Portfolio Investments

3 Months Ended

Sep. 30, 2022

Schedule of Investments [Abstract]

Portfolio Investments

Portfolio Investments

At September 30, 2022, we had investments in 128 long-term portfolio investments and CLOs, which had an amortized cost of $7,345,486 and a fair value of $7,582,665. At June 30, 2022, we had investments in 129 long-term portfolio investments and CLOs, which had an amortized cost of $7,196,831 and a fair value of $7,602,510.

The original cost basis of debt placement and equity securities acquired, including follow-on investments for existing portfolio companies, payment-in-kind interest, and structuring fees, totaled $304,530 and $424,668 during the three months ended September 30, 2022 and September 30, 2021, respectively. Debt repayments and considerations from sales of equity securities of approximately $150,463 and $324,000 were received during the three months ended September 30, 2022 and September 30, 2021, respectively.

The following table shows the composition of our investment portfolio as of September 30, 2022 and June 30, 2022:

	September 30, 2022				June 30, 2022
	Cost		Fair Value		Cost		Fair Value
First Lien Revolving Line of Credit	$	40,875	$	40,751	$	39,775	$	39,746
First Lien Debt	3,980,337		3,884,792		3,839,553		3,757,960
Second Lien Debt	1,593,464		1,441,284		1,588,557		1,471,336
Unsecured Debt	7,200		7,200		7,200		7,200
Subordinated Structured Notes	990,723		695,292		997,703		711,429
Equity	732,887		1,513,346		724,043		1,614,839
Total Investments	$	7,345,486	$	7,582,665	$	7,196,831	$	7,602,510

.

In the previous table and throughout the remainder of this footnote, we aggregate our portfolio investments by type of investment, which may differ slightly from the nomenclature used by the constituent instruments defining the rights of holders of the investment, as disclosed on our Consolidated Schedules of Investments (“SOI”). The following investments are included in each category:

•First Lien Revolving Line of Credit includes our debt investments in first lien revolvers as well as our debt investments in delayed draw term loans.

•First Lien Debt includes our debt investments listed on the SOI such as first lien term loans and first lien bonds.

•1.5 Lien Debt includes our debt investments listed on the SOI as 1.5 lien term loans.

•Second Lien Debt includes our debt investments listed on the SOI as second lien term loans.

•Third Lien Debt includes our debt investments listed on the SOI as third lien term loans.

•Unsecured Debt includes our debt investments listed on the SOI as unsecured.

•Subordinated Structured Notes includes our investments in the “equity” security class of CLO funds such as income notes, preference shares, and subordinated notes.

•Equity, unless specifically stated otherwise, includes our investments in preferred stock, common stock, membership interests, net profits interests, net operating income interests, net revenue interests, overriding royalty interests, escrows receivable, and warrants.

The following table shows the fair value of our investments disaggregated into the three levels of the ASC 820 valuation hierarchy as of September 30, 2022:

	Level 1		Level 2		Level 3		Total
First Lien Revolving Line of Credit	$	—	$	—	$	40,751	$	40,751
First Lien Debt	—		51,979		3,832,813		3,884,792
Second Lien Debt	—		—		1,441,284		1,441,284
Unsecured Debt	—		—		7,200		7,200
Subordinated Structured Notes	—		—		695,292		695,292
Equity	—		—		1,513,346		1,513,346
Total Investments	$	—	$	51,979	$	7,530,686	$	7,582,665

The following table shows the fair value of our investments disaggregated into the three levels of the ASC 820 valuation hierarchy as of June 30, 2022:

	Level 1		Level 2		Level 3		Total
First Lien Revolving Line of Credit	$	—	$	—	$	39,746	$	39,746
First Lien Debt	—		73,816		3,684,144		3,757,960
Second Lien Debt	—		—		1,471,336		1,471,336
Unsecured Debt	—		—		7,200		7,200
Subordinated Structured Notes	—		—		711,429		711,429
Equity	—		—		1,614,839		1,614,839
Total Investments	$	—	$	73,816	$	7,528,694	$	7,602,510

The following tables show the aggregate changes in the fair value of our Level 3 investments during the three months ended September 30, 2022:

	Fair Value Measurements Using Unobservable Inputs (Level 3)
	Control  Investments		Affiliate  Investments		Non-Control/  Non-Affiliate  Investments		Total
Fair value as of June 30, 2022	$	3,438,317	$	393,264	$	3,697,113	$	7,528,694
Net realized losses on investments	(1,093)		—		(22,084)		(23,177)
Net change in unrealized losses	(47,289)		(70,786)		(46,057)		(164,132)
Net realized and unrealized losses	(48,382)		(70,786)		(68,141)		(187,309)
Purchases of portfolio investments	84,100		—		196,236		280,336
Payment-in-kind interest	22,202		—		1,992		24,194
Accretion (amortization) of discounts and premiums, net	185		—		(5,655)		(5,470)
Repayments and sales of portfolio investments	(51,944)		(5,203)		(70,066)		(127,213)
Transfers into Level 3(1)	—		—		17,454		17,454
Fair value as of September 30, 2022	$	3,444,478	$	317,275	$	3,768,933	$	7,530,686

	First Lien Revolving Line of Credit		First Lien Debt		Second Lien Debt		Unsecured Debt		Subordinated Structured Notes		Equity		Total
Fair value as of June 30, 2022	$	39,746	$	3,684,144	$	1,471,336	$	7,200	$	711,429	$	1,614,839	$	7,528,694
Net realized (losses) gains on investments	—		(14,472)		(8,791)		—		1,179		(1,093)		(23,177)
Net change in unrealized losses	(95)		(9,584)		(34,959)		—		(9,157)		(110,337)		(164,132)
Net realized and unrealized losses	(95)		(24,056)		(43,750)		—		(7,978)		(111,430)		(187,309)
Purchases of portfolio investments	500		215,937		50,319		—		—		13,580		280,336
Payment-in-kind interest	654		23,540		—		—		—		—		24,194
Accretion (amortization) of discounts and premiums, net	2		694		813		—		(6,979)		—		(5,470)
Repayments and sales of portfolio investments	(56)		(84,900)		(37,434)		—		(1,180)		(3,643)		(127,213)
Transfers into Level 3(1)	—		17,454		—		—		—		—		17,454
Fair value as of September 30, 2022	$	40,751	$	3,832,813	$	1,441,284	$	7,200	$	695,292	$	1,513,346	$	7,530,686

    

(1)Transfers are assumed to have occurred at the beginning of the quarter during which the asset was transferred. During the three months ended September 30, 2022 one of our first lien notes transferred out of Level 2 to Level 3 because inputs to the valuation became unobservable.

