senior Secured Term Loan | 6/8/2016 | 9.00% (3ML+ 8.00%) | 1.00 |  | 6/8/2021 | 14,930 |  | 14,930 |  | 14,746 |  | 0.5 | % | (3)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 14,930 |  | 14,746 |  | 0.5 | % |  |
| Jefferson Mill CLO Ltd.                                                | Structured Finance | Subordinated Structured Note | 6/26/2015 | Residual Interest, current yield 9.08% | — |  | 10/20/2031 | 23,594 |  | 19,252 |  | 11,962 |  | 0.4 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 19,252 |  | 11,962 |  | 0.4 | % |  |
| K&N Parent, Inc.                                                   | Auto Components | First Lien Term Loan | 3/3/2020 | 5.82% (6ML+ 4.75%) | 1.00 |  | 10/20/2023 | 1,434 |  | 1,244 |  | 1,373 |  | — | % | (3)(8)(10) |
| Second Lien Term Loan                                                  | 10/28/2016 | 9.82% (6ML+ 8.75%) | 1.00 |  | 10/21/2024 | 25,887 |  | 25,532 |  | 23,494 |  | 0.8 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 26,776 |  | 24,867 |  | 0.8 | % |  |
| Keystone Acquisition Corp. (36)                                        | Health Care Providers & Services | Second Lien Term Loan | 5/18/2017 | 10.25% (3ML+ 9.25%) | 1.00 |  | 5/1/2025 | 50,000 |  | 50,000 |  | 49,435 |  | 1.6 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 50,000 |  | 49,435 |  | 1.6 | % |  |
| LCM XIV Ltd.                                                           | Structured Finance | Subordinated Structured Note | 6/25/2013 | Residual Interest, current yield 10.41% | — |  | 7/21/2031 | 49,934 |  | 28,237 |  | 18,634 |  | 0.6 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 28,237 |  | 18,634 |  | 0.6 | % |  |
| Legility, LLC                                                          | Professional Services | First Lien Term Loan | 2/28/2020 | 7.00% (3ML+ 6.00%) | 1.00 |  | 12/17/2025 | 774 |  | 759 |  | 764 |  | — | % | (3)(8)(10) |
| First Lien Term Loan                                                   | 2/28/2020 | 7.00% (6ML+ 6.00%) | 1.00 |  | 12/17/2025 | 19,101 |  | 18,739 |  | 18,860 |  | 0.6 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 19,498 |  | 19,624 |  | 0.6 | % |  |
| LGC US FINCO, LLC                                                      | Machinery | First Lien Term Loan | 1/24/2020 | 7.50% (1ML+ 6.50%) | 1.00 |  | 12/20/2025 | 29,700 |  | 28,870 |  | 28,780 |  | 0.9 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 28,870 |  | 28,780 |  | 0.9 | % |  |
| Maverick Healthcare Equity, LLC                                        | Health Care Providers & Services | Preferred Units (1,250,000 units) | 10/31/2007 |  | — |  | N/A | — |  | — |  | — |  | — | % | (16) |
| Class A Common Units (1,250,000 units)                                 | 10/31/2007 |  | — |  | N/A | — |  | — |  | — |  | — | % | (16) |
|                                                                        |  |  |  |  |    |  |  |    |  | — |  | — |  | — | % |  |
| Medusind Acquisition, Inc. (19)                                        | Health Care Providers & Services | First Lien Term Loan | 9/30/2019 | 9.00% (3ML+ 8.00%) | 1.00 |  | 4/8/2024 | 24,387 |  | 24,074 |  | 23,800 |  | 0.8 | % | (3)(10)(39) |
|                                                                        |  |  |  |  |    |  |  |    |  | 24,074 |  | 23,800 |  | 0.8 | % |  |
| Mountain View CLO 2013-I Ltd.                                          | Structured Finance | Subordinated Structured Note | 4/17/2013 | Residual Interest, current yield 2.19% | — |  | 10/15/2030 | 43,650 |  | 28,479 |  | 14,794 |  | 0.5 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 28,479 |  | 14,794 |  | 0.5 | % |  |
| Mountain View CLO IX Ltd.                                              | Structured Finance | Subordinated Structured Note | 5/13/2015 | Residual Interest, current yield 14.53% | — |  | 7/15/2031 | 47,830 |  | 29,046 |  | 25,909 |  | 0.8 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 29,046 |  | 25,909 |  | 0.8 | % |  |
| Octagon Investment Partners XV, Ltd.                                   | Structured Finance | Subordinated Structured Note | 1/24/2013 | Residual Interest, current yield 9.72% | — |  | 7/19/2030 | 42,064 |  | 32,798 |  | 23,572 |  | 0.8 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 32,798 |  | 23,572 |  | 0.8 | % |  |
| Octagon Investment Partners 18-R Ltd.                                  | Structured Finance | Subordinated Structured Note | 8/12/2015 | Residual Interest, current yield 13.38% | — |  | 4/16/2031 | 46,016 |  | 25,700 |  | 19,111 |  | 0.6 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 25,700 |  | 19,111 |  | 0.6 | % |  |
| Pearl Intermediate Parent LLC                                          | Health Care Providers & Services | Second Lien Term Loan | 2/28/2018 | 6.43% (1ML+ 6.25%) | — |  | 2/15/2026 | 5,000 |  | 4,982 |  | 4,943 |  | 0.2 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 4,982 |  | 4,943 |  | 0.2 | % |  |

----

|                                                                        |
|------------------------------------------------------------------------|
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  | June 30, 2020 |  |
| Portfolio Company                                                 | Industry | Investments(1)(38) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| LEVEL 3 PORTFOLIO INVESTMENTS                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Non-Control/Non-Affiliate Investments (less than 5.00% voting control) |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| 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) |
| Delayed Draw Term Loan - $5,000 Commitment                             | 1/22/2020 | 10.00% (3ML+ 8.25%) | 1.75 |  | 1/22/2021 | — |  | — |  | — |  | — | % | (10)(15) |
| Senior Secured Term Loan                                               | 1/22/2020 | 10.00% (3ML+ 8.25%) | 1.75 |  | 1/22/2025 | 200,728 |  | 200,728 |  | 200,728 |  | 6.6 | % | (3)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 200,728 |  | 200,728 |  | 6.6 | % |  |
| PG Dental Holdings New Jersey, LLC                                     | Health Care Providers & Services | Delayed Draw Term Loan - $5,000 Commitment | 5/31/2019 | 10.00% (3ML+ 7.25%) | 2.75 |  | 5/31/2024 | 2,500 |  | 2,500 |  | 2,477 |  | 0.1 | % | (3)(10)(15) |
| Senior Secured Term Loan                                               | 5/31/2019 | 10.00% (3ML+ 7.25%) | 2.75 |  | 5/31/2024 | 22,300 |  | 22,300 |  | 22,095 |  | 0.7 | % | (3)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 24,800 |  | 24,572 |  | 0.8 | % |  |
| PlayPower, Inc.                                                        | Leisure Products | First Lien Term Loan | 5/16/2019 | 5.81% (3ML+ 5.50%) | — |  | 5/10/2026 | 6,341 |  | 6,286 |  | 6,087 |  | 0.2 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 6,286 |  | 6,087 |  | 0.2 | % |  |
| Research Now Group, Inc. & Survey Sampling International LLC       | Professional Services | First Lien Term Loan | 1/5/2018 | 6.50% (3ML+ 5.50%) | 1.00 |  | 12/20/2024 | 9,750 |  | 9,412 |  | 9,651 |  | 0.4 | % | (3)(8)(10) |
| Second Lien Term Loan                                                  | 1/5/2018 | 10.50% (3ML+ 9.50%) | 1.00 |  | 12/20/2025 | 50,000 |  | 47,617 |  | 50,000 |  | 1.6 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 57,029 |  | 59,651 |  | 2.0 | % |  |
| RGIS Services, LLC                                                     | Commercial Services & Supplies | Senior Secured Term Loan | 6/25/2020 | 8.50% (3ML+ 7.50%) | 1.00 |  | 6/25/2025 | 8,678 |  | 8,678 |  | 8,678 |  | 0.3 | % | (8)(10) |
| Membership Interest (4.34%)                                            | 6/25/2020 |  | — |  | N/A | — |  | 10,303 |  | 9,233 |  | 0.3 | % | (16) |
|                                                                        |  |  |  |  |    |  |  |    |  | 18,981 |  | 17,911 |  | 0.6 | % |  |
| RME Group Holding Company                                              | Media | Senior Secured Term Loan A | 5/4/2017 | 7.00% (3ML+ 6.00%) | 1.00 |  | 5/4/2022 | 27,646 |  | 27,646 |  | 27,646 |  | 0.9 | % | (3)(10) |
| Senior Secured Term Loan B                                             | 5/4/2017 | 12.00% (3ML+ 11.00%) | 1.00 |  | 5/4/2022 | 22,349 |  | 22,349 |  | 22,349 |  | 0.7 | % | (3)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 49,995 |  | 49,995 |  | 1.6 | % |  |
| Rocket Software, Inc.                                                  | Software | Second Lien Term Loan | 12/7/2018 | 9.01% (3ML+ 8.25%) | — |  | 11/27/2026 | 50,000 |  | 49,599 |  | 48,136 |  | 1.6 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 49,599 |  | 48,136 |  | 1.6 | % |  |
| Romark WM-R Ltd.                                                       | Structured Finance | Subordinated Structured Note | 4/11/2014 | Residual Interest, current yield 8.32% | — |  | 4/21/2031 | 27,725 |  | 22,967 |  | 14,374 |  | 0.5 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 22,967 |  | 14,374 |  | 0.5 | % |  |
| Rosa Mexicano                                                          | Hotels, Restaurants & Leisure | Revolving Line of Credit - $500 Commitment | 3/29/2018 | 2.75% (3ML+ 1.50%) plus 6.00% PIK | 1.25 |  | 3/29/2023 | 502 |  | 502 |  | 449 |  | — | % | (10)(15)(39) |
| Senior Secured Term Loan                                               | 3/29/2018 | 2.75% (3ML+ 1.50%) plus 6.00% PIK | 1.25 |  | 3/29/2023 | 22,999 |  | 22,999 |  | 20,559 |  | 0.7 | % | (10)(39) |
|                                                                        |  |  |  |  |    |  |  |    |  | 23,501 |  | 21,008 |  | 0.7 | % |  |
| Securus Technologies Holdings, Inc.                                    | Communications Equipment | First Lien Term Loan | 9/3/2019 | 5.50% (1ML+ 4.50%) | 1.00 |  | 11/1/2024 | 9,898 |  | 9,105 |  | 8,671 |  | 0.3 | % | (8)(10) |
| Second Lien Term Loan                                                  | 11/3/2017 | 9.25% (3ML+ 8.25%) | 1.00 |  | 11/1/2025 | 50,662 |  | 50,533 |  | 42,166 |  | 1.4 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 59,638 |  | 50,837 |  | 1.7 | % |  |
| SEOTownCenter, Inc.                                                    | IT Services | Senior Secured Term Loan A | 4/10/2018 | 9.50% (3ML+ 7.50%) | 2.00 |  | 4/7/2023 | 24,763 |  | 24,763 |  | 24,763 |  | 0.8 | % | (3)(10)(39) |
| Senior Secured Term Loan B                                             | 4/10/2018 | 14.50% (3ML+ 12.50%) | 2.00 |  | 4/7/2023 | 19,119 |  | 19,119 |  | 19,119 |  | 0.6 | % | (3)(10)(39) |
|                                                                        |  |  |  |  |    |  |  |    |  | 43,882 |  | 43,882 |  | 1.4 | % |  |
| Shutterfly, Inc.                                                       | Internet & Direct Marketing Retail | First Lien Term Loan | 12/9/2019 | 7.00% (3ML+ 6.00%) | 1.00 |  | 9/25/2026 | 17,419 |  | 15,706 |  | 16,440 |  | 0.5 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 15,706 |  | 16,440 |  | 0.5 | % |  |
| Sorenson Communications, LLC                                           | Diversified Telecommunication Services | First Lien Term Loan | 5/8/2019 | 6.81% (3ML+ 6.50%) | — |  | 4/29/2024 | 8,227 |  | 8,166 |  | 8,166 |  | 0.3 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 8,166 |  | 8,166 |  | 0.3 | % |  |
| Spectrum Holdings III Corp                                             | Health Care Equipment & Supplies | Second Lien Term Loan | 2/13/2018 | 8.07% (6ML+ 7.00%) | 1.00 |  | 1/31/2026 | 7,500 |  | 7,474 |  | 5,606 |  | 0.2 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 7,474 |  | 5,606 |  | 0.2 | % |  |
| Staples, Inc.                                                          | Distributors | First Lien Term Loan | 12/3/2019 | 5.69% (3ML+ 5.00%) | — |  | 4/16/2026 | 8,955 |  | 8,873 |  | 8,135 |  | 0.3 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 8,873 |  | 8,135 |  | 0.3 | % |  |
| Strategic Materials                                                    | Household Durables | Second Lien Term Loan | 11/1/2017 | 8.75% (3ML+ 7.75%) | 1.00 |  | 11/1/2025 | 7,000 |  | 6,953 |  | 5,223 |  | 0.2 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 6,953 |  | 5,223 |  | 0.2 | % |  |

----

|                                                                            |
|----------------------------------------------------------------------------|
|                                                                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                            |  |  |  |  |  |  |  | June 30, 2020 |  |
| Portfolio Company                                                     | Industry | Investments(1)(38) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |  |
|                                                                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| LEVEL 3 PORTFOLIO INVESTMENTS                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Non-Control/Non-Affiliate Investments (less than 5.00% voting control)     |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                            |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Stryker Energy, LLC                                                        | Energy Equipment & Services | Overriding Royalty Interests | 12/4/2006 |  | — |  | N/A | $ | — |  | $ | — |  | $ | — |  | — | % | (13) |
|                                                                            |  |  |  |  |    |  |  |    |  | — |  | — |  | — | % |  |
| Sudbury Mill CLO Ltd.                                                      | Structured Finance | Subordinated Structured Note | 11/14/2013 | Residual Interest, current yield 0.00% | — |  | 1/19/2026 | 28,200 |  | 13,875 |  | 2,632 |  | 0.1 | % | (5)(14)(17) |
|                                                                            |  |  |  |  |    |  |  |    |  | 13,875 |  | 2,632 |  | 0.1 | % |  |
| Symphony CLO XIV, Ltd.                                                     | Structured Finance | Subordinated Structured Note | 5/6/2014 | Residual Interest, current yield 0.00% | — |  | 7/14/2026 | 49,250 |  | 29,171 |  | 13,608 |  | 0.4 | % | (5)(14)(17) |
|                                                                            |  |  |  |  |    |  |  |    |  | 29,171 |  | 13,608 |  | 0.4 | % |  |
| Symphony CLO XV, Ltd.                                                      | Structured Finance | Subordinated Structured Note | 10/17/2014 | Residual Interest, current yield 3.91% | — |  | 1/19/2032 | 63,831 |  | 43,104 |  | 20,287 |  | 0.7 | % | (5)(14) |
|                                                                            |  |  |  |  |    |  |  |    |  | 43,104 |  | 20,287 |  | 0.7 | % |  |
| TGP HOLDINGS III LLC                                                       | Household Durables | Second Lien Term Loan | 10/3/2017 | 9.50% (3ML+ 8.50%) | 1.00 |  | 9/25/2025 | 3,000 |  | 2,971 |  | 3,000 |  | 0.1 | % | (8)(10) |
|                                                                            |  |  |  |  |    |  |  |    |  | 2,971 |  | 3,000 |  | 0.1 | % |  |
| The Octave Music Group, Inc. (f/k/a Touchtunes Interactive Networks, Inc.) | Entertainment | First Lien Term Loan | 3/6/2020 | 6.25% (3ML+ 5.25%) plus 0.75% PIK | 1.00 |  | 5/29/2025 | 38,912 |  | 38,544 |  | 36,910 |  | 1.2 | % | (8)(10)(39) |
|                                                                            |  |  |  |  |    |  |  |    |  | 38,544 |  | 36,910 |  | 1.2 | % |  |
| Town & Country Holdings, Inc.                                          | Distributors | First Lien Term Loan | 1/26/2018 | 8.81% (3ML+ 8.50%) | — |  | 1/26/2023 | 163,980 |  | 163,980 |  | 160,830 |  | 5.3 | % | (3)(10)(39) |
|                                                                            |  |  |  |  |    |  |  |    |  | 163,980 |  | 160,830 |  | 5.3 | % |  |
| Transplace Holdings, Inc.                                                  | Transportation Infrastructure | Second Lien Term Loan | 10/16/2017 | 9.82% (6ML+ 8.75%) | 1.00 |  | 10/6/2025 | 28,104 |  | 27,662 |  | 27,662 |  | 0.9 | % | (3)(8)(10) |
|                                                                            |  |  |  |  |    |  |  |    |  | 27,662 |  | 27,662 |  | 0.9 | % |  |
| United Sporting Companies, Inc. (18)                                       | Distributors | Second Lien Term Loan | 9/28/2012 | 12.75% (1ML+ 11.00%) plus 2.00% PIK | 1.75 |  | 11/16/2019 | 147,470 |  | 105,478 |  | 6,966 |  | 0.2 | % | (9)(10) |
|                                                                            |  |  |  |  |    |  |  |    |  | 105,478 |  | 6,966 |  | 0.2 | % |  |
| Universal Fiber Systems, LLC                                               | Textiles, Apparel & Luxury Goods | Second Lien Term Loan | 10/16/2015 | 10.50% (1ML+ 9.50%) | 1.00 |  | 10/2/2022 | 37,000 |  | 36,762 |  | 35,363 |  | 1.2 | % | (3)(8)(10) |
|                                                                            |  |  |  |  |    |  |  |    |  | 36,762 |  | 35,363 |  | 1.2 | % |  |
| Upstream Newco, Inc.                                                       | Health Care Providers & Services | First Lien Term Loan | 12/2/2019 | 4.68% (1ML+ 4.50%) | — |  | 11/20/2026 | 8,229 |  | 8,192 |  | 7,802 |  | 0.3 | % | (3)(8)(10) |
| Second Lien Term Loan                                                      | 12/2/2019 | 9.57% (6ML+ 8.50%) | — |  | 11/20/2027 | 22,000 |  | 21,810 |  | 22,000 |  | 0.7 | % | (3)(8)(10) |
|                                                                            |  |  |  |  |    |  |  |    |  | 30,002 |  | 29,802 |  | 1.0 | % |  |
| USG Intermediate, LLC                                                      | Leisure Products | Revolving Line of Credit - $1,000 Commitment | 4/15/2015 | 10.25% (1ML+ 9.25%) | 1.00 |  | 8/24/2020 | 1,000 |  | 1,000 |  | 1,000 |  | — | % | (10)(15) |
| Senior Secured Term Loan B                                                 | 4/15/2015 | 12.75% (1ML+ 11.75%) | 1.00 |  | 8/24/2022 | 17,232 |  | 17,232 |  | 17,232 |  | 0.6 | % | (3)(10) |
| Equity                                                                     | 4/15/2015 |  | — |  | N/A | — |  | 1 |  | — |  | — | % | (16) |
|                                                                            |  |  |  |  |    |  |  |    |  | 18,233 |  | 18,232 |  | 0.6 | % |  |
| Venio LLC                                                                  | Professional Services | Second Lien Term Loan | 2/19/2014 | 4.00% plus 10.00% PIK (3ML + 7.50%) | 2.50 |  | 2/19/2020 | 27,637 |  | 27,637 |  | 27,267 |  | 0.9 | % | (10)(39) |
|                                                                            |  |  |  |  |    |  |  |    |  | 27,637 |  | 27,267 |  | 0.9 | % |  |
| Versant Health Holdco, Inc. (f/k/a Wink Holdco, Inc.)                      | Insurance | Second Lien Term Loan | 12/12/2017 | 7.75% (3ML+ 6.75%) | 1.00 |  | 12/1/2025 | 3,000 |  | 2,990 |  | 2,938 |  | 0.1 | % | (3)(8)(10) |
|                                                                            |  |  |  |  |    |  |  |    |  | 2,990 |  | 2,938 |  | 0.1 | % |  |
| Voya CLO 2012-4, Ltd.                                                      | Structured Finance | Subordinated Structured Note | 11/5/2012 | Residual Interest, current yield 7.00% | — |  | 10/15/2030 | 40,613 |  | 29,996 |  | 22,509 |  | 0.7 | % | (5)(14) |
|                                                                            |  |  |  |  |    |  |  |    |  | 29,996 |  | 22,509 |  | 0.7 | % |  |
| Voya CLO 2014-1, Ltd.                                                      | Structured Finance | Subordinated Structured Note | 2/5/2014 | Residual Interest, current yield 4.39% | — |  | 4/18/2031 | 40,773 |  | 30,303 |  | 17,668 |  | 0.6 | % | (5)(14) |
|                                                                            |  |  |  |  |    |  |  |    |  | 30,303 |  | 17,668 |  | 0.6 | % |  |
| Voya CLO 2016-3, Ltd.                                                      | Structured Finance | Subordinated Structured Note | 9/30/2016 | Residual Interest, current yield 8.35% | — |  | 10/20/2031 | 28,100 |  | 26,253 |  | 18,680 |  | 0.6 | % | (5)(14) |
|                                                                            |  |  |  |  |    |  |  |    |  | 26,253 |  | 18,680 |  | 0.6 | % |  |

----

|                                                                        |
|------------------------------------------------------------------------|
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  | June 30, 2020 |  |
| Portfolio Company                                                 | Industry | Investments(1)(38) | Acquisition Date(44) | Coupon/Yield | Floor | Legal Maturity | Principal Value | Amortized Cost | FairValue(2) | % of Net Assets |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| LEVEL 3 PORTFOLIO INVESTMENTS                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Non-Control/Non-Affiliate Investments (less than 5.00% voting control) |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Voya CLO 2017-3, Ltd.                                                  | Structured Finance | Subordinated Structured Note | 6/13/2017 | Residual Interest, current yield 9.24% | — |  | 7/22/2030 | $ | 44,885 |  | $ | 49,645 |  | $ | 37,860 |  | 1.2 | % | (5)(14) |
|                                                                        |  |  |  |  |    |  |  |    |  | 49,645 |  | 37,860 |  | 1.2 | % |  |
| VT Topco, Inc.                                                         | Commercial Services & Supplies | Second Lien Term Loan | 8/23/2018 | 7.18% (1ML+ 7.00%) | — |  | 8/17/2026 | 7,000 |  | 6,973 |  | 6,662 |  | 0.2 | % | (3)(8)(10) |
|                                                                        |  |  |  |  |    |  |  |    |  | 6,973 |  | 6,662 |  | 0.2 | % |  |
| Total Non-Control/Non-Affiliate Investments (Level 3)                  |   | $ | 3,332,509 |  | $ | 2,785,499 |  | 91.2 | % |  |
|                                                                        |   |  |  |  |  |  |  |  |
| Total Portfolio Investments (Level 3)                                  |   | $ | 5,782,718 |  | $ | 5,232,328 |  | 171.3 | % |  |

----

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | The terms “Prospect,” “the Company,” “we,” “us” and “our” mean Prospect Capital Corporation and its subsidiaries unless the context specifically requires otherwise. The securities in which Prospect has invested were acquired in transactions that were exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). These securities may be resold only in transactions that are exempt from registration under the Securities Act. |
|     |                                                                                                                                                                                                                                                                                                                                                                                                                             |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Fair value is determined by or under the direction of our Board of Directors. Unless otherwise indicated by endnote 10 below, all of our investments are valued using significant unobservable inputs. In accordance with ASC 820, such investments are classified as Level 3 within the fair value hierarchy. See Notes 2 and 3 within the accompanying notes to consolidated financial statements for further discussion. |
|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | Security, or a portion thereof, is held by Prospect Capital Funding LLC (“PCF”), our wholly owned subsidiary and a bankruptcy remote special purpose entity, and is pledged as collateral for the Revolving Credit Facility and such security is not available as collateral to our general creditors (see Note 4). The fair values of the investments held by PCF at September 30, 2020 and June 30, 2020 were $1,498,393 and $1,491,022, respectively, representing 27.8% and 28.5% of our total investments, respectively. |
|     |                                                                                                                                                                                                                                                                                                   |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (4) | Keystone Acquisition Corp. is the parent borrower on the second lien term loan. Other joint borrowers on this debt investment include Keystone Peer Review Organization, Inc., KEPRO Acquisitions, Inc., APS Healthcare Bethesda, Inc., Ohio KEPRO, Inc., and APS Healthcare Quality Review, Inc. |
|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (5) | This investment is in the equity class of the collateralized loan obligation (“CLO”) security, which is referred to as “Subordinated  Structured Note,” or “SSN”. The SSN investments are entitled to recurring distributions which are generally equal to the excess cash flow generated from the underlying investments after payment of the contractual payments to debt holders and fund expenses. The current estimated yield, calculated using amortized cost, is based on the current projections of this excess cash flow taking into account assumptions which have been made regarding expected prepayments, losses and future reinvestment rates. These assumptions are periodically reviewed and adjusted. Ultimately, the actual yield may be higher or lower than the estimated yield if actual results differ from those used for the assumptions. |
|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (6) | During the year ended June 30, 2020, we increased our investment in PGX Holdings, Inc. (“PGX”) through a new 1.5 Lien Term Loan in the aggregate principal amount of $1,981. Attached to the incremental term loan investment were shares of common stock representing an 11.4% equity interest in PGX. As a result, our investment in PGX was transferred from non-control/non-affiliate to affiliate classification as of June 30, 2020. |
|     |                                                                                                                                                                               |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (7) | Engine Group, Inc., EMX Digital, Inc. (f/k/a Clearstream.TV, Inc.), and Engine International, Inc., are joint borrowers on the senior secured and the second lien term loans. |
|     |                                                                                                |
|-----|------------------------------------------------------------------------------------------------|
| (8) | Syndicated investment which was originated by a financial institution and broadly distributed. |
|     |                                                                         |
|-----|-------------------------------------------------------------------------|
| (9) | Investment on non-accrual status as of the reporting date (See Note 2). |
|      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
|------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (10) | Certain variable rate securities in our portfolio bear interest at a rate determined by a publicly disclosed base rate plus a basis point spread. The 1-Month LIBOR, or “1ML”, was 0.15% as of September 30, 2020 and 0.16% as of June 30, 2020. The 2-Month LIBOR, or “2ML”, was 0.19% as of September 30, 2020 and 0.23% as of June 30, 2020. The 3-Month LIBOR, or “3ML”, was 0.23% as of September 30, 2020 and 0.30% as of June 30, 2020. The 6-Month LIBOR, or “6ML”, was 0.26% as of September 30, 2020 and 0.37% as of June 30, 2020. The 12-Month LIBOR, or “12ML”, was 0.36% as of September 30, 2020 and 0.55% as of June 30, 2020. |
|      |                                                                            |
|------|----------------------------------------------------------------------------|
| (11) | PeopleConnect Holdings, Inc. and Pubrec Holdings, Inc. are joint borrowers |
|      |                                                                                                                                                                                                                                                                                                                                      |
|------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (12) | The consolidated revenue interest is equal to the lesser of (i) 2.0% of consolidated revenue for the twelve-month period ending on the last day of the prior fiscal quarter (or portion thereof) and (ii) 25% of the amount of interest accrued on the Notes at the cash interest rate for such fiscal quarter (or portion thereof). |
|      |                                                                                                                   |
|------|-------------------------------------------------------------------------------------------------------------------|
| (13) | The overriding royalty interests held receive payments at the stated rates based upon operations of the borrower. |
|      |                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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 September 30, 2020 and June 30, 2020, our qualifying |

----

|      |                                                                                                                                                                                                                                                                                                                                                     |
|------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (15) | Undrawn committed revolvers and delayed draw term loans to our portfolio companies incur commitment and unused fees ranging from 0.00% to 5.00%. As of September 30, 2020 and June 30, 2020, we had $42,099 and $41,487, respectively, of undrawn revolver and delayed draw term loan commitments to our portfolio companies. |
|      |                                                                                                                 |
|------|-----------------------------------------------------------------------------------------------------------------|
| (16) | Represents non-income producing security that has not paid a dividend in the year preceding the reporting date. |
|      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
|------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (17) | The effective yield has been estimated to be 0% as expected future cash flows are anticipated to not be sufficient to repay the investment at cost. If the expected investment proceeds increase, there is a potential for future investment income from the investment. Distributions, once received, will be recognized as return of capital with any remaining unamortized investment costs written off if the actual distributions are less than the amortized investment cost. If an investment has been impaired upon being called, any future distributions will be recorded as a return of capital. To the extent that the impaired cost basis of the SSN is fully recovered, any future distributions will be recorded as realized gains. |
|      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |
|------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (18) | Ellett Brothers, LLC, Evans Sports, Inc., Jerry’s Sports, Inc., Simmons Gun Specialties, Inc., Bonitz Brothers, Inc., and Outdoor Sports Headquarters, Inc. are joint borrowers on the second lien term loan. United Sporting Companies, Inc. (“USC”) is a parent guarantor of this debt investment, and is 100% owned by SportCo Holdings, Inc. (“SportCo”). Prospect previously held a 3.48% equity interest in SportCo and following an additional issuance of common stock by SportCo, Prospect’s ownership increased to 22.0% as of September 30, 2018. As a result, Prospect’s investment in USC is classified as an affiliate investment beginning the period ended September 30, 2018. In June 2019, USC filed for Chapter 11 bankruptcy and began liquidating its remaining assets. During the year ended June 30, 2020, USC used a portion of the proceeds from the ongoing liquidation to partially repay $20,594 of our Second Lien Term Loan and our 22.0% equity interest was canceled, resulting in a transfer of our investment to non-control/non-affiliate classification as of June 30, 2020.  |
|      |                                                                                                                         |
|------|-------------------------------------------------------------------------------------------------------------------------|
| (19) | Medusind Acquisition, Inc., Medusind Intermediate, Inc., Medusind Solutions Inc. and Medusind Inc. are joint borrowers. |
|      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (20) | CP Holdings of Delaware LLC (“CP Holdings”), a consolidated entity in which we own 100% of the membership interests, owns 99.8% of CP Energy Services Inc. (“CP Energy”) as of September 30, 2020 and June 30, 2020. CP Energy owns directly or indirectly 100% of each of CP Well Testing, LLC; Wright Foster Disposals, LLC; Foster Testing Co., Inc.; ProHaul Transports, LLC; and Wright Trucking, Inc. We report CP Energy as a separate controlled company. 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 $13,156 in senior secured term loans (the “Spartan Term Loans”) due to us as of June 30, 2020. As a result of CP Energy’s purchase, and given Prospect’s controlling interest in CP Energy, our Spartan Term Loans are presented as control investments under CP Energy beginning June 30, 2019. Spartan remains the direct borrower and guarantor to Prospect for the Spartan Term Loans.  In December 2019, Wolf Energy Holdings, Inc. (“Wolf Energy Holdings”), our Consolidated Holding Company that previously owned 100% of Appalachian Energy LLC (“AEH”); Wolf Energy Services Company, LLC (Wolf Energy Services”); and Wolf Energy, LLC (collectively our previously controlled membership interest and net profit interest investments in “Wolf Energy”), merged with and into CP Energy, with CP Energy continuing as the surviving entity. CP Energy acquired 100% of our equity in Wolf Energy, which is reflected in our valuation of CP Energy common stock as of December 31, 2019. (See Note 14). In September 2020, we made a new $26,193 Series A preferred stock investment in Spartan Energy Holdings, Inc., which equates to 100% of the Series A non-voting non-convertible preferred stock outstanding. In September 2020, Spartan Energy Services, LLC fully repaid the $26,193 Senior Secured Term Loan B receivable to us at par. We recorded a realized gain of $2,832 in our Consolidated Statement of Operations for the quarter ended September 30, 2020 as a result of this transaction. |
|      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (21) | Credit Central Holdings of Delaware, LLC (“Credit Central Delaware”), a consolidated entity in which we own 100% of the membership interests, owns 98.63% of Credit Central Loan Company, LLC (f/k/a Credit Central Holdings, LLC (“Credit Central”)) as of September 30, 2020 and June 30, 2020. Credit Central owns 100% of each of Credit Central, LLC; Credit Central South, LLC; Credit Central of Texas, LLC; and Credit Central of Tennessee, LLC, the operating companies. We report Credit Central as a separate controlled company. |
|      |                                                                                                                                                                    |
|------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (22) | Prospect holds an 11.51% membership interest in Edmentum Ultimate Holdings, LLC (“Edmentum Holdings”), which owns 100% of the equity of Edmentum, Inc. |

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|      |                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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 September 30, 2020 and June 30, 2020. We report First Tower Finance as a separate controlled company. |
|      |                                                                                                                                                                                                                                                                                                                          |
|------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (24) | Energy Solutions Holdings Inc., a consolidated entity in which we own 100% of the equity, owns 100% of Freedom Marine Solutions, LLC (“Freedom Marine”), which owns Vessel Company, LLC, Vessel Company II, LLC and Vessel Company III, LLC. We report Freedom Marine as a separate controlled company. |
|      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
|------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (25) | MITY Holdings of Delaware Inc. (“MITY Delaware”), a consolidated entity in which we own 100% of the common stock, owns 100% of the equity of MITY, Inc. (f/k/a MITY Enterprises, Inc.) (“MITY”). MITY owns 100% of each of MITY-Lite, Inc. (“Mity-Lite”); Broda Enterprises USA, Inc.; and Broda Enterprises ULC (“Broda Canada”). We report MITY as a separate controlled company. Our subordinated unsecured note issued and outstanding to Broda Canada is denominated in Canadian Dollars (“CAD”).  As of September 30, 2020 and June 30, 2020, the principal balance of this note was CAD 7,371. In accordance with ASC 830, Foreign Currency Matters (“ASC 830”), this note was remeasured into our functional currency, US Dollars (USD), and is presented on our Consolidated Schedule of Investments in USD. We formed a separate legal entity domiciled in the United States, MITY FSC, Inc., (“MITY FSC”) in which Prospect owns 100% of the equity. MITY FSC does not have material operations. This entity earns commission payments from MITY-Lite based on its sales to foreign customers, and distributes it to its shareholder.  |
|      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (26) | NPH Property Holdings, LLC (“NPH”), a consolidated entity in which we own 100% of the membership interests, owns 100% of the common equity of National Property REIT Corp. (“NPRC”) (f/k/a National Property Holdings Corp.), a property REIT which holds investments in several real estate properties. Additionally, NPRC invests in online consumer loans and rated secured structured notes through American Consumer Lending Limited (“ACLL”) and National General Lending Limited (“NGL”), respectively, its wholly owned subsidiaries. We report NPRC as a separate controlled company. See Note 3 for further discussion of the investments held by NPRC. Effective December 31, 2018, 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 A Secured Note (“New TLA”) in the aggregate principal amount of $433,553, a New Term Loan B Secured Note (“New TLB”) in the aggregate principal amount of $205,000, and our net operating income interest was revised to a residual profit interest (refer to endnote 37 for residual profit interest calculation). NPRC utilized a portion of the proceeds from the New TLA and New TLB to repay the previously outstanding Senior Secured Term Loan A and Senior Secured Term Loan E. The remaining proceeds of $140,351 were returned to us as a return of capital, reducing our equity investment in NPRC. 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 $51,428 Senior Secured Term Loan C (“TLC”) and $12,857 in equity financing. 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 (“TLD”) 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. |
|      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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 (f/k/a Nationwide Acceptance LLC), the operating company, as of September 30, 2020 and June 30, 2020. We report Nationwide Loan Company LLC as a separate controlled company. On June 1, 2015, Nationwide Acceptance LLC completed a reorganization and was renamed Nationwide Loan Company LLC (“Nationwide”) and formed two new wholly owned subsidiaries: Pelican Loan Company LLC (“Pelican”) and Nationwide Consumer Loans LLC. Nationwide assigned 100% of the equity interests in its other subsidiaries to Pelican which, in turn, assigned these interests to a new operating company wholly owned by Pelican named Nationwide Acceptance LLC (“New Nationwide”). New Nationwide also assumed the existing senior subordinated term loan due to Prospect. |
|      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
|------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (28) | NMMB Holdings, Inc. (“NMMB Holdings”), a consolidated entity in which we own 100% of the equity, owns 92.25% of the fully diluted equity of NMMB, Inc. (“NMMB”) as of September 30, 2020 and June 30, 2020. NMMB owns 100% of Refuel Agency, Inc., which owns 100% of Armed Forces Communications, Inc. We report NMMB as a separate controlled company. On December 30, 2019, NMMB executed a dividend recapitalization whereby Prospect invested $15,100 of a first lien term loan to repay NMMB’s existing term loan, provide a shareholder distribution, and pay fees and expenses. As part of the recapitalization, Prospect converted its Series A and Series B preferred securities into 92.42% common equity and received a dividend distribution of $2,797. |
|      |                                                                                                                                                                                                                                                                                                                                                                            |
|------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (29) | During the year ended June 30, 2018, Prospect exercised its rights and remedies under its loan documents to exercise the shareholder voting rights in respect of the stock of InterDent, Inc. (“InterDent”) and to appoint a new Board of Directors of InterDent. As a result, Prospect’s investment in InterDent is classified as a control investment. |

