UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

ý	ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 2014 OR
o	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

Commission File Number: 814-00659

PROSPECT CAPITAL CORPORATION

(Exact name of Registrant as specified in its charter)

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

Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ý    No o

Indicate by check mark whether the Registrant has submitted electronically and posted on its corporate Website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the Registrant was required to submit and post such files). Yes o    No o

Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of "large accelerated filer," "accelerated filer" and "smaller reporting company" in Rule 12b-2 of the Exchange Act.

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

Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Act). Yes o    No ý

Indicate the number of shares outstanding of each of the issuer's classes of common stock as of the latest practicable date.

Class of Common Stock	Outstanding at November 5, 2014
$0.001 par value	352,597,291

PROSPECT CAPITAL CORPORATION

Table of Contents

		Page
	Forward-Looking Statements	1
PART I	FINANCIAL INFORMATION
Item 1.	Financial Statements	2
	Consolidated Statements of Assets and Liabilities as of September 30, 2014 (unaudited) and June 30, 2014	2
	Consolidated Statements of Operations for the three months ended September 30, 2014 and September 30, 2013 (unaudited)	3
	Consolidated Statements of Changes in Net Assets for the three months ended September 30, 2014 and September 30, 2013 (unaudited)	4
	Consolidated Statements of Cash Flows for the three months ended September 30, 2014 and September 30, 2013 (unaudited)	5
	Consolidated Schedules of Investments as of September 30, 2014 (unaudited) and June 30, 2014	6
	Notes to Consolidated Financial Statements	40
Item 2.	Management's Discussion and Analysis of Financial Condition and Results of Operations	102
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	131
Item 4.	Controls and Procedures	131
PART II	OTHER INFORMATION
Item 1.	Legal Proceedings	131
Item 1A.	Risk Factors	131
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	131
Item 3.	Defaults Upon Senior Securities	131
Item 4.	Mine Safety Disclosures	131
Item 5.	Other Information	131
Item 6.	Exhibits	132
	Signatures	133

FORWARD-LOOKING STATEMENTS

This report contains information that may constitute "forward-looking statements." Generally, the words "believe," "expect," "intend," "estimate," "anticipate," "project," "will" and similar expressions identify forward-looking statements, which generally are not historical in nature. However, the absence of these words or similar expressions does not mean that a statement is not forward-looking. All statements that address operating performance, events or developments that we expect or anticipate will occur in the future—including statements relating to volume growth, share of sales and earnings per share growth, and statements expressing general views about future operating results—are forward-looking statements. Management believes that these forward-looking statements are reasonable as and when made. However, caution should be taken not to place undue reliance on any such forward-looking statements because such statements speak only as of the date when made. Our Company undertakes no obligation to publicly update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, except as required by law. In addition, forward-looking statements are subject to certain risks and uncertainties that could cause actual results to differ materially from our Company's historical experience and our present expectations or projections. These risks and uncertainties include, but are not limited to, those described in Part II, "Item 1A. Risk Factors" and elsewhere in this report and in our Annual Report on Form 10-K for the year ended June 30, 2014, and those described from time to time in our future reports filed with the Securities and Exchange Commission.

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES

(in thousands, except share and per share data)

	September 30, 2014			June 30, 2014
	(Unaudited)			(Audited)
Assets
Investments at fair value:
Control investments (amortized cost of $1,721,493 and $1,719,242, respectively)	$	1,659,997		$	1,640,454
Affiliate investments (amortized cost of $46,659 and $31,829, respectively)	46,456			32,121
Non-control/non-affiliate investments (amortized cost of $4,590,568 and $4,620,451, respectively)	4,547,040			4,581,164
Total investments at fair value (amortized cost of $6,358,720 and $6,371,522, respectively)	6,253,493			6,253,739
Cash and cash equivalents	488,106			134,225
Receivables for:
Interest, net	20,523			21,997
Other	2,765			2,587
Prepaid expenses	2,805			2,828
Deferred financing costs	65,373			61,893
Total Assets	6,833,065			6,477,269
Liabilities
Revolving Credit Facility (Notes 4 and 8)	411,000			92,000
Convertible Notes (Notes 5 and 8)	1,247,500			1,247,500
Public Notes (Notes 6 and 8)	647,950			647,881
Prospect Capital InterNotes® (Notes 7 and 8)	784,305			785,670
Due to broker	1,787			—
Dividends payable	38,518			37,843
Due to Prospect Administration (Note 13)	2,272			2,208
Due to Prospect Capital Management (Note 13)	3,915			3
Accrued expenses	5,877			4,790
Interest payable	35,950			37,459
Other liabilities	6,232			3,733
Total Liabilities	3,185,306			2,859,087
Net Assets	$	3,647,759		$	3,618,182
Components of Net Assets
Common stock, par value $0.001 per share (1,000,000,000 common shares authorized; 348,504,375 and 342,626,637 issued and outstanding, respectively) (Note 9)	$	349		$	343
Paid-in capital in excess of par (Note 9)	3,883,527			3,814,634
Undistributed net investment income	17,966			42,086
Accumulated realized losses on investments	(148,856		)	(121,098		)
Unrealized depreciation on investments	(105,227		)	(117,783		)
Net Assets	$	3,647,759		$	3,618,182
Net Asset Value Per Share (Note 16)	$	10.47		$	10.56

2

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF OPERATIONS

(in thousands, except share and per share data)

(Unaudited)