The following tables show the aggregate changes in the fair value of our Level 3 investments during the three months ended September 30, 2021:

	Fair Value Measurements Using Unobservable Inputs (Level 3)
	Control  Investments		Affiliate  Investments		Non-Control/  Non-Affiliate  Investments		Total
Fair value as of June 30, 2021	$	2,919,717	$	356,734	$	2,885,433	$	6,161,884
Net realized gains on investments	3		—		—		3
Net change in unrealized gains	122,330		6,037		12,082		140,449
Net realized and unrealized gains	122,333		6,037		12,082		140,452
Purchases of portfolio investments	19,668		202,931		127,875		350,474
Payment-in-kind interest	18,615		27		148		18,790
Accretion (amortization) of discounts and premiums, net	137		2,026		(14,163)		(12,000)
Repayments and sales of portfolio investments	(34,380)		(188,698)		(70,262)		(293,340)
Fair Value as of September 30, 2021	$	3,046,090	$	379,057	$	2,941,113	$	6,366,260

	Revolving Line of Credit		First Lien Debt		1.5 Lien Debt		Second Lien Debt		Third Lien Debt		Unsecured Debt		Subordinated Structured Notes		Equity		Total
Fair value as of June 30, 2021	$	27,503	$	3,104,139	$	18,164	$	944,123	$	3,950	$	3,715	$	756,109	$	1,304,181	$	6,161,884
Net realized gains on investments	—		—		—		—		—		3		—		—		3
Net change in unrealized gains (losses)	8		(4,403)		—		594		—		399		10,084		133,767		140,449
Net realized and unrealized gains (losses)	8		(4,403)		—		594		—		402		10,084		133,767		140,452
Purchases of portfolio investments	4,000		101,588		—		244,886		—		—		—		—		350,474
Payment-in-kind interest	—		17,037		—		1,753		—		—		—		—		18,790
Accretion (amortization) of discounts and premiums, net	—		2,856		—		568		—		—		(15,424)		—		(12,000)
Repayments and sales of portfolio investments	(32)		(140,369)		(18,164)		(134,772)		—		(3)		—		—		(293,340)
Fair value as of September 30, 2021	$	31,479	$	3,080,848	$	—	$	1,057,152	$	3,950	$	4,114	$	750,769	$	1,437,948	$	6,366,260

The net change in unrealized (losses) gains on the investments that use Level 3 inputs was $(172,715) and $142,676 for investments still held as of September 30, 2022 and September 30, 2021, respectively.

The following table shows industries that comprise of greater than 10% of our portfolio at fair value as of September 30, 2022 and June 30, 2022:

	September 30, 2022						June 30, 2022
	Cost		Fair Value		% of Portfolio		Cost		Fair Value		% of Portfolio
Equity Real Estate Investment Trusts (REITs)	$	667,016	$	1,412,730	18.6	%	$	647,316	$	1,399,857	18.4	%
Consumer Finance	580,719		748,771		9.9	%	568,739		765,168		10.1	%
All Other Industries	6,097,751		5,421,164		71.5	%	5,980,776		5,437,485		71.5	%
Total	$	7,345,486	$	7,582,665	100.0	%	$	7,196,831	$	7,602,510	100.0	%

As of September 30, 2022 investments in California comprised 10.2% of our investments at fair value, with a cost of $905,152 and a fair value of $772,462. As of June 30, 2022 investments in California comprised 10.1% of our investments at fair value, with a cost of $880,210 and a fair value of $768,646.

Impact of the coronavirus (“COVID-19”) pandemic

On March 11, 2020, the World Health Organization declared the coronavirus (the “COVID-19”) as a pandemic, and on March 13, 2020, the United States declared a national emergency with respect to COVID-19. COVID-19 had a devastating impact on the global economy, including the U.S. economy, and has resulted in a global economic recession.

In response to the COVID-19 outbreak, many states, including those in which we and our portfolio companies operate, issued orders that required the closure of non-essential businesses and/or required or encouraged residents to stay at home as to contain

or mitigate its spread, which resulted in business shutdowns, cancellations of and restrictions on events and travel, significant reductions in demand for certain goods and services, reductions in and restrictions on business activity and financial transactions, supply chain interruptions and overall economic and financial market instability both globally and in the United States. Such effects will likely continue for the duration of the pandemic, which is uncertain, and for some period thereafter. While several countries, including the United States, have relaxed or eliminated the early public health restrictions, the outbreak of new, mutated or worsening strains of the COVID-19 may result in a resurgence in the number of reported cases and hospitalizations related to the COVID-19 pandemic. Such increases in cases could lead to the re-introduction of restrictions and business shutdowns in certain states, counties and cities in the United States and globally. Despite the greater availability of vaccines within the United States, it remains unclear how quickly the vaccines will be distributed globally or whether “herd immunity” will be achieved. Additionally, various areas of everyday life continue to be impacted by detailed COVID-related protocols, and the continuation of these protocols could extend the social and economic impacts of the pandemic described above. These factors, among others, could lead people to continue to self-isolate and not participate in the economy at pre-pandemic levels for a prolonged period of time.

The COVID-19 pandemic (including the preventative measures taken in response thereto) has to date (i) created significant business disruption issues for certain of our portfolio companies, and (ii) materially and adversely impacted the value and performance of certain of our portfolio companies and SSN investments. The COVID-19 pandemic continues to have a particularly adverse impact on industries in which certain of our portfolio companies operate, including energy, hospitality, travel, retail and restaurants. Certain of our portfolio companies in other industries have also been significantly impacted. The COVID-19 pandemic is continuing as of the filing date of this Quarterly Report, and its extended duration may have further adverse impacts on our portfolio companies and SSN investments after September 30, 2022, including for the reasons described herein. As a result of this disruption and the pressures on their liquidity, certain of our portfolio companies have been, or may continue to be, incentivized to draw on most, if not all, of the unfunded portion of any revolving or delayed draw term loans made by us, subject to availability under the terms of such loans.

As a BDC, we are required to carry our investments at fair value as determined in good faith by our Board of Directors. Depending on market conditions, we could incur substantial losses in future periods, which could have a material adverse impact on our business, financial condition, and results of operations.     