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|      |                                                                                                                |
|------|----------------------------------------------------------------------------------------------------------------|
| (30) | Prospect owns 99.96% of the equity of USES Corp. as of September 30, 2020 and June 30, 2020. |
|      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (31) | Valley Electric Holdings I, Inc., a consolidated entity in which we own 100% of the common stock, owns 100% of Valley Electric Holdings II, Inc. (“Valley Holdings II”), another consolidated entity. Valley Holdings II owns 94.99% of Valley Electric Company, Inc. (“Valley Electric”). Valley Electric owns 100% of the equity of VE Company, Inc., which owns 100% of the equity of Valley Electric Co. of Mt. Vernon, Inc. We report Valley Electric as a separate controlled company. |
|      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (32) | As of September 30, 2020 and June 30, 2020, Prospect owns 8.57% of the equity in Encinitas Watches Holdco, LLC (f/k/a Nixon Holdco, LLC), the parent company of Nixon, Inc. On February 26, 2018, Prospect entered into a debt forgiveness agreement with Nixon, Inc., which terminated $17,472 Senior Secured Term Loan receivable due to us. We recorded a realized loss of $14,197 in our Consolidated Statement of Operations for the year ended June 30, 2018 as a result of this transaction. |
|      |                                                                                                                                                                                                                                          |
|------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (33) | Prospect owns 9.67% of the equity in Targus Cayman HoldCo Limited (“Targus”), the parent company of Targus International LLC (“Targus International”), as of September 30, 2020 and June 30, 2020. |
|      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
|------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (34) | On December 10, 2018, UTP Holdings Group, Inc. (“UTP Holdings”) purchased all of the voting stock of Universal Turbine Parts, LLC (“UTP”) and appointed a new Board of Directors to UTP Holdings, consisting of three employees of the Investment Advisor.  At the time UTP Holdings acquired UTP, UTP Holdings (f/k/a Harbortouch Holdings of Delaware) was a wholly-owned holding company controlled by Prospect and therefore Prospect’s investment in UTP became classified as a control investment during the year ended June 30, 2019. |
|      |                                                                                                                                                                                                                                    |
|------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (35) | As of September 30, 2020 and June 30, 2020, 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 99.96%  ownership interest of Pacific World as of September 30, 2020 and June 30, 2020, respectively. As a result, Prospect’s investment in Pacific World is classified as a control investment. |

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|      |                                                                                                                                                                |
|------|----------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (37) | The following shows the composition of our investment portfolio at cost by control designation, investment type and by industry as of September 30, 2020: |

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|----------------------------------------------|
|                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Industry                                     | 1st LienTerm Loan | 1.5 Lien Term Loan | 2nd LienTerm Loan | 3rd Lien Term Loan | Subordinated Structured Notes | Subordinated Unsecured Debt | Equity (B) | Cost Total |
| Control Investments                          |   |   |   |   |   |   |   |   |
| Aerospace & Defense                      | $ | 69,797 |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | 22,738 |  | $ | 92,535 |  |
| Commercial Services & Supplies           | 126,328 |  | — |  | — |  | — |  | — |  | 6,205 |  | 6,849 |  | 139,382 |  |
| Construction & Engineering               | 43,731 |  | — |  | — |  | — |  | — |  | — |  | 25,143 |  | 68,874 |  |
| Consumer Finance                             | — |  | — |  | 355,657 |  | — |  | — |  | — |  | 120,939 |  | 476,596 |  |
| Diversified Consumer Services                | — |  | — |  | — |  | — |  | — |  | — |  | 2,378 |  | 2,378 |  |
| Energy Equipment & Services              | 51,026 |  | — |  | — |  | — |  | — |  | — |  | 219,550 |  | 270,576 |  |
| Equity Real Estate Investment Trusts (REITs) | 502,804 |  | — |  | — |  | — |  | — |  | — |  | 210 |  | 503,014 |  |
| Health Care Providers & Services         | 225,216 |  | — |  | — |  | — |  | — |  | — |  | 45,118 |  | 270,334 |  |
| Machinery                                    | — |  | — |  | 28,623 |  | — |  | — |  | — |  | 6,866 |  | 35,489 |  |
| Media                                        | 4,987 |  | — |  | — |  | — |  | — |  | — |  | 12,869 |  | 17,856 |  |
| Online Lending                               | 30,621 |  | — |  | — |  | — |  | — |  | — |  | — |  | 30,621 |  |
| Personal Products                            | 60,541 |  | — |  | — |  | — |  | — |  | — |  | 186,795 |  | 247,336 |  |
| Trading Companies & Distributors         | 65,280 |  | — |  | — |  | — |  | — |  | — |  | — |  | 65,280 |  |
| Structured Finance (A)                       | 101,200 |  | — |  | — |  | — |  | — |  | — |  | — |  | 101,200 |  |
| Total Control Investments                    | $ | 1,281,531 |  | $ | — |  | $ | 384,280 |  | $ | — |  | $ | — |  | $ | 6,205 |  | $ | 649,455 |  | $ | 2,321,471 |  |
| Affiliate Investments                        |  |   |  |   |  |  |  |  |
| Diversified Consumer Services                | $ | — |  | $ | 2,873 |  | $ | 117,405 |  | $ | — |  | $ | — |  | $ | 41,989 |  | $ | 6,577 |  | $ | 168,844 |  |
| Textiles, Apparel & Luxury Goods         | — |  | — |  | — |  | — |  | — |  | — |  | 2,805 |  | 2,805 |  |
|  Total Affiliate Investments            | $ | — |  | $ | 2,873 |  | $ | 117,405 |  | $ | — |  | $ | — |  | $ | 41,989 |  | $ | 9,382 |  | $ | 171,649 |  |
| Non-Control/Non-Affiliate Investments        |   |   |   |   |   |   |   |   |
| Air Freight & Logistics                  | $ | — |  | — |  | $ | 12,500 |  | — |  | $ | — |  | $ | — |  | $ | — |  | $ | 12,500 |  |
| Auto Components                              | 26,979 |  | — |  | 25,553 |  | — |  | — |  | — |  | — |  | 52,532 |  |
| Chemicals                                    | 31,077 |  | — |  | — |  | — |  | — |  | — |  | — |  | 31,077 |  |
| Commercial Services & Supplies           | 40,463 |  | — |  | 175,785 |  | — |  | — |  | — |  | 10,303 |  | 226,551 |  |
| Communications Equipment                     | 9,142 |  | — |  | 50,539 |  | — |  | — |  | — |  | — |  | 59,681 |  |
| Consumer Finance                             | 32,156 |  | — |  | 2,757 |  | — |  | — |  | — |  | — |  | 34,913 |  |
| Distributors                                 | 172,375 |  | — |  | 105,431 |  | — |  | — |  | — |  | — |  | 277,806 |  |
| Diversified Financial Services               | 30,165 |  | — |  | — |  | — |  | — |  | — |  | — |  | 30,165 |  |
| Diversified Telecommunication Services       | 17,043 |  | — |  | 39,424 |  | — |  | — |  | — |  | — |  | 56,467 |  |
| Entertainment                                | 50,282 |  | — |  | — |  | — |  | — |  | — |  | — |  | 50,282 |  |
| Food Products                                | — |  | — |  | 29,759 |  | — |  | — |  | — |  | — |  | 29,759 |  |
| Health Care Equipment & Supplies         | — |  | — |  | 7,475 |  | — |  | — |  | — |  | — |  | 7,475 |  |
| Health Care Providers & Services         | 151,569 |  | — |  | 113,265 |  | — |  | — |  | — |  | — |  | 264,834 |  |
| Hotels, Restaurants & Leisure            | 23,834 |  | — |  | — |  | — |  | — |  | — |  | — |  | 23,834 |  |
| Household Durables                           | — |  | — |  | 9,928 |  | 3,979 |  | — |  | — |  | 2,001 |  | 15,908 |  |
| Household Products                           | 24,375 |  | — |  | — |  | — |  | — |  | — |  | — |  | 24,375 |  |
| Insurance                                    | — |  | — |  | 16,968 |  | — |  | — |  | — |  | — |  | 16,968 |  |
| Interactive Media & Services             | 195,577 |  | — |  | — |  | — |  | — |  | — |  | — |  | 195,577 |  |
| Internet & Direct Marketing Retail       | 15,775 |  | — |  | — |  | — |  | — |  | — |  | — |  | 15,775 |  |
| IT Services                                  | 91,856 |  | — |  | 85,712 |  | — |  | — |  | — |  | — |  | 177,568 |  |
| Leisure Products                             | 25,587 |  | — |  | — |  | — |  | — |  | — |  | 1 |  | 25,588 |  |

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|                                                |
|------------------------------------------------|
|                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Industry                                       | 1st LienTerm Loan | 1.5 Lien Term Loan | 2nd LienTerm Loan | 3rd Lien Term Loan | Subordinated Structured Notes | Subordinated Unsecured Debt | Equity (B) | Cost Total |
| Machinery                                      | 46,461 |  | — |  | — |  | — |  | — |  | — |  | — |  | 46,461 |  |
| Media                                          | 64,229 |  | — |  | 35,000 |  | — |  | — |  | — |  | — |  | 99,229 |  |
| Paper & Forest Products                    | 4,404 |  | — |  | 11,404 |  | — |  | — |  | — |  | — |  | 15,808 |  |
| Professional Services                          | 28,794 |  | — |  | 65,923 |  | — |  | — |  | — |  | — |  | 94,717 |  |
| Real Estate Management & Development       | 31,537 |  | — |  | — |  | — |  | — |  | — |  | — |  | 31,537 |  |
| Software                                       | 8,386 |  | — |  | 66,813 |  | — |  | — |  | — |  | — |  | 75,199 |  |
| Technology Hardware, Storage & Peripherals | — |  | — |  | 12,419 |  | — |  | — |  | — |  | — |  | 12,419 |  |
| Textiles, Apparel & Luxury Goods           | 165,390 |  | — |  | 36,789 |  | — |  | — |  | — |  | — |  | 202,179 |  |
| Transportation Infrastructure                  | — |  | — |  | 27,683 |  | — |  | — |  | — |  | — |  | 27,683 |  |
| Structured Finance (A)                         | — |  | — |  | — |  | — |  | 1,100,944 |  | — |  | — |  | 1,100,944 |  |
|  Total Non-Control/Non-Affiliate          | $ | 1,287,456 |  | $ | — |  | $ | 931,127 |  | $ | 3,979 |  | $ | 1,100,944 |  | $ | — |  | $ | 12,305 |  | $ | 3,335,811 |  |
| Total Portfolio Investment Cost                | $ | 2,568,987 |  | $ | 2,873 |  | $ | 1,432,812 |  | $ | 3,979 |  | $ | 1,100,944 |  | $ | 48,194 |  | $ | 671,142 |  | $ | 5,828,931 |  |

|                                              |
|----------------------------------------------|
|                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Industry                                     | 1st LienTerm Loan | 1.5 Lien Term Loan | 2nd LienTerm Loan | 3rd Lien Term Loan | Subordinated Structured Notes | Subordinated Unsecured Debt | Equity (B) | Fair Value Total | Fair Value % of Net Assets |
| Control Investments                          |  |  |   |  |  |   |  |  |  |  |  |  |  |  |  |
|  Aerospace & Defense                | $ | 69,797 |  | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | 22,327 |  | $ | 92,124 |  | 2.9 | % |
|  Commercial Services & Supplies     | 71,441 |  | — |  | — |  | — |  | — |  | — |  | — |  | 71,441 |  | 2.2 | % |
|  Construction & Engineering         | 43,731 |  | — |  | — |  | — |  | — |  | — |  | 89,893 |  | 133,624 |  | 4.2 | % |
|  Consumer Finance                       | — |  | — |  | 358,544 |  | — |  | — |  | — |  | 266,976 |  | 625,520 |  | 19.7 | % |
|  Diversified Consumer Services          | — |  | — |  | — |  | — |  | — |  | — |  | 3,000 |  | 3,000 |  | 0.1 | % |
|  Energy Equipment & Services        | 48,050 |  | — |  | — |  | — |  | — |  | — |  | 18,610 |  | 66,660 |  | 2.1 | % |
| Equity Real Estate Investment Trusts (REITs) | 502,804 |  | — |  | — |  | — |  | — |  | — |  | 278,955 |  | 781,759 |  | 24.6 | % |
|  Health Care Providers & Services   | 225,216 |  | — |  | — |  | — |  | — |  | — |  | 11,768 |  | 236,984 |  | 7.4 | % |
|  Machinery                              | — |  | — |  | 28,622 |  | — |  | — |  | — |  | 12,477 |  | 41,099 |  | 1.3 | % |
|  Media                                  | 4,987 |  | — |  | — |  | — |  | — |  | — |  | 23,113 |  | 28,100 |  | 0.9 | % |
|  Online Lending                         | 30,621 |  | — |  | — |  | — |  | — |  | — |  | — |  | 30,621 |  | 1.0 | % |
|  Personal Products                      | 60,541 |  | — |  | — |  | — |  | — |  | — |  | 6,433 |  | 66,974 |  | 2.1 | % |
|  Trading Companies & Distributors   | 28,466 |  | — |  | — |  | — |  | — |  | — |  | — |  | 28,466 |  | 0.9 | % |
| Structured Finance (A)                       | 101,200 |  | — |  | — |  | — |  | — |  | — |  | — |  | 101,200 |  | 3.2 | % |
| Total Control Investments                    | $ | 1,186,854 |  | $ | — |  | $ | 387,166 |  | $ | — |  | $ | — |  | $ | — |  | $ | 733,552 |  | $ | 2,307,572 |  | 72.5 | % |
| Fair Value % of Net Assets                   | 37.3 | % | — | % | 12.1 | % | — | % | — | % | — | % | 23.1 | % | 72.5 | % |  |

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|------------------------------------------------|
|                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Industry                                       | 1st LienTerm Loan | 1.5 Lien Term Loan | 2nd LienTerm Loan | 3rd Lien Term Loan | Subordinated Structured Notes | Subordinated Unsecured Debt | Equity (B) | Fair Value Total | Fair Value % of Net Assets |
| Affiliate Investments                          |  |   |  |   |  |  |  |  |  |
| Distributors                                   | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | — | % |
| Diversified Consumer Services                  | — |  | 2,873 |  | 117,405 |  | — |  | — |  | 53,262 |  | 63,649 |  | 237,189 |  | 7.5 | % |
| Textiles, Apparel & Luxury Goods           | — |  | — |  | — |  | — |  | — |  | — |  | 24,986 |  | 24,986 |  | 0.8 | % |
| Total Affiliate Investments                    | $ | — |  | $ | 2,873 |  | $ | 117,405 |  | $ | — |  | $ | — |  | $ | 53,262 |  | $ | 88,635 |  | $ | 262,175 |  | 8.2 | % |
| Fair Value % of Net Assets                     | — | % | 0.1 | % | 3.6 | % | — | % | — | % | 1.7 | % | 2.8 | % | 8.2 | % |  |
| Non-Control/Non-Affiliate Investments          |  |  |   |  |  |   |  |  |  |  |  |  |  |  |  |
| Air Freight & Logistics                    | $ | — |  | $ | — |  | $ | 10,386 |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | 10,386 |  | 0.3 | % |
| Auto Components                                | 27,859 |  | — |  | 24,160 |  | — |  | — |  | — |  | — |  | 52,019 |  | 1.6 | % |
| Chemicals                                      | 31,222 |  | — |  | — |  | — |  | — |  | — |  | — |  | 31,222 |  | 1.0 | % |
| Commercial Services & Supplies             | 40,325 |  | — |  | 173,869 |  | — |  | — |  | — |  | 8,419 |  | 222,613 |  | 7.0 | % |
| Communications Equipment                       | 9,007 |  | — |  | 45,184 |  | — |  | — |  | — |  | — |  | 54,191 |  | 1.7 | % |
| Consumer Finance                               | 29,210 |  | — |  | 2,870 |  | — |  | — |  | — |  | — |  | 32,080 |  | 1.0 | % |
| Distributors                                   | 171,959 |  | — |  | 6,580 |  | — |  | — |  | — |  | — |  | 178,539 |  | 5.6 | % |
| Diversified Financial Services                 | 30,165 |  | — |  | — |  | — |  | — |  | — |  | — |  | 30,165 |  | 0.9 | % |
| Diversified Telecommunication Services         | 17,035 |  | — |  | 39,082 |  | — |  | — |  | — |  | — |  | 56,117 |  | 1.8 | % |
| Entertainment                                  | 49,040 |  | — |  | — |  | — |  | — |  | — |  | — |  | 49,040 |  | 1.5 | % |
| Food Products                                  | — |  | — |  | 29,938 |  | — |  | — |  | — |  | — |  | 29,938 |  | 0.9 | % |
| Health Care Equipment & Supplies           | — |  | — |  | 5,845 |  | — |  | — |  | — |  | — |  | 5,845 |  | 0.2 | % |
| Health Care Providers & Services           | 151,154 |  | — |  | 113,555 |  | — |  | — |  | — |  | — |  | 264,709 |  | 8.3 | % |
| Hotels, Restaurants & Leisure              | 21,721 |  | — |  | — |  | — |  | — |  | — |  | — |  | 21,721 |  | 0.7 | % |
| Household Durables                             | — |  | — |  | 8,249 |  | 3,980 |  | — |  | — |  | 5,810 |  | 18,039 |  | 0.6 | % |
| Household Products                             | 24,375 |  | — |  | — |  | — |  | — |  | — |  | — |  | 24,375 |  | 0.8 | % |
| Insurance                                      | — |  | — |  | 16,978 |  | — |  | — |  | — |  | — |  | 16,978 |  | 0.5 | % |
| Interactive Media & Services               | 195,577 |  | — |  | — |  | — |  | — |  | — |  | — |  | 195,577 |  | 6.1 | % |
| Internet & Direct Marketing Retail         | 16,562 |  | — |  | — |  | — |  | — |  | — |  | — |  | 16,562 |  | 0.5 | % |
| IT Services                                    | 91,857 |  | — |  | 85,750 |  | — |  | — |  | — |  | — |  | 177,607 |  | 5.6 | % |
| Leisure Products                               | 25,386 |  | — |  | — |  | — |  | — |  | — |  | — |  | 25,386 |  | 0.8 | % |
| Machinery                                      | 44,265 |  | — |  | — |  | — |  | — |  | — |  | — |  | 44,265 |  | 1.4 | % |
| Media                                          | 62,654 |  | — |  | 7,386 |  | — |  | — |  | — |  | — |  | 70,040 |  | 2.2 | % |
| Paper & Forest Products                    | 4,404 |  | — |  | 11,404 |  | — |  | — |  | — |  | — |  | 15,808 |  | 0.5 | % |
| Professional Services                          | 29,369 |  | — |  | 67,363 |  | — |  | — |  | — |  | — |  | 96,732 |  | 3.0 | % |
| Real Estate Management & Development       | 31,537 |  | — |  | — |  | — |  | — |  | — |  | — |  | 31,537 |  | 1.0 | % |
| Software                                       | 8,458 |  | — |  | 65,928 |  | — |  | — |  | — |  | — |  | 74,386 |  | 2.3 | % |
| Technology Hardware, Storage & Peripherals | — |  | — |  | 12,377 |  | — |  | — |  | — |  | — |  | 12,377 |  | 0.4 | % |
| Textiles, Apparel & Luxury Goods           | 165,390 |  | — |  | 34,797 |  | — |  | — |  | — |  | — |  | 200,187 |  | 6.3 | % |
| Transportation Infrastructure                  | — |  | — |  | 27,683 |  | — |  | — |  | — |  | — |  | 27,683 |  | 0.9 | % |

----

|                                 |
|---------------------------------|
|                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Industry                        | 1st LienTerm Loan | 1.5 Lien Term Loan | 2nd LienTerm Loan | 3rd Lien Term Loan | Subordinated Structured Notes | Subordinated Unsecured Debt | Equity (B) | Fair Value Total | Fair Value % of Net Assets |
| Structured Finance (A)          | — |  | — |  | — |  | — |  | 730,514 |  | — |  | — |  | 730,514 |  | 23.0 | % |
| Total Non-Control/Non-Affiliate | $ | 1,278,531 |  | $ | — |  | $ | 789,384 |  | $ | 3,980 |  | $ | 730,514 |  | $ | — |  | $ | 14,229 |  | $ | 2,816,638 |  | 88.5 | % |
| Fair Value % of Net Assets      | 40.2 | % | — | % | 24.8 | % | 0.1 | % | 23.0 | % | — | % | 0.4 | % | 88.5 | % |  |
| Total Portfolio                 | $ | 2,465,385 |  | $ | 2,873 |  | $ | 1,293,955 |  | $ | 3,980 |  | $ | 730,514 |  | $ | 53,262 |  | $ | 836,416 |  | $ | 5,386,385 |  | 169.3 | % |
| Fair Value % of Net Assets      | 77.5 | % | 0.1 | % | 40.7 | % | 0.1 | % | 22.9 | % | 1.7 | % | 26.3 | % | 169.3 | % |  |

|      |                                                                                                                                                                 |
|------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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, 2020: |

|                                                   |
|---------------------------------------------------|
|                                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Industry                                          | 1st LienTerm Loan | 1.5 Lien Term Loan | 2nd LienTerm Loan | 3rd Lien Term Loan | Subordinated Structured Notes | Subordinated Unsecured Debt | Equity (B) | Cost Total |
| Control Investments                               |   |   |   |   |   |   |   |   |
| Aerospace & Defense                           | $ | 65,471 |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | 22,737 |  | $ | 88,208 |  |
| Commercial Services & Supplies                | 125,477 |  | — |  | — |  | — |  | — |  | 6,350 |  | 6,849 |  | 138,676 |  |
| Construction & Engineering                    | 43,731 |  | — |  | — |  | — |  | — |  | — |  | 25,143 |  | 68,874 |  |
| Consumer Finance                                  | — |  | — |  | 357,026 |  | — |  | — |  | — |  | 120,939 |  | 477,965 |  |
| Diversified Consumer Finance                      | — |  | — |  | — |  | — |  | — |  | — |  | 2,378 |  | 2,378 |  |
| Energy Equipment & Services                   | 73,260 |  | — |  | — |  | — |  | — |  | — |  | 193,358 |  | 266,618 |  |
| Equity Real Estate Investment Trusts (REITs)      | 486,058 |  | — |  | — |  | — |  | — |  | — |  | 210 |  | 486,268 |  |
| Health Care Providers & Services              | 267,052 |  | — |  | — |  | — |  | — |  | — |  | 1 |  | 267,053 |  |
| Machinery                                         | — |  | — |  | 28,622 |  | — |  | — |  | — |  | 6,867 |  | 35,489 |  |
| Media                                             | 5,025 |  | — |  | — |  | — |  | — |  | — |  | 12,869 |  | 17,894 |  |
| Online Lending                                    | 45,950 |  | — |  | — |  | — |  | — |  | — |  | — |  | 45,950 |  |
| Personal Products                                 | 59,907 |  | — |  | — |  | — |  | — |  | — |  | 186,795 |  | 246,702 |  |
| Trading Companies & Distributors              | 65,450 |  | — |  | — |  | — |  | — |  | — |  | — |  | 65,450 |  |
| Structured Finance (A)                            | 79,200 |  | — |  | — |  | — |  | — |  | — |  | — |  | 79,200 |  |
|     Total Control Investments | $ | 1,316,581 |  | $ | — |  | $ | 385,648 |  | $ | — |  | $ | — |  | $ | 6,350 |  | $ | 578,146 |  | $ | 2,286,725 |  |
| Affiliate Investments                             |  |  |   |  |  |   |  |  |  |  |  |  |  |  |
| Diversified Consumer Services                     | $ | — |  | $ | 1,981 |  | $ | 114,536 |  | $ | — |  | $ | — |  | $ | 37,585 |  | $ | 6,577 |  | $ | 160,679 |  |
| Textiles, Apparel & Luxury Goods              | — |  | — |  | — |  | — |  | — |  | — |  | 2,805 |  | 2,805 |  |
| Total Affiliate Investments                       | $ | — |  | $ | 1,981 |  | $ | 114,536 |  | $ | — |  | $ | — |  | $ | 37,585 |  | $ | 9,382 |  | $ | 163,484 |  |
| Non-Control/Non-Affiliate Investments             |  |  |   |  |  |   |  |  |  |  |  |  |  |  |
| Air Freight & Logistics                       | $ | — |  | $ | — |  | $ | 12,500 |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | 12,500 |  |
| Auto Components                                   | 1,244 |  | — |  | 25,532 |  | — |  | — |  | — |  | — |  | 26,776 |  |
| Chemicals                                         | 31,837 |  | — |  | — |  | — |  | — |  | — |  | — |  | 31,837 |  |
| Commercial Services & Supplies                | 43,835 |  | — |  | 175,763 |  |  |  | — |  | — |  | 10,303 |  | 229,901 |  |
| Communications Equipment                          | 9,105 |  | — |  | 50,533 |  |  |  | — |  | — |  | — |  | 59,638 |  |
| Consumer Finance                                  | 28,806 |  | — |  | — |  | — |  | — |  | — |  | — |  | 28,806 |  |
| Distributors                                      | 172,853 |  | — |  | 105,478 |  | — |  | — |  | — |  | — |  | 278,331 |  |
| Diversified Financial Services                    | 30,165 |  | — |  | — |  | — |  | — |  | — |  | — |  | 30,165 |  |
| Diversified Telecommunication Services            | 17,704 |  | — |  | 39,394 |  | — |  | — |  | — |  | — |  | 57,098 |  |

----

|                                                |
|------------------------------------------------|
|                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Industry                                       | 1st LienTerm Loan | 1.5 Lien Term Loan | 2nd LienTerm Loan | 3rd Lien Term Loan | Subordinated Structured Notes | Subordinated Unsecured Debt | Equity (B) | Cost Total |
| Entertainment                                  | 50,601 |  | — |  | — |  | — |  | — |  | — |  | — |  | 50,601 |  |
| Food Products                                  | — |  | — |  | 24,853 |  | — |  | — |  | — |  | — |  | 24,853 |  |
| Health Care Equipment & Supplies           | — |  | — |  | 7,474 |  | — |  | — |  | — |  | — |  | 7,474 |  |
| Health Care Providers & Services           | 152,900 |  | — |  | 113,235 |  | — |  | — |  | — |  | — |  | 266,135 |  |
| Hotels, Restaurants & Leisure              | 23,501 |  | — |  | — |  | — |  | — |  | — |  | — |  | 23,501 |  |
| Household Durables                             | — |  | — |  | 9,924 |  | 3,990 |  | — |  | — |  | 2,001 |  | 15,915 |  |
| Household Products                             | 24,437 |  | — |  | — |  | — |  | — |  | — |  | — |  | 24,437 |  |
| Insurance                                      | — |  | — |  | 12,796 |  | — |  | — |  | — |  | — |  | 12,796 |  |
| Interactive Media & Services               | 200,728 |  | — |  | — |  | — |  | — |  | — |  | — |  | 200,728 |  |
| Internet & Direct Marketing Retail         | 15,706 |  | — |  | — |  | — |  | — |  | — |  | — |  | 15,706 |  |
| IT Services                                    | 117,574 |  | — |  | 85,711 |  | — |  | — |  | — |  | — |  | 203,285 |  |
| Leisure Products                               | 24,518 |  | — |  | — |  | — |  | — |  | — |  | 1 |  | 24,519 |  |
| Machinery                                      | 48,745 |  | — |  | — |  | — |  | — |  | — |  | — |  | 48,745 |  |
| Media                                          | 64,630 |  | — |  | 35,000 |  | — |  | — |  | — |  | — |  | 99,630 |  |
| Paper & Forest Products                    | 4,393 |  | — |  | 11,395 |  | — |  | — |  | — |  | — |  | 15,788 |  |
| Professional Services                          | 28,910 |  | — |  | 75,254 |  | — |  | — |  | — |  | — |  | 104,164 |  |
| Real Estate Management & Development       | 31,747 |  | — |  | — |  | — |  | — |  | — |  | — |  | 31,747 |  |
| Software                                       | 8,425 |  | — |  | 66,783 |  | — |  | — |  | — |  | — |  | 75,208 |  |
| Technology Hardware, Storage & Peripherals | — |  | — |  | 12,415 |  | — |  | — |  | — |  | — |  | 12,415 |  |
| Textiles, Apparel & Luxury Goods           | 166,307 |  | — |  | 36,762 |  | — |  | — |  | — |  | — |  | 203,069 |  |
| Transportation Infrastructure                  | — |  | — |  | 27,662 |  | — |  | — |  | — |  | — |  | 27,662 |  |
| Structured Finance (A)                         | — |  | — |  | — |  | — |  | 1,089,079 |  | — |  | — |  | 1,089,079 |  |
| Total Non-Control/Non-Affiliate                | $ | 1,298,671 |  | $ | — |  | $ | 928,464 |  | $ | 3,990 |  | $ | 1,089,079 |  | $ | — |  | $ | 12,305 |  | $ | 3,332,509 |  |
| Total Portfolio Investment Cost                | $ | 2,615,252 |  | $ | 1,981 |  | $ | 1,428,648 |  | $ | 3,990 |  | $ | 1,089,079 |  | $ | 43,935 |  | $ | 599,833 |  | $ | 5,782,718 |  |

|                                              |
|----------------------------------------------|
|                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Industry                                     | 1st LienTerm Loan | 1.5 Lien Term Loan | 2nd LienTerm Loan | 3rd Lien Term Loan | Subordinated Structured Notes | Subordinated Unsecured Debt | Equity (B) | Fair Value Total | Fair Value % of Net Assets |
| Control Investments                          |   |   |   |   |   |   |   |   |   |
| Aerospace & Defense                      | $ | 65,471 |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | 20,156 |  | $ | 85,627 |  | 2.8 | % |
| Commercial Services & Supplies           | 69,230 |  | — |  | — |  | — |  | — |  | — |  | — |  | 69,230 |  | 2.3 | % |
| Construction & Engineering               | 43,731 |  | — |  | — |  | — |  | — |  | — |  | 85,565 |  | 129,296 |  | 4.2 | % |
| Consumer Finance                             | — |  | — |  | 360,015 |  | — |  | — |  | — |  | 261,373 |  | 621,388 |  | 20.3 | % |
| Diversified Consumer Services                | — |  | — |  | — |  | — |  | — |  | — |  | 3,286 |  | 3,286 |  | 0.1 | % |
| Energy Equipment & Services              | 55,455 |  | — |  | — |  | — |  | — |  | — |  | 26,781 |  | 82,236 |  | 2.7 | % |
| Equity Real Estate Investment Trusts (REITs) | 486,058 |  | — |  | — |  | — |  | — |  | — |  | 267,525 |  | 753,583 |  | 24.7 | % |
| Health Care Providers & Services         | 230,757 |  | — |  | — |  | — |  | — |  | — |  | — |  | 230,757 |  | 7.6 | % |
| Machinery                                    | — |  | — |  | 28,622 |  | — |  | — |  | — |  | 9,943 |  | 38,565 |  | 1.3 | % |
| Media                                        | 5,025 |  | — |  | — |  | — |  | — |  | — |  | 28,643 |  | 33,668 |  | 1.1 | % |
| Online Lending                               | 45,950 |  | — |  | — |  | — |  | — |  | — |  | — |  | 45,950 |  | 1.5 | % |
| Personal Products                            | 59,907 |  | — |  | — |  | — |  | — |  | — |  | — |  | 59,907 |  | 2.0 | % |
| Trading Companies & Distributors         | 26,599 |  | — |  | — |  | — |  | — |  | — |  | — |  | 26,599 |  | 0.9 | % |

