PROSPECT CAPITAL CORPORATION

CUSIP: 74348TAC6 Class: 6.25% 12/15/2015

BASSO CAPITAL MANAGEMENT, L.P.'s Holding History (CIK: 0001287978)

Note: Option positions (PUT/CALL) are excluded.

Q3 2015
Shares 2,750,000 Value ($000) $2,767 Avg Close — Range —
Q2 2015
Shares 1,500,000 Value ($000) $1,521 Avg Close — Range —