Although it is difficult to predict the extent of the impact of the COVID-19 outbreak on the underlying CLO vehicles we invest in, CLO vehicles in which we invest may fail to satisfy certain financial covenants, including with respect to adequate collateralization and/or interest coverage tests. Such failure could cause the assets of the CLO vehicle to not receive full par credit for purposes of calculation of the CLO vehicle’s overcollateralization tests and as a consequence, may lead to a reduction in such CLO vehicle’s payments to us because holders of debt senior to us may be entitled to additional payments that would, in turn, reduce the payments we would otherwise be entitled to. Separately, we may incur expenses to the extent necessary to seek recovery upon default or to negotiate new terms with a defaulting CLO vehicle or any other investment we may make. If any of these occur, it could materially and adversely affect our operating results and cash flows.

The COVID-19 pandemic has adversely impacted the fair value of some of our investments that operate in the aircraft leasing, energy, and restaurant industries as of September 30, 2022, and the values assigned as of this date may differ materially from the values that we may ultimately realize with respect to our investments. The impact of the COVID-19 pandemic may not yet be fully reflected in the valuation of our investments as our valuations, and particularly valuations of private investments and private companies, are inherently uncertain, may fluctuate over short periods of time and are often based on estimates, comparisons and qualitative evaluations of private information that is often from a time period earlier, generally two to three months, than the quarter for which we are reporting. Additionally, we may not have yet received information or certifications from our portfolio companies that indicate any or the full extent of declining performance or non-compliance with debt covenants, as applicable, as a result of the COVID-19 pandemic. As a result, our valuations at September 30, 2022 may not show the complete or continuing impact of the COVID-19 pandemic and the resulting measures taken in response thereto. In addition, write downs in the value of some of our investments have reduced, and any additional write downs may further reduce, our net asset value (and, as a result, our asset coverage calculation). Accordingly, we may incur net unrealized losses or may incur realized losses after September 30, 2022, which could have a material adverse effect on our business, financial condition and results of operations.

The ranges of unobservable inputs used in the fair value measurement of our Level 3 investments as of September 30, 2022 were as follows:

				Unobservable Input
Asset Category	Fair Value		Primary Valuation Approach or Technique	Input	Range			Weighted Average (5)
First Lien Debt	$	1,839,417	Discounted cash flow (Yield analysis)	Market yield	9.0%	to	25.8%	13.3%
First Lien Debt	481,583		Enterprise value waterfall (Market approach)	EBITDA multiple	5.8x	to	10.3x	8.8x
First Lien Debt	172,571		Enterprise value waterfall (Market approach)	Revenue multiple	0.5x	to	1.5x	1.0x
First Lien Debt	54,797		Enterprise value waterfall (Discounted cash flow)	Discount rate	7.5%	to	9.5%	8.5%
First Lien Debt (1)	25,058		Enterprise value waterfall	Loss-adjusted discount rate	6.2%	to	10.5%	8.3%
				Projected loss rates	—%	to	0.8%	—%
First Lien Debt (2)	194,511		Enterprise value waterfall	Discount rate (3)	10.7%	to	17.1%	12.8%
First Lien Debt	433,259		Enterprise value waterfall (Market approach)	Tangible book value multiple	1.7x	to	2.1x	1.9x
				Earnings multiple	5.5x	to	8.0x	6.9x
First Lien Debt	20,782		Enterprise value waterfall (Market approach)	Tangible book value multiple	1.0x	to	1.5x	1.3x
First Lien Debt	651,586		Enterprise value waterfall (NAV analysis)	Capitalization rate	3.6%	to	7.5%	4.8%
Second Lien Debt	1,421,133		Discounted cash flow (Yield analysis)	Market yield	10.9%	to	29.0%	14.7%
Second Lien Debt	14,075		Enterprise value waterfall (Market approach)	Revenue multiple	1.0x	to	1.5x	1.3x
Second Lien Debt	6,076		Asset recovery analysis	Recoverable amount	n/a			n/a
Unsecured Debt	7,200		Enterprise value waterfall (Market approach)	EBITDA multiple	5.8x	to	6.8x	6.3x
Subordinated Structured Notes	695,292		Discounted cash flow	Discount rate (3)	2.5%	to	31.6%	21.6%
Preferred Equity	25,927		Enterprise value waterfall (Market approach)	Revenue multiple	0.6x	to	1.5x	1.0x
Preferred Equity	5,418		Enterprise value waterfall (Market approach)	EBITDA multiple	7.5x	to	9.5x	8.6x
Preferred Equity	7,225		Enterprise value waterfall (Discounted cash flow)	Discount rate	7.5%	to	9.5%	8.5%
Common Equity/Interests/Warrants	426,796		Enterprise value waterfall (Market approach)	EBITDA multiple	4.0x	to	10.3x	8.3x
Common Equity/Interests/Warrants	87		Enterprise value waterfall (Market approach)	Revenue multiple	0.3x	to	1.5x	0.4x
Common Equity/Interests/Warrants (1)	2,053		Enterprise value waterfall	Loss-adjusted discount rate	6.2%	to	10.5%	8.3%
				Projected loss rates	—%	to	0.8%	—%
Common Equity/Interests/Warrants (2)	30,723		Enterprise value waterfall	Discount rate (3)	10.7%	to	17.1%	12.8%
Common Equity/Interests/Warrants (4)	60,697		Enterprise value waterfall (NAV analysis)	Capitalization Rate	3.6%	to	7.5%	4.8%
Common Equity/Interests/Warrants	239,480		Enterprise value waterfall (Market approach)	Tangible book value multiple	1.7x	to	2.1x	1.9x
				Earnings multiple	5.5x	to	8.0x	7.0x
Common Equity/Interests/Warrants	28,569		Enterprise value waterfall (Market approach)	Tangible book value multiple	1.0x	to	1.5x	1.3x
Common Equity/Interests/Warrants	667,671		Enterprise value waterfall (NAV analysis)	Capitalization rate	3.6%	to	7.5%	4.8%
Common Equity/Interests/Warrants	5,388		Enterprise value waterfall (Discounted cash flow)	Discount Rate	12.8%	to	30.0%	21.6%

				Unobservable Input
Asset Category	Fair Value		Primary Valuation Approach or Technique	Input	Range	Weighted Average (5)
Common Equity/Interests/Warrants	13,312		Asset recovery analysis	Recoverable amount	n/a	n/a
Total Level 3 Investments	$	7,530,686

(1)Represents an investment in a Real Estate Investment Trust subsidiary. The Enterprise Value analysis includes the fair value of our investments in such indirect subsidiary’s consumer loans purchased from online consumer lending platforms, which are valued using a discounted cash flow valuation technique.