	Three Months Ended September 30,
	2014			2013
Investment Income
Interest income:
Control investments	$	45,128		$	32,633
Affiliate investments	837			1,496
Non-control/non-affiliate investments	98,778			78,112
CLO fund securities	39,397			26,180
Total interest income	184,140			138,421
Dividend income:
Control investments	759			7,075
Affiliate investments	1,429			—
Non-control/non-affiliate investments	22			3
Money market funds	15			11
Total dividend income	2,225			7,089
Other income:
Control investments	5,663			9,221
Affiliate investments	226			2
Non-control/non-affiliate investments	9,767			6,301
Total other income (Note 10)	15,656			15,524
Total Investment Income	202,021			161,034
Operating Expenses
Investment advisory fees:
Base management fee (Note 13)	33,165			23,045
Income incentive fee (Note 13)	23,616			20,584
Total investment advisory fees	56,781			43,629
Interest and credit facility expenses	42,914			27,407
Legal fees	1,163			219
Valuation services	450			439
Audit, compliance and tax related fees	667			623
Allocation of overhead from Prospect Administration (Note 13)	2,416			3,986
Insurance expense	131			93
Directors’ fees	94			75
Excise tax	—			1,000
Other general and administrative expenses	2,942			1,226
Total Operating Expenses	107,558			78,697
Net Investment Income	94,463			82,337
Net realized (loss) gain on investments	(22,911		)	3,789
Net change in unrealized appreciation (depreciation) on investments	12,556			(6,226		)
Net Increase in Net Assets Resulting from Operations	$	84,108		$	79,900
Net increase in net assets resulting from operations per share	$	0.24		$	0.31
Dividends declared per share	$	(0.33	)	$	(0.33	)

See notes to consolidated financial statements.

3

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

(in thousands, except share data)

(Unaudited)

	Three Months Ended September 30,
	2014			2013
Operations
Net investment income	$	94,463		$	82,337
Net realized (loss) gain on investments	(22,911		)	3,789
Net change in unrealized appreciation (depreciation) on investments	12,556			(6,226		)
Net Increase in Net Assets Resulting from Operations	84,108			79,900
Distributions to Shareholders
Distribution from net investment income	(114,266		)	(86,676		)
Distribution of return of capital	—			—
Net Decrease in Net Assets Resulting from Distributions to Shareholders	(114,266		)	(86,676		)
Common Stock Transactions
Issuance of common stock, net of underwriting costs	56,305			235,830
Less: Offering costs from issuance of common stock	(210		)	(793		)
Value of shares issued to acquire controlled investments	—			21,006
Value of shares issued through reinvestment of dividends	3,640			3,994
Net Increase in Net Assets Resulting from Common Stock Transactions	59,735			260,037
Total Increase in Net Assets	29,577			253,261
Net assets at beginning of period	3,618,182			2,656,494
Net Assets at End of Period	$	3,647,759		$	2,909,755
Common Stock Activity
Shares sold	5,536,780			21,293,338
Shares issued to acquire controlled investments	—			1,918,342
Shares issued through reinvestment of dividends	340,958			355,644
Total shares issued due to common stock activity	5,877,738			23,567,324
Shares issued and outstanding at beginning of period	342,626,637			247,836,965
Shares Issued and Outstanding at End of Period	348,504,375			271,404,289

See notes to consolidated financial statements.

4

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CASH FLOWS

(in thousands, except share data)

(Unaudited)

	Three Months Ended September 30,
	2014			2013
Operating Activities
Net increase in net assets resulting from operations	$	84,108		$	79,900
Net realized loss (gain) on investments	22,911			(3,789		)
Net change in unrealized (appreciation) depreciation on investments	(12,556		)	6,226
Amortization of discounts and premiums, net	13,952			9,954
Accretion of discount on Public Notes (Note 6)	69			36
Amortization of deferred financing costs	3,829			2,435
Payment-in-kind interest	(5,887		)	(4,581		)
Structuring fees	(10,515		)	(8,660		)
Change in operating assets and liabilities:
Payments for purchases of investments	(870,803		)	(522,595		)
Proceeds from sale of investments and collection of investment principal	863,144			164,167
Decrease in interest receivable, net	1,474			1,393
(Increase) decrease in other receivables	(178		)	2,402
Decrease in prepaid expenses	23			158
Increase in due to broker	1,787			44,074
Increase (decrease) in due to Prospect Administration	64			(1,311		)
Increase (decrease) in due to Prospect Capital Management	3,912			(3,590		)
Increase in accrued expenses	1,087			655
Decrease in interest payable	(1,509		)	(5,697		)
Increase in other liabilities	2,499			2,108
Net Cash Used in Operating Activities	97,411			(236,715		)
Financing Activities
Borrowings under Revolving Credit Facility (Note 4)	547,000			96,000
Principal payments under Revolving Credit Facility (Note 4)	(228,000		)	(151,000		)
Issuance of Prospect Capital InterNotes® (Note 7)	—			98,255
Redemptions of Prospect Capital InterNotes® (Note 7)	(1,365		)	(55		)
Financing costs paid and deferred	(7,309		)	(2,300		)
Proceeds from issuance of common stock, net of underwriting costs	56,305			235,830
Offering costs from issuance of common stock	(210		)	(793		)
Dividends paid	(109,951		)	(80,064		)
Net Cash Provided by Financing Activities	256,470			195,873
Total Increase (Decrease) in Cash and Cash Equivalents	353,881			(40,842		)
Cash and cash equivalents at beginning of period	134,225			203,236
Cash and Cash Equivalents at End of Period	$	488,106		$	162,394
Supplemental Disclosures
Cash paid for interest	$	40,524		$	30,165
Non-Cash Financing Activities
Value of shares issued through reinvestment of dividends	$	3,640		$	3,994
Value of shares issued to acquire controlled investments	$	—		$	21,006

See notes to consolidated financial statements.

