Exhibit 99.2

Report of Independent Registered Public Accounting Firm

Board of Directors and Shareholders

Capital Southwest Corporation and Subsidiaries

Our audits of the consolidated financial statements and internal control over financial reporting referred to in our reports dated June 2, 2020, appearing in Capital Southwest Corporation's annual report on Form 10-K, also included an audit of the senior securities table of Capital Southwest Corporation and Subsidiaries (collectively, the Company) as of March 31, 2020, 2019, and 2018, included in Part II, Item 5 of Capital Southwest Corporation's annual report on Form 10-K for the year ended March 31, 2020. This table is the responsibility of the Company’s management. Our responsibility is to express an opinion based on our audits of the consolidated financial statements.

In our opinion, the senior securities table as of March 31, 2020, 2019, and 2018 when considered in relation to the basic consolidated financial statements taken as a whole, presents fairly in all material respects the information set forth therein.

/s/ RSM US LLP

Chicago, Illinois

June 2, 2020