(2)Represents an investment in a Real Estate Investment Trust subsidiary. The Enterprise Value analysis includes the fair value of our investments in such indirect subsidiary’s rated secured structured notes, which are valued using a discounted cash flow valuation technique. The key unobservable input to the discounted cash flow analysis is noted above.

(3)Represents the implied discount rate based on our internally generated single-cash flow model that is derived from the fair value estimated by the corresponding multi-path cash flow model utilized by the independent valuation firm.

(4)Represents Residual Profit Interests in Real Estate Investments.

(5)The weighted average information is generally derived by assigning each disclosed unobservable input a proportionate weight based on the fair value of the related investment. For the Loss-adjusted discount rate and Projected loss rate unobservable inputs of investments represented in (1), the weighted average is determined based on the purchase yield of recently issued loans within each respective term-grade cohort.

The ranges of unobservable inputs used in the fair value measurement of our Level 3 investments as of June 30, 2022 were as follows:

				Unobservable Input
Asset Category	Fair Value		Primary Valuation Approach or Technique	Input	Range			Weighted Average (5)
First Lien Debt	$	1,722,265	Discounted cash flow (Yield analysis)	Market yield	8.1%	to	16.9%	11.7%
First Lien Debt	528,312		Enterprise value waterfall (Market approach)	EBITDA multiple	6.0x	to	10.5x	9.0x
First Lien Debt	108,222		Enterprise value waterfall (Market approach)	Revenue multiple	0.5x	to	1.2x	0.9x
First Lien Debt	53,209		Enterprise value waterfall (Discounted cash flow)	Discount rate	8.8%	to	10.8%	9.8%
First Lien Debt	12,199		Asset recovery analysis	Recoverable amount	n/a			n/a
First Lien Debt (1)	29,080		Enterprise value waterfall	Loss-adjusted discount rate	5.6%	to	9.4%	8.1%
				Projected loss rates	—%	to	1.6%	—%
First Lien Debt (2)	186,800		Enterprise value waterfall	Discount rate (3)	9.2%	to	14.8%	11.1%
First Lien Debt	432,057		Enterprise value waterfall (Market approach)	Tangible book value multiple	2.2x	to	3.0x	2.7x
				Earnings multiple	4.8x	to	7.5x	7.0x
First Lien Debt	20,260		Enterprise value waterfall (Market approach)	Tangible book value multiple	1.3x	to	1.5x	1.4x
First Lien Debt	631,486		Enterprise value waterfall (NAV analysis)	Capitalization Rate	3.3%	to	7.5%	4.5%
Second Lien Debt	1,460,277		Discounted cash flow (Yield analysis)	Market yield	9.6%	to	25.0%	13.0%
Second Lien Debt	4,952		Enterprise value waterfall (Market approach)	Revenue multiple	0.8x	to	1.0x	0.9x
Second Lien Debt	6,107		Asset recovery analysis	Recoverable amount	n/a			n/a
Unsecured Debt	7,200		Enterprise value waterfall (Market approach)	Revenue multiple	0.5x	to	0.6x	0.5x
Subordinated Structured Notes	711,429		Discounted cash flow	Discount rate (3)	6.9%	to	30.5%	18.7%
Preferred Equity	33,355		Enterprise value waterfall (Market approach)	Revenue multiple	0.8x	to	1.5x	1.2x
Preferred Equity	1,807		Enterprise value waterfall (Market approach)	EBITDA multiple	3.8x	to	4.8x	4.3x
Preferred Equity	12,557		Enterprise value waterfall (Market approach)	Discount rate	8.8%	to	10.8%	9.8%
Common Equity/Interests/Warrants	493,322		Enterprise value waterfall (Market approach)	EBITDA multiple	1.8x	to	10.5x	8.8x
Common Equity/Interests/Warrants	3,613		Enterprise value waterfall (Market approach)	Revenue multiple	0.4x	to	1.0x	0.5x
Common Equity/Interests/Warrants (1)	8,994		Enterprise value waterfall	Loss-adjusted discount rate	5.6%	to	9.4%	8.1%
				Projected loss rates	—%	to	1.6%	—%
Common Equity/Interests/Warrants (2)	30,386		Enterprise value waterfall	Discount rate (3)	9.2%	to	14.8%	11.1%
Common Equity/Interests/Warrants (4)	60,749		Enterprise value waterfall (NAV analysis)	Capitalization Rate	3.3%	to	7.5%	4.5%
Common Equity/Interests/Warrants	252,161		Enterprise value waterfall (Market approach)	Tangible book value multiple	2.2x	to	3.0x	2.8x
				Earnings multiple	4.8x	to	7.5x	7.0x
Common Equity/Interests/Warrants	30,140		Enterprise value waterfall (Market approach)	Tangible book value multiple	1.3x	to	1.5x	1.4x
Common Equity/Interests/Warrants	668,242		Enterprise value waterfall (NAV analysis)	Capitalization Rate	3.3%	to	7.5%	4.5%
Common Equity/Interests/Warrants	5,614		Enterprise value waterfall (Discounted cash flow)	Discount rate	12.5%	to	30.0%	21.2%
Common Equity/Interests/Warrants	13,899		Asset recovery analysis	Recoverable amount	n/a			n/a
Total Level 3 Investments	$	7,528,694

(1)Represents an investment in a Real Estate Investment Trust subsidiary. The Enterprise Value analysis includes the fair value of our investments in such indirect subsidiary’s consumer loans purchased from online consumer lending platforms, which are valued using a discounted cash flow valuation technique.

(2)Represents an investment in a Real Estate Investment Trust subsidiary. The Enterprise Value analysis includes the fair value of our investments in such indirect subsidiary’s rated secured structured notes, which are valued using a discounted cash flow valuation technique. The key unobservable input to the discounted cash flow analysis is noted above.

(3)Represents the implied discount rate based on our internally generated single-cash flow model that is derived from the fair value estimated by the corresponding multi-path cash flow model utilized by the independent valuation firm.

(4)Represents Residual Profit Interests in Real Estate Investments.

(5)The weighted average information is generally derived by assigning each disclosed unobservable input a proportionate weight based on the fair value of the related investment. For the Loss-adjusted discount rate and Projected loss rate unobservable inputs of investments represented in (1), the weighted average is determined based on the purchase yield of recently issued loans within each respective term-grade cohort.