----

|                                                |
|------------------------------------------------|
|                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Industry                                       | 1st LienTerm Loan | 1.5 Lien Term Loan | 2nd LienTerm Loan | 3rd Lien Term Loan | Subordinated Structured Notes | Subordinated Unsecured Debt | Equity (B) | Fair Value Total | Fair Value % of Net Assets |
| Structured Finance (A)                         | 79,200 |  | — |  | — |  | — |  | — |  | — |  | — |  | 79,200 |  | 2.6 | % |
| Total Control Investments                      | $ | 1,167,383 |  | $ | — |  | $ | 388,637 |  | $ | — |  | $ | — |  | $ | — |  | $ | 703,272 |  | $ | 2,259,292 |  | 73.9 | % |
| Fair Value % of Net Assets                     | 38.2 | % |   | 12.7 | % | — | % | — | % | — | % | 23.0 | % | 73.9 | % |  |  |
| Affiliate Investments                          |  |  |   |  |  |   |  |  |  |  |  |  |  |  |  |  |
| Diversified Consumer Services                  | $ | — |  | $ | 1,981 |  | $ | 107,412 |  | $ | — |  | $ | — |  | $ | 51,079 |  | $ | 5,857 |  | $ | 166,329 |  | 5.4 | % |
| Textiles, Apparel & Luxury Goods           | — |  | — |  | — |  | — |  | — |  | — |  | 21,208 |  | 21,208 |  | 0.7 | % |
| Total Affiliate Investments                    | $ | — |  | $ | 1,981 |  | $ | 107,412 |  | $ | — |  | $ | — |  | $ | 51,079 |  | $ | 27,065 |  | $ | 187,537 |  | 6.1 | % |
| Fair Value % of Net Assets                     | — | % | 0.1 | % | 3.5 | % | — | % | — | % | 1.7 | % | 0.9 | % | 6.1 | % |  |  |
| Non-Control/Non-Affiliate Investments          |  |  |   |  |  |   |  |  |  |  |  |  |  |  |  |  |
| Air Freight & Logistics                    | $ | — |  | $ | — |  | $ | 10,755 |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | 10,755 |  | 0.4 | % |
| Auto Components                                | 1,373 |  | — |  | 23,494 |  | — |  | — |  | — |  | — |  | 24,867 |  | 0.8 | % |
| Chemicals                                      | 31,891 |  | — |  | — |  | — |  | — |  | — |  | — |  | 31,891 |  | 1.0 | % |
| Commercial Services & Supplies             | 43,409 |  | — |  | 172,405 |  | — |  | — |  | — |  | 9,233 |  | 225,047 |  | 7.4 | % |
| Communications Equipment                       | 8,671 |  | — |  | 42,166 |  | — |  | — |  | — |  | — |  | 50,837 |  | 1.7 | % |
| Consumer Finance                               | 24,338 |  | — |  | — |  | — |  | — |  | — |  | — |  | 24,338 |  | 0.8 | % |
| Distributors                                   | 168,965 |  | — |  | 6,966 |  | — |  | — |  | — |  | — |  | 175,931 |  | 5.8 | % |
| Diversified Financial Services                 | 30,165 |  | — |  | — |  | — |  | — |  | — |  | — |  | 30,165 |  | 1.0 | % |
| Diversified Telecommunication Services         | 17,403 |  | — |  | 37,908 |  | — |  | — |  | — |  | — |  | 55,311 |  | 1.8 | % |
| Entertainment                                  | 49,017 |  | — |  | — |  | — |  | — |  | — |  | — |  | 49,017 |  | 1.6 | % |
| Food Products                                  | — |  | — |  | 25,000 |  | — |  | — |  | — |  | — |  | 25,000 |  | 0.8 | % |
| Health Care Equipment & Supplies           | — |  | — |  | 5,606 |  | — |  | — |  | — |  | — |  | 5,606 |  | 0.2 | % |
| Health Care Providers & Services           | 151,824 |  | — |  | 112,821 |  | — |  | — |  | — |  | — |  | 264,645 |  | 8.7 | % |
| Hotels, Restaurants & Leisure              | 21,008 |  | — |  | — |  | — |  | — |  | — |  | — |  | 21,008 |  | 0.7 | % |
| Household Durables                             | — |  | — |  | 8,223 |  | 3,990 |  | — |  | — |  | 3,853 |  | 16,066 |  | 0.5 | % |
| Household Products                             | 24,362 |  | — |  | — |  | — |  | — |  | — |  | — |  | 24,362 |  | 0.8 | % |
| Insurance                                      | — |  | — |  | 12,744 |  | — |  | — |  | — |  | — |  | 12,744 |  | 0.4 | % |
| Interactive Media & Services               | 200,728 |  | — |  | — |  | — |  | — |  | — |  | — |  | 200,728 |  | 6.6 | % |
| Internet & Direct Marketing Retail         | 16,440 |  | — |  | — |  | — |  | — |  | — |  | — |  | 16,440 |  | 0.5 | % |
| IT Services                                    | 118,311 |  | — |  | 85,750 |  | — |  | — |  | — |  | — |  | 204,061 |  | 6.7 | % |
| Leisure Products                               | 24,319 |  | — |  | — |  | — |  | — |  | — |  | — |  | 24,319 |  | 0.8 | % |
| Machinery                                      | 48,655 |  | — |  | — |  | — |  | — |  | — |  | — |  | 48,655 |  | 1.6 | % |
| Media                                          | 64,170 |  | — |  | 2,754 |  | — |  | — |  | — |  | — |  | 66,924 |  | 2.2 | % |
| Paper & Forest Products                    | 4,393 |  | — |  | 11,395 |  | — |  | — |  | — |  | — |  | 15,788 |  | 0.5 | % |
| Professional Services                          | 29,275 |  | — |  | 77,267 |  | — |  | — |  | — |  | — |  | 106,542 |  | 3.5 | % |
| Real Estate Management & Development       | 31,747 |  | — |  | — |  | — |  | — |  | — |  | — |  | 31,747 |  | 1.0 | % |
| Software                                       | 8,425 |  | — |  | 65,320 |  | — |  | — |  | — |  | — |  | 73,745 |  | 2.4 | % |
| Technology Hardware, Storage & Peripherals | — |  | — |  | 12,318 |  | — |  | — |  | — |  | — |  | 12,318 |  | 0.4 | % |
| Textiles, Apparel & Luxury Goods           | 164,656 |  | — |  | 35,363 |  | — |  | — |  | — |  | — |  | 200,019 |  | 6.5 | % |
| Transportation Infrastructure                  | — |  | — |  | 27,662 |  | — |  | — |  | — |  | — |  | 27,662 |  | 0.9 | % |

----

|                                 |
|---------------------------------|
|                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Industry                        | 1st LienTerm Loan | 1.5 Lien Term Loan | 2nd LienTerm Loan | 3rd Lien Term Loan | Subordinated Structured Notes | Subordinated Unsecured Debt | Equity (B) | Fair Value Total | Fair Value % of Net Assets |
| Structured Finance (A)          | — |  | — |  | — |  | — |  | 708,961 |  | — |  | — |  | 708,961 |  | 23.2 | % |
| Total Non-Control/Non-Affiliate | $ | 1,283,545 |  | $ | — |  | $ | 775,917 |  | $ | 3,990 |  | $ | 708,961 |  | $ | — |  | $ | 13,086 |  | $ | 2,785,499 |  | 91.2 | % |
| Fair Value % of Net Assets      | 42.0 | % | — | % | 25.4 | % | 0.1 | % | 23.2 | % | — | % | 0.4 | % | 91.2 | % |  |  |
| Total Portfolio                 | $ | 2,450,928 |  | $ | 1,981 |  | $ | 1,271,966 |  | $ | 3,990 |  | $ | 708,961 |  | $ | 51,079 |  | $ | 743,423 |  | $ | 5,232,328 |  | 171.2 | % |
| Fair Value % of Net Assets      | 80.2 | % | 0.1 | % | 41.6 | % | 0.1 | % | 23.2 | % | 1.7 | % | 24.3 | % | 171.2 | % |  |  |

----

|      |                                                                                                                                                                                                                                                                                                                                                                         |
|------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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. |

|                                                                         |
|-------------------------------------------------------------------------|
|                                                                         |  |  |  |  |  |  |  |
| Security Name                                                           | PIK Rate - Capitalized | PIK Rate - Paid as cash | Maximum Current PIK Rate |   |
| Cinedigm DC Holdings, LLC - Senior Secured Term Loan                    | — | % | 2.50 | % | 2.50 | % |   |
| CP Energy Services Inc. - Senior Secured Term Loan                      | 12.00 | % | — | % | 12.00 | % | (A) |
| Credit Central Loan Company, LLC - Subordinated Term Loan               | 10.00 | % | — | % | 10.00 | % | (B) |
| Echelon Transportation, LLC - Senior Secured Term Loan                  | 2.25 | % | — | % | 2.25 | % | (C) |
| Echelon Transportation, LLC - Senior Secured Term Loan                  | 1.00 | % | — | % | 1.00 | % | (D) |
| Edmentum Ultimate Holdings, LLC - Second Lien Revolving Credit Facility | 5.00 | % | — | % | 5.00 | % |   |
| Edmentum Ultimate Holdings, LLC - Unsecured Senior PIK Note             | 8.50 | % | — | % | 8.50 | % |   |
| Edmentum Ultimate Holdings, LLC - Unsecured Junior PIK Note             | 10.00 | % | — | % | 10.00 | % |   |
| First Tower Finance Company LLC - Subordinated Term Loan                | — | % | 12.00 | % | 12.00 | % |   |
| InterDent, Inc. - Senior Secured Term Loan B                            | 10.00 | % | — | % | 10.00 | % |   |
| MITY, Inc. - Senior Secured Note B                                      | 10.00 | % | — | % | 10.00 | % |   |
| National Property REIT Corp. - Senior Secured Term Loan A-2             | — | % | 3.53 | % | 3.53 | % |   |
| National Property REIT Corp. - Senior Secured Term Loan B-2             | — | % | 5.50 | % | 5.50 | % |   |
| National Property REIT Corp. - Senior Secured Term Loan C               | — | % | 2.25 | % | 2.25 | % |   |
| National Property REIT Corp. - Senior Secured Term Loan D               | — | % | 2.50 | % | 2.50 | % |   |
| Nationwide Loan Company LLC - Senior Subordinated Term Loan             | 3.35 | % | 6.65 | % | 10.00 | % |   |
| Pacific World Corporation - Senior Secured Term Loan A                  | 6.25 | % | — | % | 6.25 | % |   |
| PGX Holdings, Inc. - Second Lien Term Loan                              | 15.75 | % | — | % | 15.75 | % |   |
| PGX Holdings, Inc. - 1.5 Lien                                           | 11.50 | % | — | % | 11.50 | % |   |
| Rosa Mexicano - Revolving Line of Credit                                | 5.50 | % | — | % | 5.50 | % | (E) |
| Rosa Mexicano - Senior Secured Term Loan                                | 5.50 | % | — | % | 5.50 | % | (E) |
| RGIS Services, LLC - Senior Secured Term Loan                           | 6.50 | % | — | % | 6.50 | % |   |
| SEOTOWNCENTER, INC. - Senior Secured Term Loan A                        | — | % | 4.00 | % | 4.00 | % | (F) |
| SEOTOWNCENTER, INC. - Senior Secured Term Loan B                        | — | % | 9.00 | % | 9.00 | % | (G) |
| The Octave Music Group, Inc. (fka Touchtunes) - First Lien Term Loan    | — | % | 0.75 | % | 0.75 | % |   |
| Town & Country Holdings, Inc. - First Lien Term Loan                | — | % | 5.00 | % | 5.00 | % | (H) |
| Valley Electric Co. of Mt. Vernon, Inc. - Senior Secured Note           | — | % | 2.50 | % | 2.50 | % |   |
| Valley Electric Company, Inc. - Senior Secured Note                     | — | % | 10.00 | % | 10.00 | % |   |
| Venio LLC - Second Lien Term Loan                                       | 5.00 | % | 5.00 | % | 10.00 | % |   |

----

|                                                                         |
|-------------------------------------------------------------------------|
|                                                                         |  |  |  |  |
| Security Name                                                           | PIK Rate - Capitalized | PIK Rate - Paid as cash | Maximum Current PIK Rate |   |
| Cinedigm DC Holdings, LLC - Senior Secured Term Loan                    | —% | 2.50% | 2.50% |   |
| CP Energy Services Inc. - Senior Secured Term Loan                      | 12.00% | —% | 12.00% | (A) |
| Credit Central Loan Company, LLC - Subordinated Term Loan               | 10.00% | —% | 10.00% | (B) |
| Echelon Transportation, LLC - Senior Secured Term Loan                  | 2.25% | —% | 2.25% | (C) |
| Echelon Transportation, LLC - Senior Secured Term Loan                  | 1.00% | —% | 1.00% | (D) |
| Edmentum Ultimate Holdings, LLC - Second Lien Revolving Credit Facility | 5.00% | —% | 5.00% |   |
| Edmentum Ultimate Holdings, LLC - Unsecured Senior PIK Note             | 8.50% | —% | 8.50% |   |
| Edmentum Ultimate Holdings, LLC - Unsecured Junior PIK Note             | 10.00% | —% | 10.00% |   |
| First Tower Finance Company LLC - Subordinated Term Loan                | 4.40% | 6.10% | 10.50% |   |
| InterDent, Inc. - Senior Secured Term Loan A                            | 6.25% | —% | 6.25% | (E) |
| InterDent, Inc. - Senior Secured Term Loan A/B                          | 7.05% | —% | 7.05% | (F) |
| InterDent, Inc. - Senior Secured Term Loan B                            | 10.00% | —% | 10.00% |   |
| Medusind Acquisition, Inc - First Lien Term Loan                        | 5.49% | 3.51% | 9.00% | (G) |
| MITY, Inc. - Senior Secured Note B                                      | 10.00% | —% | 10.00% |   |
| National Property REIT Corp. - Senior Secured Term Loan A               | —% | 3.53% | 3.53% |   |
| National Property REIT Corp. - Senior Secured Term Loan B               | —% | 5.50% | 5.50% |   |
| National Property REIT Corp. - Senior Secured Term Loan C               | —% | 2.25% | 2.25% |   |
| National Property REIT Corp. - Senior Secured Term Loan D               | —% | 2.50% | 2.50% |   |
| Nationwide Loan Company LLC - Senior Subordinated Term Loan             | 10.00% | —% | 10.00% |   |
| Pacific World Corporation - Senior Secured Term Loan A                  | —% | —% | 6.25% | (H) |
| PGX Holdings, Inc. - 1.5 Lien                                           | 11.50% | —% | 11.50% | (I) |
| PGX Holdings, Inc. - Second Lien Term Loan                              | 15.75% | —% | 15.75% | (J) |
| Rosa Mexicano - Revolver                                                | 6.00% | —% | 6.00% | (K) |
| Rosa Mexicano - Senior Secured Term Loan                                | 6.00% | —% | 6.00% | (L) |
| SEOTOWNCENTER, INC. - Senior Secured Term Loan A                        | —% | 4.00% | 4.00% | (M) |
| SEOTOWNCENTER, INC. - Senior Secured Term Loan B                        | —% | 9.00% | 9.00% | (N) |
| The Octave Music Group, Inc. (fka Touchtunes) - First Lien Term Loan    | —% | 0.75% | 0.75% |   |
| Town & Country Holdings, Inc. - First Lien Term Loan                | —% | 5.00% | 5.00% | (O) |
| Valley Electric Co. of Mt. Vernon, Inc. - Senior Secured Note           | —% | 2.50% | 2.50% |   |
| Valley Electric Company, Inc. - Senior Secured Note                     | —% | 10.00% | 10.00% |   |
| Venio LLC - Second Lien Term Loan                                       | 10.00% | —% | 10.00% |   |

----

|      |                                                                                                                                                                                                                                                                                                                |
|------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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 three months ended September 30, 2020 with these controlled investments were as follows: |

|                                                 |
|-------------------------------------------------|
|                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Portfolio Company                               | Fair Value at June 30, 2020 | Gross Additions (Cost)(A) | Gross Reductions (Cost)(B) | Net unrealizedgains (losses) | Fair Value at September 30, 2020 | Interestincome | Dividendincome | Otherincome | Net realizedgains (losses) |
|  CP Energy Services Inc.                   | $ | 51,174 |  | $ | 1,127 |  | $ | (1 | ) | $ | (17,406 | ) | $ | 34,894 |  | $ | 1,127 |  | $ | — |  | $ | — |  | $ | — |  |
|  CP Energy - Spartan Energy Services, Inc. | 18,711 |  | 26,193 |  | (23,361 | ) | (2,128 | ) | 19,415 |  | 303 |  | — |  | 6 |  | 2,832 |  |
|  Credit Central Loan Company, LLC          | 75,685 |  | 3,369 |  | — |  | (730 | ) | 78,324 |  | 3,370 |  | — |  | — |  | — |  |
|  Echelon Transportation, LLC               | 85,627 |  | 4,325 |  | — |  | 2,172 |  | 92,124 |  | 2,338 |  | — |  | — |  | — |  |
|  First Tower Finance Company LLC           | 508,465 |  | — |  | (4,911 | ) | 6,546 |  | 510,100 |  | 15,480 |  | — |  | — |  | — |  |
|  Freedom Marine Solutions, LLC             | 12,351 |  | — |  | — |  | — |  | 12,351 |  | — |  | — |  | — |  | — |  |
|  InterDent, Inc.                           | 230,757 |  | 3,282 |  | — |  | 2,945 |  | 236,984 |  | 4,937 |  | — |  | — |  | — |  |
| Kickapoo Ranch Pet Resort                       | 3,286 |  | — |  | — |  | (286 | ) | 3,000 |  | — |  | — |  | — |  | — |  |
|  MITY, Inc.                                | 51,905 |  | 851 |  | (145 | ) | (3,632 | ) | 48,979 |  | 2,373 |  | — |  | — |  | — |  |
|  National Property REIT Corp.              | 878,733 |  | 38,746 |  | (15,329 | ) | 11,430 |  | 913,580 |  | 13,402 |  | — |  | 8,898 |  | — |  |
|  Nationwide Loan Company LLC               | 37,238 |  | 173 |  | — |  | (315 | ) | 37,096 |  | 1,033 |  | — |  | — |  | — |  |
|  NMMB, Inc.                                | 33,668 |  | — |  | (38 | ) | (5,530 | ) | 28,100 |  | 135 |  | — |  | — |  | — |  |
|  Pacific World Corporation                 | 59,907 |  | 634 |  | — |  | 6,433 |  | 66,974 |  | 1,141 |  | — |  | — |  | — |  |
|  R-V Industries, Inc.                      | 38,565 |  | — |  | — |  | 2,534 |  | 41,099 |  | 716 |  | — |  | — |  | — |  |
|  Universal Turbine Parts, LLC              | 26,599 |  | — |  | (170 | ) | 2,037 |  | 28,466 |  | 594 |  | — |  | — |  | — |  |
|  USES Corp.                                | 17,325 |  | — |  | — |  | 5,137 |  | 22,462 |  | — |  | — |  | — |  | — |  |
|  Valley Electric Company, Inc.             | 129,296 |  | — |  | — |  | 4,328 |  | 133,624 |  | 1,778 |  | — |  | 167 |  | — |  |
| Total                                           | $ | 2,259,292 |  | $ | 78,700 |  | $ | (43,955 | ) | $ | 13,535 |  | $ | 2,307,572 |  | $ | 48,727 |  | $ | — |  | $ | 9,071 |  | $ | 2,832 |  |

----

|      |                                                                                                                                                                                                                                                                                                                                   |
|------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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 three months ended September 30, 2020 with these affiliated investments were as follows: |

|                                 |
|---------------------------------|
|                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Portfolio Company               | Fair Value at June 30, 2019 | Gross Additions (Cost)(A) | Gross Reductions (Cost)(B) | Net unrealizedgains (losses) | Fair Value at September 30, 2020 | Interestincome | Dividendincome | Otherincome | Net realizedgains (losses) |
| Edmentum Ultimate Holdings, LLC | $ | 59,618 |  | $ | 3,066 |  | $ | — |  | $ | 4,924 |  | $ | 67,608 |  | $ | 3,090 |  | $ | — |  | $ | — |  | $ | — |  |
| Nixon, Inc.                     | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  |
| PGX Holdings, Inc.              | 106,711 |  | 5,099 |  | — |  | 57,771 |  | 169,581 |  | 4,272 |  | — |  | — |  | — |  |
| Targus Cayman HoldCo Limited    | 21,208 |  | — |  | — |  | 3,778 |  | 24,986 |  | — |  | — |  | — |  | — |  |
| Total                           | $ | 187,537 |  | $ | 8,165 |  | $ | — |  | $ | 66,473 |  | $ | 262,175 |  | $ | 7,362 |  | $ | — |  | $ | — |  | $ | — |  |

----

|      |                                                                                                                                                                                                                                                                                                        |
|------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (42) | As defined in the 1940 Act, we are deemed to “Control” these portfolio companies because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the year ended June 30, 2020 with these controlled investments were as follows: |

|                                          |
|------------------------------------------|
|                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Portfolio Company                        | Fair Value at  June 30, 2019 | Gross Additions (Cost)(A) | Gross Reductions (Cost)(B) | Net unrealizedgains (losses) | Fair Value at June 30, 2020 | Interestincome | Dividendincome | Otherincome | Net realizedgains (losses) |
| CP Energy Services Inc.                  | $ | 104,533 |  | $ | 6,735 |  | $ | — |  | $ | (60,094 | ) | $ | 51,174 |  | $ | 4,636 |  | $ | — |  | $ | — |  | $ | — |  |
| CP Energy - Spartan Energy Services, LLC | 34,398 |  | 2,119 |  | — |  | (17,806 | ) | 18,711 |  | 3,115 |  | — |  | 13 |  | — |  |
| Credit Central Loan Company, LLC         | 71,417 |  | 12,891 |  | — |  | (8,623 | ) | 75,685 |  | 12,145 |  | — |  | 112 |  | — |  |
| Echelon Transportation LLC               | 89,701 |  | 10,630 |  | — |  | (14,704 | ) | 85,627 |  | 8,349 |  | — |  | — |  | — |  |
| First Tower Finance Company LLC          | 494,036 |  | 6,178 |  | (6,518 | ) | 14,769 |  | 508,465 |  | 57,802 |  | — |  | — |  | — |  |
| Freedom Marine Solutions, LLC            | 14,920 |  | — |  | — |  | (2,569 | ) | 12,351 |  | — |  | — |  | — |  | — |  |
| InterDent, Inc.                          | 224,876 |  | 18,180 |  | — |  | (12,299 | ) | 230,757 |  | 18,823 |  | — |  | — |  | — |  |
| Kickapoo Ranch Pet Resort                | — |  | 2,378 |  | — |  | 908 |  | 3,286 |  | — |  | — |  | 36 |  | — |  |
| MITY, Inc.                               | 46,902 |  | 3,421 |  | (566 | ) | 2,148 |  | 51,905 |  | 9,027 |  | — |  | 587 |  | — |  |
| National Property REIT Corp.             | 1,004,465 |  | 118,309 |  | (276,279 | ) | 32,238 |  | 878,733 |  | 67,303 |  | — |  | 45,345 |  | — |  |
| Nationwide Loan Company LLC              | 32,975 |  | 1,470 |  | (1,500 | ) | 4,293 |  | 37,238 |  | 3,917 |  | — |  | — |  | — |  |
| NMMB, Inc.                               | 24,183 |  | 15,100 |  | (13,190 | ) | 7,575 |  | 33,668 |  | 653 |  | 2,797 |  | 453 |  | — |  |
| Pacific World Corporation                | 112,427 |  | 12,100 |  | (3,366 | ) | (61,254 | ) | 59,907 |  | 2,457 |  | — |  | — |  | — |  |
| R-V Industries, Inc.                     | 33,624 |  | — |  | — |  | 4,941 |  | 38,565 |  | 3,087 |  | — |  | — |  | — |  |
| Universal Turbine Parts, LLC             | 28,043 |  | 2,900 |  | (664 | ) | (3,680 | ) | 26,599 |  | 2,528 |  | — |  | 100 |  | — |  |
| USES Corp.                               | 15,725 |  | 1,500 |  | (5,950 | ) | 6,050 |  | 17,325 |  | — |  | — |  | — |  | — |  |
| Valley Electric Company, Inc.            | 143,685 |  | — |  | (1,062 | ) | (13,327 | ) | 129,296 |  | 7,106 |  | 7,538 |  | 665 |  | — |  |
| Wolf Energy, LLC                         | 14 |  | (3,914 | ) | 18 |  | 3,882 |  | — |  | — |  | — |  | — |  | — |  |
| Total                                    | $ | 2,475,924 |  | $ | 209,997 |  | $ | (309,077 | ) | $ | (117,552 | ) | $ | 2,259,292 |  | $ | 200,948 |  | $ | 10,335 |  | $ | 47,311 |  | $ | — |  |

|      |                                                                                                                                                                                                                                                                                                                           |
|------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (43) | As defined in the 1940 Act, we are deemed to be an “Affiliated company” of these portfolio companies because we own more than 5% of the portfolio company’s outstanding voting securities. Transactions during the year ended June 30, 2020 with these affiliated investments were as follows: |

|                                     |
|-------------------------------------|
|                                     |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Portfolio Company                   | Fair Value at  June 30, 2019 | Gross Additions (Cost)(A) | Gross Reductions (Cost)(B) | Net unrealizedgains (losses) | Fair Value at June 30, 2020 | Interestincome | Dividendincome | Otherincome | Net realizedgains (losses) |
| Edmentum Ultimate Holdings, LLC     | $ | 41,217 |  | $ | 10,528 |  | $ | (3,133 | ) | $ | 11,006 |  | $ | 59,618 |  | $ | 8,150 |  | $ | — |  | $ | — |  | $ | — |  |
| Nixon, Inc.                         | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  |
| PGX Holdings, Inc. (C)              | — |  | 63,679 |  | — |  | 43,032 |  | 106,711 |  | 4,499 |  | — |  | 38 |  | — |  |
| Targus Cayman HoldCo Limited        | 16,599 |  | — |  | (967 | ) | 5,576 |  | 21,208 |  | — |  | — |  | — |  | — |  |
| United Sporting Companies, Inc. (D) | 18,866 |  | (4,716 | ) | (21,613 | ) | 7,463 |  | — |  | — |  | — |  | — |  | — |  |
| Total                               | $ | 76,682 |  | $ | 69,491 |  | $ | (25,713 | ) | $ | 67,077 |  | $ | 187,537 |  | $ | 12,649 |  | $ | — |  | $ | 38 |  | $ | — |  |

|     |                                                                                                                                                                 |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (A) | Gross additions include increases in the cost basis of the investments resulting from new portfolio investments, PIK interest, and any transfer of investments. |
|     |                                                                                                                                                                                                    |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (B) | Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investments repayments or sales, impairments, and any transfer of investments. |
|     |                                                                                                                                                                            |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (C) | Investment was transferred from non-controlled/non-affiliate investments at $57,239, the fair market value at the beginning of the three month period ended June 30, 2020. |
|     |                                                                                                                                                                                              |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (D) | Investment was transferred to non-controlled/non-affiliate investments at $4,716, the fair market value at the beginning of the three month period ended June 30, 2020. Refer to endnote 18. |

----

|      |                                                                                                                                                                                                                                                                                                                                                                |
|------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (44) | Acquisition date represents the date of PSEC's initial investment. Follow-on acquisitions have occurred on the following dates to arrive at PSEC's current investment (excluding effects of capitalized PIK interest, premium/original issue discount amortization/accretion, and partial repayments) (See endnote 45 for NPRC equity follow-on acquisitions): |

|                                                |
|------------------------------------------------|
|                                                |  |  |  |  |  |  |  |
| Portfolio Company                              | Investment | Follow-On Acquisition Dates | Follow-On Acquisitions(Excluding initial investment cost) |
| ACE Cash Express, Inc.                         | Senior Secured Note | 5/24/2019, 7/16/2019, 12/20/2019, 8/27/2020, 9/30/2020 | $ | 14,095 |  |
| Amerilife Group, LLC                           | Second Lien Term Loan | 9/3/2020 | 4,165 |  |
| Apidos CLO XI                                  | Subordinated Structured Note | 11/2/2016 | 2,160 |  |
| Apidos CLO XII                                 | Subordinated Structured Note | 1/26/2018 | 4,070 |  |
| Apidos CLO XV                                  | Subordinated Structured Note | 3/29/2018 | 6,480 |  |
| Apidos CLO XXII                                | Subordinated Structured Note | 2/24/2020 | 1,912 |  |
| Atlantis Health Care Group (Puerto Rico), Inc. | Revolving Line of Credit | 4/15/2013, 5/21/2013, 3/11/2014, 6/26/2017, 9/29/2017, 10/12/2017, 10/31/2017 | 7,500 |  |
| Atlantis Health Care Group (Puerto Rico), Inc. | Senior Secured Term Loan | 12/9/2016 | 42,000 |  |
| Barings CLO 2018-III                           | Subordinated Structured Note | 5/18/2018 | 9,255 |  |
| Broder Bros., Co.                              | Senior Secured Note | 1/29/2019, 2/28/2019 | 450 |  |
| Brookside Mill CLO Ltd.                        | Subordinated Structured Note | 1/29/2018 | 3,605 |  |
| California Street CLO IX Ltd.                  | Subordinated Structured Note | 9/6/2016, 10/17/2016 | 6,842 |  |
| Capstone Logistics Acquisition, Inc.           | Second Lien Term Loan | 6/12/2015 | 37,500 |  |
| CCS-CMGC Holdings, Inc.                        | First Lien Term Loan | 10/8/2019 | 4,692 |  |
| CCS-CMGC Holdings, Inc.                        | Second Lien Term Loan | 8/20/2019 | 1,993 |  |
| Cent CLO 21 Limited                            | Subordinated Structured Note | 7/12/2018 | 1,024 |  |
| CIFC Funding 2014-IV-R, Ltd.                   | Subordinated Structured Note | 10/12/2018 | 1,158 |  |
| Coverall North America, Inc.                   | Senior Secured Term Loan A | 7/2/2018 | 13 |  |
| Coverall North America, Inc.                   | Senior Secured Term Loan B | 7/2/2018 | 2 |  |
| CP Energy Services Inc.                        | Common Stock | 10/11/2013, 12/26/2013, 4/6/2018, 12/31/2019 | 69,586 |  |
| CP VI Bella Midco                              | Second Lien Term Loan | 8/10/2018, 10/15/2018, 5/23/2019, 6/4/2019 | 13,711 |  |
| Credit Central Loan Company, LLC               | Class A Units | 12/28/2012, 3/28/2014, 6/26/2014, 9/28/2016, 8/21/2019 | 11,975 |  |
| Credit Central Loan Company, LLC               | Subordinated Term Loan | 6/26/2014, 9/28/2016 | 41,335 |  |
| Curo Group Holdings Corp.                      | Second Lien Term Loan | 7/31/2020 | 841 |  |
| 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 | 4,600 |  |
| Edmentum Ultimate Holdings, LLC                | Second Lien Revolving Credit Facility to Edmentum, Inc. | 2/19/2016, 3/17/2016, 4/20/2016, 5/19/2016, 6/22/2016, 1/31/2017, 2/14/2017, 3/1/2017, 3/14/2017, 3/28/2017, 4/11/2017, 4/25/2017, 5/10/2017, 10/30/2017, 11/8/2017, 11/21/2017, 12/20/2017, 1/3/2018, 1/17/2018, 1/30/2018, 12/12/2018, 12/21/2018, 1/15/2019, 2/1/2019, 2/26/2019, 2/28/2019, 3/18/2019, 4/9/2019,11/22/2019,12/17/2019, 1/21/2020 | 33,080 |  |
| First Brands Group                             | First Lien Term Loan | 8/19/2020 | 5,615 |  |
| First Tower Finance Company LLC                | Class A Units | 12/30/2013, 6/24/2014, 12/15/2015, 11/21/2016, 3/9/2018 | 39,885 |  |
| First Tower Finance Company LLC                | Subordinated Term Loan to First Tower, LLC | 12/15/2015, 3/9/2018 | 20,924 |  |
| Freedom Marine Solutions, LLC                  | Membership Interest | 10/1/2009, 12/22/2009, 1/13/2010, 3/30/2010, 5/13/2010, 2/14/2011, 4/28/2011, 7/7/2011, 10/20/2011, 10/30/2015, 1/7/2016, 4/11/2016, 8/11/2016, 1/30/2017, 4/20/2017, 6/13/2017, 8/30/2017, 1/17/2018, 2/15/2018, 5/8/2018, 10/31/2018 | 39,868 |  |
| Galaxy XV CLO, Ltd.                            | Subordinated Structured Note | 8/21/2015, 3/10/2017 | 9,161 |  |
| Galaxy XXVII CLO, Ltd.                         | Subordinated Structured Note | 6/11/2015 | 1,460 |  |
| GEON Performance Solutions, LLC                | Revolving Line of Credit | 12/12/2019, 1/10/2020, 2/3/2020, 2/6/2020, 3/2/2020, 3/6/2020, 4/9/2020, 5/7/2020, 6/3/2020 | 3,796 |  |
| Global Tel*Link Corporation                    | Second Lien Term Loan | 4/10/2019, 8/22/2019, 9/20/2019 | 14,686 |  |
| HELP/SYSTEMS HOLDINGS, INC.                    | First Lien Term Loan | 11/29/2019 | 8,415 |  |
| Help/Systems Holdings, Inc.                    | Second Lien Term Loan | 5/10/2018, 3/11/2019, 11/22/2019 | 19,649 |  |
| Inpatient Care Management Company, LLC         | Senior Secured Term Loan | 12/22/2016, 6/29/2018 | 10,003 |  |
| Interdent, Inc.                                | Senior Secured Term Loan A | 2/11/2014, 4/21/2014, 11/25/2014, 12/23/2014 | 76,125 |  |

----

|                                       |
|---------------------------------------|
|                                       |  |  |  |  |  |  |  |
| Portfolio Company                     | Investment | Follow-On Acquisition Dates | Follow-On Acquisitions(Excluding initial investment cost) |
| Interdent, Inc.                       | Senior Secured Term Loan B | 2/11/2014, 4/21/2014, 11/25/2014, 12/23/2014 | 76,125 |  |
| Interdent, Inc.                       | Senior Secured Term Loan C | 8/1/2018 | 31,558 |  |
| Interdent, Inc.                       | Senior Secured Term Loan D | 2/3/2020, 4/6/2020 | 4,350 |  |
| Jefferson Mill CLO Ltd.               | Subordinated Structured Note | 9/21/2018 | 2,047 |  |
| K&N Parent, Inc.                  | Second Lien Term Loan | 8/14/2018, 9/5/2018, 9/7/2018, 9/10/2018, 9/24/2018 | 12,695 |  |
| Kickapoo Ranch Pet Resort             | Membership Interest | 10/21/2019, 12/4/2019 | 28 |  |
| LCM XIV Ltd.                          | Subordinated Structured Note | 9/25/2015, 5/18/2018 | 9,422 |  |
| MITY, Inc.                            | Common Stock | 6/23/2014 | 7,200 |  |
| MITY, Inc.                            | Senior Secured Note A | 1/17/2017 | 8,000 |  |
| MITY, Inc.                            | Senior Secured Note B | 1/17/2017, 6/3/2019 | 11,000 |  |
| Nationwide Loan Company LLC           | Class A Units | 3/28/2014, 6/18/2014, 9/30/2014, 6/29/2015, 3/31/2016, 8/31/2016, 5/31/2017, 10/31/2017 | 20,469 |  |
| Nationwide Loan Company LLC           | Senior Subordinated Term Loan to Nationwide Acceptance LLC | 12/28/2015, 8/31/2016 | 1,999 |  |
| National Property REIT Corp.          | Senior Secured Term Loan A | 4/3/2020, 5/15/2020, 6/10/2020, 7/29/2020, 8/14/2020, 9/15/2020 | 36,054 |  |
| National Property REIT Corp.          | Senior Secured Term Loan C | 10/23/2019, 1/23/2020, 3/31/2020, 4/8/2020, 8/4/2020 | 101,200 |  |
| NMMB, Inc.                            | Senior Secured Term Loan | 12/30/2019 | 15,100 |  |
| Octagon Investment Partners XV, Ltd.  | Subordinated Structured Note | 4/27/2015, 8/3/2015, 6/27/2017 | 10,516 |  |
| Octagon Investment Partners 18-R Ltd. | Subordinated Structured Note | 3/23/2018 | 8,908 |  |
| Pacific World Corporation             | Revolving Line of Credit | 10/21/2014, 12/19/2014, 4/7/2015, 4/22/2015, 8/12/2016, 10/18/2016, 2/7/2017, 2/21/2017, 4/26/2017, 10/11/2017, 10/17/2017, 1/16/2018, 12/27/2018, 3/15/2019, 7/2/2019, 8/15/2019 | 36,825 |  |
| 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 | 20,100 |  |
| PeopleConnect Holdings, LLC           | Revolving Line of Credit | 1/31/2020 | 1,115 |  |
| PG Dental Holdings New Jersey, LLC    | Delayed Draw Term Loan | 8/26/2019, 4/3/2020 | 2,500 |  |
| PG Dental Holdings New Jersey, LLC    | Senior Secured Term Loan | 5/31/2019 | 20 |  |
| PGX Holdings, Inc.                    | 1.5 Lien Loan | 9/18/2020 | 809 |  |
| PGX Holdings, Inc.                    | Second Lien Term Loan | 12/23/2016, 12/28/2016 | 15,034 |  |
| Romark WM-R Ltd.                      | Subordinated Structured Note | 3/29/2018 | 5,125 |  |
| Rosa Mexicano                         | Revolving Line of Credit | 3/27/2020 | 500 |  |
| R-V Industries, Inc.                  | Common Stock | 12/27/2016 | 1,854 |  |
| Securus Technologies Holdings, Inc.   | Second Lien Term Loan | 11/13/2017, 11/24/2017, 8/6/2018, 8/24/2018, 3/18/2019 | 22,750 |  |
| SEOTownCenter, Inc.                   | Senior Secured Term Loan A | 11/2/2018 | 3,000 |  |
| SEOTownCenter, Inc.                   | Senior Secured Term Loan B | 11/2/2018 | 2,000 |  |
| Sorenson Communications, LLC          | First Lien Term Loan | 5/14/2019 | 8,000 |  |
| Symphony CLO XV, Ltd.                 | Subordinated Structured Note | 12/7/2018 | 2,655 |  |
| Town & Country Holdings, Inc.     | First Lien Term Loan | 7/13/2018, 7/16/2018 | 105,000 |  |
| Transplace Holdings, Inc.             | Second Lien Term Loan | 1/4/2018 | 3,518 |  |
| United Sporting Companies, Inc.       | Second Lien Term Loan | 3/7/2013 | 58,650 |  |
| Universal Turbine Parts, LLC          | Delayed Draw Term Loan | 10/24/2019, 2/7/2020, 2/26/2020 | 2,900 |  |
| USES Corp.                            | Senior Secured Term Loan A | 6/15/2016, 6/29/2016, 2/22/2017, 4/27/2017, 5/4/2017, 8/30/2017, 10/11/2017, 12/11/2018, 8/30/2019 | 14,100 |  |
| USG Intermediate, LLC                 | Revolving Line of Credit | 7/2/2015, 9/23/2015, 9/14/2017, 8/21/2019, 9/17/2020 | 7,200 |  |
| USG Intermediate, LLC                 | Senior Secured Term Loan B | 8/24/2017 | 2,975 |  |
| Valley Electric Company, Inc.         | Common Stock | 12/31/2012, 6/24/2014 | 18,502 |  |
| Valley Electric Company, Inc.         | Senior Secured Note | 6/30/2014, 8/31/2018 | 5,129 |  |
| Voya CLO 2014-1, Ltd.                 | Subordinated Structured Note | 3/29/2018 | 3,943 |  |