5

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS

(in thousands, except share data)

			September 30, 2014 (Unaudited)
Portfolio Company	Locale / Industry	Investments(1)	Principal Value		Cost		Fair Value(2)		% of Net Assets
LEVEL 3 PORTFOLIO INVESTMENTS
Control Investments (greater than 25.00% voting control)(44)
American Property REIT Corp.(32)	Various / Real Estate	Senior Term Loan (6.00% (LIBOR + 4.00% with 2.00% LIBOR floor) plus 5.50% PIK, due 4/1/2019)(4)	$	169,511	$	169,511	$	169,511	4.6%
		Common Stock (272,116 shares)			35,006		28,178		0.8%
					204,517		197,689		5.4%
Arctic Energy Services, LLC(30)	Wyoming / Oil & Gas Production	Senior Secured Term Loan (12.00% (LIBOR + 9.00% with 3.00% LIBOR floor), due 5/5/2019)(3)(4)	31,640		31,640		31,640		0.9%
		Senior Subordinated Term Loan (14.00% (LIBOR + 11.00% with 3.00% LIBOR floor), due 5/5/2019)(3)(4)	20,230		20,230		20,230		0.5%
		Class A Units (700 units)			9,006		9,505		0.3%
					60,876		61,375		1.7%
ARRM Services, Inc.(42)	South Carolina / Manufacturing	Senior Secured Note to Ajax Rolled Ring & Machine, LLC (10.50% (LIBOR + 7.50% with 3.00% LIBOR floor), due 3/30/2018)(4)	19,337		19,337		19,337		0.5%
		Series B Preferred Stock (25,000 shares)			21,156		9,399		0.3%
		Series A Convertible Preferred Stock (6,142.60 shares)			6,057		—		—%
		Common Stock (6.00 shares)			—		—		—%
					46,550		28,736		0.8%
CCPI Inc.(33)	Ohio / Manufacturing	Senior Secured Term Loan A (10.00%, due 12/31/2017)(3)	17,100		17,100		17,100		0.5%
		Senior Secured Term Loan B (12.00% plus 7.00% PIK, due 12/31/2017)	8,390		8,390		8,390		0.2%
		Common Stock (14,857 shares)			8,553		7,143		0.2%
					34,043		32,633		0.9%
Change Clean Energy Company, LLC(8)	Maine / Energy	Membership Interest (100%)			—		—		—%
					—		—		—%
Coalbed, LLC(12)	Tennessee / Oil & Gas Production	Senior Secured Note (8.00%, in non-accrual status effective 1/19/2010, past due)(6)	8,771		5,991		—		—%
		Membership Interest (100%)			—		—		—%
					5,991		—		—%
CP Energy Services Inc.(38)	Oklahoma / Oil & Gas Production	Senior Secured Term Loan A to CP Well Testing, LLC (7.00% (LIBOR + 5.00% with 2.00% LIBOR floor), due 4/1/2019)(4)	11,035		11,035		11,035		0.3%
		Senior Secured Term Loan B to CP Well Testing, LLC (10.00% (LIBOR + 8.00% with 2.00% LIBOR floor) plus 7.50% PIK, due 4/1/2019)(4)	72,238		72,238		72,238		2.0%
		Second Lien Term Loan to CP Well Testing, LLC (9.00% (LIBOR + 7.00% with 2.00% LIBOR floor) plus 9.00% PIK, due 4/1/2019)(4)	15,000		15,000		15,000		0.4%
		Common Stock (2,924 shares)			15,227		30,913		0.8%
					113,500		129,186		3.5%
Credit Central Loan Company, LLC(22)(34)	Ohio / Consumer Finance	Subordinated Term Loan (10.00% plus 10.00% PIK, due 6/26/2019)	36,333		36,333		36,333		1.0%
		Class A Shares (7,500,000 shares)			11,632		10,548		0.3%
					47,965		46,881		1.3%
Echelon Aviation LLC	New York / Aerospace & Defense	Senior Secured Revolving Credit Facility – $150,000 Commitment (11.75% (LIBOR + 9.75% with 2.00% LIBOR floor) plus 2.25% PIK, due 3/31/2022)(4)(25)	40,808		40,808		40,808		1.1%
		Class A Shares (11,335,318 shares)			19,907		10,896		0.3%
					60,715		51,704		1.4%

See notes to consolidated financial statements.

6

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED)

(in thousands, except share data)

			September 30, 2014 (Unaudited)
Portfolio Company	Locale / Industry	Investments(1)	Principal Value		Cost		Fair Value(2)		% of Net Assets
LEVEL 3 PORTFOLIO INVESTMENTS
Control Investments (greater than 25.00% voting control)(44)
First Tower Finance Company LLC(22)(29)	Mississippi / Consumer Finance	Subordinated Term Loan to First Tower, LLC (10.00% plus 7.00% PIK, due 6/24/2019)	$	251,246	$	251,246	$	251,246	6.9%
		Class A Shares (83,729,323 shares)			64,544		73,729		2.0%
					315,790		324,975		8.9%
Freedom Marine Solutions, LLC(8)	Louisiana / Energy	Senior Secured Note to Vessel Company, LLC (18.00%, due 12/12/2016)	3,500		3,500		3,500		0.1%
		Senior Secured Note to Vessel Company II, LLC (13.00%, due 11/25/2018)	13,000		12,504		12,504		0.3%
		Senior Secured Note to Vessel Company III, LLC (13.00%, due 12/3/2018)	16,000		16,000		16,000		0.4%
		Membership Interest (100%)			7,807		2,905		0.1%
					39,811		34,909		0.9%
Gulf Coast Machine & Supply Company	Texas / Manufacturing	Senior Secured Term Loan (10.50% (LIBOR + 8.50% with 2.00% LIBOR floor), due 10/12/2017)(4)	19,500		19,500		13,674		0.4%
		Series A Convertible Preferred Stock (99,900 shares)			25,950		—		—%
					45,450		13,674		0.4%
Harbortouch Payments, LLC(43)	Pennsylvania / Business Services	Senior Secured Term Loan A (9.00% (LIBOR + 7.00% with 2.00% LIBOR floor), due 9/30/2017)(4)	130,589		130,589		130,589		3.6%
		Senior Secured Term Loan B (5.50% (LIBOR + 4.00% with 1.50% LIBOR floor) plus 5.50% PIK, due 3/31/2018)(4)	137,226		137,226		137,226		3.8%
		Senior Secured Term Loan C (13.00% (LIBOR + 9.00% with 4.00% LIBOR floor), due 9/29/2018)(4)	26,431		26,431		26,431		0.7%
		Class A Shares (535 shares)			7,489		24,005		0.6%
					301,735		318,251		8.7%
The Healing Staff, Inc.(9)	North Carolina / Contracting	Secured Promissory Notes to The Healing Staff, Inc. and Vets Securing America, Inc. (15.00%, in non-accrual status effective 12/22/2010, past due)	1,688		1,687		—		—%
		Senior Demand Note to The Healing Staff, Inc. (15.00%, in non-accrual status effective 11/1/2010, past due)	1,170		1,170		—		—%
		Common Stock of The Healing Staff, Inc. (1,000 shares)			—		—		—%
		Common Stock of Vets Securing America, Inc. (1 share)			975		—		—%
					3,832		—		—%
Manx Energy, Inc.(6)(12)	Kansas / Oil & Gas Production	Senior Secured Note (13.00%, in non-accrual status effective 1/19/2010, past due)	50		50		—		—%
		Series A-1 Preferred Stock (6,635 shares)			—		—		—%
		Common Stock (17,082 shares)			—		—		—%
					50		—		—%
MITY, Inc.(17)	Utah / Durable Consumer Products	Revolving Line of Credit – $7,500 Commitment (9.50% (LIBOR + 7.00% with 2.50% LIBOR floor), due 12/23/2014)(4)(25)	500		500		500		—%
		Senior Secured Note A (10.00% (LIBOR + 7.00% with 3.00% LIBOR floor), due 3/19/2019)(3)(4)	18,250		18,250		18,250		0.5%
		Senior Secured Note B (10.00% (LIBOR + 7.00% with 3.00% LIBOR floor) plus 10.00% PIK, due 3/19/2019)(4)	15,769		15,769		15,769		0.4%
		Subordinated Unsecured Note to Broda Enterprises ULC (10.00%, due on demand)	6,593		6,593		6,593		0.2%
		Common Stock (42,053 shares)			7,456		11,415		0.3%
					48,568		52,527		1.4%

