ZeroTheoretically, the capital shares could certainly be worth zero if there was a sufficient decline in the markets.. This does not mean the capital shares would trade at zero, obviously, as they would retain some optionality for some possible future appreciation.
However, it is almost unthinkable for the preferred shares to go to zero as the entire portfolio would have to be worthless. This could happen if the company was continually forced to liquidate parts of the portfolio in order to fund the preferred distributions and pay whatever management fees are owing until all holdings are entirely liquidated and nothing is left.