----

|      |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |
|------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (45) | Since Prospect's initial common equity investment in NPRC on December 31, 2013, we have made numerous additional follow-on investments that have been used to invest in new and existing properties as well as online consumer loans and rated secured structured notes. These follow-on acquisitions are summarized by fiscal year below (excluding effects of return of capital distributions). Details of specific transactions are included in the respective fiscal year Form 10-K filing (refer to endnote 44 for NPRC term loan follow-on investments): |

|             |
|-------------|
|             |  |  |  |
| Fiscal Year | Follow-On Investments (NPRC Common Stock, excluding cost of initial investment) |
| 2014        | $ | 4,555 |  |
| 2015        | 68,693 |  |
| 2016        | 93,857 |  |
| 2017        | 116,830 |  |
| 2018        | 137,024 |  |
| 2019        | 11,582 |  |
| 2020        | 19,800 |  |

----

----

|    |                                                                                                                                                    |
|----|----------------------------------------------------------------------------------------------------------------------------------------------------|
| i. | fair value of investment securities, other assets and liabilities—at the spot exchange rate on the last business day of the period; and  |
|     |                                                                                                                                                                                               |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| ii. | purchases and sales of investment securities, income and expenses—at the rates of exchange prevailing on the respective dates of such investment transactions, income or expenses.  |

----

----

|    |                                                                                                                                                           |
|----|-----------------------------------------------------------------------------------------------------------------------------------------------------------|
| 1. | Each portfolio company or investment is reviewed by our investment professionals with independent valuation firms engaged by our Board of Directors.  |
|    |                                                                                                                                                            |
|----|------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 2. | The independent valuation firms prepare independent valuations for each investment based on their own independent assessments and issue their report.  |
|    |                                                                                                                                                                                                                                  |
|----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 3. | The Audit Committee of our Board of Directors reviews and discusses with the independent valuation firms the valuation reports, and then makes a recommendation to the Board of Directors of the value for each investment.  |
|    |                                                                                                                                                                                                                                                   |
|----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 4. | The Board of Directors discusses valuations and determines the fair value of each investment in our portfolio in good faith based on the input of the Investment Adviser, the respective independent valuation firm and the Audit Committee.  |

----

----

----

----

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                          | September 30, 2020 |   | June 30, 2020 |
|                          | Cost |  | Fair Value |  | Cost |  | Fair Value |
| Revolving Line of Credit      | $ | 38,363 |  |  | $ | 38,318 |  |  | $ | 38,469 |  |  | $ | 36,944 |  |
| Senior Secured Debt           | 2,539,272 |  |  | 2,435,715 |  |  | 2,586,769 |  |  | 2,422,523 |  |
| Subordinated Secured Debt     | 1,431,016 |  |  | 1,292,160 |  |  | 1,424,633 |  |  | 1,269,398 |  |
| Subordinated Unsecured Debt   | 48,194 |  |  | 53,262 |  |  | 43,935 |  |  | 51,079 |  |
| Subordinated Structured Notes | 1,100,944 |  |  | 730,514 |  |  | 1,089,079 |  |  | 708,961 |  |
| Equity                        | 671,142 |  |  | 836,416 |  |  | 599,833 |  |  | 743,423 |  |
| Total Investments             | $ | 5,828,931 |  |  | $ | 5,386,385 |  |  | $ | 5,782,718 |  |  | $ | 5,232,328 |  |

----

|         |                                                                               |
|---------|-------------------------------------------------------------------------------|
| • | 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. |
|         |                                                                                         |
|---------|-----------------------------------------------------------------------------------------|
| • | Small Business Loans includes our investments in SME whole loans purchased from OnDeck. |
|         |                                                                                                                   |
|---------|-------------------------------------------------------------------------------------------------------------------|
| • | Rated Secured Structured Notes includes our investments in the “debt” class of security of CLO funds. |
|         |                                                                                                                                                                                 |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | 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. |

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                          | Level 1 |   | Level 2 |   | Level 3 |   | Total |
| Revolving Line of Credit      | $ | — |  |   | $ | — |  |   | $ | 38,318 |  |   | $ | 38,318 |  |
| Senior Secured Debt           | — |  |   | — |  |   | 2,435,715 |  |   | 2,435,715 |  |
| Subordinated Secured Debt     | — |  |   | — |  |   | 1,292,160 |  |   | 1,292,160 |  |
| Subordinated Unsecured Debt   | — |  |   | — |  |   | 53,262 |  |   | 53,262 |  |
| Subordinated Structured Notes | — |  |   | — |  |   | 730,514 |  |   | 730,514 |  |
| Equity                        | — |  |   | — |  |   | 836,416 |  |   | 836,416 |  |
| Total Investments             | $ | — |  |   | $ | — |  |   | $ | 5,386,385 |  |   | $ | 5,386,385 |  |

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                          | Level 1 |   | Level 2 |   | Level 3 |   | Total |
| Revolving Line of Credit      | $ | — |  |   | $ | — |  |   | $ | 36,944 |  |   | $ | 36,944 |  |
| Senior Secured Debt           | — |  |   | — |  |   | 2,422,523 |  |   | 2,422,523 |  |
| Subordinated Secured Debt     | — |  |   | — |  |   | 1,269,398 |  |   | 1,269,398 |  |
| Subordinated Unsecured Debt   | — |  |   | — |  |   | 51,079 |  |   | 51,079 |  |
| Subordinated Structured Notes | — |  |   | — |  |   | 708,961 |  |   | 708,961 |  |
| Equity                        | — |  |   | — |  |   | 743,423 |  |   | 743,423 |  |
| Total Investments             | $ | — |  |   | $ | — |  |   | $ | 5,232,328 |  |   | $ | 5,232,328 |  |

----

|                                                         |
|---------------------------------------------------------|
|                                                         |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                    | Fair Value Measurements Using Unobservable Inputs (Level 3) |
|                                                    | Control Investments |   | Affiliate Investments |   | Non-Control/ Non-Affiliate Investments |   | Total |
| Fair value as of June 30, 2020                          | $ | 2,259,292 |  |   | $ | 187,537 |  |   | $ | 2,785,499 |  |   | $ | 5,232,328 |  |
| Net realized losses on investments                      | $ | 2,832 |  |   | $ | — |  |   | $ | — |  |   | $ | 2,832 |  |
| Net change in unrealized (losses) gains(1)              | 13,535 |  |   | 66,473 |  |   | 27,836 |  |   | 107,844 |  |
| Net realized and unrealized (losses) gains              | 16,367 |  |   | 66,473 |  |   | 27,836 |  |   | 110,676 |  |
| Purchases of portfolio investments                      | 64,939 |  |   | 808 |  |   | 91,053 |  |   | 156,800 |  |
| Payment-in-kind interest                                | 13,660 |  |   | 5,694 |  |   | 987 |  |   | 20,341 |  |
| Accretion (amortization) of discounts and premiums, net | 101 |  |   | 1,663 |  |   | 12,718 |  |   | 14,482 |  |
| Repayments and sales of portfolio investments           | (46,787 | ) |   | — |  |   | (101,455 | ) |   | (148,242 | ) |
| Fair value as of September 30, 2020                     | $ | 2,307,572 |  |   | $ | 262,175 |  |   | $ | 2,816,638 |  |   | $ | 5,386,385 |  |

|                                                         |
|---------------------------------------------------------|
|                                                         |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                    | Revolving Line of Credit |   | Senior SecuredDebt |   | Subordinated Secured Debt |   | Subordinated Unsecured Debt |   | Subordinated Structured Notes |   | Equity |   | Total |
| Fair value as of June 30, 2020                          | $ | 36,944 |  |   | $ | 2,422,523 |  |   | $ | 1,269,398 |  |   | $ | 51,079 |  |   | $ | 708,961 |  |   | $ | 743,423 |  |   | $ | 5,232,328 |  |
| Net realized (losses) gains on investments              |  |  |   | 2,832 |  |   |  |  |   |  |  |   |  |  |   | — |  |   | 2,832 |  |
| Net change in unrealized (losses) gains(1)              | 35 |  |   | 60,684 |  |   | 16,380 |  |   | (629 | ) |   | 9,692 |  |   | 21,682 |  |   | 107,844 |  |
| Net realized and unrealized (losses) gains              | 35 |  |   | 63,516 |  |   | 16,380 |  |   | (629 | ) |   | 9,692 |  |   | 21,682 |  |   | 110,676 |  |
| Purchases of portfolio investments                      | 2,000 |  |   | 115,998 |  |   | 12,607 |  |   | — |  |   | — |  |   | 26,195 |  |   | 156,800 |  |
| Payment-in-kind interest                                | 116 |  |   | 10,689 |  |   | 8,242 |  |   | 1,294 |  |   | — |  |   | — |  |   | 20,341 |  |
| Accretion (amortization) of discounts and premiums, net | — |  |   | 507 |  |   | 451 |  |   | 1,663 |  |   | 11,861 |  |   | — |  |   | 14,482 |  |
| Repayments and sales of portfolio investments           | (777 | ) |   | (132,401 | ) |   | (14,918 | ) |   | (145 | ) |   | — |  |   | (1 | ) |   | (148,242 | ) |
| Transfers within Level 3(1)                             | — |  |   | (45,117 | ) |   | — |  |   | — |  |   | — |  |   | 45,117 |  |   | — |  |
| Fair value as of September 30, 2020                     | $ | 38,318 |  |   | $ | 2,435,715 |  |   | $ | 1,292,160 |  |   | $ | 53,262 |  |   | $ | 730,514 |  |   | $ | 836,416 |  |   | $ | 5,386,385 |  |

|     |                                                                                                                |
|-----|----------------------------------------------------------------------------------------------------------------|
| (1) | Transfers are assumed to have occurred at the beginning of the quarter during which the asset was transferred. |

----

|                                                         |
|---------------------------------------------------------|
|                                                         |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                    | Fair Value Measurements Using Unobservable Inputs (Level 3) |
|                                                    | Control Investments |   | Affiliate Investments |   | Non-Control/ Non-Affiliate Investments |   | Total |
| Fair value as of June 30, 2019                          | $ | 2,475,924 |  |   | $ | 76,682 |  |   | $ | 3,100,947 |  |   | $ | 5,653,553 |  |
| Net realized gains on investments                       | — |  |   | — |  |   | (2,490 | ) |   | (2,490 | ) |
| Net change in unrealized (losses)(1)                    | (39,021 | ) |   | 18,020 |  |   | (29,610 | ) |   | (50,611 | ) |
| Net realized and unrealized (losses)                    | (39,021 | ) |   | 18,020 |  |   | (32,100 | ) |   | (53,101 | ) |
| Purchases of portfolio investments                      | 11,950 |  |   | — |  |   | 66,297 |  |   | 78,247 |  |
| Payment-in-kind interest                                | 12,962 |  |   | 283 |  |   | 1,253 |  |   | 14,498 |  |
| Accretion (amortization) of discounts and premiums, net | 73 |  |   | — |  |   | (1,838 | ) |   | (1,765 | ) |
| Repayments and sales of portfolio investments           | (64,158 | ) |   | (21,722 | ) |   | (159,000 | ) |   | (244,880 | ) |
| Transfers in (out) of Level 3(1)                        | — |  |   | — |  |   | (20,555 | ) |   | (20,555 | ) |
| Fair value as of September 30, 2019                     | $ | 2,397,730 |  |   | $ | 73,263 |  |   | $ | 2,955,004 |  |   | $ | 5,425,997 |  |

|                                                         |
|---------------------------------------------------------|
|                                                         |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                    | Revolving Line of Credit |   | Senior SecuredDebt |   | Subordinated Secured Debt |   | Subordinated Unsecured Debt |   | Small Business Loans |   | Rated Secured Structured Notes |   | Subordinated Structured Notes |   | Equity |   | Total |
| Fair value as of June 30, 2019                          | $ | 34,239 |  |   | $ | 2,449,357 |  |   | $ | 1,329,799 |  |   | $ | 33,058 |  |   | $ | — |  |   | $ | 46,851 |  |   | $ | 850,694 |  |   | $ | 909,555 |  |   | $ | 5,653,553 |  |
| Net realized gains on investments                       | — |  |   | (120 | ) |   | 12 |  |   | — |  |   | 36 |  |   | — |  |   | (2,418 | ) |   | — |  |   | (2,490 | ) |
| Net change in unrealized gains (losses)                 | (401 | ) |   | (37,849 | ) |   | 2,596 |  |   | 9,429 |  |   | — |  |   | (193 | ) |   | (26,295 | ) |   | 2,102 |  |   | (50,611 | ) |
| Net realized and unrealized gains (losses)              | (401 | ) |   | (37,969 | ) |   | 2,608 |  |   | 9,429 |  |   | 36 |  |   | (193 | ) |   | (28,713 | ) |   | 2,102 |  |   | (53,101 | ) |
| Purchases of portfolio investments                      | 2,500 |  |   | 45,299 |  |   | 14,964 |  |   | — |  |   | — |  |   | 5,534 |  |   | — |  |   | 9,950 |  |   | 78,247 |  |
| Payment-in-kind interest                                | 104 |  |   | 9,016 |  |   | 5,200 |  |   | 178 |  |   | — |  |   | — |  |   | — |  |   | — |  |   | 14,498 |  |
| Accretion (amortization) of discounts and premiums, net | — |  |   | 104 |  |   | 1,897 |  |   | — |  |   | — |  |   | (53 | ) |   | (3,713 | ) |   | — |  |   | (1,765 | ) |
| Repayments and sales of portfolio investments           | (2,337 | ) |   | (144,899 | ) |   | (97,474 | ) |   | (143 | ) |   | (36 | ) |   | — |  |   | — |  |   | 9 |  |   | (244,880 | ) |
| Transfers in (out) of Level 3                           | — |  |   | (20,555 | ) |   | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | (20,555 | ) |
| Fair value as of September 30, 2019                     | $ | 34,105 |  |   | $ | 2,300,353 |  |   | $ | 1,256,994 |  |   | $ | 42,522 |  |   | $ | — |  |   | $ | 52,139 |  |   | $ | 818,268 |  |   | $ | 921,616 |  |   | $ | 5,425,997 |  |

|     |                                                                                                                                                                                                                                                                                            |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Transfers are assumed to have occurred at the beginning of the quarter during which the asset was transferred. During the three months ended September 30, 2019 one of our senior secured notes transferred from Level 3 to Level 2 because the inputs to the valuation became observable. |

----

----

|                                      |
|--------------------------------------|
|                                      |  |  |  |  |  |  |  |  |  |  |  |  |
|                                 |   |   |   |   |   | Unobservable Input |
| Asset Category                       |   | Fair Value |  |   | Primary Valuation Approach or Technique |   | Input |   | Range |   | WeightedAverage |
| Senior Secured Debt                  |   | $ | 1,278,531 |  |   | Discounted cash flow (Yield analysis) |   | Market yield |   | 4.8% to 21.7% |   | 10.3% |
| Senior Secured Debt                  |   | 357,807 |  |   | Enterprise value waterfall (Market approach) |   | EBITDA multiple |   | 4.3x to 9.9x |   | 8.1x |
| Senior Secured Debt                  |   | 124,625 |  |   | Enterprise value waterfall (Market approach) |   | Revenue multiple |   | 0.5x to 1.2x |   | 0.9x |
| Senior Secured Debt                  |   | 69,797 |  |   | Enterprise value waterfall (Discounted cash flow) |   | Discount rate |   | 8.2% to 11.1% |   | 9.5% |
| Senior Secured Debt (1)              |   | 30,621 |  |   | Enterprise value waterfall |   | Loss-adjusted discount rate |   | 5.0% to 17.5% |   | 11.8% |
| Senior Secured Debt (2)              |   | 101,200 |  |   | Enterprise value waterfall |   | Discount rate (3) |   | 7.7% to 14.0% |   | 9.9% |
| Senior Secured Debt                  |   | 502,804 |  |   | Enterprise value waterfall (NAV analysis) |   | Capitalization Rate |   | 4.2% to 8.1% |   | 6.2% |
| Subordinated Secured Debt            |   | 876,238 |  |   | Discounted cash flow (Yield analysis) |   | Market yield |   | 6.4% to 20.1% |   | 10.8% |
| Subordinated Secured Debt            |   | 37,270 |  |   | Enterprise value waterfall (Market approach) |   | EBITDA multiple |   | 7.0x to 12.5x |   | 8.5x |
| Subordinated Secured Debt            |   | 22,176 |  |   | Enterprise value waterfall (Market approach) |   | Revenue multiple |   | 0.3x to 0.5x |   | 0.4x |
| Subordinated Secured Debt (4)        |   | 358,544 |  |   | Enterprise value waterfall (Market approach) |   | Tangible book value multiple |   | 0.8x to 2.7x |   | 2.5x |
| Subordinated Secured Debt            |   | 6,580 |  |   | Asset recovery analysis |   | n/a |   | n/a |   | n/a |
| Subordinated Unsecured Debt          |   | 53,262 |  |   | Enterprise value waterfall (Market approach) |   | EBITDA multiple |   | 5.3x to 12.5x |   | 12.0x |
| Subordinated Structured Notes        |   | 730,514 |  |   | Discounted cash flow |   | Discount rate (3) |   | 2.7% to 32.5% |   | 22.2% |
| Preferred Equity                     |   | 12,692 |  |   | Enterprise value waterfall (Market approach) |   | Revenue multiple |   | 0.5x to 1.1x |   | 0.8x |
| Common Equity/Interests/Warrants     |   | 231,973 |  |   | Enterprise value waterfall (Market approach) |   | EBITDA multiple |   | 4.3x to 12.5x |   | 6.6x |
| Common Equity/Interests/Warrants     |   | 5,810 |  |   | Enterprise value waterfall (Market approach) |   | Revenue multiple |   | 0.4x to 0.5x |   | 0.4x |
| Common Equity/Interests/Warrants (2) |   | 12,082 |  |   | Enterprise value waterfall |   | Discount rate (3) |   | 7.7% to 14.0% |   | 9.9% |
| Common Equity/Interests/Warrants     |   | 244,634 |  |   | Enterprise value waterfall (NAV analysis) |   | Capitalization Rate |   | 4.2% to 8.1% |   | 6.2% |
| Common Equity/Interests/Warrants (4) |   | 266,976 |  |   | Enterprise value waterfall (Market approach) |   | Tangible book value multiple |   | 0.8x to 2.7x |   | 2.5x |
| Common Equity/Interests/Warrants (5) |   | 22,239 |  |   | Enterprise value waterfall (NAV analysis) |   | Capitalization Rate |   | 4.2% to 8.1% |   | 6.2% |
| Common Equity/Interests/Warrants     |   | 27,659 |  |   | Enterprise value waterfall (Discounted cash flow) |   | Discount rate |   | 8.5% to 30.0% |   | 11.6% |
| Common Equity/Interests/Warrants     |   | 12,351 |  |   | Asset recovery analysis |   | n/a |   | n/a |   | n/a |
| Total Level 3 Investments            |   | $ | 5,386,385 |  |   |   |   |   |   |   |   |   |

----

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Represents an investment in a Real Estate Investment Trust subsidiary. The Enterprise Value analysis includes the fair value of our investments in such indirect subsidiary’s consumer loans purchased from online consumer lending platforms, which are valued using a discounted cash flow valuation technique. The key unobservable input to the discounted cash flow analysis is noted above. In addition, the valuation also used projected loss rates as an unobservable input ranging from 0.0%-4.5%, with a weighted average of 0.2%. |
|     |                                                                                                                                                                                                                                                                                                                                                                         |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Represents an investment in a Real Estate Investment Trust  subsidiary. The Enterprise Value analysis includes the fair value of our investments in such indirect subsidiary’s rated secured structured notes, which are valued using a discounted cash flow valuation technique. The key unobservable input to the discounted cash flow analysis is noted above. |
|     |                                                                                                                                                                                                                                              |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | Represents the implied discount rate based on our internally generated single-cash flow model that is derived from the fair value estimated by the corresponding multi-path cash flow model utilized by the independent valuation firm.  |
|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (4) | Represents investments in consumer finance subsidiaries. The enterprise value waterfall methodology utilizes book value multiples as noted above. In addition, the valuation of certain consumer finance companies utilizes the enterprise value waterfall technique whereby the significant unobservable input is the earnings multiple and the discounted cash flow technique whereby the significant unobservable input is the discount rate. For these companies the earnings multiple ranges from 6.8x to 8.0x with a weighted average of 7.5x and the discount rate ranges from 13.1% to 14.1% with a weighted average of 13.6%. |
|     |                                                                  |
|-----|------------------------------------------------------------------|
| (5) | Represents Residual Profit Interests in Real Estate Investments. |

----

|                                      |
|--------------------------------------|
|                                      |  |  |  |  |  |  |  |  |  |  |  |  |
|                                 |   |   |   |   |   | Unobservable Input |
| Asset Category                       |   | Fair Value |   | Primary Valuation Approach or Technique |   | Input |   | Range |   | WeightedAverage |
| Senior Secured Debt                  |   | $ | 1,283,545 |  |   | Discounted cash flow(Yield analysis) |   | Market yield |   | 5.6% to 22.6% |   | 10.7% |
| Senior Secured Debt                  |   | 395,412 |  |   | Enterprise value waterfall (Market approach) |   | EBITDA multiple |   | 4.0x to 12.5x |   | 8.0x |
| Senior Secured Debt                  |   | 103,831 |  |   | Enterprise value waterfall (Market approach) |   | Revenue multiple |   | 0.4x to 1.2x |   | 0.9x |
| Senior Secured Debt                  |   | 65,471 |  |   | Enterprise value waterfall (Discounted cash flow) |   | Discount rate (3) |   | 8.6% to 11.4% |   | 9.8% |
| Senior Secured Debt (1)              |   | 45,950 |  |   | Enterprise value waterfall |   | Loss-adjusted discount rate |   | 5.0% to 16.5% |   | 11.2% |
| Senior Secured Debt (2)              |   | 79,200 |  |   | Enterprise value waterfall |   | Discount rate (3) |   | 7.3% to 12.8% |   | 9.6% |
| Senior Secured Debt                  |   | 486,058 |  |   | Enterprise value waterfall (NAV analysis) |   | Capitalization Rate |   | 4.0% to 8.1% |   | 6.1% |
| Subordinated Secured Debt            |   | 839,784 |  |   | Discounted cash flow (Yield analysis) |   | Market yield |   | 7.0% to 20.8% |   | 11.9% |
| Subordinated Secured Debt            |   | 58,643 |  |   | Enterprise value waterfall (Market approach) |   | EBITDA multiple |   | 7.0x to 10.5x |   | 8.2x |
| Subordinated Secured Debt            |   | 3,990 |  |   | Enterprise value waterfall (Market approach) |   | Revenue multiple |   | 0.4x to 0.5x |   | 0.4x |
| Subordinated Secured Debt (4)        |   | 360,015 |  |   | Enterprise value waterfall (Market approach) |   | Tangible book value multiple |   | 0.9x to 2.9x |   | 2.6x |
| Subordinated Secured Debt            |   | 6,966 |  |   | Asset recovery analysis |   | n/a |   | n/a |   | n/a |
| Subordinated Unsecured Debt          |   | 51,079 |  |   | Enterprise value waterfall (Market approach) |   | EBITDA multiple |   | 5.0x to 12.5x |   | 12.0x |
| Subordinated Structured Notes        |   | 708,961 |  |   | Discounted cash flow |   | Discount rate (3) |   | 4.1% to 26.9% |   | 20.6% |
| Preferred Equity                     |   | 14,430 |  |   | Enterprise value waterfall (Market approach) |   | EBITDA multiple |   | 5.4x to 6.4x |   | 5.9x |
| Common Equity/Interests/Warrants     |   | 158,001 |  |   | Enterprise value waterfall (Market approach) |   | EBITDA multiple |   | 4.0x to 12.5x |   | 5.4x |
| Common Equity/Interests/Warrants     |   | 3,853 |  |   | Enterprise value waterfall (Market approach) |   | Revenue multiple |   | 0.4x to 0.5x |   | 0.4x |
| Common Equity/Interests/Warrants (2) |   | 9,987 |  |   | Enterprise value waterfall |   | Discount rate (3) |   | 7.3% to 12.8% |   | 9.6% |
| Common Equity/Interests/Warrants     |   | 236,077 |  |   | Enterprise value waterfall (NAV analysis) |   | Capitalization Rate |   | 4.0% to 8.1% |   | 6.1% |
| Common Equity/Interests/Warrants (4) |   | 261,373 |  |   | Enterprise value waterfall (Market approach) |   | Tangible book value multiple |   | 0.9x to 2.9x |   | 2.6x |
| Common Equity/Interests/Warrants (5) |   | 21,461 |  |   | Enterprise value waterfall (NAV analysis) |   | Capitalization Rate |   | 4.0% to 8.1% |   | 6.1% |
| Common Equity/Interests/Warrants     |   | 25,890 |  |   | Enterprise value waterfall (Discounted cash flow) |   | Discount rate (3) |   | 8.9% to 30.0% |   | 12.2% |
| Common Equity/Interests/Warrants     |   | 12,351 |  |   | Asset recovery analysis |   | n/a |   | n/a |   | n/a |
| Total Level 3 Investments            |   | $ | 5,232,328 |  |   |   |   |   |   |   |   |   |

----

|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Represents an investment in a Real Estate Investment Trust  subsidiary. The Enterprise Value analysis includes the fair value of our investments in such indirect subsidiary’s consumer loans purchased from online consumer lending platforms, which are valued using a discounted cash flow valuation technique. The key unobservable input to the discounted cash flow analysis is noted above. In addition, the valuation also used projected loss rates as an unobservable input ranging from 0.0%-4.8%, with a weighted average of 0.3%. |
|     |                                                                                                                                                                                                                                                                                                                                                                        |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Represents an investment in a Real Estate Investment Trust subsidiary. The Enterprise Value analysis includes the fair value of our investments in such indirect subsidiary’s rated secured structured notes, which are valued using a discounted cash flow valuation technique. The key unobservable input to the discounted cash flow analysis is noted above. |
|     |                                                                                                                                                                                                                                         |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | Represents the implied discount rate based on our internally generated single-cash flow model that is derived from the fair value estimated by the corresponding multi-path cash flow model utilized by the independent valuation firm. |
|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (4) | Represents investments in consumer finance subsidiaries. The enterprise value waterfall methodology utilizes book value multiples as noted above. In addition, the valuation of certain consumer finance companies utilizes the enterprise value waterfall technique whereby the significant unobservable input is the earnings multiple and the discounted cash flow technique whereby the significant unobservable input is the discount rate. For these companies the earnings multiple ranges from 7.3x to 8.4x with a weighted average of 7.9x and the discount rate ranges from 13.1% to 14.1% with a weighted average of 13.6%. |
|     |                                                                  |
|-----|------------------------------------------------------------------|
| (5) | Represents Residual Profit Interests in Real Estate Investments. |

----

----

----

|             |
|-------------|
|             |  |  |  |  |  |  |  |  |  |  |  |  |
| Loan Type   |   | Outstanding Principal Balance |   | Fair Value |   | Interest Rate Range |   | Weighted Average Interest Rate* |
| Super Prime |   | $ | 2,785 |  |   | $ | 2,691 |  |   | 6.0% - 24.1% |   | 12.5% |
| Prime       |   | 6,731 |  |   | 6,334 |  |   | 6.0% - 36.0% |   | 18.0% |
| Near Prime  |   | 11,024 |  |   | 10,608 |  |   | 6.0% - 36.0% |   | 26.8% |

----

|     |
|-----|
|     |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| No. |  | Property Name |  | City |  | Acquisition Date |  | Purchase Price |  | Mortgage Outstanding |
| 1   |  | Filet of Chicken |  | Forest Park, GA |  | 10/24/2012 |  | $ | 7,400 |  |  | $ | — |  |
| 2   |  | Arlington Park Marietta, LLC |  | Marietta, GA |  | 5/8/2013 |  | 14,850 |  |  | — |  |
| 3   |  | Cordova Regency, LLC |  | Pensacola, FL |  | 11/15/2013 |  | 13,750 |  |  | 11,068 |  |
| 4   |  | Crestview at Oakleigh, LLC |  | Pensacola, FL |  | 11/15/2013 |  | 17,500 |  |  | 13,470 |  |
| 5   |  | Inverness Lakes, LLC |  | Mobile, AL |  | 11/15/2013 |  | 29,600 |  |  | 24,030 |  |
| 6   |  | Kings Mill Pensacola, LLC |  | Pensacola, FL |  | 11/15/2013 |  | 20,750 |  |  | 17,074 |  |
| 7   |  | Plantations at Pine Lake, LLC |  | Tallahassee, FL |  | 11/15/2013 |  | 18,000 |  |  | 13,710 |  |
| 8   |  | Verandas at Rocky Ridge, LLC |  | Birmingham, AL |  | 11/15/2013 |  | 15,600 |  |  | 9,928 |  |
| 9   |  | Crestview at Cordova, LLC |  | Pensacola, FL |  | 1/17/2014 |  | 8,500 |  |  | 12,952 |  |
| 10  |  | Taco Bell, OK |  | Yukon, OK |  | 6/4/2014 |  | 1,719 |  |  | — |  |
| 11  |  | Taco Bell, MO |  | Marshall, MO |  | 6/4/2014 |  | 1,405 |  |  | — |  |
| 12  |  | Canterbury Green Apartments Holdings LLC |  | Fort Wayne, IN |  | 9/29/2014 |  | 85,500 |  |  | 85,118 |  |
| 13  |  | Abbie Lakes OH Partners, LLC |  | Canal Winchester, OH |  | 9/30/2014 |  | 12,600 |  |  | 15,527 |  |
| 14  |  | Kengary Way OH Partners, LLC |  | Reynoldsburg, OH |  | 9/30/2014 |  | 11,500 |  |  | 15,694 |  |
| 15  |  | Lakeview Trail OH Partners, LLC |  | Canal Winchester, OH |  | 9/30/2014 |  | 26,500 |  |  | 29,942 |  |
| 16  |  | Lakepoint OH Partners, LLC |  | Pickerington, OH |  | 9/30/2014 |  | 11,000 |  |  | 17,036 |  |
| 17  |  | Sunbury OH Partners, LLC |  | Columbus, OH |  | 9/30/2014 |  | 13,000 |  |  | 17,272 |  |
| 18  |  | Heatherbridge OH Partners, LLC |  | Blacklick, OH |  | 9/30/2014 |  | 18,416 |  |  | 24,718 |  |
| 19  |  | Jefferson Chase OH Partners, LLC |  | Blacklick, OH |  | 9/30/2014 |  | 13,551 |  |  | 19,210 |  |
| 20  |  | Goldenstrand OH Partners, LLC |  | Hilliard, OH |  | 10/29/2014 |  | 7,810 |  |  | 11,719 |  |
| 21  |  | SSIL I, LLC |  | Aurora, IL |  | 11/5/2015 |  | 34,500 |  |  | 26,144 |  |
| 22  |  | Vesper Tuscaloosa, LLC |  | Tuscaloosa, AL |  | 9/28/2016 |  | 54,500 |  |  | 43,070 |  |
| 23  |  | Vesper Iowa City, LLC |  | Iowa City, IA |  | 9/28/2016 |  | 32,750 |  |  | 24,825 |  |
| 24  |  | Vesper Corpus Christi, LLC |  | Corpus Christi, TX |  | 9/28/2016 |  | 14,250 |  |  | 10,800 |  |
| 25  |  | Vesper Campus Quarters, LLC |  | Corpus Christi, TX |  | 9/28/2016 |  | 18,350 |  |  | 14,175 |  |
| 26  |  | Vesper College Station, LLC |  | College Station, TX |  | 9/28/2016 |  | 41,500 |  |  | 32,058 |  |
| 27  |  | Vesper Kennesaw, LLC |  | Kennesaw, GA |  | 9/28/2016 |  | 57,900 |  |  | 51,160 |  |
| 28  |  | Vesper Statesboro, LLC |  | Statesboro, GA |  | 9/28/2016 |  | 7,500 |  |  | 7,480 |  |
| 29  |  | Vesper Manhattan KS, LLC |  | Manhattan, KS |  | 9/28/2016 |  | 23,250 |  |  | 14,679 |  |
| 30  |  | JSIP Union Place, LLC |  | Franklin, MA |  | 12/7/2016 |  | 64,750 |  |  | 51,800 |  |
| 31  |  | 9220 Old Lantern Way, LLC |  | Laurel, MD |  | 1/30/2017 |  | 187,250 |  |  | 153,580 |  |
| 32  |  | 7915 Baymeadows Circle Owner, LLC |  | Jacksonville, FL |  | 10/31/2017 |  | 95,700 |  |  | 76,560 |  |
| 33  |  | 8025 Baymeadows Circle Owner, LLC |  | Jacksonville, FL |  | 10/31/2017 |  | 15,300 |  |  | 12,240 |  |