See notes to consolidated financial statements.

7

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED)

(in thousands, except share data)

			September 30, 2014 (Unaudited)
Portfolio Company	Locale / Industry	Investments(1)	Principal Value		Cost		Fair Value(2)		% of Net Assets
LEVEL 3 PORTFOLIO INVESTMENTS
Control Investments (greater than 25.00% voting control)(44)
National Property REIT Corp.(40)	Various / Real Estate	Senior Term Loan (6.00% (LIBOR + 4.00% with 2.00% LIBOR floor) plus 5.50% PIK, due 4/1/2019)(4)	$	138,367	$	138,367	$	138,367	3.8%
		Common Stock (84,567 shares)			26,913		28,463		0.8%
					165,280		166,830		4.6%
Nationwide Acceptance LLC(22)(36)	Illinois / Consumer Finance	Subordinated Term Loan (10.00% plus 10.00% PIK, due 6/18/2019)	14,820		14,820		14,820		0.4%
		Class A Shares (24,029,326 shares)			12,248		13,012		0.4%
					27,068		27,832		0.8%
NMMB, Inc.(24)	New York / Media	Senior Secured Note (14.00%, due 5/6/2016)	3,714		3,714		1,864		0.1%
		Senior Secured Note to Armed Forces Communications, Inc. (14.00%, due 5/6/2016)	7,000		7,000		3,514		0.1%
		Series A Preferred Stock (7,200 shares)			12,486		—		—%
					23,200		5,378		0.2%
R-V Industries, Inc.	Pennsylvania / Manufacturing	Senior Subordinated Note (10.00% (LIBOR + 9.00% with 1.00% LIBOR floor), due 6/12/2018)(3)(4)	30,411		30,411		30,411		0.8%
		Common Stock (545,107 shares)			5,087		18,876		0.5%
		Warrant (to purchase 200,000 shares of Common Stock, expires 6/30/2017)			1,682		6,926		0.2%
					37,180		56,213		1.5%
United Property REIT Corp.(41)	Various / Real Estate	Senior Term Loan (6.00% (LIBOR + 4.00% with 2.00% LIBOR floor) plus 5.50% PIK, due 4/1/2019)(4)	66,704		66,704		66,704		1.8%
		Common Stock (70,689 shares)			13,421		12,930		0.4%
					80,125		79,634		2.2%
Valley Electric Company, Inc.(35)	Washington / Construction & Engineering	Senior Secured Note to Valley Electric Co. of Mt. Vernon, Inc. (8.00% (LIBOR + 5.00% with 3.00% LIBOR floor) plus 2.50% PIK, due 12/31/2017)(3)(4)	10,146		10,146		10,146		0.3%
		Senior Secured Note (10.00% plus 8.50% PIK, due 12/31/2018)	20,935		20,935		19,285		0.5%
		Common Stock (50,000 shares)			26,205		—		—%
					57,286		29,431		0.8%
Wolf Energy, LLC(12)	Kansas / Oil & Gas Production	Senior Secured Promissory Note secured by assets formerly owned by H&M (18.00%, in non-accrual status effective 4/15/2013, due 4/15/2018)(37)	26,966		—		2,110		0.1%
		Membership Interest (100%)			512		—		—%
		Net Profits Interest (8% of Equity Distributions)(7)			—		29		—%
					512		2,139		0.1%
Yatesville Coal Company, LLC(8)	Kentucky / Energy	Senior Secured Note (in non-accrual status effective 1/1/2009)	1,449		1,449		—		—%
		Membership Interest (100%)			—		—		—%
					1,449		—		—%
Total Control Investments					$	1,721,493	$	1,659,997	45.5%

Affiliate Investments (5.00% to 24.99% voting control)(45)
BNN Holdings Corp.	Michigan / Healthcare	Senior Term Loan A (6.50% (LIBOR + 5.50% with 1.00% LIBOR floor), due 8/29/2019)(3)(4)	21,835	21,835		21,835		0.6%
		Senior Term Loan B (11.50% (LIBOR + 10.50% with 1.00% LIBOR floor), due 8/29/2019)(3)(4)	21,945	21,945		21,945		0.6%
		Series A Preferred Stock (9,925.455 shares)(13)		2,879		2,676		0.1%
		Series B Preferred Stock (1,753.636 shares)(13)		—		—		—%
				46,659		46,456		1.3%
Total Affiliate Investments				$	46,659	$	46,456	1.3%

See notes to consolidated financial statements.

