PSEC – A Prospect Capital Fund

Prospect Energy Corporation Announces Financial Results for Third Fiscal Quarter Ended March 31, 2006

May 10, 2006

NEW YORK, NY — (MARKET WIRE) — 05/10/06 — Prospect Energy Corporation (NASDAQ: PSEC)today announced financial results for its third fiscal quarter ended March31, 2006.

Our net investment income for the third fiscal quarter of 2006 was $2.126million, or $0.30 per share. At March 31, 2006, our net asset value pershare was $14.81, an increase of $0.12 over the prior quarter end.

We estimate that our net investment income for the current fourth fiscalquarter ending June 30, 2006, will be $0.30 to $0.34 per share. We willannounce our fourth fiscal quarter dividend in the next few weeks.

OPERATING RESULTS

We have included additional disclosures in this release separatingrecurring and non-recurring charges. Non-recurring charges include legalfees associated with previously reported events, including certain judicialproceedings.

HIGHLIGHTS

Equity values:

-    Stockholders' equity as of March 31, 2006: $104.602 million-    Net asset value per share: $14.81

Third Fiscal Quarter Operating Results:

-    Net investment income: $2.126 million-    Net investment income per share: $0.30-    Net investment income excluding non-recurring items*: $2.385 million-    Net investment income per share excluding non-recurring items*: $0.34-    Net unrealized appreciation: $0.828 million-    Dividends to shareholders per share: $0.30

* See Supplemental Financial Information.

PORTFOLIO AND INVESTMENT ACTIVITY

March 31, 2006, marked the end of our third fiscal quarter with ourportfolio invested approximately $93.560 million in ten long-terminvestments, and the remainder in cash and short-term instruments.

As of March 31, 2006, our portfolio generated a current yield of 18.0%across all our long-term debt and equity investments. This current yieldincludes interest from all our long-term investments as well as dividendsfrom two investments. Monetization of, or dividends from, other equitypositions is not included in this current yield calculation.

We completed two new investments in the prior quarter, as well as follow-oninvestments in the existing portfolio. With both new investments weinvested as senior secured debt and received equity participation rights.

On February 9, 2006, we provided $6.9 million of senior secured debtfinancing to Genesis Coal Corporation (“Genesis”), a coal productioncompany based in Prestonsburg, Kentucky. Genesis holds leases onapproximately 4,700 mineral acres with approximately 10 million recoverabletons of low to medium sulfur coal reserves, the majority of which islocated underground. Genesis has secured separate fixed-price multi-yearcontracts for a majority of its production with a major electric utilityand a major coal producer and marketer. Our funding has been utilized toacquire non-management shareholder interests, to acquire additional miningequipment, and to increase production rates.

On February 15, 2006, we provided $3.0 million of senior secured debt and a$0.2 million preferred equity investment in Appalachian Energy Holdings,LLC (“AEH”), an energy services company based in Charleston, West Virginia.AEH is an energy services business focused on acquiring and expanding smalland medium-sized energy services companies in the fragmented Appalachianregion. AEH provides services to customers in the coal, natural gas and oilproduction industries. Lines of business include tree clearance, roadconstruction, excavation, drill site preparation, pipeline construction,and reclamation. Prospect’s capital, along with external equity, has beenutilized by AEH to acquire two companies.

Since March 31, 2006, we have provided further follow-on capital toexisting portfolio companies, and we have also completed 4 new investments,which together aggregate approximately $24.4 million. These includeinvestments in Charlevoix Energy Trading, LLC, a gas marketing company inMichigan; Iron Horse Coiled Tubing, Inc., a fracture stimulation coiledtubing services company in Alberta; Central Illinois Energy, LLC, anethanol project in Illinois; and Conquest Cherokee LLC, a coalbed methaneproduction company in Kansas and Tennessee.

CREDIT FACILITY

On February 21, 2006, we entered into a $20.0 million senior securedrevolving credit facility with the Bank of Montreal and Harris NesbittCorp. We have already drawn on the facility and are currently in theprocess of expanding that facility.

CONFERENCE CALL

We will host a conference call Thursday, May 11, 2006, at 11:00 am EasternTime. The conference call dial-in number is (877) 407-8031. A recording ofthe conference call will be available for approximately 7 days. To hear areplay, call (877) 660-6853 and use Playback Access Account code 286 andPlayback Conference ID code 201261.

