We are subject to financial market risks, including changes in interest rates and equity price risk. Uncertainty with respect to the economic effects of heightened interest rates in response to inflation, ongoing conflict between Russia and Ukraine and the Middle East and the ongoing geopolitical uncertainty has introduced significant volatility in the financial markets, and the effects of this volatility could materially impact our market risks, including those listed below. Concerning these risks and their potential impact on our business and our operating results, see Part I, Item 1A. Risk Factors, “Risks Relating to our Business.” Interest rate sensitivity refers to the change in our earnings that may result from changes in the level of interest rates impacting some of the loans in our portfolio which have floating interest rates. Additionally, because we fund a portion of our investments with borrowings, our net investment income is affected by the difference between the rate at which we invest and the rate at which we borrow. As a result, there can be no assurance that a significant change in market interest rates will not have a material adverse effect on our net investment income. See Part I, Item 1A. Risk Factors, “Risks Relating to Our Business—Changes in interest rates may affect our cost of capital and net investment income.” Our debt investments may be based on floating rates or fixed rates. For our floating rate loans the rates are determined from the SOFR, EURO Interbank Offer Rate, the Federal Funds Rate or the Prime Rate. The floating interest rate loans may be subject to a SOFR floor. Our loans typically have durations of one, three or six months after which they reset to current market interest rates. As of June 30, 2026, 75.96% of the interest earning investments in our portfolio, at fair value, bore interest at floating rates. We also have a revolving credit facility that is based on floating SOFR rates. Interest on borrowings under the revolving credit facility is one-month SOFR plus 205 basis points with no minimum SOFR floor and there is $562,328 outstanding as of June 30, 2026. Dividends for the Floating Rate Preferred Stock are equal to one-month Term SOFR (which will reset upon each dividend declaration by the Board of Directors) plus 2.00%, subject to a minimum and maximum annualized dividend rate of 6.50% and 8.00%, respectively. There are 8,784,030 shares of the Floating Rate Preferred Stock outstanding as of June 30, 2026. See Note 9. Equity Offerings, Offering Expenses, and Distributions for further discussion on our Floating Rate Preferred Stock. The Public Notes, Prospect Capital InterNotes® and remaining Preferred Stock bear interest at fixed rates. 126 The following table shows the approximate annual impact on net investment income of base rate changes in interest rates (considering interest rate flows for floating rate instruments, excluding our investments in Subordinated Structured Notes) to our loan portfolio and outstanding debt as of June 30, 2026, assuming no changes in our investment and borrowing structure: Basis Point Change (in thousands) Increase (Decrease) in Interest Income (Increase) Decrease in Interest Expense Increase (Decrease) in Net Investment Income(1) Up 300 basis points $ 89,814 $ 16,870 $ 72,944 Up 200 basis points 59,790 11,247 48,543 Up 100 basis points 30,370 5,623 24,747 Down 100 basis points (26,008) (5,623) (20,385) Down 200 basis points (46,336) (11,247) (35,089) Down 300 basis points (61,867) (16,870) (44,997) (1) Excludes the impact of income incentive fee and does not reflect dividends paid on preferred stock, including the preferred stock that pay dividends based on a floating rate, since those dividends do not reduce net investment income on our Consolidated Statement of Operations. See Note 13 in the accompanying Consolidated Financial Statements for more information on income incentive fees.. As of June 30, 2026, the one and three month SOFR were 3.65% and 3.73%, respectively. We may hedge against interest rate fluctuations by using standard hedging instruments such as futures, options and forward contracts subject to the requirements of the 1940 Act. While hedging activities may insulate us against adverse changes in interest rates, they may also limit our ability to participate in the benefits of higher interest rates with respect to our portfolio of investments. During the year ended June 30, 2026, we did not engage in hedging activities. Foreign Currency Risk We are exposed to foreign currency risk primarily as a result of our 5.50% 2030 Notes, which are non-U.S. Dollar denominated and for which principal at maturity and interest are payable in Israeli Shekel. Changes in the Israeli Shekels/U.S. Dollar exchange rate may increase or decrease the U.S. Dollar amount of our contractual cash outflows and the reported U.S. Dollar carrying amount of the 5.50% 2030 Notes. To manage this exposure, we entered into foreign currency forward exchange contracts. We have designated a series of the forward contracts as cash flow hedges of our forecasted interest payments and one forward contract as a fair value hedge of the foreign currency risk associated with the aggregate principal due on the 5.50% 2030 Notes. These derivatives are entered into for risk management purposes and not for trading. As of June 30, 2026, the potential loss in fair value of foreign currency forward contracts resulting from a 3% weakening of the Israeli Shekel relative to the U.S. Dollar would be approximately $6,473. This change would be substantially offset by a corresponding change in the U.S. Dollar value of the principal and interest obligations under the 5.50% 2030 Notes upon remeasurement at the spot rate in effect at the balance sheet date. 127