Investments for which market quotations are readily available must be valued at such market quotations. In order to validate market quotations, management and the independent valuation firm look at a number of factors to determine if the quotations are representative of fair value, including the source and nature of the quotations. These investments are classified as Level 1 or Level 2 in the fair value hierarchy.

The fair value of debt investments specifically classified as Level 2 in the fair value hierarchy are generally valued by an independent pricing agent or more than one principal market maker, if available, otherwise a principal market maker or a primary market dealer. We generally value over-the-counter securities by using the prevailing bid and ask prices from dealers during the relevant period end, which were provided by an independent pricing agent and screened for validity by such service.

In determining the range of values for debt instruments where market quotations are not available, and are therefore classified as Level 3 in the fair value hierarchy, except CLOs and debt investments in controlling portfolio companies, management and the independent valuation firm estimated corporate and security credit ratings and identified corresponding yields to maturity for each loan from relevant market data. A discounted cash flow technique was then applied using the appropriate yield to maturity as the discount rate, to determine a range of values. In determining the range of values for debt investments of controlled companies and equity investments, the enterprise value was determined by applying a market approach such as using earnings before interest, taxes, depreciation and amortization (“EBITDA”) multiples, net income and/or book value multiples for similar guideline public companies and/or similar recent investment transactions and/or an income approach, such as the discounted cash flow technique. The enterprise value technique may also be used to value debt investments which are credit impaired. For stressed debt and equity investments, asset recovery analysis was used.

In determining the range of values for our investments in CLOs, the independent valuation firm uses a discounted multi-path cash flow model. The valuations were accomplished through the analysis of the CLO deal structures to identify the risk exposures from the modeling point of view as well as to determine an appropriate call date (i.e., expected maturity). These risk factors are sensitized in the multi-path cash flow model using Monte Carlo simulations to generate probability-weighted (i.e., multi-path) cash flows for the underlying assets and liabilities. These cash flows are discounted using appropriate market discount rates, and relevant data in the CLO market and certain benchmark credit indices are considered, to determine the value of each CLO investment. In addition, we generate a single-path cash flow utilizing our best estimate of expected cash receipts, and assess the reasonableness of the implied discount rate that would be effective for the value derived from the corresponding multi-path cash flow model.

Our portfolio consists of residual interests and debt investments in CLOs, which involve a number of significant risks. CLOs are typically very highly levered (10 - 14 times), and therefore the residual interest tranches that we invest in are subject to a higher degree of risk of total loss. In particular, investors in CLO residual interests indirectly bear risks of the underlying loan investments held by such CLOs. We generally have the right to receive payments only from the CLOs, and generally do not have direct rights against the underlying borrowers or the entity that sponsored the CLOs. While the CLOs we target generally enable the investor to acquire interests in a pool of senior loans without the expenses associated with directly holding the same investments, the prices of indices and securities underlying our CLOs will rise or fall. These prices (and, therefore, the prices of the CLOs) will be influenced by the same types of political and economic events that affect issuers of securities and capital markets generally. The failure by a CLO investment in which we invest to satisfy financial covenants, including with respect to adequate collateralization and/or interest coverage tests, could lead to a reduction in its payments to us. In the event that a CLO

fails certain tests, holders of debt senior to us would be entitled to additional payments that would, in turn, reduce the payments we would otherwise be entitled to receive. Separately, we may incur expenses to the extent necessary to seek recovery upon default or to negotiate new terms with a defaulting CLO or any other investment we may make. If any of these occur, it could materially and adversely affect our operating results and cash flows.

The interests we have acquired in CLOs are generally thinly traded or have only a limited trading market. CLOs are typically privately offered and sold, even in the secondary market. As a result, investments in CLOs may be characterized as illiquid securities. In addition to the general risks associated with investing in debt securities, CLO residual interests carry additional risks, including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) our investments in CLO tranches will likely be subordinate to other senior classes of note tranches thereof; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the CLO investment or unexpected investment results. Our net asset value may also decline over time if our principal recovery with respect to CLO residual interests is less than the cost of those investments. Our CLO investments and/or the CLOs’ underlying senior secured loans may prepay more quickly than expected, which could have an adverse impact on our value. These investments are classified as Level 3 in the fair value hierarchy.

An increase in LIBOR would materially increase the CLO’s financing costs. Since most of the collateral positions within the CLOs have LIBOR floors, there may not be corresponding increases in investment income (if LIBOR increases but stays below the LIBOR floor rate of such investments) resulting in materially smaller distribution payments to the residual interest investors.

We hold more than a 10% interest in certain foreign corporations that are treated as controlled foreign corporations (“CFC”) for U.S. federal income tax purposes (including our residual interest tranche investments in CLOs). Therefore, we are treated as receiving a deemed distribution (taxable as ordinary income) each year from such foreign corporations in an amount equal to our pro rata share of the corporation’s income for that tax year (including both ordinary earnings and capital gains). We are required to include such deemed distributions from a CFC in our taxable income and we are required to distribute at least 90% of such income to maintain our RIC status, regardless of whether or not the CFC makes an actual distribution during such year.

If we acquire shares in “passive foreign investment companies” (“PFICs”) (including residual interest tranche investments in CLOs that are PFICs), we may be subject to federal income tax on a portion of any “excess distribution” or gain from the disposition of such shares even if such income is distributed as a taxable dividend to our stockholders. Certain elections may be available to mitigate or eliminate such tax on excess distributions, but such elections (if available) will generally require us to recognize our share of the PFIC’s income for each year regardless of whether we receive any distributions from such PFICs. We must nonetheless distribute such income to maintain our status as a RIC.

Legislation known as FATCA and regulations thereunder impose a withholding tax of 30% on payments of U.S. source interest and dividends, to certain non-U.S. entities, including certain non-U.S. financial institutions and investment funds, unless such non-U.S. entity complies with certain reporting requirements regarding its United States account holders and its United States owners. Most CLOs in which we invest will be treated as non-U.S. financial entities for this purpose, and therefore will be required to comply with these reporting requirements to avoid the 30% withholding. If a CLO in which we invest fails to properly comply with these reporting requirements, it could reduce the amounts available to distribute to residual interest and junior debt holders in such CLO vehicle, which could materially and adversely affect our operating results and cash flows.

If we are required to include amounts in income prior to receiving distributions representing such income, we may have to sell some of our investments at times and/or at prices management would not consider advantageous, raise additional debt or equity capital or forgo new investment opportunities for this purpose.

