Fair Value of Financial Instruments |
Fair Value of Financial Instruments The following table presents fair value measurements of the Company’s portfolio investments as of September 30, 2023 and December 31, 2022, according to the fair value hierarchy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 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 | $ | — | | | $ | — | | | $ | 1,481,498 | | | $ | 1,481,498 | | | $ | — | | | $ | — | | | $ | 1,579,512 | | | $ | 1,579,512 | | Senior secured second lien debt | — | | | — | | | 36,114 | | | 36,114 | | | — | | | — | | | 38,769 | | | 38,769 | | | | | | | | | | | | | | | | | | Collateralized securities and structured products - equity | — | | | — | | | 1,224 | | | 1,224 | | | — | | | — | | | 1,179 | | | 1,179 | | Unsecured debt | — | | | — | | | 14,631 | | | 14,631 | | | — | | | — | | | 22,643 | | | 22,643 | | Equity | 1,865 | | | — | | | 167,569 | | | 169,434 | | | 2,341 | | | — | | | 73,951 | | | 76,292 | | Short term investments | 116,934 | | | — | | | — | | | 116,934 | | | 10,869 | | | — | | | — | | | 10,869 | | Total Investments | $ | 118,799 | | | $ | — | | | $ | 1,701,036 | | | $ | 1,819,835 | | | $ | 13,210 | | | $ | — | | | $ | 1,716,054 | | | $ | 1,729,264 | |
(1)Excludes the Company's $25,042 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. The following tables provide a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three and nine months ended September 30, 2023 and 2022: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, 2023 | | Senior Secured First Lien Debt | | Senior Secured Second Lien Debt | | | | Collateralized Securities and Structured Products - Equity | | Unsecured Debt | | Equity | | Total | Beginning balance, June 30, 2023 | $ | 1,468,630 | | | $ | 39,544 | | | | | $ | 1,046 | | | $ | 17,301 | | | $ | 133,725 | | | $ | 1,660,246 | | Investments purchased(2)(3) | 112,470 | | | — | | | | | — | | | — | | | 34,328 | | | 146,798 | | Net realized loss | (5,844) | | | — | | | | | — | | | — | | | (2,279) | | | (8,123) | | Net change in unrealized appreciation (depreciation) | 30,233 | | | (3,473) | | | | | 264 | | | (2,675) | | | 1,795 | | | 26,144 | | Accretion of discount | 3,847 | | | 47 | | | | | — | | | 5 | | | — | | | 3,899 | | Sales and principal repayments(3) | (127,838) | | | (4) | | | | | (86) | | | — | | | — | | | (127,928) | | Ending balance, September 30, 2023 | $ | 1,481,498 | | | $ | 36,114 | | | | | $ | 1,224 | | | $ | 14,631 | | | $ | 167,569 | | | $ | 1,701,036 | | Change in net unrealized appreciation (depreciation) on investments still held as of September 30, 2023(1) | $ | 10,453 | | | $ | (3,473) | | | | | $ | 264 | | | $ | (2,675) | | | $ | 444 | | | $ | 5,013 | |
(1)Included in net change in unrealized appreciation (depreciation) on investments in the consolidated statements of operations. (2)Investments purchased includes PIK interest. (3)Includes non-cash restructured securities. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine Months Ended September 30, 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) | 231,183 | | | — | | | | | — | | | 4,200 | | | 99,657 | | | 335,040 | | Net realized loss | (23,518) | | | — | | | | | — | | | — | | | (8,058) | | | (31,576) | | Net change in unrealized appreciation (depreciation) | 11,547 | | | (2,814) | | | | | 308 | | | (12,225) | | | 2,019 | | | (1,165) | | Accretion of discount | 10,657 | | | 172 | | | | | — | | | 13 | | | — | | | 10,842 | | Sales and principal repayments(3) | (327,883) | | | (13) | | | | | (263) | | | — | | | — | | | (328,159) | | Ending balance, September 30, 2023 | $ | 1,481,498 | | | $ | 36,114 | | | | | $ | 1,224 | | | $ | 14,631 | | | $ | 167,569 | | | $ | 1,701,036 | | Change in net unrealized appreciation (depreciation) on investments still held as of September 30, 2023(1) | $ | 1,685 | | | $ | (2,814) | | | | | $ | 308 | | | $ | (12,225) | | | $ | (461) | | | $ | (13,507) | |
(1)Included in net change in unrealized appreciation (depreciation) on investments in the consolidated statements of operations. (2)Investments purchased includes PIK interest. (3)Includes non-cash restructured securities. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, 2022 | | Senior Secured First Lien Debt | | Senior Secured Second Lien Debt | | | | Collateralized Securities and Structured Products - Equity | | Unsecured Debt | | Equity | | | | Total | Beginning balance, June 30, 2022 | $ | 1,660,828 | | | $ | 27,086 | | | | | $ | 1,602 | | | $ | 27,994 | | | $ | 42,885 | | | | | $ | 1,760,395 | | Investments purchased(2) | 142,620 | | | 18,109 | | | | | — | | | 677 | | | 32,148 | | | | | 193,554 | | Net realized gain (loss) | 10,452 | | | (19,339) | | | | | 24 | | | — | | | (8,303) | | | | | (17,166) | | Net change in unrealized (depreciation) appreciation | (2,615) | | | 13,379 | | | | | (128) | | | (356) | | | 8,522 | | | | | 18,802 | | Accretion of discount | 4,170 | | | 17 | | | | | — | | | 4 | | | — | | | | | 4,191 | | Sales and principal repayments | (199,103) | | | (536) | | | | | (132) | | | — | | | (263) | | | | | (200,034) | | Ending balance, September 30, 2022 | $ | 1,616,352 | | | $ | 38,716 | | | | | $ | 1,366 | | | $ | 28,319 | | | $ | 74,989 | | | | | $ | 1,759,742 | | Change in net unrealized (depreciation) appreciation on investments still held as of September 30, 2022(1) | $ | (7,793) | | | $ | (3) | | | | | $ | (128) | | | $ | (356) | | | $ | 205 | | | | | $ | (8,075) | |