----

|        |
|--------|
|        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| No.    |  | Property Name |  | City |  | Acquisition Date |  | Purchase Price |  | Mortgage Outstanding |
| 34     |  | 23275 Riverside Drive Owner, LLC |  | Southfield, MI |  | 11/8/2017 |  | 52,000 |  |  | 44,044 |  |
| 35     |  | 23741 Pond Road Owner, LLC |  | Southfield, MI |  | 11/8/2017 |  | 16,500 |  |  | 14,185 |  |
| 36     |  | 150 Steeplechase Way Owner, LLC |  | Largo, MD |  | 1/10/2018 |  | 44,500 |  |  | 36,668 |  |
| 37     |  | Laurel Pointe Holdings, LLC |  | Forest Park, GA |  | 5/9/2018 |  | 33,005 |  |  | 26,400 |  |
| 38     |  | Bradford Ridge Holdings, LLC |  | Forest Park, GA |  | 5/9/2018 |  | 12,500 |  |  | 10,000 |  |
| 39     |  | Olentangy Commons Owner LLC |  | Columbus, OH |  | 6/1/2018 |  | 113,000 |  |  | 92,876 |  |
| 40     |  | Villages of Wildwood Holdings LLC |  | Fairfield, OH |  | 7/20/2018 |  | 46,500 |  |  | 39,525 |  |
| 41     |  | Falling Creek Holdings LLC |  | Richmond, VA |  | 8/8/2018 |  | 25,000 |  |  | 19,335 |  |
| 42     |  | Crown Pointe Passthrough LLC |  | Danbury, CT |  | 8/30/2018 |  | 108,500 |  |  | 89,400 |  |
| 43     |  | Ashwood Ridge Holdings LLC |  | Jonesboro, GA |  | 9/21/2018 |  | 9,600 |  |  | 7,300 |  |
| 44     |  | Lorring Owner LLC |  | Forestville, MD |  | 10/30/2018 |  | 58,521 |  |  | 47,680 |  |
| 45     |  | Hamptons Apartments Owner, LLC |  | Beachwood, OH |  | 1/9/2019 |  | 96,500 |  |  | 79,520 |  |
| 46     |  | 5224 Long Road Holdings, LLC |  | Orlando, FL |  | 6/28/2019 |  | 26,500 |  |  | 21,200 |  |
| 47     |  | Druid Hills Holdings LLC |  | Atlanta, GA |  | 7/30/2019 |  | 96,000 |  |  | 79,104 |  |
| 48     |  | Bel Canto NPRC Parcstone LLC |  | Fayetteville, NC |  | 10/15/2019 |  | 45,000 |  |  | 30,127 |  |
| 49     |  | Bel Canto NPRC Stone Ridge LLC |  | Fayetteville, NC |  | 10/15/2019 |  | 21,900 |  |  | 14,662 |  |
| 50     |  | Sterling Place Holdings LLC |  | Columbus, OH |  | 10/28/2019 |  | 41,500 |  |  | 34,196 |  |
|   |   |  |   |   |   |   |   | $ | 1,843,477 |  |   | $ | 1,543,261 |  |

----

|                                 |
|---------------------------------|
|                                 |  |  |  |  |  |  |  |
|                            | Three Months Ended September 30, |
| Summary Statement of Operations | 2020 |   | 2019 |
| Total revenue                   | $ | 70,474 |  |   | $ | 216,601 |  |
| Operating expenses              | 76,142 |  |   | 103,997 |  |
| Operating income                | (5,668 | ) |   | 112,604 |  |
| Depreciation and amortization   | (16,356 | ) |   | (23,843 | ) |
| Fair value adjustment           | 506 |  |   | (2,869 | ) |
| Net income (loss)               | (21,518 | ) |   | 85,892 |  |

----

|                              |
|------------------------------|
|                              |  |  |  |  |  |
|                              | Three Months Ended September 30, |
|                              | 2020 |  | 2019 |
| Average stated interest rate | 2.37 | % |  | 4.45 | % |
| Average outstanding balance  | $377,113 |  | $87,772 |

----

----

|                                              |
|----------------------------------------------|
|                                              |  |  |  |  |  |  |  |  |
|                                         |   | 2022 Notes |  |   | 2025 Notes |  |
| Initial conversion rate(1)                   |   | 100.2305 |  |   | 110.7420 |  |
| Initial conversion price                     |   | $ | 9.98 |  |   | $ | 9.03 |  |
| Conversion rate at September 30, 2020(1)(2)  |   | 100.2305 |  |   | 110.7420 |  |
| Conversion price at September 30, 2020(2)(3) |   | $ | 9.98 |  |   | $ | 9.03 |  |
| Last conversion price calculation date       |   | 4/11/2020 |  |   | 3/1/2020 |  |
| Dividend threshold amount (per share)(4)     |   | $ | 0.083330 |  |   | $ | 0.060000 |  |

|     |                                                                                                                               |
|-----|-------------------------------------------------------------------------------------------------------------------------------|
| (1) | Conversion rates denominated in shares of common stock per $1 principal amount of the Convertible Notes converted.   |
|     |                                                                                                                                                                   |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Represents conversion rate and conversion price, as applicable, taking into account certain de minimis adjustments that will be made on the conversion date.  |
|     |                                                                                                                                        |
|-----|----------------------------------------------------------------------------------------------------------------------------------------|
| (3) | The conversion price will increase only if the current monthly dividends (per share) exceed the dividend threshold amount (per share). |
|     |                                                                                                                                                                                                                                                                                                |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (4) | The conversion rate is increased if monthly cash dividends paid to common shares exceed the monthly dividend threshold amount, subject to adjustment. Current dividend rates are at or below the minimum dividend threshold amount for further conversion rate adjustments for all bonds.  |

----

----

----

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |
| Tenor atOrigination(in years) |   | PrincipalAmount |   | Interest RateRange |   | WeightedAverageInterest Rate |   | Maturity Date Range |
| 5                             |   | $ | 24,906 |  |   | 4.75%–5.50% |   | 5.31 | % |   | July 15, 2025 – October 15, 2025 |
| 7                             |   | 5,884 |  |   | 5.00%–5.75% |   | 5.49 | % |   | July 15, 2027 – October 15, 2027 |
| 10                            |   | 7,867 |  |   | 5.25%–6.00% |   | 5.75 | % |   | July 15, 2030 – October 15, 2030 |
|                          |   | $ | 38,657 |  |   |   |   |   |   |   |

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |
| Tenor atOrigination(in years) |   | PrincipalAmount |   | Interest RateRange |   | WeightedAverageInterest Rate |   | Maturity Date Range |
| 5                             |   | $ | 32,479 |  |   | 3.75%-5.00% |   | 4.44 | % |   | July 15, 2024 – October 15, 2024 |
| 7                             |   | 24,020 |  |   | 4.00%–5.25% |   | 4.32 | % |   | July 15, 2026 – October 15, 2026 |
| 10                            |   | 38,636 |  |   | 3.75%–5.50% |   | 4.69 | % |   | July 15, 2029 – October 15, 2029 |
|                          |   | $ | 95,135 |  |   |   |   |   |   |   |

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |
| Tenor atOrigination(in years) |   | PrincipalAmount |   | Interest RateRange |   | WeightedAverageInterest Rate |   | Maturity Date Range |
| 5                             |   | $ | 243,146 |  |   | 3.75% – 5.75% |   | 4.86 | % |   | September 15, 2023 – October 15, 2025 |
| 7                             |   | 110,348 |  |   | 4.00% – 6.00% |   | 5.13 | % |   | July 15, 2024 – October 15, 2027 |
| 8                             |   | 24,325 |  |   | 4.50% – 5.75% |   | 4.67 | % |   | August 15, 2025 – July 15, 2026 |
| 10                            |   | 167,479 |  |   | 3.75% – 6.25% |   | 5.34 | % |   | January 15, 2024 – October 15, 2030 |
| 12                            |   | 2,978 |  |   | 6.00% |   | 6.00 | % |   | November 15, 2025 – December 15, 2025 |
| 15                            |   | 16,851 |  |   | 5.75% – 6.00% |   | 5.79 | % |   | May 15, 2028 – November 15, 2028 |
| 18                            |   | 18,721 |  |   | 4.50% – 6.25% |   | 5.58 | % |   | December 15, 2030 – August 15, 2031 |
| 20                            |   | 3,812 |  |   | 5.75% – 6.00% |   | 5.89 | % |   | November 15, 2032 – October 15, 2033 |
| 25                            |   | 30,710 |  |   | 6.25% – 6.50% |   | 6.39 | % |   | August 15, 2038 – May 15, 2039 |
| 30                            |   | 99,951 |  |   | 5.50% – 6.75% |   | 6.25 | % |   | November 15, 2042 – October 15, 2043 |
|                          |   | $ | 718,321 |  |   |   |   |   |  |   |   |

----

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |
| Tenor atOrigination(in years) |   | PrincipalAmount |   | Interest RateRange |   | WeightedAverageInterest Rate |   | Maturity Date Range |
| 5                             |   | $ | 218,240 |  |   | 3.75% – 5.75% |   | 4.81 | % |   | September 15, 2023 - July 15, 2025 |
| 7                             |   | 104,529 |  |   | 4.00% – 6.00% |   | 5.11 | % |   | July 15, 2024 - July 15, 2027 |
| 8                             |   | 24,325 |  |   | 4.50% – 5.75% |   | 4.67 | % |   | August 15, 2025 - July 15, 2026 |
| 10                            |   | 159,802 |  |   | 3.75% – 6.25% |   | 5.32 | % |   | January 15, 2024 - July 15, 2030 |
| 12                            |   | 2,978 |  |   | 6.00% |   | 6.00 | % |   | November 15, 2025 - December 15, 2025 |
| 15                            |   | 16,851 |  |   | 5.75% – 6.00% |   | 5.79 | % |   | May 15, 2028 - November 15, 2028 |
| 18                            |   | 18,741 |  |   | 4.50% – 6.25% |   | 5.58 | % |   | December 15, 2030 - August 15, 2031 |
| 20                            |   | 3,847 |  |   | 5.75% – 6.00% |   | 5.89 | % |   | November 15, 2032 - October 15, 2033 |
| 25                            |   | 30,710 |  |   | 6.25% – 6.50% |   | 6.39 | % |   | August 15, 2038 - May 15, 2039 |
| 30                            |   | 100,206 |  |   | 5.50% – 6.75% |   | 6.25 | % |   | November 15, 2042 - October 15, 2043 |
|                          |   | $ | 680,229 |  |   |   |   |   |  |   |   |

|                                        |
|----------------------------------------|
|                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                   |   | Total AmountOutstanding(1) |   | AssetCoverage perUnit(2) |   | InvoluntaryLiquidatingPreference perUnit(3) |   | AverageMarketValue perUnit(4) |
| Credit Facility                        |   |   |   |   |   |   |   |   |
| Fiscal 2021 (as of September 30, 2020) |   | $ | 250,993 |  |   | $ | 21,408 |  |   | — |  |   | — |  |
| Fiscal 2020 (as of June 30, 2020)      |   | 237,536 |  |   | 22,000 |  |   | — |  |   | — |  |
| Fiscal 2019 (as of June 30, 2019)      |   | 167,000 |  |   | 34,298 |  |   | — |  |   | — |  |
| Fiscal 2018 (as of June 30, 2018)      |   | 37,000 |  |   | 155,503 |  |   | — |  |   | — |  |
| Fiscal 2017 (as of June 30, 2017)      |   | — |  |   | — |  |   | — |  |   | — |  |
| Fiscal 2016 (as of June 30, 2016)      |   | — |  |   | — |  |   | — |  |   | — |  |
| Fiscal 2015 (as of June 30, 2015)      |   | 368,700 |  |   | 18,136 |  |   | — |  |   | — |  |
| Fiscal 2014 (as of June 30, 2014)      |   | 92,000 |  |   | 69,470 |  |   | — |  |   | — |  |
| Fiscal 2013 (as of June 30, 2013) |   | 124,000 |  |   | 34,996 |  |   | — |  |   | — |  |
| Fiscal 2012 (as of June 30, 2012) |   | 96,000 |  |   | 22,668 |  |   | — |  |   | — |  |
| Fiscal 2011 (as of June 30, 2011) |   | 84,200 |  |   | 18,065 |  |   | — |  |   | — |  |

----

|                                             |
|---------------------------------------------|
|                                             |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fiscal 2010 (as of June 30, 2010)      |   | 100,300 |  |   | 8,093 |  |   | — |  |   | — |  |
|                                        |   |   |   |   |   |   |   |   |
| 2015 Notes(5)                               |   |   |   |   |   |   |   |   |
| Fiscal 2015 (as of June 30, 2015)           |   | $ | 150,000 |  |   | $ | 2,241 |  |   | — |  |   | — |  |
| Fiscal 2014 (as of June 30, 2014)           |   | 150,000 |  |   | 2,305 |  |   | — |  |   | — |  |
| Fiscal 2013 (as of June 30, 2013)      |   | 150,000 |  |   | 2,578 |  |   | — |  |   | — |  |
| Fiscal 2012 (as of June 30, 2012)      |   | 150,000 |  |   | 3,277 |  |   | — |  |   | — |  |
| Fiscal 2011 (as of June 30, 2011)      |   | 150,000 |  |   | 3,740 |  |   | — |  |   | — |  |
|                                        |   |   |   |   |   |   |   |   |
| 2016 Notes(6)                               |   |   |   |   |   |   |   |   |
| Fiscal 2016 (as of June 30, 2016)           |   | $ | 167,500 |  |   | $ | 2,269 |  |   | — |  |   | — |  |
| Fiscal 2015 (as of June 30, 2015)           |   | 167,500 |  |   | 2,241 |  |   | — |  |   | — |  |
| Fiscal 2014 (as of June 30, 2014)           |   | 167,500 |  |   | 2,305 |  |   | — |  |   | — |  |
| Fiscal 2013 (as of June 30, 2013)      |   | 167,500 |  |   | 2,578 |  |   | — |  |   | — |  |
| Fiscal 2012 (as of June 30, 2012)      |   | 167,500 |  |   | 3,277 |  |   | — |  |   | — |  |
| Fiscal 2011 (as of June 30, 2011)           |   | 172,500 |  |   | 3,740 |  |   | — |  |   | — |  |
|                                        |   |   |   |   |   |   |   |   |
| 2017 Notes(7)                               |   |   |   |   |   |   |   |   |
| Fiscal 2017 (as of June 30, 2017)           |   | $ | 50,734 |  |   | $ | 2,251 |  |   | — |  |   | — |  |
| Fiscal 2016 (as of June 30, 2016)           |   | 129,500 |  |   | 2,269 |  |   | — |  |   | — |  |
| Fiscal 2015 (as of June 30, 2015)           |   | 130,000 |  |   | 2,241 |  |   | — |  |   | — |  |
| Fiscal 2014 (as of June 30, 2014)           |   | 130,000 |  |   | 2,305 |  |   | — |  |   | — |  |
| Fiscal 2013 (as of June 30, 2013)      |   | 130,000 |  |   | 2,578 |  |   | — |  |   | — |  |
| Fiscal 2012 (as of June 30, 2012)      |   | 130,000 |  |   | 3,277 |  |   | — |  |   | — |  |
|                                        |   |   |   |   |   |   |   |   |
| 2018 Notes(8)                               |   |   |   |   |   |   |   |   |
| Fiscal 2017 (as of June 30, 2017)           |   | $ | 85,419 |  |   | $ | 2,251 |  |   | — |  |   | — |  |
| Fiscal 2016 (as of June 30, 2016)           |   | 200,000 |  |   | 2,269 |  |   | — |  |   | — |  |
| Fiscal 2015 (as of June 30, 2015)           |   | 200,000 |  |   | 2,241 |  |   | — |  |   | — |  |
| Fiscal 2014 (as of June 30, 2014)           |   | 200,000 |  |   | 2,305 |  |   | — |  |   | — |  |
| Fiscal 2013 (as of June 30, 2013)      |   | 200,000 |  |   | 2,578 |  |   | — |  |   | — |  |
|                                        |   |   |   |   |   |   |   |   |
| 2019 Notes(10)                              |   |   |  |   |   |  |   |   |  |   |   |  |
| Fiscal 2018 (as of June 30, 2018)           |   | $ | 101,647 |  |   | $ | 2,452 |  |   | — |  |   | — |  |
| Fiscal 2017 (as of June 30, 2017)           |   | 200,000 |  |   | 2,251 |  |   | — |  |   | — |  |
| Fiscal 2016 (as of June 30, 2016)           |   | 200,000 |  |   | 2,269 |  |   | — |  |   | — |  |
| Fiscal 2015 (as of June 30, 2015)           |   | 200,000 |  |   | 2,241 |  |   | — |  |   | — |  |
| Fiscal 2014 (as of June 30, 2014)           |   | 200,000 |  |   | 2,305 |  |   | — |  |   | — |  |
| Fiscal 2013 (as of June 30, 2013) |   | 200,000 |  |   | 2,578 |  |   | — |  |   | — |  |
|                                        |   |   |   |   |   |   |   |   |
| 5.00% 2019 Notes(11)                        |   |   |   |   |   |   |   |   |
| Fiscal 2018 (as of June 30, 2018)           |   | $ | 153,536 |  |   | $ | 2,452 |  |   | — |  |   | — |  |
| Fiscal 2017 (as of June 30, 2017)           |   | 300,000 |  |   | 2,251 |  |   | — |  |   | — |  |
| Fiscal 2016 (as of June 30, 2016)           |   | 300,000 |  |   | 2,269 |  |   | — |  |   | — |  |
| Fiscal 2015 (as of June 30, 2015)           |   | 300,000 |  |   | 2,241 |  |   | — |  |   | — |  |
| Fiscal 2014 (as of June 30, 2014)           |   | 300,000 |  |   | 2,305 |  |   | — |  |   | — |  |
|                                        |   |   |   |   |   |   |   |   |
| 2020 Notes (14)                             |   |   |   |   |   |   |   |   |
| Fiscal 2019 (as of June 30, 2019)           |   | $ | 224,114 |  |   | $ | 2,365 |  |   | — |  |   | — |  |
| Fiscal 2018 (as of June 30, 2018)           |   | 392,000 |  |   | 2,452 |  |   | — |  |   | — |  |
| Fiscal 2017 (as of June 30, 2017)           |   | 392,000 |  |   | 2,251 |  |   | — |  |   | — |  |
| Fiscal 2016 (as of June 30, 2016)           |   | 392,000 |  |   | 2,269 |  |   | — |  |   | — |  |

----

|                                        |
|----------------------------------------|
|                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fiscal 2015 (as of June 30, 2015)      |   | 392,000 |  |   | 2,241 |  |   | — |  |   | — |  |
| Fiscal 2014 (as of June 30, 2014)      |   | 400,000 |  |   | 2,305 |  |   | — |  |   | — |  |
|                                   |   |   |   |   |   |   |   |   |
| 6.95% 2022 Notes(9)                    |   |   |   |   |   |   |   |   |
| Fiscal 2014 (as of June 30, 2014)      |   | $ | 100,000 |  |   | $ | 2,305 |  |   | — |  |   | $ | 1,038 |  |
| Fiscal 2013 (as of June 30, 2013) |   | 100,000 |  |   | 2,578 |  |   | — |  |   | 1,036 |  |
| Fiscal 2012 (as of June 30, 2012) |   | 100,000 |  |   | 3,277 |  |   | — |  |   | 996 |  |
|                                   |   |   |   |   |   |   |   |   |
| 2022 Notes                             |   |   |   |   |   |   |   |   |
| Fiscal 2021 (as of September 30, 2020) |   | $ | 228,820 |  |   | $ | 2,451 |  |   | — |  |   | — |  |
| Fiscal 2020 (as of June 30, 2020)      |   | 258,240 |  |   | 2,408 |  |   | — |  |   | — |  |
| Fiscal 2019 (as of June 30, 2019)      |   | 328,500 |  |   | 2,365 |  |   | — |  |   | — |  |
| Fiscal 2018 (as of June 30, 2018)      |   | 328,500 |  |   | 2,452 |  |   | — |  |   | — |  |
| Fiscal 2017 (as of June 30, 2017)      |   | 225,000 |  |   | 2,251 |  |   | — |  |   | — |  |
|                                   |   |   |   |   |   |   |   |   |
| 2023 Notes(12)                         |   |   |   |   |   |   |   |   |
| Fiscal 2021 (as of September 30, 2020) |   | $ | 319,218 |  |   | $ | 2,451 |  |   | — |  |   | — |  |
| Fiscal 2020 (as of June 30, 2020)      |   | 319,145 |  |   | $ | 2,408 |  |   | — |  |   | — |  |
| Fiscal 2019 (as of June 30, 2019)      |   | 318,863 |  |   | 2,365 |  |   | — |  |   | — |  |
| Fiscal 2018 (as of June 30, 2018)      |   | 318,675 |  |   | 2,452 |  |   | — |  |   | — |  |
| Fiscal 2017 (as of June 30, 2017)      |   | 248,507 |  |   | 2,251 |  |   | — |  |   | — |  |
| Fiscal 2016 (as of June 30, 2016)      |   | 248,293 |  |   | 2,269 |  |   | — |  |   | — |  |
| Fiscal 2015 (as of June 30, 2015)      |   | 248,094 |  |   | 2,241 |  |   | — |  |   | — |  |
| Fiscal 2014 (as of June 30, 2014)      |   | 247,881 |  |   | 2,305 |  |   | — |  |   | — |  |
| Fiscal 2013 (as of June 30, 2013) |   | 247,725 |  |   | 2,578 |  |   | — |  |   | — |  |
|                                   |   |   |   |   |   |   |   |   |
| 2024 Notes                             |   |   |   |   |   |   |   |   |
| Fiscal 2021 (as of September 30, 2020) |   | $ | 233,788 |  |   | $ | 2,451 |  |   | — |  |   | $ | 1,030 |  |
| Fiscal 2020 (as of June 30, 2020)      |   | 233,788 |  |   | 2,408 |  |   | — |  |   | 959 |  |
| Fiscal 2019 (as of June 30, 2019)      |   | 234,443 |  |   | 2,365 |  |   | — |  |   | 1,002 |  |
| Fiscal 2018 (as of June 30, 2018)      |   | 199,281 |  |   | 2,452 |  |   | — |  |   | 1,029 |  |
| Fiscal 2017 (as of June 30, 2017)      |   | 199,281 |  |   | 2,251 |  |   | — |  |   | 1,027 |  |
| Fiscal 2016 (as of June 30, 2016)      |   | 161,364 |  |   | 2,269 |  |   | — |  |   | 951 |  |
|                                   |   |   |   |   |   |   |   |   |
| 6.375% 2024 Notes(12)                  |   |   |   |   |   |   |   |   |
| Fiscal 2021 (as of September 30, 2020) |   | $ | 99,794 |  |   | $ | 2,451 |  |   | — |  |   | — |  |
| Fiscal 2020 (as of June 30, 2020)      |   | 99,780 |  |   | 2,408 |  |   | — |  |   | — |  |
| Fiscal 2019 (as of June 30, 2019)      |   | 99,726 |  |   | 2,365 |  |   | — |  |   | — |  |
|                                   |   |   |   |   |   |   |   |   |
| 2025 Notes                             |   |   |   |   |   |   |   |   |
| Fiscal 2021 (as of September 30, 2020) |   | $ | 201,250 |  |   | $ | 2,451 |  |   | — |  |   | — |  |
| Fiscal 2020 (as of June 30, 2020)      |   | 201,250 |  |   | 2,408 |  |   | — |  |   | — |  |
| Fiscal 2019 (as of June 30, 2019)      |   | 201,250 |  |   | 2,365 |  |   | — |  |   | — |  |
|                                   |   |   |   |   |   |   |   |   |
| 2028 Notes                             |   |   |   |   |   |   |   |   |
| Fiscal 2021 (as of September 30, 2020) |   | $ | 70,761 |  |   | $ | 2,451 |  |   | — |  |   | $ | 1,002 |  |
| Fiscal 2020 (as of June 30, 2020)      |   | 70,761 |  |   | 2,408 |  |   | — |  |   | 950 |  |
| Fiscal 2019 (as of June 30, 2019)      |   | 70,761 |  |   | 2,365 |  |   | — |  |   | 984 |  |
| Fiscal 2018 (as of June 30, 2018)      |   | 55,000 |  |   | 2,452 |  |   | — |  |   | 1,004 |  |

----

|                                        |
|----------------------------------------|
|                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                   |   |   |   |   |   |   |   |   |
| 2029 Notes                             |   |   |   |   |   |   |   |   |
| Fiscal 2021 (as of September 30, 2020) |   | $ | 69,170 |  |   | $ | 2,451 |  |   | — |  |   | $ | 1,016 |  |
| Fiscal 2020 (as of June 30, 2020)      |   | 69,170 |  |   | 2,408 |  |   | — |  |   | 970 |  |
| Fiscal 2019 (as of June 30, 2019)      |   | 69,170 |  |   | 2,365 |  |   |   |   | 983 |  |
|                                   |   |   |   |   |   |   |   |   |
| Prospect Capital InterNotes®      |   |   |   |   |   |   |   |   |
| Fiscal 2021 (as of September 30, 2020) |   | $ | 718,321 |  |   | $ | 2,451 |  |   | — |  |   | — |  |
| Fiscal 2020 (as of June 30, 2020)      |   | 680,229 |  |   | 2,408 |  |   | — |  |   | — |  |
| Fiscal 2019 (as of June 30, 2019)      |   | 707,699 |  |   | 2,365 |  |   | — |  |   | — |  |
| Fiscal 2018 (as of June 30, 2018)      |   | 760,924 |  |   | 2,452 |  |   | — |  |   | — |  |
| Fiscal 2017 (as of June 30, 2017)      |   | 980,494 |  |   | 2,251 |  |   | — |  |   | — |  |
| Fiscal 2016 (as of June 30, 2016)      |   | 908,808 |  |   | 2,269 |  |   | — |  |   | — |  |
| Fiscal 2015 (as of June 30, 2015)      |   | 827,442 |  |   | 2,241 |  |   | — |  |   | — |  |
| Fiscal 2014 (as of June 30, 2014)      |   | 785,670 |  |   | 2,305 |  |   | — |  |   | — |  |
| Fiscal 2013 (as of June 30, 2013) |   | 363,777 |  |   | 2,578 |  |   | — |  |   | — |  |
| Fiscal 2012 (as of June 30, 2012) |   | 20,638 |  |   | 3,277 |  |   | — |  |   | — |  |
|                                   |   |   |   |   |   |   |   |   |
| All Senior Securities(12)(13)          |   |   |   |   |   |   |   |   |
| Fiscal 2021 (as of September 30, 2020) |   | $ | 2,192,115 |  |   | $ | 2,451 |  |   | — |  |   | — |  |
| Fiscal 2020 (as of June 30, 2020)      |   | 2,169,899 |  |   | 2,408 |  |   | — |  |   | — |  |
| Fiscal 2019 (as of June 30, 2019)      |   | 2,421,526 |  |   | 2,365 |  |   | — |  |   | — |  |
| Fiscal 2018 (as of June 30, 2018)      |   | 2,346,563 |  |   | 2,452 |  |   | — |  |   | — |  |
| Fiscal 2017 (as of June 30, 2017)      |   | 2,681,435 |  |   | 2,251 |  |   | — |  |   | — |  |
| Fiscal 2016 (as of June 30, 2016)      |   | 2,707,465 |  |   | 2,269 |  |   | — |  |   | — |  |
| Fiscal 2015 (as of June 30, 2015)      |   | 2,983,736 |  |   | 2,241 |  |   | — |  |   | — |  |
| Fiscal 2014 (as of June 30, 2014)      |   | 2,773,051 |  |   | 2,305 |  |   | — |  |   | — |  |
| Fiscal 2013 (as of June 30, 2013) |   | 1,683,002 |  |   | 2,578 |  |   | — |  |   | — |  |
| Fiscal 2012 (as of June 30, 2012)      |   | 664,138 |  |   | 3,277 |  |   | — |  |   | — |  |
| Fiscal 2011 (as of June 30, 2011)      |   | 406,700 |  |   | 3,740 |  |   | — |  |   | — |  |
| Fiscal 2010 (as of June 30, 2010) |   | 100,300 |  |   | 8,093 |  |   | — |  |   | — |  |

|     |                                                                                                                                            |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Except as noted, the total amount of each class of senior securities outstanding at the end of the year/period presented (in 000’s). |
|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | The asset coverage ratio for a class of secured senior securities representing indebtedness is calculated as our consolidated total assets, less all liabilities and indebtedness not represented by senior securities, divided by secured senior securities representing indebtedness. The asset coverage ratio for a class of unsecured senior securities is inclusive of all senior securities. This asset coverage ratio is multiplied by $1,000 to determine the Asset Coverage Per Unit. |
|     |                              |
|-----|------------------------------|
| (3) | This column is inapplicable. |
|     |                                                                                                                                                                                                                                                                 |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (4) | This column is inapplicable, except for the 6.95% 2022 Notes, the 2024 Notes, the 2028 Notes and the 2029 Notes.  The average market value per unit is calculated as an average of quarter-end prices and shown as the market value per $1,000 of indebtedness. |
|     |                                                                                    |
|-----|------------------------------------------------------------------------------------|
| (5) | We repaid the outstanding principal amount of the 2015 Notes on December 15, 2015. |
|     |                                                                                  |
|-----|----------------------------------------------------------------------------------|
| (6) | We repaid the outstanding principal amount of the 2016 Notes on August 15, 2016. |
|     |                                                                                   |
|-----|-----------------------------------------------------------------------------------|
| (7) | We repaid the outstanding principal amount of the 2017 Notes on October 15, 2017. |
|     |                                                                                 |
|-----|---------------------------------------------------------------------------------|
| (8) | We repaid the outstanding principal amount of the 2018 Notes on March 15, 2018. |
|     |                                                   |
|-----|---------------------------------------------------|
| (9) | We redeemed the 6.95% 2022 Notes on May 15, 2015. |
|      |                                                                                   |
|------|-----------------------------------------------------------------------------------|
| (10) | We repaid the outstanding principal amount of the 2019 Notes on January 15, 2019. |
|      |                                                         |
|------|---------------------------------------------------------|
| (11) | We redeemed the 5.00% 2019 Notes on September 26, 2018. |
|      |                                                                                                                                        |
|------|----------------------------------------------------------------------------------------------------------------------------------------|
| (12) | For the period ended September 30, 2020 and all fiscal years ended June 30th, the 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 $42,009 as of September 30, 2020 as Senior Securities for purposes of Section 18 of the 1940 Act, our asset coverage per unit would be $2,405. |
|      |                                                                                 |
|------|---------------------------------------------------------------------------------|
| (14) | We repaid the outstanding principal amount of the 2020 Notes on April 15, 2020. |

----

|                                   |
|-----------------------------------|
|                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                              | Principal Outstanding |   | Unamortized Discount & Debt Issuance Costs |   | Net Carrying Value |   | Fair Value(1) |   | Effective Interest Rate |   |
| Revolving Credit Facility(2)      | $ | 250,993 |  |   | $ | 8,596 |  |   | $ | 250,993 |  | (3) | $ | 250,993 |  |   | 1ML+2.20% |  | (6) |
|                              |   |   |   |   |   |   |   |   |   |   |
| 2022 Notes                        | 228,820 |  |   | 2,864 |  |   | 225,956 |  |   | 231,799 |  | (4) | 5.65 | % | (7) |
| 2025 Notes                        | 201,250 |  |   | 5,035 |  |   | 196,215 |  |   | 207,076 |  | (4) | 6.63 | % | (7) |
| Convertible Notes                 | 430,070 |  |   |  |  |   | 422,171 |  |   | 438,875 |  |   |   |   |
|                              |   |   |   |   |   |   |   |   |   |   |
| 6.375% 2024 Notes                 | 100,000 |  |   | 695 |  |   | 99,305 |  |   | 104,389 |  | (4) | 6.64 | % | (7) |
| 2023 Notes                        | 320,000 |  |   | 2,207 |  |   | 317,793 |  |   | 331,581 |  | (4) | 6.09 | % | (7) |
| 2024 Notes                        | 233,788 |  |   | 3,721 |  |   | 230,067 |  |   | 240,708 |  | (4) | 6.76 | % | (7) |
| 2028 Notes                        | 70,761 |  |   | 2,091 |  |   | 68,670 |  |   | 70,837 |  | (4) | 6.77 | % | (7) |
| 2029 Notes                        | 69,170 |  |  | 2,297 |  |  | 66,873 |  |  | 70,277 |  | (4) | 7.38 | % | (7) |
| Public Notes                      | 793,719 |  |   |  |  |   | 782,708 |  |   | 817,792 |  |   |   |   |
|                              |   |   |   |   |   |   |   |   |   |   |
| Prospect Capital InterNotes® | 718,321 |  |   | 12,959 |  |   | 705,362 |  |   | 740,257 |  | (5) | 6.04 | % | (8) |
| Total                             | $ | 2,193,103 |  |   |  |  |   | $ | 2,161,234 |  |   | $ | 2,247,917 |  |   |   |   |

|     |                                                                                                                                                                                                                                                                                                  |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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 September 30, 2020. |
|     |                                                                                                           |
|-----|-----------------------------------------------------------------------------------------------------------|
| (2) | The maximum draw amount of the Revolving Credit facility as of September 30, 2020 is $1,077,500. |
|     |                                                                                                                                               |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | Net Carrying Value excludes deferred financing costs associated with the Revolving Credit Facility. See Note 2 for accounting policy details. |
|     |                                                                                                      |
|-----|------------------------------------------------------------------------------------------------------|
| (4) | We use available market quotes to estimate the fair value of the Convertible Notes and Public Notes. |
|     |                                                                                                                                                                                     |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (5) | The fair value of Prospect Capital InterNotes® is estimated by discounting remaining payments using current Treasury rates plus spread based on observable market inputs. |
|     |                                                                                                                                                                          |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (6) | Represents the rate on drawn down and outstanding balances. Deferred debt issuance costs are amortized on a straight-line method over the stated life of the obligation. |
|     |                                                                                                                                                                                                                                                                                                                                                             |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (7) | The effective interest rate is equal to the effect of the stated interest, the accretion of original issue discount and amortization of debt issuance costs. For the 2024 Notes, the 2028 Notes, and the 2029 Notes, the rate presented is a combined effective interest rate of their respective original Note issuances and Note Follow-on Programs.  |
|     |                                                                                                                                                                                                                                                                                                                                                              |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (8) | For the Prospect Capital InterNotes®, the rate presented is the weighted average effective interest rate. Interest expense and deferred debt issuance costs, which are amortized on a straight-line method over the stated life of the obligation which approximates level yield, are weighted against the average year-to-date principal balance.  |