The significant unobservable input used to value our investments based on the yield technique and discounted cash flow technique is the market yield (or applicable discount rate) used to discount the estimated future cash flows expected to be received from the underlying investment, which includes both future principal and interest/dividend payments. Increases or decreases in the market yield (or applicable discount rate) would result in a decrease or increase, respectively, in the fair value measurement. Management and the independent valuation firms consider the following factors when selecting market yields or discount rates: risk of default, rating of the investment and comparable company investments, and call provisions.

The significant unobservable inputs used to value our investments based on the EV analysis may include market multiples of specified financial measures such as EBITDA, net income, or book value of identified guideline public companies, implied valuation multiples from precedent M&A transactions, and/or discount rates applied in a discounted cash flow technique. The independent valuation firm identifies a population of publicly traded companies with similar operations and key attributes to that of the portfolio company. Using valuation and operating metrics of these guideline public companies and/or as implied by relevant precedent transactions, a range of multiples of the latest twelve months EBITDA, or other measure such as net income or book value, is typically calculated. The independent valuation firm utilizes the determined multiples to estimate the portfolio company’s EV generally based on the latest twelve months EBITDA of the portfolio company (or other meaningful measure). Increases or decreases in the multiple would result in an increase or decrease, respectively, in EV which would result in an increase or decrease in the fair value measurement of the debt of controlled companies and/or equity investment, as applicable. In certain instances, a discounted cash flow analysis may be considered in estimating EV, in which case, discount rates based on a weighted average cost of capital and application of the capital asset pricing model may be utilized.

The significant unobservable input used to value our private REIT investments based on the net asset value analysis is the capitalization rate applied to the earnings measure of the underlying property. Increases or decreases in the capitalization rate would result in a decrease or increase, respectively, in the fair value measurement.

Changes in market yields, discount rates, capitalization rates or EBITDA multiples, each in isolation, may change the fair value measurement of certain of our investments. Generally, an increase in market yields, discount rates or capitalization rates, or a decrease in EBITDA (or other) multiples may result in a decrease in the fair value measurement of certain of our investments.

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of our investments may fluctuate from period to period. Additionally, the fair value of our investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values that we may ultimately realize. Further, such investments are generally subject to legal and other restrictions on resale or otherwise are less liquid than publicly traded securities. If we were required to liquidate a portfolio investment in a forced or liquidation sale, we could realize significantly less than the value at which we have recorded it.

In addition, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different than the unrealized gains or losses reflected in the currently assigned valuations.

Changes in Valuation Techniques

During the three months ended September 30, 2022, the valuation methodology for DTI Holdco, Inc. (“Epiq”) for the First Lien Term Loan changed from the yield approach to incorporate a combination of the yield approach and market quotes, which were more active in the current period. As a result of widening market spreads and a decrease in the quoted price of the First Lien Term Loan, the fair value of our investment in Epiq First Lien Term Loan decreased to $18,089 as of September 30, 2022, a discount of $63 from its amortized cost, compared to the $301 unrealized appreciation recorded at June 30, 2022.

During the three months ended September 30, 2022, the valuation methodology for K&N Parent, Inc. (“K&N”) changed from a combination of the yield approach and Current Value Method (“CVM”) to a Scenario Analysis, which incorporates the CVM approach, Option Pricing Method (“OPM”), and Recovery Analysis, due to a decline in company performance and enterprise value. As a result, our investment in K&N decreased to $14,075 as of September 30, 2022, a discount of $11,643 from its amortized cost, compared to the $1,360 unrealized discount recorded at June 30, 2022.

During the three months ended September 30, 2022, the valuation methodology for National Property REIT Corp. (“NPRC”) changed from the direct capitalization method to a combination of the direct capitalization method and the discounted cash flow method, due to a reduction in collaborative capitalization rate market data. Our investment in NPRC was valued at $1,632,298 as of September 30, 2022, a premium of $744,002 from its amortized cost, compared to the $752,541 unrealized appreciation recorded at June 30, 2022.

During the three months ended September 30, 2022, the valuation methodology for Rising Tide Holdings, Inc. (“West Marine”) changed from the yield approach to incorporate a combination of the yield and CVM approach, given the decline in company performance and increase in net leverage. As a result, the fair value of our investment in West Marine decreased to $19,717 as of September 30, 2022, a discount of $2,996 to its amortized cost, compared to the unrealized discount of $1,119 recorded at June 30, 2022.

During the three months ended September 30, 2022, the valuation methodology for Shutterfly, LLC (“Shutterfly”) changed from market quotes to a combination of market quotes and the yield method, due to a decrease in average liquidity of market quotes. As a result of the decrease in market quotes, the fair value of our investment in Shutterfly decreased to $16,946 as of

September 30, 2022, a discount of $3,271 from its amortized cost, compared to the $2,758 unrealized discount recorded at June 30, 2022.

During the three months ended September 30, 2022, the valuation methodology for Vision Solutions, Inc (“Precisely”) changed from a combination of the yield method and market quotes to rely solely on the yield method, since market quotes for the Second Lien Term Loan were less active in the current period. As a result of decreased market quotes of the Precisely First Lien Term Loan, which were used to derive the relative value of the Second Lien Term Loan, the fair value of our investment in Precisely Second Lien Term Loan decreased to $76,383 as of September 30, 2022, a discount of $2,862 from its amortized cost, compared to the $896 unrealized discount recorded at June 30, 2022.

Credit Quality Indicators and Undrawn Commitments

As of September 30, 2022, $4,654,842 of our loans to portfolio companies, at fair value, bear interest at floating rates and have LIBOR or SOFR floors ranging from 0.0% - 3.0%. As of September 30, 2022, $719,185 of our loans to portfolio companies, at fair value, bear interest at fixed rates ranging from 7.5% to 22.0%. As of June 30, 2022, $4,544,854 of our loans to portfolio companies, at fair value, bore interest at floating rates and have LIBOR floors ranging from 0.0% to 3.0%. As of June 30, 2022, $731,388 of our loans to portfolio companies, at fair value, bore interest at fixed rates ranging from 1.0% to 22.0%

As of September 30, 2022 and June 30, 2022, the cost basis of our loans on non-accrual status amounted to $169,948 and $181,393 respectively, with fair value of $23,631 and $31,454, respectively. The fair values of these investments represent approximately 0.3% and 0.4% of our total assets at fair value as of September 30, 2022 and June 30, 2022, respectively.