8

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED)

(in thousands, except share data)

			September 30, 2014 (Unaudited)
Portfolio Company	Locale / Industry	Investments(1)	Principal Value		Cost		Fair Value(2)		% of Net Assets
LEVEL 3 PORTFOLIO INVESTMENTS
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
Aderant North America, Inc.(16)	Georgia / Software & Computer Services	Second Lien Term Loan (10.00% (LIBOR + 8.75% with 1.25% LIBOR floor), due 6/20/2019)(4)	$	7,000	$	6,917	$	7,000	0.2%
					6,917		7,000		0.2%
AFI Shareholder, LLC (f/k/a Aircraft Fasteners International, LLC)	California / Machinery	Class A Units (32,500 units)			396		498		—%
					396		498		—%
Airmall Inc.(27)	Pennsylvania / Property Management	Escrow Receivable			5,881		3,601		0.1%
					5,881		3,601		0.1%
ALG USA Holdings, LLC(16)	Pennsylvania / Hotels, Restaurants & Leisure	Second Lien Term Loan (10.25% (LIBOR + 9.00% with 1.25% LIBOR floor), due 2/28/2020)(4)	12,000		11,799		12,000		0.3%
					11,799		12,000		0.3%
Allied Defense Group, Inc.	Virginia / Aerospace & Defense	Common Stock (10,000 shares)			5		—		—%
					5		—		—%
American Broadband Holding Company and Cameron Holdings of NC, Inc.	North Carolina / Telecommunication Services	Senior Secured Term Loan B (11.00% (LIBOR + 9.75% with 1.25% LIBOR floor), due 9/30/2018)(3)(4)	74,654		74,654		74,654		2.0%
					74,654		74,654		2.0%
American Gilsonite Company	Utah / Metal Services & Minerals	Second Lien Term Loan (11.50%, due 9/1/2017)	38,500		38,500		38,500		1.1%
		Membership Interest (99.9999%)(15)			—		4,018		0.1%
					38,500		42,518		1.2%
Apidos CLO IX(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 17.90%)(11)	20,525		18,324		19,659		0.5%
					18,324		19,659		0.5%
Apidos CLO XI(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 14.79%)(11)	38,340		33,440		36,790		1.0%
					33,440		36,790		1.0%
Apidos CLO XII(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 16.16%)(11)	44,063		40,964		42,344		1.2%
					40,964		42,344		1.2%
Apidos CLO XV(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 14.43%)(11)	36,515		36,403		36,496		1.0%
					36,403		36,496		1.0%
Arctic Glacier U.S.A., Inc.	Minnesota / Food Products	Second Lien Term Loan (10.50% (LIBOR + 9.25% with 1.25% LIBOR floor), due 11/10/2019)(3)(4)	150,000		150,000		150,000		4.1%
					150,000		150,000		4.1%
Ark-La-Tex Wireline Services, LLC	Louisiana / Oil and Gas Production	Senior Secured Term Loan A (6.50% (LIBOR + 5.50% with 1.00% LIBOR floor), due 4/8/2019)(4)	26,831		26,831		26,831		0.7%
		Senior Secured Term Loan B (10.50% (LIBOR + 9.50% with 1.00% LIBOR floor), due 4/8/2019)(4)	26,831		26,831		26,831		0.7%
		Delayed Draw Term Loan – $5,000 Commitment (due 4/8/2019)(25)	—		—		—		—%
					53,662		53,662		1.4%

See notes to consolidated financial statements.

9

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED)

(in thousands, except share data)

			September 30, 2014 (Unaudited)
Portfolio Company	Locale / Industry	Investments(1)	Principal Value		Cost		Fair Value(2)		% of Net Assets
LEVEL 3 PORTFOLIO INVESTMENTS
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
Armor Holding II LLC(16)	New York / Diversified Financial Services	Second Lien Term Loan (10.25% (LIBOR + 9.00% with 1.25% LIBOR floor), due 12/26/2020)(3)(4)	$	7,000	$	6,878	$	6,878	0.2%
					6,878		6,878		0.2%
Atlantis Health Care Group (Puerto Rico), Inc.	Puerto Rico / Healthcare	Revolving Line of Credit – $4,000 Commitment (13.00% (LIBOR + 11.00% with 2.00% LIBOR floor), due 8/21/2015)(4)(25)(26)	2,350		2,350		2,350		0.1%
		Senior Term Loan (10.00% (LIBOR + 8.00% with 2.00% LIBOR floor), due 2/21/2018)(3)(4)	38,858		38,858		34,128		0.9%
					41,208		36,478		1.0%
Babson CLO Ltd. 2011-I(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 5.76%)(11)	35,000		34,541		31,433		0.9%
					34,541		31,433		0.9%
Babson CLO Ltd. 2012-I(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 13.60%)(11)	29,075		22,950		25,167		0.7%
					22,950		25,167		0.7%
Babson CLO Ltd. 2012-II(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 11.71%)(11)	27,850		26,329		27,113		0.7%
					26,329		27,113		0.7%
Blue Coat Systems, Inc.(16)	Massachusetts / Software & Computer Services	Second Lien Term Loan (9.50% (LIBOR + 8.50% with 1.00% LIBOR floor), due 6/28/2020)(3)(4)	11,000		10,905		11,000		0.3%
					10,905		11,000		0.3%
Broder Bros., Co.	Pennsylvania / Textiles, Apparel & Luxury Goods	Senior Secured Notes (10.25% (LIBOR + 9.00% with 1.25% LIBOR floor), due 4/8/2019)(3)(4)	256,275		256,275		256,275		7.0%
					256,275		256,275		7.0%
Brookside Mill CLO Ltd.(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 19.56%)(11)	26,000		22,677		25,139		0.7%
					22,677		25,139		0.7%
Caleel + Hayden, LLC(14)(31)	Colorado / Personal & Nondurable Consumer Products	Membership Interest			—		183		—%
					—		183		—%
Cent CLO 17 Limited(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 10.40%)(11)	24,870		21,569		23,720		0.7%
					21,569		23,720		0.7%
Cent CLO 20 Limited(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 10.90%)(11)	40,275		38,140		39,310		1.1%
					38,140		39,310		1.1%
Cent CLO 21 Limited(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 15.07%)(11)	48,528		47,070		46,287		1.3%
					47,070		46,287		1.3%
CIFC Funding 2011-I, Ltd.(22)	Cayman Islands / Diversified Financial Services	Class D Senior Secured Notes (5.32% (LIBOR + 5.00%, due 1/19/2023)(4)	19,000		15,377		18,048		0.5%
		Class E Subordinated Notes (7.32% (LIBOR + 7.00%, due 1/19/2023)(4)	15,400		12,862		15,171		0.4%
					28,239		33,219		0.9%

See notes to consolidated financial statements.