----

|                                   |
|-----------------------------------|
|                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                              | Principal Outstanding |   | Unamortized Discount & Debt Issuance Costs |   | Net Carrying Value |   | Fair Value (1) |   | Effective Interest Rate |   |
| Revolving Credit Facility(2)      | $ | 237,536 |  |   | $ | 9,145 |  |   | $ | 237,536 |  | (3) | $ | 237,536 |  |   | 1ML+2.20% |  | (6) |
|                              |   |   |   |   |   |   |   |   |   |   |
| 2022 Notes                        | 258,240 |  |   | 3,615 |  |   | 254,625 |  |   | 247,133 |  | (4) | 5.65 | % | (7) |
| 2025 Notes                        | 201,250 |  |   | 5,277 |  |   | 195,973 |  |   | 194,279 |  | (4) | 6.63 | % | (7) |
| Convertible Notes                 | 459,490 |  |   |  |  |   | 450,598 |  |   | 441,412 |  |   |   |   |
|                              |   |   |   |   |   |   |   |   |   |   |
| 6.375% 2024 Notes                 | 100,000 |  |   | 762 |  |   | 99,238 |  |   | 100,771 |  | (4) | 6.64 | % | (7) |
| 2023 Notes                        | 320,000 |  |   | 2,426 |  |   | 317,574 |  |   | 325,395 |  | (4) | 6.09 | % | (7) |
| 2024 Notes                        | 233,788 |  |   | 3,939 |  |   | 229,849 |  |   | 229,580 |  | (4) | 6.76 | % | (7) |
| 2028 Notes                        | 70,761 |  |   | 2,142 |  |   | 68,619 |  |   | 66,842 |  | (4) | 6.77 | % | (7) |
| 2029 Notes                        | 69,170 |  |   | 2,344 |  |   | 66,826 |  |   | 67,233 |  | (4) | 7.38 | % | (7) |
| Public Notes                      | 793,719 |  |   |  |  |   | 782,106 |  |   | 789,821 |  |   |   |   |
|                              |   |   |   |   |   |   |   |   |   |   |
| Prospect Capital InterNotes® | 680,229 |  |   | 12,802 |  |   | 667,427 |  |   | 658,292 |  | (5) | 6.06 | % | (8) |
| Total                             | $ | 2,170,974 |  |   |  |  |   | $ | 2,137,667 |  |   | $ | 2,127,061 |  |   |   |   |

|     |                                                                                                                                                                                                                                                                                        |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | As permitted by ASC 825-10-25, we have not elected to value our Revolving Credit Facility, Convertible Notes, Public Notes and Prospect Capital InterNotes® at fair value. The fair value of these debt obligations are categorized as Level 2 under ASC 820 as of June 30, 2020. |
|     |                                                                                                 |
|-----|-------------------------------------------------------------------------------------------------|
| (2) | The maximum draw amount of the Revolving Credit facility as of June 30, 2020 is $1,077,500. |
|     |                                                                                                                                               |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | Net Carrying Value excludes deferred financing costs associated with the Revolving Credit Facility. See Note 2 for accounting policy details. |
|     |                                                                                                      |
|-----|------------------------------------------------------------------------------------------------------|
| (4) | We use available market quotes to estimate the fair value of the Convertible Notes and Public Notes. |
|     |                                                                                                                                                                                     |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (5) | The fair value of Prospect Capital InterNotes® is estimated by discounting remaining payments using current Treasury rates plus spread based on observable market inputs. |
|     |                                                                                                                                                                          |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (6) | Represents the rate on drawn down and outstanding balances. Deferred debt issuance costs are amortized on a straight-line method over the stated life of the obligation. |
|     |                                                                                                                                                                                                                                                                                                                                                        |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (7) | The effective interest rate is equal to the effect of the stated interest, the accretion of original issue discount and amortization of debt issuance costs. For the 2024 Notes, the 2028 Notes, and the 2029 Notes, the rate presented is a combined effective interest rate of their respective original Note issuances and Note Follow-on Programs. |
|     |                                                                                                                                                                                                                                                                                                                                                         |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (8) | For the Prospect Capital InterNotes®, the rate presented is the weighted average effective interest rate. Interest expense and deferred debt issuance costs, which are amortized on a straight-line method over the stated life of the obligation which approximates level yield, are weighted against the average year-to-date principal balance. |

|                                   |
|-----------------------------------|
|                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                              | Payments Due by Period |
|                              | Total |   | Less than 1 Year |   | 1 – 3 Years |   | 3 – 5 Years |   | After 5 Years |
| Revolving Credit Facility         | $ | 250,993 |  |   | — |  |   | $ | — |  |   | $ | 250,993 |  |   | $ | — |  |
| Convertible Notes                 | 430,070 |  |   | — |  |   | 228,820 |  |   | 201,250 |  |   | — |  |
| Public Notes                      | 793,719 |  |   | — |  |   | 320,000 |  |   | 333,788 |  |   | 139,931 |  |
| Prospect Capital InterNotes® | 718,321 |  |   | — |  |   | 4,478 |  |   | 277,855 |  |   | 435,988 |  |
| Total Contractual Obligations     | $ | 2,193,103 |  |   | $ | — |  |   | $ | 553,298 |  |   | $ | 1,063,886 |  |   | $ | 575,919 |  |

----

|                                   |
|-----------------------------------|
|                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                              | Payments Due by Period |
|                              | Total |   | Less than 1 Year |   | 1 – 3 Years |   | 3 – 5 Years |   | After 5 Years |
| Revolving Credit Facility         | $ | 237,536 |  |   | $ | — |  |   | $ | — |  |   | $ | 237,536 |  |   | $ | — |  |
| Convertible Notes                 | 459,490 |  |   | — |  |   | 258,240 |  |   | 201,250 |  |   | — |  |
| Public Notes                      | 793,719 |  |   | — |  |   | 320,000 |  |   | 333,788 |  |   | 139,931 |  |
| Prospect Capital InterNotes® | 680,229 |  |   | — |  |   | — |  |   | 243,062 |  |   | 437,167 |  |
| Total Contractual Obligations     | $ | 2,170,974 |  |   | $ | — |  |   | $ | 578,240 |  |   | $ | 1,015,636 |  |   | $ | 577,098 |  |

----

|                                                                          |
|--------------------------------------------------------------------------|
|                                                                          |  |  |  |  |  |  |  |  |  |  |  |  |
| Declaration Date                                                         |   | Record Date |   | Payment Date |   | Amount Per Share |   | Amount Distributed (in thousands) |
| 5/8/2019                                                                 |  | 7/31/2019 |  | 8/22/2019 |  | $ | 0.06 |  |  | $ | 22,032 |  |
| 5/8/2019                                                                 |  | 8/30/2019 |  | 9/19/2019 |  | 0.06 |  |  | 22,037 |  |
| 8/27/2019                                                                |  | 9/30/2019 |  | 10/24/2019 |  | 0.06 |  |  | 22,042 |  |
| Total declared and payable for the three months ended September 30, 2019 |   |  | $ | 66,111 |  |
|                                                                     |   |   |   |   |   |   |   |   |
| 5/11/2020                                                                |  | 7/31/2020 |  | 8/20/2020 |  | $ | 0.06 |  |  | $ | 22,515 |  |
| 5/11/2020                                                                |  | 8/31/2020 |  | 9/17/2020 |  | 0.06 |  |  | 22,619 |  |
| 8/26/2020                                                                |  | 9/30/2020 |  | 10/22/2020 |  | 0.06 |  |  | 22,727 |  |
| Total declared and payable for the three months ended September 30, 2020 |   |   | $ | 67,861 |  |

|         |                                                                                                                  |
|---------|------------------------------------------------------------------------------------------------------------------|
| • | $0.06 per share for October 2020 holders of record on October 30, 2020 with a payment date of November 19, 2020. |

----

|                                           |
|-------------------------------------------|
|                                           |  |  |  |  |  |  |  |
|                                      | Three Months Ended September 30, |
|                                      | 2020 |   | 2019 |
| Structuring, advisory, and amendment fees | $ | 1,426 |  |   | $ | 8,310 |  |
| Royalty and net revenue interests         | 9,066 |  |   | 3,232 |  |
| Administrative agent fees                 | 124 |  |   | 131 |  |
| Total other income                        | $ | 10,616 |  |   | $ | 11,673 |  |

|                                                                |
|----------------------------------------------------------------|
|                                                                |  |  |  |  |  |  |  |
|                                                           | Three Months Ended September 30, |
|                                                           | 2020 |   | 2019 |
| Net increase in net assets resulting from operations           | $ | 167,746 |  |   | $ | 18,065 |  |
| Weighted average common shares outstanding                     | 375,910,891 |   | 367,238,762 |  |
| Net increase in net assets resulting from operations per share | $ | 0.45 |  |   | $ | 0.05 |  |

|                                      |
|--------------------------------------|
|                                      |  |  |  |  |  |  |  |  |  |  |  |  |
|                                 |   | Tax Year Ended August 31, |
|                                 |   | 2020 |   | 2019 |   | 2018 |
| Ordinary income                      |   | $ | 207,989 |  |   | $ | 263,773 |  |   | $ | 269,095 |  |
| Capital gain                         |   | — |  |   | — |  |   | — |  |
| Return of capital                    |   | 57,772 |  |   | — |  |   | — |  |
| Total dividends paid to stockholders |   | $ | 265,761 |  |   | $ | 263,773 |  |   | $ | 269,095 |  |

----

|                                                                 |
|-----------------------------------------------------------------|
|                                                                 |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                            |   | Tax Year Ended August 31, |
|                                                            |   | 2020 |   | 2019 |   | 2018 |
| Net increase (decrease) in net assets resulting from operations |   | $ | (78,949 | ) |   | $ | 93,093 |  |   | $ | 389,732 |  |
| Net realized (gains) losses on investments                      |   | 10,139 |  |   | (5,923 | ) |   | 26,762 |  |
| Net unrealized (gains) losses on investments                    |   | 328,997 |  |   | 217,159 |  |   | (105,599 | ) |
| Other temporary book-to-tax differences                         |   | (88,670 | ) |   | (87,511 | ) |   | (42,583 | ) |
| Permanent differences                                           |   | 57 |  |   | 78 |  |   | 31 |  |
| Taxable income before deductions for distributions              |   | $ | 171,574 |  |   | $ | 216,896 |  |   | $ | 268,343 |  |

----

|         |                                                                                                                                     |
|---------|-------------------------------------------------------------------------------------------------------------------------------------|
| • | No incentive fee in any calendar quarter in which our pre-incentive fee net investment income does not exceed the hurdle rate;  |
|         |                                                                                                                                                                                                                                                                                                                              |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | 100.00% of our pre-incentive fee net investment income with respect to that portion of such pre-incentive fee net investment income, if any, that exceeds the hurdle rate but is less than 125.00% of the quarterly hurdle rate in any calendar quarter (8.75% annualized assuming a 7.00% annualized hurdle rate); and  |
|         |                                                                                                                                                                                                                         |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | 20.00% of the amount of our pre-incentive fee net investment income, if any, that exceeds 125.00% of the quarterly hurdle rate in any calendar quarter (8.75% annualized assuming a 7.00% annualized hurdle rate).  |

----

----

----

|                                            |
|--------------------------------------------|
|                                            |  |  |  |  |  |  |  |
|                                       | Three Months Ended |
|                                       | September 30, 2020 |   | September 30, 2019 |
| Interest Income                            |  |   |   |
|   Interest Income from CP Energy | $ | 1,127 |  |   | $ | 1,193 |  |
|   Interest Income from Spartan   | 303 |  |   | 1,251 |  |
| Total Interest Income                      | $ | 1,430 |  |   | $ | 2,444 |  |
| Other Income                               |   |   |   |
| Administrative Agent                       | $ | 6 |  |   | $ | — |  |
| Total Other Income                         | 6 |  |   | — |  |
| Managerial Assistance (1)                  | — |  |   | 150 |  |
| Realized Gain                              | 2,832 |  |   | — |  |

|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |
|                               | Three Months Ended |
|                               | September 30, 2020 |   | September 30, 2019 |
| Additions                          | $ | 26,193 |  |   | $ | — |  |
| Interest Income Capitalized as PIK | 1,127 |  |  | 1,198 |  |
| Repayment of Loan Receivable       | 23,361 |  |   | — |  |
| Return of Capital                  | 1 |  |  | — |  |

|                         |
|-------------------------|
|                         |  |  |  |  |  |  |  |
|                    | As of |
|                    | September 30, 2020 |   | June 30, 2020 |
| Interest Receivable (2) | $ | 16 |  |   | $ | 15 |  |
| Other Receivables (3)   | 17 |  |   | 16 |  |

----

|                                      |
|--------------------------------------|
|                                      |  |  |  |  |  |  |  |
|                                 | Three Months Ended |
|                                 | September 30, 2020 |   | September 30, 2019 |
| Interest Income                      | $ | 3,370 |  |   | $ | 2,981 |  |
| Other Income                         |  |   |  |
| Structuring Fee                      | $ | — |  |   | $ | 112 |  |
| Total Other Income                   | $ | — |  |   | $ | 112 |  |
| Managerial Assistance (1)            | $ | 175 |  |   | $ | — |  |
| Reimbursement of Legal, Tax, etc.(2) | — |  |   | 7 |  |

|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |
|                               | Three Months Ended |
|                               | September 30, 2020 |   | September 30, 2019 |
| Additions (3)                      | $ | — |  |   | $ | 5,600 |  |
| Accreted Original Issue Discount   | 101 |  |   | 73 |  |
| Interest Income Capitalized as PIK | 3,268 |  |   | 963 |  |

|                         |
|-------------------------|
|                         |  |  |  |  |  |  |  |
|                    | As of |
|                    | September 30, 2020 |   | June 30, 2020 |
| Interest Receivable (4) | $ | 37 |  |   | $ | 35 |  |
| Other Receivables (5)   | 2 |  |   | 2 |  |

|                 |
|-----------------|
|                 |  |  |  |  |  |  |  |
|            | Three Months Ended |
|            | September 30, 2020 |   | September 30, 2019 |
| Interest Income | $ | 2,338 |  |   | $ | 2,021 |  |

|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |
|                               | Three Months Ended |
|                               | September 30, 2020 |   | September 30, 2019 |
| Additions (1)                 | $ | — |  |   | $ | 500 |  |
| Interest Income Capitalized as PIK | 4,325 |  |   | 3,774 |  |

----

|                                   |
|-----------------------------------|
|                                   |  |  |  |  |  |  |  |
|                              | As of |
|                              | September 30, 2020 |   | June 30, 2020 |
| Interest Receivable (2)           | $ | 1,608 |  |   | $ | 3,606 |  |
| Other Receivables - Due to PA (3) | 63 |  |   | — |  |
| Other Receivables (4)             | 7 |  |   | 7 |  |

|                                       |
|---------------------------------------|
|                                       |  |  |  |  |  |  |  |
|                                  | Three Months Ended |
|                                  | September 30, 2020 |   | September 30, 2019 |
| Interest Income                       | $ | 15,480 |  |   | $ | 14,637 |  |
| Managerial Assistance (1)             | 600 |  |   | 600 |  |
| Reimbursement of Legal, Tax, etc. (2) | — |  |   | 1 |  |

|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |
|                               | Three Months Ended |
|                               | September 30, 2020 |   | September 30, 2019 |
| Interest Income Capitalized as PIK | $ | — |  |   | $ | 2,666 |  |
| Repayment of loan receivable       | 4,911 |  |   | 2,034 |  |

|                              |
|------------------------------|
|                              |  |  |  |  |  |  |  |
|                         | As of |
|                         | September 30, 2020 |   | June 30, 2020 |
| Interest Receivable (3) | $ | 166 |  |   | $ | 158 |  |
| Other Receivables (4)        | 10 |  |   | 10 |  |

----

|                 |
|-----------------|
|                 |  |  |  |  |  |  |  |
|            | Three Months Ended |
|            | September 30, 2020 |   | September 30, 2019 |
| Interest Income | $ | 4,937 |  |   | $ | 4,659 |  |

|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |
|                               | Three Months Ended |
|                               | September 30, 2020 |   | September 30, 2019 |
| Interest Income Capitalized as PIK | 3,282 |  |   | 3,032 |  |

|                         |
|-------------------------|
|                         |  |  |  |  |  |  |  |
|                    | As of |
|                    | September 30, 2020 |   | June 30, 2020 |
| Interest Receivable (1) | $ | 65 |  |   | $ | 52 |  |
| Other Receivables (2)   | 10 |  |   | — |  |

|                    |
|--------------------|
|                    |  |  |  |  |  |  |  |
|               | Three Months Ended |
|               | September 30, 2020 |   | September 30, 2019 |
| Additions (1) | $ | — |  |   | $ | 2,350 |  |

|                       |
|-----------------------|
|                       |  |  |  |  |  |  |  |
|                  | As of |
|                  | September 30, 2020 |   | June 30, 2020 |
| Other Receivables (2) | $ | 2 |  |   | $ | — |  |

----

|                                               |
|-----------------------------------------------|
|                                               |  |  |  |  |  |  |  |
|                                          | Three Months Ended |
|                                          | September 30, 2020 |   | September 30, 2019 |
| Interest Income                               |   |   |   |
|   Interest Income from MITY-Lite    | $ | 2,373 |  |   | $ | 2,066 |  |
|   Interest Income from Broda Canada | — |  |   | 143 |  |
| Total Interest Income                         | $ | 2,373 |  |   | $ | 2,209 |  |
| Managerial Assistance (1)                     | 75 |  |   | — |  |

|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |
|                               | Three Months Ended |
|                               | September 30, 2020 |   | September 30, 2019 |
| Interest Income Capitalized as PIK | $ | 851 |  |   | $ | 1,013 |  |
| Repayment of loan receivable       | 145 |  |   | 143 |  |

|                         |
|-------------------------|
|                         |  |  |  |  |  |  |  |
|                    | As of |
|                    | September 30, 2020 |   | June 30, 2020 |
| Interest Receivable (2) | $ | 26 |  |   | $ | 26 |  |
| Other Receivables (3)   | 1 |  |   | 1 |  |

----

|                                      |
|--------------------------------------|
|                                      |  |  |  |  |  |  |  |
|                                 | Three Months Ended |
|                                 | September 30, 2020 |   | September 30, 2019 |
| Interest Income                      | $ | 13,402 |  |   | $ | 16,592 |  |
| Other Income                         |  |   |  |
| Structuring Fee                      | $ | — |  |   | $ | 446 |  |
| Advisory Fee                         | — |  |   | 7,595 |  |
| Royalty/Net Interest                 | 8,898 |  |   | 3,230 |  |
| Total Other Income                   | $ | 8,898 |  |   | $ | 11,271 |  |
| Managerial Assistance (1)            | $ | 525 |  |   | $ | — |  |
| Reimbursement of Legal, Tax, etc.(2) | 164 |  |   | 346 |  |

|                              |
|------------------------------|
|                              |  |  |  |  |  |  |  |
|                         | Three Months Ended |
|                         | September 30, 2020 |   | September 30, 2019 |
| Additions                    | $ | 38,746 |  |   | $ | — |  |
| Repayment of loan receivable | 15,329 |  |   | 60,683 |  |

|                         |
|-------------------------|
|                         |  |  |  |  |  |  |  |
|                    | As of |
|                    | September 30, 2020 |   | June 30, 2020 |
| Interest Receivable (3) | $ | 216 |  |   | $ | 212 |  |
| Other Receivables (4)   | 1 |  |   | 2 |  |

----

|                           |
|---------------------------|
|                           |  |  |  |  |  |  |  |
|                      | Three Months Ended |
|                      | September 30, 2020 |   | September 30, 2019 |
| Interest Income           | $ | 1,033 |  |   | $ | 954 |  |
| Managerial Assistance (1) | 100 |  |   | 100 |  |

|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |
|                               | Three Months Ended |
|                               | September 30, 2020 |   | September 30, 2019 |
| Interest Income Capitalized as PIK | $ | 173 |  |   | $ | 316 |  |

|                         |
|-------------------------|
|                         |  |  |  |  |  |  |  |
|                    | As of |
|                    | September 30, 2020 |   | June 30, 2020 |
| Interest Receivable (2) | $ | 11 |  |   | $ | 11 |  |
| Other Receivables (3)   | 2 |  |   | 2 |  |

|                                       |
|---------------------------------------|
|                                       |  |  |  |  |  |  |  |
|                                  | Three Months Ended |
|                                  | September 30, 2020 |   | September 30, 2019 |
| Interest Income                       |   |   |   |
|   Interest Income from NMMB | 135 |  |   | 91 |  |
| Total Interest Income                 | $ | 135 |  |   | $ | 91 |  |
| Managerial Assistance (1)        | $ | 100 |  |   | $ | — |  |

|                                               |
|-----------------------------------------------|
|                                               |  |  |  |  |  |  |  |
|                                          | Three Months Ended |
|                                          | September 30, 2020 |   | September 30, 2019 |
| Repayment of loan receivable                  |   |   |   |
|    Repayment from Armed Forces | $ | — |  |   | $ | 1,500 |  |
|    Repayment from NMMB         | 38 |  |   | — |  |
| Total Repayment of loan receivable (2)        | $ | 38 |  |   | $ | 1,500 |  |

----

|                             |
|-----------------------------|
|                             |  |  |  |  |  |  |  |
|                        | As of |
|                        | September 30, 2020 |   | June 30, 2020 |
| Interest Receivable (3)     | $ | 1 |  |   | $ | 1 |  |
| Other Receivables  (4) | — |  |   | 2 |  |

|                 |
|-----------------|
|                 |  |  |  |  |  |  |  |
|            | Three Months Ended |
|            | September 30, 2020 |   | September 30, 2019 |
| Interest Income | $ | 1,141 |  |   | $ | 1,063 |  |

|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |
|                               | Three Months Ended |
|                               | September 30, 2020 |   | September 30, 2019 |
| Additions (1)                 | $ | — |  |   | $ | 2,000 |  |
| Interest Income Capitalized as PIK | 634 |  |   | — |  |

|                              |
|------------------------------|
|                              |  |  |  |  |  |  |  |
|                         | As of |
|                         | September 30, 2020 |   | June 30, 2020 |
| Interest Receivable (2) | $ | 72 |  |   | $ | 10 |  |
| Other Receivables (3)        | 29 |  |   | 19 |  |

|                                      |
|--------------------------------------|
|                                      |  |  |  |  |  |  |  |
|                                 | Three Months Ended |
|                                 | September 30, 2020 |   | September 30, 2019 |
| Interest Income                      | $ | 716 |  |   | $ | 804 |  |
| Managerial Assistance (1)       | 45 |  |   | — |  |
| Reimbursement of Legal, Tax, etc.(2) | — |  |   | 12 |  |

----

|                         |
|-------------------------|
|                         |  |  |  |  |  |  |  |
|                    | As of |
|                    | September 30, 2020 |   | June 30, 2020 |
| Interest Receivable (3) | $ | 8 |  |   | $ | 8 |  |

|                           |
|---------------------------|
|                           |  |  |  |  |  |  |  |
|                      | Three Months Ended |
|                      | September 30, 2020 |   | September 30, 2019 |
| Interest Income           | $ | 594 |  |  | $ | 633 |  |
| Managerial Assistance (1) | 3 |  |   | — |  |

|                              |
|------------------------------|
|                              |  |  |  |  |  |
|                         | Three Months Ended |
|                         | September 30, 2020 |   | September 30, 2019 |
| Repayment of loan receivable | 170 |  |   | 163 |  |

----

|                         |
|-------------------------|
|                         |  |  |  |  |  |  |  |
|                    | As of |
|                    | September 30, 2020 |   | June 30, 2020 |
| Interest Receivable (2) | $ | 6 |  |   | $ | 6 |  |
| Other Receivables (3)   | 1 |  |   | 1 |  |

|               |
|---------------|
|               |  |  |  |  |  |  |  |
|          | Three Months Ended |
|          | September 30, 2020 |   | September 30, 2019 |
| Additions (1) | $ | — |  |   | $ | 1,500 |  |

|                                      |
|--------------------------------------|
|                                      |  |  |  |  |  |  |  |
|                                 | Three Months Ended |
|                                 | September 30, 2020 |   | September 30, 2019 |
| Interest Income                      |   |   |   |
| Interest Income from Valley          | $ | 280 |  |   | $ | 280 |  |
| Interest Income from Valley Electric | 1,498 |  |   | 1,498 |  |
| Total Interest Income                | $ | 1,778 |  |   | $ | 1,778 |  |
| Dividend Income (1)             | $ | — |  |   | $ | 3,800 |  |
| Other Income                         |  |   |  |
| Residual Profit Interest             | 167 |  |   | — |  |
| Total Other Income                   | $ | 167 |  |   | $ | — |  |
| Managerial Assistance (2)       | $ | 150 |  |   | $ | — |  |

----

|                         |
|-------------------------|
|                         |  |  |  |  |  |  |  |
|                    | As of |
|                    | September 30, 2020 |   | June 30, 2020 |
| Interest Receivable (3) | $ | 15 |  |   | $ | 15 |  |
| Other Receivables (4)   | 2 |  |   | 2 |  |

----

|                                                                 |
|-----------------------------------------------------------------|
|                                                                 |  |  |  |  |  |  |  |
|                                                            | Three Months Ended September 30, |
|                                                            | 2020 |   | 2019 |
| Per Share Data                                                  |   |  |   |   |  |
| Net asset value at beginning of period                          | $ | 8.18 |  |   | $ | 9.01 |  |
| Net investment income(1)                                        | 0.15 |  |   | 0.19 |  |
| Net realized and change in unrealized (losses) gains(1)         | 0.30 |  |   | (0.14 | ) |
|   Net increase from operations                        | 0.45 |  |   | 0.05 |  |
| Distributions of net investment income                          | (0.18 | ) |   | (0.18 | ) |
| Common stock transactions(2)                                    | (0.05 | ) |   | (0.01 | ) |
|   Net asset value at end of period                    | $ | 8.40 |  |   | $ | 8.87 |  |
|                                                            |   |   |   |
| Per share market value at end of period                         | $ | 5.03 |  |   | $ | 6.59 |  |
| Total return based on market value(3)                           | 2.15 | % |   | 3.69 | % |
| Total return based on net asset value(3)                        | 6.57 | % |   | 1.14 | % |
| Shares of common stock outstanding at end of period             | 378,776,958 |  |   | 367,363,872 |  |
| Weighted average shares of common stock outstanding             | 375,910,891 |  |   | 367,238,762 |  |
|                                                            |   |   |   |
| Ratios/Supplemental Data                                        |   |   |   |
| Net assets at end of period                                     | $ | 3,181,027 |  |   | $ | 3,259,773 |  |
| Portfolio turnover rate                                         | 2.79 | % |   | 1.70 | % |
| Annualized ratio of operating expenses to average net assets    | 10.95 | % |   | 11.07 | % |
| Annualized ratio of net investment income to average net assets | 7.38 | % |   | 8.66 | % |

----

|                                                         |
|---------------------------------------------------------|
|                                                         |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                    | Year Ended June 30, |
|                                                    | 2020 |   | 2019 |   | 2018 |   | 2017 |   | 2016 |
| Per Share Data                                          |   |  |   |   |   |   |   |   |  |   |   |  |
| Net asset value at beginning of year                    | $ | 9.01 |  |   | $ | 9.35 |  |   | $ | 9.32 |  |   | $ | 9.62 |  |   | $ | 10.31 |  |
| Net investment income(1)                                | 0.72 |  |   | 0.85 |  |   | 0.79 |  |   | 0.85 |  |   | 1.04 |  |
| Net realized and change in unrealized (losses) gains(1) | (0.76 | ) |   | (0.46 | ) |   | 0.04 |  |   | (0.15 | ) |   | (0.75 | ) |
|   Net (decrease) increase from operations     | (0.04 | ) |   | 0.39 |  |   | 0.83 |  |   | 0.70 |  |   | 0.29 |  |
| Distributions of net investment income                  | (0.72 | ) |   | (0.72 | ) |   | (0.77 | ) |   | (1.00 | ) |   | (1.00 | ) |
| Common stock transactions(2)                            | (0.07 | ) |   | (0.01 | ) |   | (0.03 | ) |   | — |  | (4) | 0.02 |  |
|   Net asset value at end of year              | $ | 8.18 |  |   | $ | 9.01 |  |   | $ | 9.35 |  |   | $ | 9.32 |  |   | $ | 9.62 |  |
|                                                    |   |   |   |   |   |   |   |   |   |
| Per share market value at end of year                   | $ | 5.11 |  |   | $ | 6.53 |  |   | $ | 6.71 |  |   | $ | 8.12 |  |   | $ | 7.82 |  |
| Total return based on market value(3)                   | (11.35 | %) |   | 8.23 | % |   | (7.42 | %) |   | 16.80 | % |   | 21.84 | % |
| Total return based on net asset value(3)                | 2.84 | % |   | 7.17 | % |   | 12.39 | % |   | 8.98 | % |   | 7.15 | % |
| Shares of common stock outstanding at end of year       | 373,538,499 |  |   | 367,131,025 |  |   | 364,409,938 |  |   | 360,076,933 |  |   | 357,107,231 |  |
| Weighted average shares of common stock outstanding     | 368,094,299 |  |   | 365,984,541 |  |   | 361,456,075 |  |   | 358,841,714 |  |   | 356,134,297 |  |
|                                                    |   |   |   |   |   |   |   |   |   |
| Ratios/Supplemental Data                                |   |   |   |   |   |   |   |   |   |
| Net assets at end of year                               | $ | 3,055,861 |  |   | $ | 3,306,275 |  |   | $ | 3,407,047 |  |   | $ | 3,354,952 |  |   | $ | 3,435,917 |  |
| Portfolio turnover rate                                 | 16.46 | % |   | 10.86 | % |   | 30.70 | % |   | 23.65 | % |   | 15.98 | % |
| Ratio of operating expenses to average net assets       | 11.37 | % |   | 11.65 | % |   | 11.08 | % |   | 11.57 | % |   | 11.95 | % |
| Ratio of net investment income to average net assets    | 8.44 | % |   | 9.32 | % |   | 8.57 | % |   | 8.96 | % |   | 10.54 | % |

|     |                                                                                                                                                                                                               |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Per share data amount is based on the weighted average number of common shares outstanding for the year/period presented (except for dividends to stockholders which is based on actual rate per share).  |
|     |                                                                                                                                                                                                                                                                                                                                         |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Common stock transactions include the effect of our issuance of common stock in public offerings (net of underwriting and offering costs), shares issued in connection with our dividend reinvestment plan, shares issued to acquire investments and shares repurchased  below net asset value pursuant to our Repurchase Program.  |
|     |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | Total return based on market value is based on the change in market price per share between the opening and ending market prices per share in each period and assumes that dividends are reinvested in accordance with our dividend reinvestment plan. Total return based on net asset value is based upon the change in net asset value per share between the opening and ending net asset values per share in each period and assumes that dividends are reinvested in accordance with our dividend reinvestment plan. For periods less than a year, total return is not annualized. |
|     |                            |
|-----|----------------------------|
| (4) | Amount is less than $0.01. |

----

|                    |
|--------------------|
|                    |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|               |   | Investment Income |   | Net Investment Income |   | Net Realized and Unrealized (Losses) Gains |   | Net Increase (Decrease) in Net Assets from Operations |
| Quarter Ended |   | Total |   | Per Share(1) |   | Total |   | Per Share(1) |   | Total |   | Per Share(1) |   | Total |   | Per Share(1) |
| September 30, 2018 |   | $ | 180,422 |  |   | $ | 0.49 |  |   | $ | 85,159 |  |   | $ | 0.23 |  |   | $ | (1,364 | ) |   | $ | — |  | (2) | $ | 83,795 |  |   | $ | 0.23 |  |
| December 31, 2018  |   | 187,883 |  |   | 0.51 |  |   | 80,811 |  |   | 0.22 |  |   | (148,200 | ) |   | (0.40 | ) |   | (67,389 | ) |   | (0.18 | ) |
| March 31, 2019     |   | 171,109 |  |   | 0.47 |  |   | 77,262 |  |   | 0.21 |  |   | 11,933 |  |   | 0.03 |  |   | 89,195 |  |   | 0.24 |  |
| June 30, 2019      |   | 164,353 |  |   | 0.45 |  |   | 69,627 |  |   | 0.19 |  |   | (30,741 | ) |   | (0.08 | ) |   | 38,886 |  |   | 0.11 |  |
|               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| September 30, 2019 |   | $ | 161,883 |  |   | $ | 0.44 |  |   | $ | 71,060 |  |   | $ | 0.19 |  |   | $ | (52,995 | ) |   | $ | (0.14 | ) |   | $ | 18,065 |  |   | $ | 0.05 |  |
| December 31, 2019  |   | 161,917 |  |   | 0.44 |  |   | 67,885 |  |   | 0.18 |  |   | (79,088 | ) |   | (0.21 | ) |   | (11,203 | ) |   | (0.03 | ) |
| March 31, 2020     |   | 154,501 |  |   | 0.42 |  |   | 68,476 |  |   | 0.19 |  |   | (254,175 | ) |   | (0.70 | ) |   | (185,699 | ) |   | (0.51 | ) |
| June 30, 2020      |   | 145,229 |  |   | 0.39 |  |   | 58,273 |  |   | 0.16 |  |   | 104,340 |  |   | 0.28 |  |   | 162,613 |  |   | 0.44 |  |
|               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| September 30, 2020 |   | $ | 142,880 |  |   | $ | 0.38 |  |   | $ | 57,545 |  |   | $ | 0.15 |  |   | $ | 110,201 |  |   | $ | 0.30 |  |   | $ | 167,746 |  |   | $ | 0.45 |  |

|     |                                                                                                                                                                                                                                                           |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Per share amounts are calculated using the weighted average number of common shares outstanding for the period presented. As such, the sum of the quarterly per share amounts above will not necessarily equal the per share amounts for the fiscal year. |
|     |                            |
|-----|----------------------------|
| (2) | Amount is less than $0.01. |

----

|                                                 |
|-------------------------------------------------|
|                                                 |  |  |  |
| Monthly Cash Preferred Shareholder Distribution | Record Date | Payment Date | Monthly Amount ($ per share), before pro ration for partial periods |
| October and November 2020                       | 11/18/2020 | 12/1/2020 | $0.114583 |

|                                              |
|----------------------------------------------|
|                                              |  |  |  |
| Monthly Cash Common Shareholder Distribution | Record Date | Payment Date | Amount ($ per share) |
| November 2020                                | 11/30/2020 | 12/24/2020 | $0.0600 |
| December 2020                                | 12/31/2020 | 01/21/2021 | $0.0600 |
| January 2021                                 | 01/29/2021 | 02/18/2021 | $0.0600 |

----

----

----

----

|                                       |
|---------------------------------------|
|                                       |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                  | September 30, 2020 |   | June 30, 2020 |
| Level of Control                      | Cost | % of Portfolio | Fair Value | % of Portfolio |   | Cost | % of Portfolio | Fair Value | % of Portfolio |
| Control Investments                   | $ | 2,321,471 |  | 39.9 | % | $ | 2,307,572 |  | 42.8 | % |   | $ | 2,286,725 |  | 39.5 | % | $ | 2,259,292 |  | 43.2 | % |
| Affiliate Investments                 | 171,649 |  | 2.9 | % | 262,175 |  | 4.9 | % |   | 163,484 |  | 2.8 | % | 187,537 |  | 3.6 | % |
| Non-Control/Non-Affiliate Investments | 3,335,811 |  | 57.2 | % | 2,816,638 |  | 52.3 | % |   | 3,332,509 |  | 57.7 | % | 2,785,499 |  | 53.2 | % |
| Total Investments                     | $ | 5,828,931 |  | 100.0 | % | $ | 5,386,385 |  | 100.0 | % |   | $ | 5,782,718 |  | 100.0 | % | $ | 5,232,328 |  | 100.0 | % |

----

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                          | September 30, 2020 |   | June 30, 2020 |
| Type of Investment            | Cost | % of Portfolio | Fair Value | % of Portfolio |   | Cost | % of Portfolio | Fair Value | % of Portfolio |
| Revolving Line of Credit      | $ | 38,363 |  | 0.7 | % | $ | 38,318 |  | 0.7 | % |   | $ | 38,469 |  | 0.7 | % | $ | 36,944 |  | 0.7 | % |
| Senior Secured Debt           | 2,539,272 |  | 43.6 | % | 2,435,715 |  | 45.3 | % |   | 2,586,769 |  | 44.8 | % | 2,422,523 |  | 46.3 | % |
| Subordinated Secured Debt     | 1,431,016 |  | 24.6 | % | 1,292,160 |  | 24.0 | % |   | 1,424,633 |  | 24.6 | % | 1,269,398 |  | 24.3 | % |
| Subordinated Unsecured Debt   | 48,194 |  | 0.8 | % | 53,262 |  | 1.0 | % |   | 43,935 |  | 0.8 | % | 51,079 |  | 1.0 | % |
| Subordinated Structured Notes | 1,100,944 |  | 18.8 | % | 730,514 |  | 13.6 | % |   | 1,089,079 |  | 18.8 | % | 708,961 |  | 13.5 | % |
| Preferred Stock               | 276,213 |  | 4.7 | % | 12,692 |  | 0.2 | % |   | 250,020 |  | 4.3 | % | 14,430 |  | 0.3 | % |
| Common Stock                  | 186,101 |  | 3.2 | % | 496,811 |  | 9.2 | % |   | 140,986 |  | 2.4 | % | 394,832 |  | 7.5 | % |
| Membership Interest           | 208,828 |  | 3.6 | % | 324,581 |  | 6.0 | % |   | 208,827 |  | 3.6 | % | 310,252 |  | 5.9 | % |
| Participating Interest(1)     | — |  | — | % | 2,332 |  | — | % |   | — |  | — | % | 23,909 |  | 0.5 | % |
| Total Investments             | $ | 5,828,931 |  | 100.0 | % | $ | 5,386,385 |  | 100.0 | % |   | $ | 5,782,718 |  | 100.0 | % | $ | 5,232,328 |  | 100.0 | % |

|     |                                                                                                                                                                                               |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Participating Interest includes our participating equity investments, such as net profits interests, net operating income interests, net revenue interests, and overriding royalty interests. |

|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                               | September 30, 2020 |   | June 30, 2020 |
| Type of Investment                 | Cost | % of Portfolio | Fair Value | % of Portfolio |   | Cost | % of Portfolio | Fair Value | % of Portfolio |
| First Lien                         | $ | 2,568,987 |  | 49.8 | % | $ | 2,465,385 |  | 54.2 | % |   | $ | 2,615,252 |  | 50.5 | % | $ | 2,450,928 |  | 54.7 | % |
| 1.5 Lien                           | 2,873 |  | 0.1 | % | 2,873 |  | 0.1 | % |   | 1,981 |  | — | % | 1,981 |  | — | % |
| Second Lien(1)                     | 1,432,812 |  | 27.8 | % | 1,293,955 |  | 28.4 | % |   | 1,428,648 |  | 27.6 | % | 1,271,966 |  | 28.3 | % |
| Third Lien                         | 3,979 |  | 0.1 | % | 3,980 |  | 0.1 | % |   | 3,990 |  | 0.1 | % | 3,990 |  | 0.1 | % |
| Unsecured                          | 48,194 |  | 0.9 | % | 53,262 |  | 1.2 | % |   | 43,935 |  | 0.8 | % | 51,079 |  | 1.1 | % |
| Subordinated Structured Notes      | 1,100,944 |  | 21.3 | % | 730,514 |  | 16.0 | % |   | 1,089,079 |  | 21.0 | % | 708,961 |  | 15.8 | % |
| Total Interest Bearing Investments | $ | 5,157,789 |  | 100.0 | % | $ | 4,549,969 |  | 100.0 | % |   | $ | 5,182,885 |  | 100.0 | % | $ | 4,488,905 |  | 100.0 | % |

|     |                                                                                                                                  |
|-----|----------------------------------------------------------------------------------------------------------------------------------|
| (1) | Includes the Second Lien Revolving Credit Facility to Edmentum, Inc., which is otherwise classified as Revolving Line of Credit. |