Undrawn committed revolvers and delayed draw term loans to our portfolio companies incur commitment and unused fees ranging from 0.00% to 7.25%. As of September 30, 2022 and June 30, 2022, we had $43,434 and $43,934, respectively, of undrawn revolver and delayed draw term loan commitments to our portfolio companies. The fair value of our undrawn committed revolvers and delayed draw term loans was zero as of September 30, 2022 and June 30, 2022 as they were all floating rate instruments that repriced frequently.

National Property REIT Corp.

Prospect owns 100% of the equity of NPH Property Holdings, LLC (“NPH”), a consolidated holding company which owns 100% of the common equity of NPRC.

NPRC is a Maryland corporation and a qualified REIT for federal income tax purposes. NPRC was formed to hold for investment, operate, finance, lease, manage, and sell a portfolio of real estate assets and engage in any and all other activities as may be necessary, incidental or convenient to carry out the foregoing. NPRC acquires real estate assets, including, but not limited to, industrial, commercial, and multi-family properties. NPRC may acquire real estate assets directly or through joint ventures by making a majority equity investment in a property-owning entity (“JV”). Additionally, through its wholly-owned subsidiaries, NPRC invests in online consumer loans and rated secured structured notes (“RSSN”).

During the three months ended September 30, 2022, we received partial repayments of $48,500 of our loans previously outstanding with NPRC and its wholly owned subsidiaries and $4,000 as a return of capital on our equity investment in NPRC. During the three months ended September 30, 2022, we provided $74,000 of debt financing and $3,600 of equity financing to NPRC to fund capital expenditures for existing real estate properties, to provide working capital, and to fund purchases of rated secured structured notes.

The online consumer loan investments held by certain of NPRC’s wholly owned subsidiaries are unsecured obligations of individual borrowers that are issued in amounts ranging from $1 to $50, with fixed terms ranging from 60 months to 84 months. As of September 30, 2022, the outstanding investment in online consumer loans by certain of NPRC’s wholly-owned subsidiaries was comprised of 311 individual loans, residual interest in three securitizations, and one high yield corporate bond, and had an aggregate fair value of $25,741. The average outstanding individual loan balance is approximately $3 and the loans mature on dates ranging from October 1, 2022 to April 19, 2025 with a weighted-average outstanding term of 12 months as of September 30, 2022. Fixed interest rates range from 8.0% to 36.0% with a weighted-average current interest rate of 19.4%. As of September 30, 2022, our investment in NPRC and its wholly-owned subsidiaries relating to online consumer lending had a fair value of $25,058.

As of September 30, 2022, based on outstanding principal balance, 29.0% of the online consumer loan portfolio held by certain of NPRC’s wholly-owned subsidiaries was invested in super prime loans (borrowers with a Fair Isaac Corporation (“FICO”) score, of 720 or greater), 39.6% of the portfolio in prime loans (borrowers with a FICO score of 660 to 719) and 31.4% of the portfolio in near prime loans (borrowers with a FICO score of 580 to 659, a portion of which are considered sub-prime).

Loan Type	Outstanding Principal Balance		Fair Value		Interest Rate Range			Weighted Average Interest Rate*
Super Prime	$	252	$	250	8.0%	-	20.5%	12.2%
Prime	344		337		12.0%	-	25.0%	19.0%
Near Prime	273		270		19.5%	-	36.0%	26.4%

*Weighted by outstanding principal balance of the online consumer loans.

The rated secured structured note investments held by certain of NPRC’s wholly owned subsidiaries are subordinated debt interests in broadly syndicated loans managed by established collateral management teams with many years of experience in the industry. As of September 30, 2022, the outstanding investment in rated secured structured notes by certain of NPRC’s wholly owned subsidiaries was comprised of 94 investments with a fair value of $420,627 and face value of $448,235. The average outstanding note is approximately $4,768 with an expected maturity date ranging from April 2026 to October 2033 and weighted-average expected maturity of 6 years as of September 30, 2022. Coupons range from three-month LIBOR (“3ML”) plus 5.20% to 9.23% with a weighted-average coupon of 3ML + 6.93%. As of September 30, 2022, our investment in NPRC and its wholly-owned subsidiaries relating to rated secured structured notes had a fair value of $194,510.

As of September 30, 2022, based on outstanding notional balance, 12.6% of the portfolio was invested in Single - B rated tranches and 87.4% of the portfolio in BB rated tranches.

As of September 30, 2022, our investment in NPRC and its wholly owned subsidiaries had an amortized cost of $888,296 and a fair value of $1,632,298, including our investment in online consumer lending and rated secured structured notes as discussed above. The fair value of $1,412,730 related to NPRC’s real estate portfolio was comprised of forty-seven multi-family properties, eight student housing properties, four senior living properties, and three commercial properties. The following table shows the location, acquisition date, purchase price, and mortgage outstanding due to other parties for each of the properties held by NPRC as of September 30, 2022:

No.	Property Name	City	Acquisition Date	Purchase Price		Mortgage Outstanding
1	Filet of Chicken	Forest Park, GA	10/24/2012	$	7,400	$	—
2	Arlington Park Marietta, LLC	Marietta, GA	5/8/2013	14,850		13,494
3	Taco Bell, OK	Yukon, OK	6/4/2014	1,719		—
4	Taco Bell, MO	Marshall, MO	6/4/2014	1,405		—
5	Abbie Lakes OH Partners, LLC	Canal Winchester, OH	9/30/2014	12,600		15,015
6	Kengary Way OH Partners, LLC	Reynoldsburg, OH	9/30/2014	11,500		15,179
7	Lakeview Trail OH Partners, LLC	Canal Winchester, OH	9/30/2014	26,500		28,957
8	Lakepoint OH Partners, LLC	Pickerington, OH	9/30/2014	11,000		16,478
9	Sunbury OH Partners, LLC	Columbus, OH	9/30/2014	13,000		16,710
10	Heatherbridge OH Partners, LLC	Blacklick, OH	9/30/2014	18,416		23,881
11	Jefferson Chase OH Partners, LLC	Blacklick, OH	9/30/2014	13,551		18,593
12	Goldenstrand OH Partners, LLC	Hilliard, OH	10/29/2014	7,810		11,333
13	SSIL I, LLC	Aurora, IL	11/5/2015	34,500		25,268
14	Vesper Tuscaloosa, LLC	Tuscaloosa, AL	9/28/2016	54,500		42,402
15	Vesper Iowa City, LLC	Iowa City, IA	9/28/2016	32,750		24,453
16	Vesper Corpus Christi, LLC	Corpus Christi, TX	9/28/2016	14,250		10,638
17	Vesper Campus Quarters, LLC	Corpus Christi, TX	9/28/2016	18,350		13,963
18	Vesper College Station, LLC	College Station, TX	9/28/2016	41,500		31,578
19	Vesper Kennesaw, LLC	Kennesaw, GA	9/28/2016	57,900		50,291
20	Vesper Statesboro, LLC	Statesboro, GA	9/28/2016	7,500		7,480
21	Vesper Manhattan KS, LLC	Manhattan, KS	9/28/2016	23,250		14,679
22	9220 Old Lantern Way, LLC	Laurel, MD	1/30/2017	187,250		153,580
23	7915 Baymeadows Circle Owner, LLC	Jacksonville, FL	10/31/2017	95,700		90,768
24	8025 Baymeadows Circle Owner, LLC	Jacksonville, FL	10/31/2017	15,300		15,784
25	23275 Riverside Drive Owner, LLC	Southfield, MI	11/8/2017	52,000		54,504
26	23741 Pond Road Owner, LLC	Southfield, MI	11/8/2017	16,500		18,894
27	150 Steeplechase Way Owner, LLC	Largo, MD	1/10/2018	44,500		36,668
28	Olentangy Commons Owner LLC	Columbus, OH	6/1/2018	113,000		92,876