(1)Included in net change in unrealized appreciation (depreciation) on investments in the consolidated statements of operations. (2)Investments purchased includes PIK interest. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine Months Ended September 30, 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) | 460,119 | | | 19,945 | | | | | — | | | 1,950 | | | 34,281 | | | | | 516,295 | | Net realized gain (loss) | 10,345 | | | (19,325) | | | | | 24 | | | — | | | (8,099) | | | | | (17,055) | | Net change in unrealized (depreciation) appreciation | (36,665) | | | 14,600 | | | | | (480) | | | (258) | | | 11,837 | | | | | (10,966) | | Accretion of discount | 8,705 | | | 449 | | | | | — | | | 11 | | | — | | | | | 9,165 | | Sales and principal repayments | (353,141) | | | (15,536) | | | | | (1,176) | | | — | | | (766) | | | | | (370,619) | | Ending balance, September 30, 2022 | $ | 1,616,352 | | | $ | 38,716 | | | | | $ | 1,366 | | | $ | 28,319 | | | $ | 74,989 | | | | | $ | 1,759,742 | | Change in net unrealized (depreciation) appreciation on investments still held as of September 30, 2022(1) | $ | (43,281) | | | $ | 798 | | | | | $ | (480) | | | $ | (257) | | | $ | 3,442 | | | | | $ | (39,778) | |
(1)Included in net change in unrealized appreciation (depreciation) on investments in the consolidated statements of operations. (2)Investments purchased includes PIK interest. Significant Unobservable Inputs The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of investments as of September 30, 2023 and December 31, 2022 were as follows: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2023 | | | Fair Value | | Valuation Techniques/ Methodologies | | Unobservable Inputs | | Range | | Weighted Average(1) | Senior secured first lien debt | | $ | 1,322,427 | | | Discounted Cash Flow | | Discount Rates | | 7.5% | | — | | 32.5% | | 14.1% | | | 94,808 | | | Broker Quotes | | Broker Quotes | | N/A | | N/A | | | 55,002 | | | Market Comparable Approach | | Revenue Multiple | | 1.45x | | — | | 4.50x | | 2.39x | | | | | | | | | | | | | | | | | 7,492 | | | | $ per kW | | $161.16 | | N/A | | | 1,770 | | | Other(2) | | Other(2) | | N/A | | N/A | Senior secured second lien debt | | 27,878 | | | Discounted Cash Flow | | Discount Rates | | 13.5% | | — | | 15.8% | | 15.4% | | | | | | | | | | | | | | 8,237 | | | Market Comparable Approach | | EBITDA Multiple | | 10.00x | | N/A | | | | | | | | | | | | Collateralized securities and structured products - equity | | 1,224 | | | Discounted Cash Flow | | Discount Rates | | 21.0% | | N/A | | | | | | | | | | | | Unsecured debt | | 7,423 | | | Discounted Cash Flow | | Discount Rates | | 16.5% | | N/A | | | 4,198 | | | Market Comparable Approach | | EBITDA Multiple | | 6.50x | | N/A | | | 3,010 | | | Broker Quotes | | Broker Quotes | | N/A | | N/A | | | | | | | | | | | | | | | | Equity | | 80,754 | | | Market Comparable Approach | | EBITDA Multiple | | 4.75x | | — | | 14.75x | | 9.57x | | | 63,919 | | | | Revenue Multiple | | 0.13x | | — | | 6.00x | | 0.68x | | | 21,863 | | | | $ per kW | | $400.00 | | N/A | | | | | | | | | | | | | | 776 | | | Broker Quotes | | Broker Quotes | | N/A | | N/A | | | 257 | | | Options Pricing Model | | Expected Volatility | | 105.0% | | N/A | | | | | | | | | | | | | | | | | | | | | | | | | | | Total | | $ | 1,701,037 | | | | | | | | | | | | | |
(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 | | Broker Quotes | | N/A | | 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) | | Other(2) | | N/A | | 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 | | Broker Quotes | | N/A | | N/A | | | 5 | | | 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. The significant unobservable inputs used in the fair value measurement of the Company’s senior secured first lien debt, senior secured second lien debt, collateralized securities and structured products, unsecured debt and equity are discount rates, EBITDA multiples, revenue multiples, broker quotes and expected volatility. A significant increase or decrease in discount rates would result in a significantly lower or higher fair value measurement, respectively. A significant increase or decrease in the EBITDA multiples, revenue multiples, expected proceeds from proposed corporate transactions, broker quotes and expected volatility would result in a significantly higher or lower fair value measurement, respectively.
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