Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2023

Schedule of Portfolio Investments by Level in the Fair Value Hierarchy

The following table presents fair value measurements of the Company’s portfolio investments as of March 31, 2023 and December 31, 2022, according to the fair value hierarchy:


	March 31, 2023(1)								December 31, 2022(2)
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Senior secured first lien debt	$	—	$	—	$	1,472,453	$	1,472,453	$	—	$	—	$	1,579,512	$	1,579,512
Senior secured second lien debt	—		—		38,997		38,997		—		—		38,769		38,769

Collateralized securities and structured products - equity	—		—		1,133		1,133		—		—		1,179		1,179
Unsecured debt	—		—		15,517		15,517		—		—		22,643		22,643
Equity	2,204		—		100,958		103,162		2,341		—		73,951		76,292
Short term investments	66,326		—		—		66,326		10,869		—		—		10,869
Total Investments	$	68,530	$	—	$	1,629,058	$	1,697,588	$	13,210	$	—	$	1,716,054	$	1,729,264

(1)Excludes the Company's $25,764 investment in CION/EagleTree, which is measured at NAV.

(2)Excludes the Company's $30,766 investment in CION/EagleTree, which is measured at NAV.

Schedule of Changes in Level 3 Portfolio Investments

The following tables provide a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three months ended March 31, 2023 and 2022:


	Three Months Ended March 31, 2023
	Senior Secured First Lien Debt		Senior Secured Second Lien Debt		Collateralized Securities and Structured Products - Equity		Unsecured Debt		Equity		Total
Beginning balance, December 31, 2022	$	1,579,512	$	38,769	$	1,179	$	22,643	$	73,951	$	1,716,054
Investments purchased(2)(3)	40,752		—		—		—		35,933		76,685
Net realized loss	(4,511)		—		—		—		(14)		(4,525)
Net change in unrealized (depreciation) appreciation	(35,394)		163		35		(7,130)		(8,912)		(51,238)
Accretion of discount	4,269		69		—		4		—		4,342
Sales and principal repayments(3)	(112,175)		(4)		(81)		—		—		(112,260)
Ending balance, March 31, 2023	$	1,472,453	$	38,997	$	1,133	$	15,517	$	100,958	$	1,629,058
Change in net unrealized (depreciation) appreciation on investments still held as of March 31, 2023(1)	$	(34,672)	$	163	$	35	$	(7,130)	$	(8,912)	$	(50,516)

(1)Included in net change in unrealized depreciation on investments in the consolidated statements of operations.

(2)Investments purchased includes PIK interest.

(3)Includes non-cash restructured securities.


	Three Months Ended March 31, 2022
	Senior Secured First Lien Debt		Senior Secured Second Lien Debt		Collateralized Securities and Structured Products - Equity		Unsecured Debt		Equity		Total
Beginning balance, December 31, 2021	$	1,526,989	$	38,583	$	2,998	$	26,616	$	37,736	$	1,632,922
Investments purchased(2)	141,792		—		—		623		1,125		143,540
Net realized (loss) gain	(73)		4		—		—		—		(69)
Net change in unrealized (depreciation) appreciation	(12,906)		(1,800)		(176)		37		3,544		(11,301)
Accretion of discount	2,404		88		—		4		—		2,496
Sales and principal repayments	(60,842)		—		(190)		—		—		(61,032)
Ending balance, March 31, 2022	$	1,597,364	$	36,875	$	2,632	$	27,280	$	42,405	$	1,706,556
Change in net unrealized (depreciation) appreciation on investments still held as of March 31, 2022(1)	$	(12,710)	$	(1,800)	$	(176)	$	37	$	3,544	$	(11,105)

(1)Included in net change in unrealized depreciation on investments in the consolidated statements of operations.

(2)Investments purchased includes PIK interest.

Schedule of Fair Value Measurement Inputs and Valuation Techniques

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of investments as of March 31, 2023 and December 31, 2022 were as follows:

March 31, 2023

Fair Value

Valuation Techniques/
Methodologies

Unobservable
Inputs

Range

Weighted Average(1)

Senior secured first lien debt

1,258,936

Discounted Cash Flow

Discount Rates

6.5%

—

35.0%

13.9%

124,286

Broker Quotes

N/A

45,643

Market Comparable Approach

Revenue Multiple

0.20x

—

1.55x

0.62x

39,376

EBITDA Multiple

5.75x

—

12.5x

10.45x

3,837

$ per kW

$131.85

N/A

375

Other(2)

N/A

Senior secured second lien debt

38,997

Discounted Cash Flow

Discount Rates

10.3%

—

22.5%

15.6%

Collateralized securities and structured products - equity

1,133

Discounted Cash Flow

Discount Rates

21.0%

N/A

Unsecured debt

8,132

Contingent Claims Analysis

Expected Volatility

110.0%

N/A

7,385

Discounted Cash Flow

Discount Rates

16.5%

N/A

Equity

69,263

Market Comparable Approach

EBITDA Multiple

3.75x

—

15.50x

10.08x

22,680

$ per kW

$425

N/A

7,940

Revenue Multiple

0.13x

—

6.00x

3.25x

1,075

Broker Quotes

N/A

—

Options Pricing Model

Expected Volatility

60.0%

—

95.0%

N/A

Total

1,629,058

(1)Weighted average amounts are based on the estimated fair values.

(2)Fair value is based on the expected outcome of proposed corporate transactions and/or other factors.

December 31, 2022

Fair Value

Valuation Techniques/
Methodologies

Unobservable
Inputs

Range

Weighted Average(1)

Senior secured first lien debt

1,471,816

Discounted Cash Flow

Discount Rates

6.5%

—

34.0%

14.7%

79,035

Broker Quotes

N/A

20,050

Market Comparable Approach

Revenue Multiple

0.25x

—

1.70x

1.19x

4,527

$ per kW

$131.85

N/A

3,552

EBITDA Multiple

2.75x

—

4.25x

4.09x

532

Other(2)

N/A

Senior secured second lien debt

38,769

Discounted Cash Flow

Discount Rates

14.3%

—

21.5%

17.2%

Collateralized securities and structured products - equity

1,179

Discounted Cash Flow

Discount Rates

21.0%

N/A

Unsecured debt

15,316

Market Comparable Approach

EBITDA Multiple

9.25x

N/A

7,327

Discounted Cash Flow

Discount Rates

17.7%

N/A

Equity

33,441

Market Comparable Approach

EBITDA Multiple

2.75x

—

14.55x

7.02x

23,995

$ per kW

$412.5

N/A

13,038

Revenue Multiple

0.13x

—

5.75x

2.93x

2,238

Discounted Cash Flow

Discount Rates

16.8%

N/A

1,234

Broker Quotes

N/A

Options Pricing Model

Expected Volatility

80.0%

—

90.0%

87.3%

Total

1,716,054

(1)Weighted average amounts are based on the estimated fair values.

(2)Fair value is based on the expected outcome of proposed corporate transactions and/or other factors.