10

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED)

(in thousands, except share data)

			September 30, 2014 (Unaudited)
Portfolio Company	Locale / Industry	Investments(1)	Principal Value		Cost		Fair Value(2)		% of Net Assets
LEVEL 3 PORTFOLIO INVESTMENTS
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
CIFC Funding 2013-III, Ltd.(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 13.96%)(11)	$	44,100	$	38,415	$	42,745	1.2%
					38,415		42,745		1.2%
CIFC Funding 2013-IV, Ltd.(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 12.66%)(11)	45,500		39,150		40,625		1.1%
					39,150		40,625		1.1%
CIFC Funding 2014-IV Investor, Ltd.(22)	Cayman Islands / Diversified Financial Services	Income Notes (Residual Interest, current yield 13.98%)(11)	41,500		39,505		39,222		1.1%
					39,505		39,222		1.1%
Cinedigm DC Holdings, LLC	New York / Software & Computer Services	Senior Secured Term Loan (11.00% (LIBOR + 9.00% with 2.00% LIBOR floor) plus 2.50% PIK, due 3/31/2021)(4)	68,975		68,925		68,975		1.9%
					68,925		68,975		1.9%
The Copernicus Group, Inc.	North Carolina / Healthcare	Escrow Receivable			—		117		—%
					—		117		—%
Coverall North America, Inc.	Florida / Commercial Services	Senior Secured Term Loan (11.50% (LIBOR + 8.50% with 3.00% LIBOR floor), due 12/17/2017)(3)(4)	50,888		50,888		50,888		1.4%
					50,888		50,888		1.4%
Crosman Corporation	New York / Manufacturing	Second Lien Term Loan (12.00% (LIBOR + 10.50% with 1.50% LIBOR floor), due 12/30/2019)(3)(4)	40,000		40,000		39,245		1.1%
					40,000		39,245		1.1%
CRT MIDCO, LLC	Wisconsin / Media	Senior Secured Term Loan (10.50% (LIBOR + 7.50% with 3.00% LIBOR floor), due 6/30/2017)(3)(4)	47,129		47,129		47,129		1.3%
					47,129		47,129		1.3%
Deltek, Inc.(16)	Virginia / Software & Computer Services	Second Lien Term Loan (10.00% (LIBOR + 8.75% with 1.25% LIBOR floor), due 10/10/2019)(3)(4)	12,000		11,857		12,000		0.3%
					11,857		12,000		0.3%
Diamondback Operating, LP	Oklahoma / Oil & Gas Production	Net Profits Interest (15% of Equity Distributions)			—		—		—%
					—		—		—%
Edmentum, Inc.(16)	Minnesota / Consumer Services	Second Lien Term Loan (11.25% (LIBOR + 9.75% with 1.50% LIBOR floor), due 5/17/2019)(3)(4)	50,000		48,499		50,000		1.4%
					48,499		50,000		1.4%
Empire Today, LLC	Illinois / Durable Consumer Products	Senior Secured Note (11.375%, due 2/1/2017)	15,700		15,443		15,700		0.4%
					15,443		15,700		0.4%
Fischbein, LLC	North Carolina / Machinery	Escrow Receivable			—		118		—%
					—		118		—%
Fleetwash, Inc.	New Jersey / Business Services	Senior Secured Term Loan A (6.50% (LIBOR + 5.50% with 1.00% LIBOR floor), due 4/30/2019)(4)	24,875		24,875		24,875		0.7%
		Senior Secured Term Loan B (10.50% (LIBOR + 9.50% with 1.00% LIBOR floor), due 4/30/2019)(4)	25,000		25,000		25,000		0.7%
		Delayed Draw Term Loan – $15,000 Commitment (9.50% (LIBOR + 8.50% with 1.00% LIBOR floor), due 4/30/2019)(4)(25)	—		—		—		—%
					49,875		49,875		1.4%

See notes to consolidated financial statements.

11

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED)

(in thousands, except share data)