No.	Property Name	City	Acquisition Date	Purchase Price		Mortgage Outstanding
29	Villages of Wildwood Holdings LLC	Fairfield, OH	7/20/2018	46,500		58,393
30	Falling Creek Holdings LLC	Richmond, VA	8/8/2018	25,000		25,374
31	Crown Pointe Passthrough LLC	Danbury, CT	8/30/2018	108,500		89,400
32	Lorring Owner LLC	Forestville, MD	10/30/2018	58,521		47,680
33	Hamptons Apartments Owner, LLC	Beachwood, OH	1/9/2019	96,500		79,520
34	5224 Long Road Holdings, LLC	Orlando, FL	6/28/2019	26,500		21,200
35	Druid Hills Holdings LLC	Atlanta, GA	7/30/2019	96,000		79,104
36	Bel Canto NPRC Parcstone LLC	Fayetteville, NC	10/15/2019	45,000		42,793
37	Bel Canto NPRC Stone Ridge LLC	Fayetteville, NC	10/15/2019	21,900		21,545
38	Sterling Place Holdings LLC	Columbus, OH	10/28/2019	41,500		34,196
39	SPCP Hampton LLC	Dallas, TX	11/2/2020	36,000		27,590
40	Palmetto Creek Holdings LLC	North Charleston, SC	11/10/2020	33,182		25,865
41	Valora at Homewood Holdings LLC	Homewood, AL	11/19/2020	81,250		63,844
42	NPRC Fairburn LLC	Fairburn, GA	12/14/2020	52,140		43,900
43	NPRC Grayson LLC	Grayson, GA	12/14/2020	47,860		40,500
44	NPRC Taylors LLC	Taylors, SC	1/27/2021	18,762		14,075
45	Parkside at Laurel West Owner LLC	Spartanburg, SC	2/26/2021	57,005		42,025
46	Willows at North End Owner LLC	Spartanburg, SC	2/26/2021	23,255		19,000
47	SPCP Edge CL Owner LLC	Webster, TX	3/12/2021	34,000		25,496
48	Jackson Pear Orchard LLC	Ridgeland, MS	6/28/2021	50,900		38,175
49	Jackson Lakeshore Landing LLC	Ridgeland, MS	6/28/2021	22,600		16,950
50	Jackson Reflection Pointe LLC	Flowood, MS	6/28/2021	45,100		31,050
51	Jackson Crosswinds LLC	Pearl, MS	6/28/2021	41,400		33,825
52	Elliot Apartments Norcross, LLC	Norcross, GA	11/30/2021	128,000		100,573
53	Orlando 442 Owner, LLC (West Vue Apartments)	Orlando, FL	12/30/2021	97,500		73,000
54	NPRC Wolfchase LLC	Memphis, TN	3/18/2022	82,100		60,000
55	NPRC Twin Oaks LLC	Hattiesburg. MS	3/18/2022	44,850		33,830
56	NPRC Lancaster LLC	Birmingham, AL	3/18/2022	37,550		28,350
57	NPRC Rutland LLC	Macon, GA	3/18/2022	29,750		22,500
58	Southport Owner LLC (Southport Crossing)	Indianapolis, IN	3/29/2022	48,100		36,075
59	TP Cheyenne, LLC	Cheyenne, WY	5/26/2022	27,500		17,656
60	TP Pueblo, LLC	Pueblo, CO	5/26/2022	31,500		20,166
61	TP Stillwater, LLC	Stillwater, OK	5/26/2022	26,100		15,328
62	TP Kokomo, LLC	Kokomo, IN	5/26/2022	20,500		12,753
				$	2,631,326	$	2,185,197

Unconsolidated Significant Subsidiaries

Our investments are generally in small and mid-sized companies in a variety of industries. In accordance with Regulation S-X 3-09 and Regulation S-X 4-08(g), we must determine which of our unconsolidated controlled portfolio companies are considered “significant subsidiaries,” if any, as defined in Rule 1-02(w)(2) for BDC’s and closed end investment companies. Regulation S-X 3-09 requires separate audited financial statements of an unconsolidated subsidiary in an annual report. Regulation S-X 4-08(g) requires summarized financial information in an annual report.

Pursuant to Regulation S-X 10-01(b), Interim Financial Statements, summarized interim income statement information is required for an unconsolidated subsidiary within a quarterly report if the unconsolidated subsidiary would otherwise require separate audited financial statements within an annual report pursuant to Regulation S-X 3-09.

During the three months ended September 30, 2022, NPRC was deemed to be a significant subsidiary. The following table shows summarized income statement information for NPRC for the periods included in this quarterly report:

	Three Months Ended September 30,
Summary Statement of Operations	2022		2021
Total income	$	103,621	$	94,370
Operating expenses	52,484		46,153
Operating income	51,137		48,217
Interest expense	(69,479)		(51,732)
Depreciation and amortization	(29,323)		(29,165)
Fair value adjustment	(7,068)		2,132
Net loss	$	(54,733)	$	(30,548)