       BALANCE SHEETS                                  As of        As of       (in thousands)                                March 31,     June 30,                                                       2006          2005Assets                                              (Unaudited)Cash and cash equivalents                              $1,060           $-Cash held in segregated account                             -        9,587Investment in controlled entities at value (cost - $36,618 and $23,327, respectively)            44,045       29,500Investments, at value (cost - $59,887 and $64,197, respectively)                                60,196       64,366Accrued interest receivable                               379          206Prepaid expenses                                          147           49Due from Gas Solutions Holdings, Inc.                       -          201Due from Prospect Capital Management, LLC                   5            -Due from Prospect Administration, LLC                      28            -Deferred financing fees                                   222            -Total assets                                         $106,082     $103,909LiabilitiesAccrued liabilities                                       762          818Due to Prospect Capital Management, LLC                   608           77Other current liabilities                                 110           47Total liabilities                                       1,408          942Stockholders' EquityCommon stock, par value $.001 per share, (100,000,000 and 100,000,000 common shares authorized, respectively; 7,061,740 and 7,055,100 issued and outstanding, respectively)                      7            7Paid-in capital in excess of par                       97,136       96,955Distributions in excess of net investment income         (275)        (337)Net unrealized appreciation                             7,734        6,342Total stockholders' equity                            104,602      102,967Total liabilities and stockholders' equity           $106,082     $103,909       STATEMENTS OF OPERATIONS                  Three months Three months            (UNAUDITED)                             ended         ended           (in thousands)                          March 31,    March 31,                                                     2006         2005Investment IncomeInterest income                                        $1,704         $437Interest income, controlled entities                    1,309          828Dividend income                                            90           10Dividend income, controlled entities                      850          500Other income                                               73           13Total investment income                                 4,026        1,788Operating ExpensesInvestment advisory fees   Base management fee                                    521          485   Income incentive fee                                   533            -   Total investment advisory fees                       1,054          485Interest expense and credit facility costs                 12            -SUPPLEMENTAL FINANCIAL INFORMATION (UNAUDITED) (IN THOUSANDS)Please note that the following supplemental financial informationrepresents a reconciliation of a GAAP measure (Net investment income)to a non-GAAP measure (Adjusted net investment income).                                               Three months     Twelve                                               ended March    months ended                                                 31, 2006    June 30, 2005                                               ------------  -------------Total investment income                              $4,026         $8,093Total operating expenses                              1,900          5,682Net investment income                                 2,126          2,411Add back non-recurring items                            259          2,083Adjusted net investment income                       $2,385         $4,494Net investment income per common share                $0.30          $0.40Adjusted net investment income per common share       $0.34          $0.64

ABOUT PROSPECT ENERGY CORPORATION

Prospect Energy Corporation (www.prospectenergy.com) is a closed-endinvestment company that lends to and invests in energy-related businessesand assets. Prospect Energy’s investment objective is to generate bothcurrent income and long-term capital appreciation through debt and equityinvestments.

Prospect Energy has elected to be treated as a business development companyunder the Investment Company Act of 1940 (“1940 Act”). Accordingly, we arerequired to comply with a series of regulatory requirements under the 1940Act as well as applicable NASDAQ, state, and federal rules and regulations.In addition, we have elected to be treated as a regulated investmentcompany under the Internal Revenue Code of 1986. Failure to comply with anyof the laws and regulations that apply to Prospect Energy could have amaterial adverse effect on Prospect Energy and its shareholders.

This press release contains forward-looking statements within the meaningof the Private Securities Litigation Reform Act of 1995. Forward-lookingstatements involve risks and uncertainties, including, but not limited to,statements as to our future operating results; our business prospects andthe prospects of our portfolio companies; the impact of investments that weexpect to make; the dependence of our future success on the general economyand its impact on the industries in which we invest; the ability of ourportfolio companies to achieve their objectives; our expected financingsand investments; the adequacy of our cash resources and working capital;and the timing of cash flows, if any, from the operations of our portfoliocompanies.

We may use words such as “anticipates,” “believes,” “expects,” “intends,””will,” “should,” “may,” “hope” and similar expressions to identifyforward-looking statements. Such statements are based on currentlyavailable operating, financial and competitive information and are subjectto various risks and uncertainties that could cause actual results todiffer materially from our historical experience and our presentexpectations. Undue reliance should not be placed on such forward-lookingstatements as such statements speak only as of the date on which they aremade. We do not undertake to update our forward-looking statements unlessrequired by law.

Please send investment proposals to:Prospect Energy CorporationJohn BarryChairman and Chief Executive Officerjbarry@prospectstreet.comGrier EliasekPresident and Chief Operating Officergrier@prospectstreet.comTelephone (212) 448-0702