			September 30, 2014 (Unaudited)
Portfolio Company	Locale / Industry	Investments(1)	Principal Value		Cost		Fair Value(2)		% of Net Assets
LEVEL 3 PORTFOLIO INVESTMENTS
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
Focus Brands, Inc.(16)	Georgia / Consumer Services	Second Lien Term Loan (10.25% (LIBOR + 9.00% with 1.25% LIBOR floor), due 8/21/2018)(4)	$	18,000	$	17,787	$	18,000	0.5%
					17,787		18,000		0.5%
Focus Products Group International, LLC	Illinois / Durable Consumer Products	Senior Secured Term Loan (12.00% (LIBOR + 11.00% with 1.00% LIBOR floor), due 1/20/2017)(3)(4)	20,021		20,021		17,805		0.5%
		Common Stock (5,638 shares)			27		—		—%
					20,048		17,805		0.5%
Galaxy XII CLO, Ltd.(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 13.50%)(11)	22,000		19,238		20,427		0.6%
					19,238		20,427		0.6%
Galaxy XV CLO, Ltd.(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 14.80%)(11)	35,025		29,152		31,835		0.9%
					29,152		31,835		0.9%
Galaxy XVI CLO, Ltd.(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 13.06%)(11)	22,575		20,407		20,818		0.6%
					20,407		20,818		0.6%
Galaxy XVII CLO, Ltd.(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 14.76%)(11)	39,905		38,194		36,485		1.0%
					38,194		36,485		1.0%
Global Employment Solutions, Inc.	Colorado / Business Services	Senior Secured Term Loan (10.00% (LIBOR + 9.00% with 1.00% LIBOR floor), due 3/25/2019)(3)(4)	28,429		28,429		28,429		0.8%
					28,429		28,429		0.8%
Grocery Outlet, Inc.(16)	California / Retail	Second Lien Term Loan (11.50% (PRIME + 8.25% with 3.25% PRIME floor), due 6/17/2019)(4)	14,457		14,179		14,746		0.4%
					14,179		14,746		0.4%
GTP Operations, LLC(10)	Texas / Software & Computer Services	Senior Secured Term Loan (10.00% (LIBOR + 5.00% with 5.00% LIBOR floor), due 12/11/2018)(3)(4)	112,258		112,258		112,258		3.1%
					112,258		112,258		3.1%
Halcyon Loan Advisors Funding 2012-1 Ltd.(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 24.62%)(11)	23,188		20,376		22,889		0.6%
					20,376		22,889		0.6%
Halcyon Loan Advisors Funding 2013-1 Ltd.(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 18.47%)(11)	40,400		37,466		41,136		1.1%
					37,466		41,136		1.1%
Halcyon Loan Advisors Funding 2014-1 Ltd.(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 14.45%)(11)	24,500		23,685		23,025		0.6%
					23,685		23,025		0.6%
Halcyon Loan Advisors Funding 2014-2 Ltd.(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 16.07%)(11)	41,164		39,174		38,900		1.1%
					39,174		38,900		1.1%
Harley Marine Services, Inc.(16)	Washington / Transportation	Second Lien Term Loan (10.50% (LIBOR + 9.25% with 1.25% LIBOR floor), due 12/20/2019)(3)(4)	9,000		8,832		8,832		0.2%
					8,832		8,832		0.2%
ICON Health & Fitness, Inc.	Utah / Durable Consumer Products	Senior Secured Note (11.875%, due 10/15/2016)	21,850		21,986		21,850		0.6%
					21,986		21,850		0.6%

See notes to consolidated financial statements.

12

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED)

(in thousands, except share data)

			September 30, 2014 (Unaudited)
Portfolio Company	Locale / Industry	Investments(1)	Principal Value		Cost		Fair Value(2)		% of Net Assets
LEVEL 3 PORTFOLIO INVESTMENTS
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
ICV-CSI Holdings, LLC	New York / Transportation	Membership Units (1.6 units)			$	1,639	$	1,789	—%
					1,639		1,789		—%
IDQ Holdings, Inc.	Texas / Automobile	Senior Secured Note (11.50%, due 4/1/2017)	$	12,500	12,356		12,500		0.3%
					12,356		12,500		0.3%
Ikaria, Inc.(16)	New Jersey / Healthcare	Second Lien Term Loan (8.75% (LIBOR + 7.75% with 1.00% LIBOR floor), due 2/12/2022)(4)	25,000		24,443		25,000		0.7%
					24,443		25,000		0.7%
Instant Web, LLC	Minnesota / Media	Senior Secured Term Loan A (5.50% (LIBOR + 4.50% with 1.00% LIBOR floor), due 3/28/2019)(4)	125,929		125,929		125,929		3.5%
		Senior Secured Term Loan B (12.00% (LIBOR + 11.00% with 1.00% LIBOR floor), due 3/28/2019)(3)(4)	128,000		128,000		128,000		3.5%
		Senior Secured Term Loan C (12.75% (LIBOR + 11.75% with 1.00% LIBOR floor), due 3/28/2019)(4)	12,500		12,500		12,500		0.3%
					266,429		266,429		7.3%
InterDent, Inc.	California / Healthcare	Senior Secured Term Loan A (7.25% (LIBOR + 5.75% with 1.50% LIBOR floor), due 8/3/2017)(4)	62,881		62,881		62,881		1.7%
		Senior Secured Term Loan B (12.25% (LIBOR + 9.25% with 3.00% LIBOR floor), due 8/3/2017)(3)(4)	67,625		67,625		67,625		1.9%
					130,506		130,506		3.6%
JAC Holding Corporation(16)	Michigan / Transportation	Senior Secured Note (11.50%, due 10/1/2019)	3,000		3,000		3,000		0.1%
					3,000		3,000		0.1%
JHH Holdings, Inc.	Texas / Healthcare	Second Lien Term Loan (11.25% (LIBOR + 10.00% with 1.25% LIBOR floor) plus 0.50% PIK, due 3/30/2019)(3)(4)	35,164		35,164		35,164		1.0%
					35,164		35,164		1.0%
LaserShip, Inc.	Virginia / Transportation	Revolving Line of Credit – $5,000 Commitment (10.25% (LIBOR + 8.25% with 2.00% LIBOR floor), due 12/21/2014)(4)(25)	—		—		—		—%
		Senior Secured Term Loan A (10.25% (LIBOR + 8.25% with 2.00% LIBOR floor), due 3/18/2019)(3)(4)	36,094		36,094		36,094		1.0%
		Senior Secured Term Loan B (10.25% (LIBOR + 8.25% with 2.00% LIBOR floor), due 3/18/2019)(3)(4)	22,111		22,111		22,111		0.6%
		Delayed Draw Term Loan – $6,000 Commitment (2.00%, due 12/31/2015)(4)(25)	—		—		—		—%
					58,205		58,205		1.6%
LCM XIV Ltd.(22)	Cayman Islands / Diversified Financial Services	Income Notes (Residual Interest, current yield 15.39%)(11)	26,500		24,393		24,699		0.7%
					24,393		24,699		0.7%
LHC Holdings Corp.	Florida / Healthcare	Revolving Line of Credit – $750 Commitment (8.50% (LIBOR + 6.00% with 2.50% LIBOR floor), due 5/31/2015)(4)(25)(26)	—		—		—		—%
		Senior Subordinated Debt (10.50%, due 5/31/2015)(3)	1,565		1,565		1,565		—%
		Membership Interest (125 units)			216		230		—%
					1,781		1,795		—%
Madison Park Funding IX, Ltd.(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 13.58%)(11)	31,110		24,271		27,127		0.7%
					24,271		27,127		0.7%

See notes to consolidated financial statements.