----

|                                                |
|------------------------------------------------|
|                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                           | September 30, 2020 |   | June 30, 2020 |
| Industry                                       | Cost | % of Portfolio | Fair Value | % of Portfolio |   | Cost | % of Portfolio | Fair Value | % of Portfolio |
| Aerospace & Defense                        | $ | 92,535 |  | 1.6 | % | $ | 92,124 |  | 1.7 | % |   | $ | 88,208 |  | 1.5 | % | $ | 85,627 |  | 1.6 | % |
| Air Freight & Logistics                    | 12,500 |  | 0.2 | % | 10,386 |  | 0.2 | % |   | 12,500 |  | 0.2 | % | 10,755 |  | 0.2 | % |
| Auto Components                                | 52,532 |  | 0.9 | % | 52,019 |  | 1.0 | % |   | 26,776 |  | 0.5 | % | 24,867 |  | 0.5 | % |
| Chemicals                                      | 31,077 |  | 0.5 | % | 31,222 |  | 0.6 | % |   | 31,837 |  | 0.6 | % | 31,891 |  | 0.6 | % |
| Commercial Services & Supplies             | 365,933 |  | 6.4 | % | 294,054 |  | 5.5 | % |   | 368,577 |  | 6.4 | % | 294,277 |  | 5.6 | % |
| Communications Equipment                       | 59,681 |  | 1.0 | % | 54,191 |  | 1.0 | % |   | 59,638 |  | 1.0 | % | 50,837 |  | 1.0 | % |
| Construction & Engineering                 | 68,874 |  | 1.2 | % | 133,624 |  | 2.5 | % |   | 68,874 |  | 1.2 | % | 129,296 |  | 2.5 | % |
| Consumer Finance                               | 511,509 |  | 8.8 | % | 657,600 |  | 12.2 | % |   | 506,771 |  | 8.8 | % | 645,726 |  | 12.3 | % |
| Distributors                                   | 277,806 |  | 4.8 | % | 178,539 |  | 3.3 | % |   | 278,331 |  | 4.8 | % | 175,931 |  | 3.4 | % |
| Diversified Consumer Services                  | 171,222 |  | 2.9 | % | 240,189 |  | 4.5 | % |   | 163,057 |  | 2.8 | % | 169,615 |  | 3.2 | % |
| Diversified Financial Services                 | 30,165 |  | 0.5 | % | 30,165 |  | 0.6 | % |   | 30,165 |  | 0.5 | % | 30,165 |  | 0.6 | % |
| Diversified Telecommunication Services         | 56,467 |  | 1.0 | % | 56,117 |  | 1.0 | % |   | 57,098 |  | 1.0 | % | 55,311 |  | 1.1 | % |
| Energy Equipment & Services                | 270,576 |  | 4.6 | % | 66,660 |  | 1.2 | % |   | 266,618 |  | 4.6 | % | 82,236 |  | 1.6 | % |
| Entertainment                                  | 50,282 |  | 0.9 | % | 49,040 |  | 0.9 | % |   | 50,601 |  | 0.9 | % | 49,017 |  | 0.9 | % |
| Equity Real Estate Investment Trusts (REITs)   | 503,014 |  | 8.7 | % | 781,759 |  | 14.5 | % |   | 486,268 |  | 8.4 | % | 753,583 |  | 14.4 | % |
| Food Products                                  | 29,759 |  | 0.5 | % | 29,938 |  | 0.6 | % |   | 24,853 |  | 0.4 | % | 25,000 |  | 0.5 | % |
| Health Care Equipment & Supplies           | 7,475 |  | 0.1 | % | 5,845 |  | 0.1 | % |   | 7,474 |  | 0.1 | % | 5,606 |  | 0.1 | % |
| Health Care Providers & Services           | 535,168 |  | 9.2 | % | 501,693 |  | 9.3 | % |   | 533,188 |  | 9.2 | % | 495,402 |  | 9.5 | % |
| Hotels, Restaurants & Leisure              | 23,834 |  | 0.4 | % | 21,721 |  | 0.4 | % |   | 23,501 |  | 0.4 | % | 21,008 |  | 0.4 | % |
| Household Durables                             | 15,908 |  | 0.3 | % | 18,039 |  | 0.3 | % |   | 24,437 |  | 0.4 | % | 24,362 |  | 0.5 | % |
| Household Products                             | 24,375 |  | 0.4 | % | 24,375 |  | 0.5 | % |   | 15,915 |  | 0.3 | % | 16,066 |  | 0.3 | % |
| Insurance                                      | 16,968 |  | 0.3 | % | 16,978 |  | 0.3 | % |   | 12,796 |  | 0.2 | % | 12,744 |  | 0.2 | % |
| Interactive Media & Services               | 195,577 |  | 3.4 | % | 195,577 |  | 3.6 | % |   | 200,728 |  | 3.5 | % | 200,728 |  | 3.8 | % |
| Internet & Direct Marketing Retail         | 15,775 |  | 0.3 | % | 16,562 |  | 0.3 | % |   | 15,706 |  | 0.3 | % | 16,440 |  | 0.3 | % |
| IT Services                                    | 177,568 |  | 3.0 | % | 177,607 |  | 3.3 | % |   | 203,285 |  | 3.5 | % | 204,061 |  | 3.9 | % |
| Leisure Products                               | 25,588 |  | 0.4 | % | 25,386 |  | 0.5 | % |   | 24,519 |  | 0.4 | % | 24,319 |  | 0.5 | % |
| Machinery                                      | 81,950 |  | 1.4 | % | 85,364 |  | 1.6 | % |   | 84,234 |  | 1.5 | % | 87,220 |  | 1.7 | % |
| Media                                          | 117,085 |  | 2.0 | % | 98,140 |  | 1.8 | % |   | 117,524 |  | 2.0 | % | 100,592 |  | 1.9 | % |
| Online Lending                                 | 30,621 |  | 0.5 | % | 30,621 |  | 0.6 | % |   | 45,950 |  | 0.8 | % | 45,950 |  | 0.9 | % |
| Paper & Forest Products                    | 15,808 |  | 0.3 | % | 15,808 |  | 0.3 | % |   | 15,788 |  | 0.3 | % | 15,788 |  | 0.3 | % |
| Personal Products                              | 247,336 |  | 4.2 | % | 66,974 |  | 1.2 | % |   | 246,702 |  | 4.3 | % | 59,907 |  | 1.1 | % |
| Professional Services                          | 94,717 |  | 1.6 | % | 96,732 |  | 1.8 | % |   | 104,164 |  | 1.8 | % | 106,542 |  | 2.0 | % |
| Real Estate Management & Development       | 31,537 |  | 0.5 | % | 31,537 |  | 0.6 | % |   | 31,747 |  | 0.5 | % | 31,747 |  | 0.6 | % |
| Software                                       | 75,199 |  | 1.3 | % | 74,386 |  | 1.4 | % |   | 75,208 |  | 1.3 | % | 73,745 |  | 1.4 | % |
| Technology Hardware, Storage & Peripherals | 12,419 |  | 0.2 | % | 12,377 |  | 0.2 | % |   | 12,415 |  | 0.2 | % | 12,318 |  | 0.2 | % |
| Textiles, Apparel & Luxury Goods           | 204,984 |  | 3.5 | % | 225,173 |  | 4.2 | % |   | 205,874 |  | 3.6 | % | 221,227 |  | 4.2 | % |
| Trading Companies & Distributors           | 65,280 |  | 1.1 | % | 28,466 |  | 0.5 | % |   | 65,450 |  | 1.1 | % | 26,599 |  | 0.5 | % |
| Transportation Infrastructure                  | 27,683 |  | 0.5 | % | 27,683 |  | 0.5 | % |   | 27,662 |  | 0.5 | % | 27,662 |  | 0.5 | % |
| Subtotal                                       | $ | 4,626,787 |  | 79.4 | % | $ | 4,554,671 |  | 84.6 | % |   | $ | 4,614,439 |  | 79.8 | % | $ | 4,444,167 |  | 84.8 | % |
| Structured Finance(1)                          | $ | 1,202,144 |  | 20.6 | % | $ | 831,714 |  | 15.4 | % |   | $ | 1,168,279 |  | 20.2 | % | $ | 788,161 |  | 15.2 | % |
| Total Investments                              | $ | 5,828,931 |  | 100.0 | % | $ | 5,386,385 |  | 100.0 | % |   | $ | 5,782,718 |  | 100.0 | % | $ | 5,232,328 |  | 100.0 | % |

----

|                                                                                  |
|----------------------------------------------------------------------------------|
|                                                                                  |  |  |  |  |  |  |  |
|                                                                             | Three months ended September 30, |
|                                                                             | 2020 |   | 2019 |
| Investments made in new portfolio companies                                      | $ | 101,411 |  |   | $ | 32,509 |  |
| Follow-on investments made in existing portfolio companies (1)                   | 53,389 |  |   | 47,033 |  |
| Revolver advances                                                                | 2,000 |  |   | 500 |  |
| PIK interest                                                                     | 20,341 |  |   | 14,498 |  |
| Total acquisitions                                                               | $ | 177,141 |  |   | $ | 94,540 |  |
|                                                                             |   |   |   |
| Acquisitions by portfolio composition                                            |   |   |   |
| 1st Lien Term Loan                                                               | $ | 128,695 |  |   | $ | 58,610 |  |
| Subordinated Secured Debt                                                        | 20,959 |  |   | 20,268 |  |
| Rated Secured Structured Notes                                                   | — |  |   | 5,534 |  |
| Subordinated Unsecured Debt                                                      | 1,294 |  |   | 178 |  |
| Equity                                                                           | 26,193 |  |   | 9,950 |  |
| Total acquisitions by portfolio composition                                      | $ | 177,141 |  |   | $ | 94,540 |  |
|                                                                             |  |  |   |   |
| Investments sold                                                                 | $ | — |  |   | $ | 16,000 |  |
| Partial repayments (2)                                                           | 47,145 |  |   | 96,408 |  |
| Full repayments                                                                  | 97,488 |  |   | 130,072 |  |
| Revolver paydowns                                                                | 777 |  |   | 2,693 |  |
| Total dispositions                                                               | $ | 145,410 |  |   | $ | 245,173 |  |
|                                                                             |  |  |   |   |
| Dispositions by portfolio composition                                            |   |   |   |
| 1st Lien Term Loan                                                               | $ | 130,346 |  |   | $ | 145,502 |  |
| Subordinated Secured Debt                                                        | 14,918 |  |   | 99,671 |  |
| Subordinated Unsecured Debt                                                      | 145 |  |   | — |  |
| Equity                                                                           | 1 |  |   | — |  |
| Total dispositions by portfolio composition                                      | $ | 145,410 |  |   | $ | 245,173 |  |
|                                                                             |  |  |   |   |
| Weighted average interest rates for new investments by portfolio composition (3) |   |   |   |
| 1st Lien Term Loan                                                               | 9.54 | % |   | 9.25 | % |
| Subordinated Secured Debt                                                        | 8.61 | % |   | N/A |  |

----

----

----

|             |
|-------------|
|             |  |  |  |  |  |  |  |  |  |  |  |  |
| Loan Type   |   | Outstanding Principal Balance |   | Fair Value |   | Interest Rate Range |   | Weighted Average Interest Rate* |
| Super Prime |   | $ | 2,785 |  |   | $ | 2,691 |  |   | 6.0% - 24.1% |   | 12.5% |
| Prime       |   | 6,731 |  |   | 6,334 |  |   | 6.0% - 36.0% |   | 18.0% |
| Near Prime  |   | 11,024 |  |   | 10,608 |  |   | 6.0% - 36.0% |   | 26.8% |

|     |
|-----|
|     |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| No. |  | Property Name |  | City |  | Acquisition Date |  | Purchase Price |  | Mortgage Outstanding |
| 1   |  | Filet of Chicken |  | Forest Park, GA |  | 10/24/2012 |  | $ | 7,400 |  |  | $ | — |  |
| 2   |  | Arlington Park Marietta, LLC |  | Marietta, GA |  | 5/8/2013 |  | 14,850 |  |  | — |  |
| 3   |  | Cordova Regency, LLC |  | Pensacola, FL |  | 11/15/2013 |  | 13,750 |  |  | 11,068 |  |
| 4   |  | Crestview at Oakleigh, LLC |  | Pensacola, FL |  | 11/15/2013 |  | 17,500 |  |  | 13,470 |  |
| 5   |  | Inverness Lakes, LLC |  | Mobile, AL |  | 11/15/2013 |  | 29,600 |  |  | 24,030 |  |
| 6   |  | Kings Mill Pensacola, LLC |  | Pensacola, FL |  | 11/15/2013 |  | 20,750 |  |  | 17,074 |  |
| 7   |  | Plantations at Pine Lake, LLC |  | Tallahassee, FL |  | 11/15/2013 |  | 18,000 |  |  | 13,710 |  |
| 8   |  | Verandas at Rocky Ridge, LLC |  | Birmingham, AL |  | 11/15/2013 |  | 15,600 |  |  | 9,928 |  |
| 9   |  | Crestview at Cordova, LLC |  | Pensacola, FL |  | 1/17/2014 |  | 8,500 |  |  | 12,952 |  |
| 10  |  | Taco Bell, OK |  | Yukon, OK |  | 6/4/2014 |  | 1,719 |  |  | — |  |
| 11  |  | Taco Bell, MO |  | Marshall, MO |  | 6/4/2014 |  | 1,405 |  |  | — |  |
| 12  |  | Canterbury Green Apartments Holdings LLC |  | Fort Wayne, IN |  | 9/29/2014 |  | 85,500 |  |  | 85,118 |  |
| 13  |  | Abbie Lakes OH Partners, LLC |  | Canal Winchester, OH |  | 9/30/2014 |  | 12,600 |  |  | 15,527 |  |
| 14  |  | Kengary Way OH Partners, LLC |  | Reynoldsburg, OH |  | 9/30/2014 |  | 11,500 |  |  | 15,694 |  |
| 15  |  | Lakeview Trail OH Partners, LLC |  | Canal Winchester, OH |  | 9/30/2014 |  | 26,500 |  |  | 29,942 |  |
| 16  |  | Lakepoint OH Partners, LLC |  | Pickerington, OH |  | 9/30/2014 |  | 11,000 |  |  | 17,036 |  |
| 17  |  | Sunbury OH Partners, LLC |  | Columbus, OH |  | 9/30/2014 |  | 13,000 |  |  | 17,272 |  |
| 18  |  | Heatherbridge OH Partners, LLC |  | Blacklick, OH |  | 9/30/2014 |  | 18,416 |  |  | 24,718 |  |
| 19  |  | Jefferson Chase OH Partners, LLC |  | Blacklick, OH |  | 9/30/2014 |  | 13,551 |  |  | 19,210 |  |
| 20  |  | Goldenstrand OH Partners, LLC |  | Hilliard, OH |  | 10/29/2014 |  | 7,810 |  |  | 11,719 |  |
| 21  |  | SSIL I, LLC |  | Aurora, IL |  | 11/5/2015 |  | 34,500 |  |  | 26,144 |  |
| 22  |  | Vesper Tuscaloosa, LLC |  | Tuscaloosa, AL |  | 9/28/2016 |  | 54,500 |  |  | 43,070 |  |
| 23  |  | Vesper Iowa City, LLC |  | Iowa City, IA |  | 9/28/2016 |  | 32,750 |  |  | 24,825 |  |
| 24  |  | Vesper Corpus Christi, LLC |  | Corpus Christi, TX |  | 9/28/2016 |  | 14,250 |  |  | 10,800 |  |
| 25  |  | Vesper Campus Quarters, LLC |  | Corpus Christi, TX |  | 9/28/2016 |  | 18,350 |  |  | 14,175 |  |
| 26  |  | Vesper College Station, LLC |  | College Station, TX |  | 9/28/2016 |  | 41,500 |  |  | 32,058 |  |
| 27  |  | Vesper Kennesaw, LLC |  | Kennesaw, GA |  | 9/28/2016 |  | 57,900 |  |  | 51,160 |  |
| 28  |  | Vesper Statesboro, LLC |  | Statesboro, GA |  | 9/28/2016 |  | 7,500 |  |  | 7,480 |  |

----

|        |
|--------|
|        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| No.    |  | Property Name |  | City |  | Acquisition Date |  | Purchase Price |  | Mortgage Outstanding |
| 29     |  | Vesper Manhattan KS, LLC |  | Manhattan, KS |  | 9/28/2016 |  | 23,250 |  |  | 14,679 |  |
| 30     |  | JSIP Union Place, LLC |  | Franklin, MA |  | 12/7/2016 |  | 64,750 |  |  | 51,800 |  |
| 31     |  | 9220 Old Lantern Way, LLC |  | Laurel, MD |  | 1/30/2017 |  | 187,250 |  |  | 153,580 |  |
| 32     |  | 7915 Baymeadows Circle Owner, LLC |  | Jacksonville, FL |  | 10/31/2017 |  | 95,700 |  |  | 76,560 |  |
| 33     |  | 8025 Baymeadows Circle Owner, LLC |  | Jacksonville, FL |  | 10/31/2017 |  | 15,300 |  |  | 12,240 |  |
| 34     |  | 23275 Riverside Drive Owner, LLC |  | Southfield, MI |  | 11/8/2017 |  | 52,000 |  |  | 44,044 |  |
| 35     |  | 23741 Pond Road Owner, LLC |  | Southfield, MI |  | 11/8/2017 |  | 16,500 |  |  | 14,185 |  |
| 36     |  | 150 Steeplechase Way Owner, LLC |  | Largo, MD |  | 1/10/2018 |  | 44,500 |  |  | 36,668 |  |
| 37     |  | Laurel Pointe Holdings, LLC |  | Forest Park, GA |  | 5/9/2018 |  | 33,005 |  |  | 26,400 |  |
| 38     |  | Bradford Ridge Holdings, LLC |  | Forest Park, GA |  | 5/9/2018 |  | 12,500 |  |  | 10,000 |  |
| 39     |  | Olentangy Commons Owner LLC |  | Columbus, OH |  | 6/1/2018 |  | 113,000 |  |  | 92,876 |  |
| 40     |  | Villages of Wildwood Holdings LLC |  | Fairfield, OH |  | 7/20/2018 |  | 46,500 |  |  | 39,525 |  |
| 41     |  | Falling Creek Holdings LLC |  | Richmond, VA |  | 8/8/2018 |  | 25,000 |  |  | 19,335 |  |
| 42     |  | Crown Pointe Passthrough LLC |  | Danbury, CT |  | 8/30/2018 |  | 108,500 |  |  | 89,400 |  |
| 43     |  | Ashwood Ridge Holdings LLC |  | Jonesboro, GA |  | 9/21/2018 |  | 9,600 |  |  | 7,300 |  |
| 44     |  | Lorring Owner LLC |  | Forestville, MD |  | 10/30/2018 |  | 58,521 |  |  | 47,680 |  |
| 45     |  | Hamptons Apartments Owner, LLC |  | Beachwood, OH |  | 1/9/2019 |  | 96,500 |  |  | 79,520 |  |
| 46     |  | 5224 Long Road Holdings, LLC |  | Orlando, FL |  | 6/28/2019 |  | 26,500 |  |  | 21,200 |  |
| 47     |  | Druid Hills Holdings LLC |  | Atlanta, GA |  | 7/30/2019 |  | 96,000 |  |  | 79,104 |  |
| 48     |  | Bel Canto NPRC Parcstone LLC |  | Fayetteville, NC |  | 10/15/2019 |  | 45,000 |  |  | 30,127 |  |
| 49     |  | Bel Canto NPRC Stone Ridge LLC |  | Fayetteville, NC |  | 10/15/2019 |  | 21,900 |  |  | 14,662 |  |
| 50     |  | Sterling Place Holdings LLC |  | Columbus, OH |  | 10/28/2019 |  | 41,500 |  |  | 34,196 |  |
|   |   |   |   |   |   |   |   | $ | 1,843,477 |  |   | $ | 1,543,261 |  |

----

|                                   |
|-----------------------------------|
|                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                              | Principal Outstanding |   | Unamortized Discount & Debt Issuance Costs |   | Net Carrying Value |   | Fair Value(1) |   | Effective Interest Rate |   |
| Revolving Credit Facility(2)      | $ | 250,993 |  |   | $ | 8,596 |  |   | $ | 250,993 |  | (3 | ) | $ | 250,993 |  |   | 1ML+2.20% |  | (6 | ) |
|                              |   |   |   |   |   |   |   |   |   |   |
| 2022 Notes                        | 228,820 |  |   | 2,864 |  |   | 225,956 |  |   | 231,799 |  | (4 | ) | 5.65 | % | (7 | ) |
| 2025 Notes                        | 201,250 |  |   | 5,035 |  |   | 196,215 |  |   | 207,076 |  | (4 | ) | 6.63 | % | (7 | ) |
| Convertible Notes                 | 430,070 |  |   |  |  |   | 422,171 |  |   | 438,875 |  |   |   |   |
|                              |   |   |   |   |   |   |   |   |   |   |
| 6.375% 2024 Notes                 | 100,000 |  |   | 695 |  |   | 99,305 |  |   | 104,389 |  | (4 | ) | 6.64 | % | (7 | ) |
| 2023 Notes                        | 320,000 |  |   | 2,207 |  |   | 317,793 |  |   | 331,581 |  | (4 | ) | 6.09 | % | (7 | ) |
| 2024 Notes                        | 233,788 |  |   | 3,721 |  |   | 230,067 |  |   | 240,708 |  | (4 | ) | 6.76 | % | (7 | ) |
| 2028 Notes                        | 70,761 |  |   | 2,091 |  |   | 68,670 |  |   | 70,837 |  | (4 | ) | 6.77 | % | (7 | ) |
| 2029 Notes                        | 69,170 |  |   | 2,297 |  |   | 66,873 |  |   | 70,277 |  | (4 | ) | 7.38 | % | (7 | ) |
| Public Notes                      | 793,719 |  |   |  |  |   | 782,708 |  |   | 817,792 |  |   |   |   |
|                              |   |   |   |   |   |   |   |   |   |   |
| Prospect Capital InterNotes® | 718,321 |  |   | 12,959 |  |   | 705,362 |  |   | 740,257 |  | (5 | ) | 6.04 | % | (8 | ) |
| Total                             | $ | 2,193,103 |  |   |  |  |   | $ | 2,161,234 |  |   | $ | 2,247,917 |  |   |   |   |

|     |                                                                                                                                                                                                                                                                                                  |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (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 September 30, 2020. |
|     |                                                                                                           |
|-----|-----------------------------------------------------------------------------------------------------------|
| (2) | The maximum draw amount of the Revolving Credit facility as of September 30, 2020 is $1,077,500. |
|     |                                                                                                                                                                                       |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | Net Carrying Value excludes deferred financing costs associated with the Revolving Credit Facility. See Critical Accounting Policies and Estimates for accounting policy details. |
|     |                                                                                                      |
|-----|------------------------------------------------------------------------------------------------------|
| (4) | We use available market quotes to estimate the fair value of the Convertible Notes and Public Notes. |
|     |                                                                                                                                                                                     |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (5) | The fair value of Prospect Capital InterNotes® is estimated by discounting remaining payments using current Treasury rates plus spread based on observable market inputs. |
|     |                                                                                                                                                                          |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (6) | Represents the rate on drawn down and outstanding balances. Deferred debt issuance costs are amortized on a straight-line method over the stated life of the obligation. |
|     |                                                                                                                                                                                                                                                                                                                                                        |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (7) | The effective interest rate is equal to the effect of the stated interest, the accretion of original issue discount and amortization of debt issuance costs. For the 2024 Notes, the 2028 Notes, and the 2029 Notes, the rate presented is a combined effective interest rate of their respective original Note issuances and Note Follow-on Programs. |
|     |                                                                                                                                                                                                                                                                                                                                                              |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (8) | For the Prospect Capital InterNotes®, the rate presented is the weighted average effective interest rate. Interest expense and deferred debt issuance costs, which are amortized on a straight-line method over the stated life of the obligation which approximates level yield, are weighted against the average year-to-date principal balance.  |

----

|                                   |
|-----------------------------------|
|                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                              | Payments Due by Period |
|                              | Total |   | Less than 1 Year |   | 1 – 3 Years |   | 3 – 5 Years |   | After 5 Years |
| Revolving Credit Facility         | $ | 250,993 |  |   | $ | — |  |   | $ | — |  |   | $ | 250,993 |  |   | $ | — |  |
| Convertible Notes                 | 430,070 |  |   | — |  |   | 228,820 |  |   | 201,250 |  |   | — |  |
| Public Notes                      | 793,719 |  |   | — |  |   | 320,000 |  |   | 333,788 |  |   | 139,931 |  |
| Prospect Capital InterNotes® | 718,321 |  |   | — |  |   | 4,478 |  |   | 277,855 |  |   | 435,988 |  |
| Total Contractual Obligations     | $ | 2,193,103 |  |   | $ | — |  |   | $ | 553,298 |  |   | $ | 1,063,886 |  |   | $ | 575,919 |  |

|                                   |
|-----------------------------------|
|                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                              | Payments Due by Period |
|                              | Total |   | Less than 1 Year |   | 1 – 3 Years |   | 3 – 5 Years |   | After 5 Years |
| Revolving Credit Facility         | $ | 237,536 |  |   | $ | — |  |   | $ | — |  |   | $ | 237,536 |  |   | $ | — |  |
| Convertible Notes                 | 459,490 |  |   | — |  |   | 258,240 |  |   | 201,250 |  |   | — |  |
| Public Notes                      | 793,719 |  |   | — |  |   | 320,000 |  |   | 333,788 |  |   | 139,931 |  |
| Prospect Capital InterNotes® | 680,229 |  |   | — |  |   | — |  |   | 243,062 |  |   | 437,167 |  |
| Total Contractual Obligations     | $ | 2,170,974 |  |   | $ | — |  |   | $ | 578,240 |  |   | $ | 1,015,636 |  |   | $ | 577,098 |  |

----

|                              |
|------------------------------|
|                              |  |  |  |  |  |
|                              | Three Months Ended September 30, |
|                              | 2020 |  | 2019 |
| Average stated interest rate | 2.37 | % |  | 4.45 | % |
| Average outstanding balance  | $377,113 |  | $87,772 |

----

----

|                                              |
|----------------------------------------------|
|                                              |  |  |  |  |  |  |  |  |
|                                         |   | 2022 Notes |  |   | 2025 Notes |  |
| Initial conversion rate(1)                   |   | 100.2305 |  |   | 110.7420 |  |
| Initial conversion price                     |   | $ | 9.98 |  |   | $ | 9.03 |  |
| Conversion rate at September 30, 2020(1)(2)  |   | 100.2305 |  |   | 110.7420 |  |
| Conversion price at September 30, 2020(2)(3) |   | $ | 9.98 |  |   | $ | 9.03 |  |
| Last conversion price calculation date       |   | 4/11/2020 |  |   | 3/1/2020 |  |
| Dividend threshold amount (per share)(4)     |   | $ | 0.083330 |  |   | $ | 0.060000 |  |

|     |                                                                                                                               |
|-----|-------------------------------------------------------------------------------------------------------------------------------|
| (1) | Conversion rates denominated in shares of common stock per $1 principal amount of the Convertible Notes converted.   |
|     |                                                                                                                                                                   |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Represents conversion rate and conversion price, as applicable, taking into account certain de minimis adjustments that will be made on the conversion date.  |
|     |                                                                                                                                        |
|-----|----------------------------------------------------------------------------------------------------------------------------------------|
| (3) | The conversion price will increase only if the current monthly dividends (per share) exceed the dividend threshold amount (per share). |
|     |                                                                                                                                                                                                                                                                                                |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (4) | The conversion rate is increased if monthly cash dividends paid to common shares exceed the monthly dividend threshold amount, subject to adjustment. Current dividend rates are at or below the minimum dividend threshold amount for further conversion rate adjustments for all bonds.  |

----

----

----

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |
| Tenor atOrigination(in years) |   | PrincipalAmount |   | Interest RateRange |   | WeightedAverageInterest Rate |   | Maturity Date Range |
| 5                             |   | $ | 24,906 |  |   | 4.75%–5.50% |   | 5.31 | % |   | July 15, 2025 – October 15, 2025 |
| 7                             |   | 5,884 |  |   | 5.00%–5.75% |   | 5.49 | % |   | July 15, 2027 – October 15, 2027 |
| 10                            |   | 7,867 |  |   | 5.25%–6.00% |   | 5.75 | % |   | July 15, 2030 – October 15, 2030 |
|                          |   | $ | 38,657 |  |   |   |   |   |   |   |

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |
| Tenor atOrigination(in years) |   | PrincipalAmount |   | Interest RateRange |   | WeightedAverageInterest Rate |   | Maturity Date Range |
| 5                             |   | $ | 32,479 |  |   | 3.75%-5.00% |   | 4.44 | % |   | July 15, 2024 – October 15, 2024 |
| 7                             |   | 24,020 |  |   | 4.00%–5.25% |   | 4.32 | % |   | July 15, 2026 – October 15, 2026 |
| 10                            |   | 38,636 |  |   | 6.00%-6.25% |   | 6.13 | % |   | July 15, 2028 – March 15, 2029 |
|                          |   | $ | 95,135 |  |   |   |   |   |   |   |

----

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |
| Tenor atOrigination(in years) |   | PrincipalAmount |   | Interest RateRange |   | WeightedAverageInterest Rate |   | Maturity Date Range |
| 5                             |   | $ | 243,146 |  |   | 3.75% – 5.75% |   | 4.86 | % |   | September 15, 2023 – October 15, 2025 |
| 7                             |   | 110,348 |  |   | 4.00% – 6.00% |   | 5.13 | % |   | July 15, 2024 – October 15, 2027 |
| 8                             |   | 24,325 |  |   | 4.50% – 5.75% |   | 4.67 | % |   | August 15, 2025 – July 15, 2026 |
| 10                            |   | 167,479 |  |   | 3.75% – 6.25% |   | 5.34 | % |   | January 15, 2024 – October 15, 2030 |
| 12                            |   | 2,978 |  |   | 6.00% |   | 6.00 | % |   | November 15, 2025 – December 15, 2025 |
| 15                            |   | 16,851 |  |   | 5.75% – 6.00% |   | 5.79 | % |   | May 15, 2028 – November 15, 2028 |
| 18                            |   | 18,721 |  |   | 4.50% – 6.25% |   | 5.58 | % |   | December 15, 2030 – August 15, 2031 |
| 20                            |   | 3,812 |  |   | 5.75% – 6.00% |   | 5.89 | % |   | November 15, 2032 – October 15, 2033 |
| 25                            |   | 30,710 |  |   | 6.25% – 6.50% |   | 6.39 | % |   | August 15, 2038 – May 15, 2039 |
| 30                            |   | 99,951 |  |   | 5.50% – 6.75% |   | 6.25 | % |   | November 15, 2042 – October 15, 2043 |
|                          |   | $ | 718,321 |  |   |   |   |   |  |   |   |

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |  |  |  |  |
| Tenor atOrigination(in years) |   | PrincipalAmount |   | Interest RateRange |   | WeightedAverageInterest Rate |   | Maturity Date Range |
| 5                             |   | $ | 218,240 |  |   | 3.75% – 5.75% |   | 4.81 | % |   | September 15, 2023 - July 15, 2025 |
| 7.0                           |   | 104,529 |  |   | 4.00% – 6.00% |   | 5.11 | % |   | July 15, 2024 - July 15, 2027 |
| 8.0                           |   | 24,325 |  |   | 4.50% – 5.75% |   | 4.67 | % |   | August 15, 2025 - July 15, 2026 |
| 10                            |   | 159,802 |  |   | 3.75% – 6.25% |   | 5.32 | % |   | January 15, 2024 - July 15, 2030 |
| 12                            |   | 2,978 |  |   | 6.00% |   | 6.00 | % |   | November 15, 2025 - December 15, 2025 |
| 15                            |   | 16,851 |  |   | 5.75% – 6.00% |   | 5.79 | % |   | May 15, 2028 - November 15, 2028 |
| 18                            |   | 18,741 |  |   | 4.50% – 6.25% |   | 5.58 | % |   | December 15, 2030 - August 15, 2031 |
| 20                            |   | 3,847 |  |   | 5.75% – 6.00% |   | 5.89 | % |   | November 15, 2032 - October 15, 2033 |
| 25                            |   | 30,710 |  |   | 6.25% – 6.50% |   | 6.39 | % |   | August 15, 2038 - May 15, 2039 |
| 30                            |   | 100,206 |  |   | 5.50% – 6.75% |   | 6.25 | % |   | November 15, 2042 - October 15, 2043 |
|                          |   | $ | 680,229 |  |   |   |   |   |  |   |   |