13

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED)

(in thousands, except share data)

			September 30, 2014 (Unaudited)
Portfolio Company	Locale / Industry	Investments(1)	Principal Value		Cost		Fair Value(2)		% of Net Assets
LEVEL 3 PORTFOLIO INVESTMENTS
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
Matrixx Initiatives, Inc.	New Jersey / Pharmaceuticals	Senior Secured Term Loan A (7.50% (LIBOR + 6.00% with 1.50% LIBOR floor) plus 2.00% PIK, due 8/9/2018)(3)(4)	$	37,233	$	37,233	$	36,141	1.0%
		Senior Secured Term Loan B (12.50% (LIBOR + 11.00% with 1.50% LIBOR floor) plus 2.00% PIK, due 8/9/2018)(3)(4)	40,155		40,155		39,033		1.1%
					77,388		75,174		2.1%
Maverick Healthcare Equity, LLC	Arizona / Healthcare	Preferred Units (1,250,000 units)			1,252		682		—%
		Class A Common Units (1,250,000 units)			—		—		—%
					1,252		682		—%
Mountain View CLO 2013-I Ltd.(22)	Cayman Islands / Diversified Financial Services	Subordinated Notes (Residual Interest, current yield 15.98%)(11)	43,650		39,935		43,468		1.2%
					39,935		43,468		1.2%
NCP Finance Limited Partnership(16)(22)(23)	Ohio / Consumer Finance	Subordinated Secured Term Loan (11.00% (LIBOR + 9.75% with 1.25% LIBOR floor), due 9/30/2018)(3)(4)	13,694		13,457		13,694		0.4%
					13,457		13,694		0.4%
New Century Transportation, Inc.	New Jersey / Transportation	Senior Subordinated Term Loan (12.00% (LIBOR + 10.00% with 2.00% LIBOR floor) plus 4.00% PIK, in non-accrual status effective 4/1/2014, due 2/3/2018)(4)	44,000		44,000		—		—%
					44,000		—		—%
Nixon, Inc.(16)	California / Durable Consumer Products	Senior Secured Term Loan (8.75% plus 2.75% PIK, due 4/16/2018)	13,638		13,434		13,434		0.4%
					13,434		13,434		0.4%
NRG Manufacturing, Inc.	Texas / Manufacturing	Escrow Receivable			—		1,128		—%
					—		1,128		—%
Octagon Investment Partners XV, Ltd.(22)	Cayman Islands / Diversified Financial Services	Income Notes (Residual Interest, current yield 20.50%)(11)	26,901		24,071		26,616		0.7%
					24,071		26,616		0.7%
Onyx Payments	Texas / Diversified Financial Services	Revolving Line of Credit – $5,000 Commitment (9.00% (LIBOR + 7.75% with 1.25% LIBOR floor), due 9/10/2015)(4)(25)	—		—		—		—%
		Senior Secured Term Loan A (6.50% (LIBOR + 5.50% with 1.00% LIBOR floor), due 9/10/2019)(4)	39,950		39,950		39,950		1.1%
		Senior Secured Term Loan B (13.50% (LIBOR + 12.50% with 1.00% LIBOR floor), due 9/10/2019)(4)	41,778		41,778		41,778		1.1%
					81,728		81,728		2.2%
Pacific World Corporation	California / Personal & Nondurable Consumer Products	Revolving Line of Credit – $15,000 Commitment (8.00% (LIBOR + 7.00% with 1.00% LIBOR floor), due 9/26/2020)(4)(25)	2,500		2,500		2,500		0.1%
		Senior Secured Term Loan (8.00% (LIBOR + 7.00% with 1.00% LIBOR floor), due 9/26/2020)(4)	200,000		200,000		200,000		5.5%
					202,500		202,500		5.6%
Pelican Products, Inc.(16)	California / Durable Consumer Products	Second Lien Term Loan (9.25% (LIBOR + 8.25% with 1.00% LIBOR floor), due 4/9/2021)(4)	17,500		17,482		17,500		0.5%
					17,482		17,500		0.5%
Photonis Technologies SAS(16)(22)	France / Aerospace & Defense	First Lien Term Loan (8.50% (LIBOR + 7.50% with 1.00% LIBOR floor), due 9/18/2019)(4)	10,421		10,157		10,157		0.3%
					10,157		10,157		0.3%
Pinnacle (US) Acquisition Co. Limited(16)	Texas / Software & Computer Services	Second Lien Term Loan (10.50% (LIBOR + 9.25% with 1.25% LIBOR floor), due 8/3/2020)(4)	7,037		6,875		7,037		0.2%
					6,875		7,037		0.2%

See notes to consolidated financial statements.

14

PROSPECT CAPITAL CORPORATION AND SUBSIDIARIES

CONSOLIDATED SCHEDULES OF INVESTMENTS (CONTINUED)

(in thousands, except share data)

			September 30, 2014 (Unaudited)
Portfolio Company	Locale / Industry	Investments(1)	Principal Value		Cost		Fair Value(2)		% of Net Assets
LEVEL 3 PORTFOLIO INVESTMENTS
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
PrimeSport, Inc.	Georgia / Hotels, Restaurants & Leisure	Revolving Line of Credit – $15,000 Commitment (10.00% (LIBOR + 9.50% with 0.50% LIBOR floor), due 12/23/2014)(4)(25)	$	6,000	$	6,000	$	6,000	0.2%
		Senior Secured Term Loan A (7.50% (LIBOR + 6.50% with 1.00% LIBOR floor), due 12/23/2019)(3)(4)	64,145		64,145		64,145		1.8%
		Senior Secured Term Loan B (11.50% (LIBOR + 10.50% with 1.00% LIBOR floor) plus 1.00% PIK, due 12/23/2019)(3)(4)	64,912		64,912		64,912		1.8%