----

|                                               |
|-----------------------------------------------|
|                                               |  |  |  |  |  |  |  |  |
|                                          |   | September 30, 2020 |   | June 30, 2020 |
| Net assets                                    |   | $ | 3,181,027 |  |   | $ | 3,055,861 |  |
| Shares of common stock issued and outstanding |   | 378,776,958 |  |   | 373,538,499 |  |
| Net asset value per share                     |   | $ | 8.40 |  |   | $ | 8.18 |  |

|                                                          |
|----------------------------------------------------------|
|                                                          |  |  |  |  |  |  |  |
|                                                     | Three Months Ended September 30, |
|                                                     | 2020 |   | 2019 |
| Investment income                                        | $ | 142,880 |  |   | $ | 161,883 |  |
| Operating expenses                                       | 85,335 |  |   | 90,823 |  |
| Net investment income                                    | 57,545 |  |   | 71,060 |  |
| Net realized gains (losses) from investments             | 2,843 |  |   | (2,198 | ) |
| Net change in unrealized gains (losses) from investments | 107,844 |  |   | (48,459 | ) |
| Net realized losses on extinguishment of debt            | (486 | ) |   | (2,338 | ) |
| Net increase in net assets resulting from operations     | $ | 167,746 |  |   | $ | 18,065 |  |

|                                                                                     |
|-------------------------------------------------------------------------------------|
|                                                                                     |  |  |  |  |  |  |  |
|                                                                                | Three Months Ended September 30, |
|                                                                                | 2020 |   | 2019 |
| Interest income                                                                     | $ | 132,239 |  |   | $ | 145,956 |  |
| Dividend income                                                                     | 25 |  |   | 4,254 |  |
| Other income                                                                        | 10,616 |  |   | 11,673 |  |
| Total investment income                                                             | $ | 142,880 |  |   | $ | 161,883 |  |
|                                                                                |   |   |   |
| Average debt principal of performing interest bearing investments(1)                | $ | 5,395,867 |  |   | $ | 5,374,563 |  |
| Weighted average interest rate earned on performing interest bearing investments(1) | 9.59 | % |   | 10.63 | % |
| Average debt principal of all interest bearing investments(2)                       | $ | 5,825,885 |  |   | $ | 5,972,978 |  |
| Weighted average interest rate earned on all interest bearing investments(2)        | 8.88 | % |   | 9.56 | % |

----

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |
|                          | Three Months Ended September 30, |
|                          | 2020 |   | 2019 |
| Dividend income               |   |   |   |
| Valley Electric Company, Inc. | $ | — |  |   | $ | 3,800 |  |
| Other, net                    | 25 |  |   | 454 |  |
| Total dividend income         | $ | 25 |  |   | $ | 4,254 |  |

|                                                |
|------------------------------------------------|
|                                                |  |  |  |  |  |  |  |
|                                           | Three Months Ended September 30, |
|                                           | 2020 |   | 2019 |
| Structuring, advisory and amendment fees       |   |   |   |
| National Property REIT Corp.                   | $ | — |  |   | $ | 8,039 |  |
| Eze Castle Integration, Inc.                   | 1,250 |  |   | — |  |
| Other, net                                     | 176 |  |   | 271 |  |
| Total structuring, advisory and amendment fees | $ | 1,426 |  |   | $ | 8,310 |  |
| Royalty and net revenue interests              |   |   |   |
| National Property REIT Corp.                   | $ | 8,898 |  |   | $ | 3,232 |  |
| Other, net                                     | 168 |  |   | — |  |
| Total royalty and net revenue interests        | $ | 9,066 |  |   | $ | 3,232 |  |
| Administrative agent fees                      |   |   |   |
| Other, net                                     | $ | 124 |  |   | $ | 131 |  |
| Total administrative agent fees                | 124 |  |   | 131 |  |
| Total other income                             | $ | 10,616 |  |   | $ | 11,673 |  |

----

|                                                     |
|-----------------------------------------------------|
|                                                     |  |  |  |  |  |  |  |
|                                                | Three Months Ended September 30, |
|                                                | 2020 |   | 2019 |
| Base management fee                                 | $ | 26,850 |  |   | $ | 28,463 |  |
| Income incentive fee                                | 14,386 |  |   | 17,765 |  |
| Interest and credit facility expenses               | 34,049 |  |   | 38,898 |  |
| Allocation of overhead from Prospect Administration | 4,657 |  |   | 3,494 |  |
| Audit, compliance and tax related fees              | 938 |  |   | 375 |  |
| Directors’ fees                               | 113 |  |   | 113 |  |
| Other general and administrative expenses           | 4,342 |  |   | 1,715 |  |
| Total operating expenses                            | $ | 85,335 |  |   | $ | 90,823 |  |

|                                                                   |
|-------------------------------------------------------------------|
|                                                                   |  |  |  |  |  |  |  |
|                                                              | Three Months Ended September 30, |
|                                                              | 2020 |   | 2019 |
| Interest on borrowings                                            | $ | 30,058 |  |   | $ | 32,449 |  |
| Amortization of deferred financing costs                          | 1,920 |  |   | 2,241 |  |
| Accretion of discount on unsecured debt                           | 269 |  |   | 254 |  |
| Facility commitment fees                                          | 1,802 |  |   | 3,954 |  |
| Total interest and credit facility expenses                       | $ | 34,049 |  |   | $ | 38,898 |  |
|                                                              |   |   |   |
| Average principal debt outstanding                                | $ | 2,314,135 |  |   | $ | 2,305,797 |  |
| Annualized weighted average stated interest rate on borrowings(1) | 5.20 | % |   | 5.63 | % |
| Annualized weighted average interest rate on borrowings(2)        | 5.89 | % |   | 6.75 | % |

|     |                                            |
|-----|--------------------------------------------|
| (1) | Includes only the stated interest expense. |
|     |                                                                                                                                                                                                    |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Includes the stated interest expense, amortization of deferred financing costs, accretion of discount on Public Notes and commitment fees on the undrawn portion of our Revolving Credit Facility. |

----

|                               |
|-------------------------------|
|                               |  |  |  |  |  |  |  |
|                          | Three Months Ended September 30, |
| Portfolio Company             | 2020 |   | 2019 |
| Spartan - Term Loan B         | $ | 2,832 |  |   | $ | — |  |
| Madison Park Funding IX, Ltd. | — |  |   | (1,949 | ) |
| Voya CLO 2012-2 Ltd.          | — |  |   | (450 | ) |
| Other, net                    | 11 |  |   | 201 |  |
| Net realized gains (losses)   | $ | 2,843 |  |   | $ | (2,198 | ) |

|                                   |
|-----------------------------------|
|                                   |  |  |  |  |  |  |  |
|                              | Three Months Ended September 30, |
| Debt Extinguished                 | 2020 |   | 2019 |
| 2022 Notes                        | $ | (396 | ) |   | $ | — |  |
| Prospect Capital InterNotes® | (14 | ) |   | (1,193 | ) |
| 2020 Notes                        | — |  |   | (668 | ) |
| Other, net                        | (76 | ) |   | (477 | ) |
| Net realized losses               | $ | (486 | ) |   | $ | (2,338 | ) |

|                                         |
|-----------------------------------------|
|                                         |  |  |  |  |  |  |  |
|                                    | Three Months Ended September 30, |
|                                    | 2020(1) |   | 2019 |
| Control investments                     | $ | 13,535 |  |   | $ | (39,021 | ) |
| Affiliate investments                   | 66,473 |  |   | 18,020 |  |
| Non-control/non-affiliate investments   | 27,836 |  |   | (27,458 | ) |
| Net change in unrealized gains (losses) | $ | 107,844 |  |   | $ | (48,459 | ) |

----

|                                 |
|---------------------------------|
|                                 |  |  |  |  |  |
|                            |   |   | Net Change in Unrealized Gains (Losses) |
| PGX Holdings, Inc.              |   |   | $ | 57,771 |  |
| Other, net                      |   |   | 22,428 |  |
| National Property REIT Corp.    |   |   | 11,430 |  |
| Subordinated Structured Notes   |   |   | 9,689 |  |
| First Tower Finance Company LLC |   |   | 6,546 |  |
| Pacific World Corporation       |   |   | 6,433 |  |
| USES Corp.                      |   |   | 5,137 |  |
| Edmentum Ultimate Holdings, LLC |   |   | 4,924 |  |
| Valley Electric Company, Inc.   |   |   | 4,328 |  |
| Engine Group, Inc.              |   |   | 4,076 |  |
| Targus Cayman HoldCo Limited    |   |   | 3,778 |  |
| MITY, Inc.                      |   |   | (3,632 | ) |
| NMMB, Inc.                      |   |   | (5,530 | ) |
| CP Energy Services Inc.         |   |   | (19,534 | ) |
| Net change in unrealized gains  |   |   | $ | 107,844 |  |

|                                   |
|-----------------------------------|
|                                   |  |  |  |  |
|                              |   | Net Change in Unrealized Gains (Losses) |
| National Property REIT Corp.      |   | $ | 25,200 |  |
| Edmentum Ultimate Holdings, LLC   |   | 12,972 |  |
| Other, net                        |   | 7,015 |  |
| CP Energy Services Inc.           |   | (10,376 | ) |
| Pacific World Corporation         |   | (14,338 | ) |
| InterDent, Inc.                   |   | (21,026 | ) |
| Valley Electric Company, Inc.     |   | (21,611 | ) |
| Subordinated Structured Notes     |   | (26,295 | ) |
| Net change in unrealized (losses) |   | $ | (48,459 | ) |

----

----

|                                                 |
|-------------------------------------------------|
|                                                 |  |  |  |
| Monthly Cash Preferred Shareholder Distribution | Record Date | Payment Date | Monthly Amount ($ per share), before pro ration for partial periods |
| October and November 2020                       | 11/18/2020 | 12/1/2020 | $0.114583 |

|                                              |
|----------------------------------------------|
|                                              |  |  |  |
| Monthly Cash Common Shareholder Distribution | Record Date | Payment Date | Amount ($ per share) |
| November 2020                                | 11/30/2020 | 12/24/2020 | $0.0600 |
| December 2020                                | 12/31/2020 | 1/21/2021 | $0.0600 |
| January 2021                                 | 1/29/2021 | 2/18/2021 | $0.0600 |

----

|    |                                                                                                                                                    |
|----|----------------------------------------------------------------------------------------------------------------------------------------------------|
| i. | fair value of investment securities, other assets and liabilities—at the spot exchange rate on the last business day of the period; and  |
|     |                                                                                                                                                                                               |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| ii. | purchases and sales of investment securities, income and expenses—at the rates of exchange prevailing on the respective dates of such investment transactions, income or expenses.  |

----

----

|    |                                                                                                                                                           |
|----|-----------------------------------------------------------------------------------------------------------------------------------------------------------|
| 1. | Each portfolio company or investment is reviewed by our investment professionals with independent valuation firms engaged by our Board of Directors.  |
|    |                                                                                                                                                            |
|----|------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 2. | The independent valuation firms prepare independent valuations for each investment based on their own independent assessments and issue their report.  |
|    |                                                                                                                                                                                                                                  |
|----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 3. | The Audit Committee of our Board of Directors reviews and discusses with the independent valuation firms the valuation reports, and then makes a recommendation to the Board of Directors of the value for each investment.  |
|    |                                                                                                                                                                                                                                                   |
|----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 4. | The Board of Directors discusses valuations and determines the fair value of each investment in our portfolio in good faith based on the input of the Investment Adviser, the respective independent valuation firm and the Audit Committee.  |

----

----

----

----

|                                  |
|----------------------------------|
|                                  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| (in thousands)Basis Point Change |   | Interest Income |   | Interest Expense |   | Net Investment Income |   | Net Investment Income (1) |
| Up 300 basis points              |   | $ | 58,486 |  |   | $ | 7,530 |  |   | $ | 50,956 |  |   | $ | 40,765 |  |
| Up 200 basis points              |   | $ | 31,321 |  |   | $ | 5,020 |  |   | $ | 26,301 |  |   | $ | 21,041 |  |
| Up 100 basis points              |   | $ | 8,651 |  |   | $ | 2,510 |  |   | $ | 6,141 |  |   | $ | 4,913 |  |
| Down 100 basis points            |   | $ | (1,208 | ) |   | $ | (382 | ) |   | $ | (826 | ) |   | $ | (661 | ) |

|     |                                                                                                                                                                    |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (1) | Includes the impact of income incentive fees. See Note 13 in the accompanying Consolidated Financial Statements for more information on income incentive fees. |

----

----

----

|         |                                                                                                     |
|---------|-----------------------------------------------------------------------------------------------------|
| • | sudden, unexpected and/or severe declines in the market price of our securities or net asset value; |
|         |                                                                         |
|---------|-------------------------------------------------------------------------|
| • | inability of the Company to accurately or reliably value its portfolio; |
|         |                                                                                                                                                                                                                                                                          |
|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | inability of the Company to comply with certain asset coverage ratios that would prevent the Company from paying dividends to our common stockholders and that could result in breaches of covenants or events of default under our credit agreement or debt indentures; |
|         |                                                                                      |
|---------|--------------------------------------------------------------------------------------|
| • | inability of the Company to pay any dividends and distributions or service its debt; |
|         |                                                                                                   |
|---------|---------------------------------------------------------------------------------------------------|
| • | inability of the Company to maintain its status as a regulated investment company under the Code; |
|         |                                                                                     |
|---------|-------------------------------------------------------------------------------------|
| • | potentially severe, sudden and unexpected declines in the value of our investments; |
|         |                                                                              |
|---------|------------------------------------------------------------------------------|
| • | increased risk of default or bankruptcy by the companies in which we invest; |
|         |                                                                                                                                                                                                          |
|---------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | increased risk of companies in which we invest being unable to weather an extended cessation of normal economic activity and thereby impairing their ability to continue functioning as a going concern; |
|         |                                                                                                                                                                                                                                       |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | reduced economic demand resulting from mass employee layoffs or furloughs in response to governmental action taken to slow the spread of Wuhan Virus, which could impact the continued viability of the companies in which we invest; |

----

|         |                                                                                                                                                                     |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | companies in which we invest being disproportionally impacted by governmental action aimed at slowing the spread of Wuhan Virus or mitigating its economic effects; |
|         |                                                       |
|---------|-------------------------------------------------------|
| • | limited availability of new investment opportunities; |
|         |                                                                                                                                     |
|---------|-------------------------------------------------------------------------------------------------------------------------------------|
| • | inability for us to replace our existing leverage when it becomes due or replace it on terms as favorable as our existing leverage; |
|         |                                                                                                                                                                              |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | a reduction in interest rates, including interest rates based on LIBOR and similar benchmarks, which may adversely impact our ability to lend money at attractive rates; and |
|         |                                                                                                           |
|---------|-----------------------------------------------------------------------------------------------------------|
| • | general threats to the Company’s ability to operate successfully as a business development company. |

----

|         |                                                                                                 |
|---------|-------------------------------------------------------------------------------------------------|
| • | A likelihood of greater volatility in the net asset value and market price of our common stock; |
|         |                                                                                                                                                                                                              |
|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Diminished operating flexibility as a result of asset coverage or investment portfolio composition requirements required by lenders or investors that are more stringent than those imposed by the 1940 Act; |
|         |                                                                                                                                                                                            |
|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | The possibility that investments will have to be liquidated at less than full value or at inopportune times to comply with debt covenants or to pay interest or dividends on the leverage; |
|         |                                                                                                   |
|---------|---------------------------------------------------------------------------------------------------|
| • | Increased operating expenses due to the cost of leverage, including issuance and servicing costs; |

----

|         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Convertible or exchangeable securities, such as the Convertible Notes outstanding or those issued in the future (including the Preferred Stock (as defined herein)) may have rights, preferences and privileges more favorable than those of our common stock including, the case of the Preferred Stock, the statutory right under the 1940 Act to vote, as a separate class, on the election of two of our directors and approval of certain fundamental transactions in certain circumstances; |
|         |                                                                                                                                                                                                                                   |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Subordination to lenders’ superior claims on our assets as a result of which lenders will be able to receive proceeds available in the case of our liquidation before any proceeds will be distributed to our stockholders; |
|         |                                                                                                                                    |
|---------|------------------------------------------------------------------------------------------------------------------------------------|
| • | Difficulty meeting our payment and other obligations under the Unsecured Notes and our other outstanding debt or preferred equity; |
|         |                                                                                                                                                                                                                                                                                                                                          |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | The occurrence of an event of default if we fail to comply with the financial and/or other restrictive covenants contained in our debt agreements, including the credit agreement and each indenture governing the Unsecured Notes, which event of default could result in all or some of our debt becoming immediately due and payable; |
|         |                                                                                                                                                                                           |
|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Reduced availability of our cash flow to fund investments, acquisitions and other general corporate purposes, and limiting our ability to obtain additional financing for these purposes; |
|         |                                                                                                                                                                                   |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | The risk of increased sensitivity to interest rate increases on our indebtedness with variable interest rates, including borrowings under our amended senior credit facility; and |
|         |                                                                                                                                                                              |
|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | Reduced flexibility in planning for, or reacting to, and increasing our vulnerability to, changes in our business, the industry in which we operate and the general economy. |
|         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| • | In addition, our ability to meet our payment and other obligations of the Preferred Stock, the Unsecured Notes and our credit facility depends on our ability to generate significant cash flow in the future. This, to some extent, is subject to general economic, financial, competitive, legislative and regulatory factors as well as other factors that are beyond our control. We cannot provide assurance that our business will generate cash flow from operations, or that future borrowings will be available to us under our existing credit facility or otherwise, in an amount sufficient to enable us to meet our payment obligations under the Preferred Stock, the Unsecured Notes and our other debt and to fund other liquidity needs. If we are not able to generate sufficient cash flow to service our debt and preferred equity obligations, we may need to refinance or restructure our debt or preferred equity, including the Unsecured Notes, sell assets, reduce or delay capital investments, or seek to raise additional capital. If we are unable to implement one or more of these alternatives, we may not be able to meet our payment obligations under the Preferred Stock, the Unsecured Notes and our other debt. |

|                                                   |
|---------------------------------------------------|
|                                                   |  |  |  |  |  |
| Assumed Return on Our Portfolio (net of expenses) | (10)% | (5)% | 0% | 5% | 10% |
| Corresponding Return to Common Stockholder(1)     | (25.9)% | (15.7)% | (5.6)% | 4.6% | 14.8% |

----

|                                                   |
|---------------------------------------------------|
|                                                   |  |  |  |  |  |
| Assumed Return on Our Portfolio (net of expenses) | (10)% | (5)% | 0% | 5% | 10% |
| Corresponding Return to Common Stockholder(2)     | (17.8)% | (10.3)% | (2.7%) | 4.8% | 12.4% |

----

|                                         |
|-----------------------------------------|
|                                         |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                    |   |   |   | Stock Price |   | Premium (Discount)of High to NAV |   | Premium(Discount)of Low to NAV |   |
|                                    |   | NAV(1) |   | High(2) |   | Low(2) |   |
| Year Ended June 30, 2019           |   |   |   |   |   |   |   |   |   |   |   |
| First quarter                           |   | $ | 9.39 |  |   |   | $ | 7.58 |  |   |   | $ | 6.67 |  |   |   | (19.3 | )% |   | (29.0 | )% |   |
| Second quarter                          |   |   | 9.02 |  |   |   |   | 7.27 |  |   |   |   | 5.77 |  |   |   | (19.4 | )% |   | (36.0 | )% |   |
| Third quarter                           |   |   | 9.08 |  |   |   |   | 6.93 |  |   |   |   | 6.27 |  |   |   | (23.7 | )% |   | (30.9 | )% |   |
| Fourth quarter                          |   |   | 9.01 |  |   |   |   | 6.83 |  |   |   |   | 6.24 |  |   |   | (24.2 | )% |   | (30.7 | )% |   |
| Year Ended June 30, 2020           |   |   |   |   |   |   |   |   |   |   |   |
| First quarter                           |   | $ | 8.87 |  |   |   | $ | 6.73 |  |   |   | $ | 6.30 |  |   |   | (24.1 | )% |   | (29.0 | )% |   |
| Second quarter                          |   |   | 8.66 |  |   |   |   | 6.70 |  |   |   |   | 6.37 |  |   |   | (22.6 | )% |   | (26.4 | )% |   |
| Third quarter                           |   |   | 7.98 |  |   |   |   | 6.61 |  |   |   |   | 4.04 |  |   |   | (17.2 | )% |   | (49.4 | )% |   |
| Fourth quarter                          |   |   | 8.18 |  |   |   |   | 5.74 |   |   |   | 3.78 |  |   |   | (29.8 | )% |   | (53.8 | )% |   |
| Twelve Months Ending June 30, 2021 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| First quarter                           |   | $ | 8.40 |  |   |   | $ | 5.17 |  |   |   | $ | 4.69 |  |   |   | (38.5 | )% |   | (44.2 | )% |   |

|                                   |
|-----------------------------------|
|                                   |  |  |  |  |
| Date of Offering                  | Price Per Share to Investors | Shares Issued | Estimated Net Asset Value per Share(1) | Percentage Dilution |
| June 15, 2020 to June 22, 2020(2) | $5.29 - $5.40 | 1,158,222 | $7.93 - 7.94 | 0.10% |

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|                                                                                                                                                   |
|---------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                   |  |  |  |
| Stockholder transaction expenses:                                                                                                                 | A Shares | M Shares | AA Shares |
| Sales Load (as a percentage of offering price)                                                                                                    | 10.00%(1) | 3.00%(2) | 10.00%(3) |
| Offering expenses borne by the Company (as a percentage of offering price)                                                                        | (4) | (4) | (5) |
| Preferred Stock Dividend reinvestment plan expenses (6)                                                                                           | None | None | None |
| Total stockholder transaction expenses (as a percentage of offering price):                                                                       | 11.5% | 4.5% | 10.5% |
| Annual expenses (as a percentage of net assets attributable to common stock):                                                                     |   |   |   |
| Management fees (7)                                                                                                                               | 4.66% |
| Incentive fees payable under Investment Advisory Agreement (20% of realized capital gains and 20% of pre-incentive fee net investment income) (8) | 1.82% |
| Total advisory fees                                                                                                                               | 6.48% |
| Total interest expenses (9)                                                                                                                       | 4.56% |
| Other expenses (10)                                                                                                                               | 1.27% |
| Total annual expenses (8)(10)(11)                                                                                                                 | 12.31% |
| Dividends on Preferred Stock(12)                                                                                                                  | 2.17% |
| Total annual expenses after dividends on Preferred Stock (13)                                                                                     | 14.48% |

|                                                                                                                                                                    |
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                    |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                                                                                               |   | 1 Year |   | 3 Years |   | 5 Years |   | 10 Years |
| A Shares and AA Shares - You would pay the following expenses on a $1,000 investment in shares of our common stock, assuming a 5% annual return on our portfolio*  |   | $ | 149 |  |   | $ | 340 |  |   | $ | 508 |  |   | $ | 850 |  |
| A Shares and AA Shares - You would pay the following expenses on a $1,000 investment in shares of our common stock, assuming a 5% annual return on our portfolio** |   | $ | 159 |  |   | $ | 363 |  |   | $ | 541 |  |   | $ | 887 |  |

----

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|             |
|-------------|
|             |  |
| Exhibit No. |
| 3.1         | Articles of Amendment and Restatement(1) |
| 3.2         | Amended and Restated Bylaws(2) |
| 4.1         | Eight Hundred Thirty-Seventh Supplemental Indenture dated as of July 2, 2020, to the U.S. Bank Indenture, and Form of 5.500% Prospect Capital InterNote® due 2025(3) |
| 4.2         | Eight Hundred Thirty-Eighth Supplemental Indenture dated as of July 2, 2020, to the U.S. Bank Indenture, and Form of 5.750% Prospect Capital InterNote® due 2027(3) |
| 4.3         | Eight Hundred Thirty-Ninth Supplemental Indenture dated as of July 2, 2020, to the U.S. Bank Indenture, and Form of 6.000% Prospect Capital InterNote® due 2030(3) |
| 4.4         | Eight Hundred Fortieth Supplemental Indenture dated as of July 9, 2020, to the U.S. Bank Indenture, and Form of 5.500% Prospect Capital InterNote® due 2025(4) |
| 4.5         | Eight Hundred Forty-First Supplemental Indenture dated as of July 9, 2020, to the U.S. Bank Indenture, and Form of 5.750% Prospect Capital InterNote® due 2027(4) |
| 4.6         | Eight Hundred Forty-Second Supplemental Indenture dated as of July 9, 2020, to the U.S. Bank Indenture, and Form of 6.000% Prospect Capital InterNote® due 2030(4) |
| 4.7         | Eight Hundred Forty-Third Supplemental Indenture dated as of July 16, 2020, to the U.S. Bank Indenture, and Form of 5.500% Prospect Capital InterNote® due 2025(5) |
| 4.8         | Eight Hundred Forty-Fourth Supplemental Indenture dated as of July 16, 2020, to the U.S. Bank Indenture, and Form of 5.750% Prospect Capital InterNote® due 2027(5) |

----

|             |
|-------------|
|             |  |
| Exhibit No. |
| 4.9         | Eight Hundred Forty-Fifth Supplemental Indenture dated as of July 16, 2020, to the U.S. Bank Indenture, and Form of 6.000% Prospect Capital InterNote® due 2030(5) |
| 4.10        | Eight Hundred Forty-Sixth Supplemental Indenture dated as of July 23, 2020, to the U.S. Bank Indenture, and Form of 5.500% Prospect Capital InterNote® due 2025(6) |
| 4.11        | Eight Hundred Forty-Seventh Supplemental Indenture dated as of July 23, 2020, to the U.S. Bank Indenture, and Form of 5.750% Prospect Capital InterNote® due 2027(6) |
| 4.12        | Eight Hundred Forty-Eighth Supplemental Indenture dated as of July 23, 2020, to the U.S. Bank Indenture, and Form of 6.000% Prospect Capital InterNote® due 2030(6) |
| 4.13        | Eight Hundred Forty-Ninth Supplemental Indenture dated as of July 30, 2020, to the U.S. Bank Indenture, and Form of 5.500% Prospect Capital InterNote® due 2025(7) |
| 4.14        | Eight Hundred Fiftieth Supplemental Indenture dated as of July 30, 2020, to the U.S. Bank Indenture, and Form of 5.750% Prospect Capital InterNote® due 2027(7) |
| 4.15        | Eight Hundred Fifty-First Supplemental Indenture dated as of July 30, 2020, to the U.S. Bank Indenture, and Form of 6.000% Prospect Capital InterNote® due 2030(7) |
| 4.16        | Eight Hundred Fifty-Second Supplemental Indenture dated as of August 6, 2020, to the U.S. Bank Indenture, and Form of 5.500% Prospect Capital InterNote® due 2025(8) |
| 4.17        | Eight Hundred Fifty-Third Supplemental Indenture dated as of August 6, 2020, to the U.S. Bank Indenture, and Form of 5.750% Prospect Capital InterNote® due 2027(8) |
| 4.18        | Eight Hundred Fifty-Fourth Supplemental Indenture dated as of August 6, 2020, to the U.S. Bank Indenture, and Form of 6.000% Prospect Capital InterNote® due 2030(8) |
| 4.19        | Eight Hundred Fifty-Fifth Supplemental Indenture dated as of August 13, 2020, to the U.S. Bank Indenture, and Form of 5.500% Prospect Capital InterNote® due 2025(9) |
| 4.20        | Eight Hundred Fifty-Sixth Supplemental Indenture dated as of August 13, 2020, to the U.S. Bank Indenture, and Form of 5.750% Prospect Capital InterNote® due 2027(9) |
| 4.21        | Eight Hundred Fifty-Seventh Supplemental Indenture dated as of August 13, 2020, to the U.S. Bank Indenture, and Form of 6.000% Prospect Capital InterNote® due 2030(9) |
| 4.22        | Eight Hundred Fifty-Eighth Supplemental Indenture dated as of August 20, 2020, to the U.S. Bank Indenture, and Form of 5.250% Prospect Capital InterNote® due 2025(10) |
| 4.23        | Eight Hundred Fifty-Ninth Supplemental Indenture dated as of August 20, 2020, to the U.S. Bank Indenture, and Form of 5.500% Prospect Capital InterNote® due 2027(10) |
| 4.24        | Eight Hundred Sixtieth Supplemental Indenture dated as of August 20, 2020, to the U.S. Bank Indenture, and Form of 5.750% Prospect Capital InterNote® due 2030(10) |
| 4.25        | Eight Hundred Sixty-First Supplemental Indenture dated as of August 27, 2020, to the U.S. Bank Indenture, and Form of 5.250% Prospect Capital InterNote® due 2025(11) |
| 4.26        | Eight Hundred Sixty-Second Supplemental Indenture dated as of August 27, 2020, to the U.S. Bank Indenture, and Form of 5.500% Prospect Capital InterNote® due 2027(11) |
| 4.27        | Eight Hundred Sixty-Third Supplemental Indenture dated as of August 27, 2020, to the U.S. Bank Indenture, and Form of 5.750% Prospect Capital InterNote® due 2030(11) |
| 4.28        | Eight Hundred Sixty-Fourth Supplemental Indenture dated as of September 11, 2020, to the U.S. Bank Indenture, and Form of 5.000% Prospect Capital InterNote® due 2025(12) |
| 4.29        | Eight Hundred Sixty-Fifth Supplemental Indenture dated as of September 11, 2020, to the U.S. Bank Indenture, and Form of 5.200% Prospect Capital InterNote® due 2027(12) |
| 4.30        | Eight Hundred Sixty-Sixth Supplemental Indenture dated as of September 11, 2020, to the U.S. Bank Indenture, and Form of 5.400% Prospect Capital InterNote® due 2030(12) |
| 4.31        | Eight Hundred Sixty-Seventh Supplemental Indenture dated as of September 17, 2020, to the U.S. Bank Indenture, and Form of 5.000% Prospect Capital InterNote® due 2025(13) |
| 4.32        | Eight Hundred Sixty-Eighth Supplemental Indenture dated as of September 17, 2020, to the U.S. Bank Indenture, and Form of 5.200% Prospect Capital InterNote® due 2027(13) |
| 4.33        | Eight Hundred Sixty-Ninth Supplemental Indenture dated as of September 17, 2020, to the U.S. Bank Indenture, and Form of 5.400% Prospect Capital InterNote® due 2030(13) |
| 4.34        | Eight Hundred Seventieth Supplemental Indenture dated as of September 24, 2020, to the U.S. Bank Indenture, and Form of 5.000% Prospect Capital InterNote® due 2025(14) |
| 4.35        | Eight Hundred Seventy-First Supplemental Indenture dated as of September 24, 2020, to the U.S. Bank Indenture, and Form of 5.200% Prospect Capital InterNote® due 2027(14) |
| 4.36        | Eight Hundred Seventy-Second Supplemental Indenture dated as of September 24, 2020, to the U.S. Bank Indenture, and Form of 5.400% Prospect Capital InterNote® due 2030(14) |
| 10.1        | Articles of Amendment(15) |

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|             |
|-------------|
|             |  |
| Exhibit No. |
| 10.2        | Articles Supplementary to the Articles of Amendment and Restatement of Prospect Capital Corporation (16) |
| 10.3        | Articles Supplementary to the Articles of Amendment and Restatement of Prospect Capital Corporation (17) |
| 10.4        | Certificate of Correction to the Articles Supplementary of Prospect Capital Corporation(18) |
| 10.5        | Dealer Manager Agreement, dated as of August 3, 2020, by and between Prospect Capital Corporation and Preferred Capital Securities, LLC(19) |
| 10.6        | Escrow Agreement, by and between Preferred Capital Securities, LLC, Prospect Capital Corporation and UMB Bank, National Association(20) |
| 10.7        | Form of Subscription Agreement(21) |
| 10.8        | Dealer Manager Agreement, dated October 30, 2020, by and among, the Company, Prospect Capital Management(22) |
| 10.9        | Preferred Stock Dividend Reinvestment Plan(23) |
| 10.10       | Amended and Restated Preferred Stock Dividend Reinvestment Plan(24) |
| 11          | Computation of Per Share Earnings (included in the notes to the financial statements contained in this report) |
| 12          | Computation of Ratios (included in the notes to the financial statements contained in this report) |
| 31.1        | Certification of Chief Executive Officer pursuant to Rule 13a-14(a) of the Securities Exchange Act of 1934, as amended* |
| 31.2        | Certification of Chief Financial Officer pursuant to Rule 13a-14(a) of the Securities Exchange Act of 1934, as amended* |
| 32.1        | Certification of Chief Executive Officer pursuant to Section 906 of The Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350)* |
| 32.2        | Certification of Chief Financial Officer pursuant to Section 906 of The Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350)* |

|      |
|------|
|      |  |
| *    | Filed herewith. |
| (1)  | Incorporated by reference to Exhibit 3.1 of the Registrant’s Form 8-K, filed on May 9, 2014. |
| (2)  | Incorporated by reference to Exhibit 3.1 of the Registrant’s Form 8-K, filed on December 11, 2015. |
| (3)  | Incorporated by reference from the Registrant’s Post-Effective Amendment No. 15 to the Registration Statement on Form N-2, filed on July 2, 2020. |
| (4)  | Incorporated by reference from the Registrant’s Post-Effective Amendment No. 16 to the Registration Statement on Form N-2, filed on July 9, 2020. |
| (5)  | Incorporated by reference from the Registrant’s Post-Effective Amendment No. 17 to the Registration Statement on Form N-2, filed on July 16, 2020. |
| (6)  | Incorporated by reference from the Registrant’s Post-Effective Amendment No. 18 to the Registration Statement on Form N-2, filed on July 23, 2020. |
| (7)  | Incorporated by reference from the Registrant’s Post-Effective Amendment No. 19 to the Registration Statement on Form N-2, filed on July 30, 2020. |
| (8)  | Incorporated by reference from the Registrant’s Post-Effective Amendment No. 20 to the Registration Statement on Form N-2, filed on August 6, 2020. |
| (9)  | Incorporated by reference from the Registrant’s Post-Effective Amendment No. 21 to the Registration Statement on Form N-2, filed on August 13, 2020. |
| (10) | Incorporated by reference from the Registrant’s Post-Effective Amendment No. 22 to the Registration Statement on Form N-2, filed on August 20, 2020. |
| (11) | Incorporated by reference from the Registrant’s Post-Effective Amendment No. 23 to the Registration Statement on Form N-2, filed on August 27, 2020. |
| (12) | Incorporated by reference from the Registrant’s Post-Effective Amendment No. 24 to the Registration Statement on Form N-2, filed on September 11, 2020. |
| (13) | Incorporated by reference from the Registrant’s Post-Effective Amendment No. 25 to the Registration Statement on Form N-2, filed on September 17, 2020. |
| (14) | Incorporated by reference from the Registrant’s Post-Effective Amendment No. 26 to the Registration Statement on Form N-2, filed on September 24, 2020. |
| (15) | Incorporated by reference to Exhibit 3.1 of the Registrant’s Form 8-K, filed on August 4, 2020. |
| (16) | Incorporated by reference to Exhibit 3.2 of the Registrant’s Form 8-K, filed on August 4, 2020. |
| (17) | Incorporated by reference to Exhibit 3.1 of the Registrant’s Form 8-K, filed on November 4, 2020. |
| (18) | Incorporated by reference to Exhibit 3.2 of the Registrant’s Form 8-K, filed on November 4, 2020. |
| (19) | Incorporated by reference to Exhibit 1.1 of the Registrant’s Form 8-K, filed on August 4, 2020. |
| (20) | Incorporated by reference to Exhibit 10.1 of the Registrant’s Form 8-K, filed on August 4, 2020. |

----

|      |
|------|
|      |  |
| (21) | Incorporated by reference to Exhibit 4.1 of the Registrant’s Form 8-K, filed on August 4, 2020. |
| (22) | Incorporated by reference to Exhibit 1.1 of the Registrant’s Form 8-K, filed on November 4, 2020. |
| (23) | Incorporated by reference to Exhibit 99.1 of the Registrant’s Form 8-K, filed on August 4, 2020. |
| (24) | Incorporated by reference to Exhibit 99.1 of the Registrant’s Form 8-K, filed on November 4, 2020. |

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|                       |
|-----------------------|
|                       |  |  |  |
|                  |   |   | PROSPECT CAPITAL CORPORATION |
|                  |   |   |
| November 9, 2020 |   | By: | /s/ JOHN F. BARRY III |
| Date                  |   |   | John F. Barry III |
|                  |   |   | Chairman of the Board and Chief Executive Officer |
|                  |   |   |   |
| November 9, 2020 |   | By: | /s/ KRISTIN L. VAN DASK |
| Date                  |   |   | Kristin L. Van Dask |
|                  |   |   | Chief Financial Officer |