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Fair Value of Financial Instruments
9 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
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 1Level 2Level 3TotalLevel 1Level 2Level 3Total
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 
Equity1,865 — 167,569 169,434 2,341 — 73,951 76,292 
Short term investments116,934 — — 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 DebtSenior Secured Second Lien DebtCollateralized Securities and Structured Products - EquityUnsecured DebtEquityTotal
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 discount3,847 47 — — 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 DebtSenior Secured Second Lien DebtCollateralized Securities and Structured Products - EquityUnsecured DebtEquityTotal
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 discount10,657 172 — 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 DebtSenior Secured Second Lien DebtCollateralized Securities and Structured Products - EquityUnsecured DebtEquityTotal
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 discount4,170 17 — — 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 DebtSenior Secured Second Lien DebtCollateralized Securities and Structured Products - EquityUnsecured DebtEquityTotal
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 discount8,705 449 — 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 ValueValuation Techniques/
Methodologies
Unobservable
Inputs
RangeWeighted Average(1)
Senior secured first lien debt$1,322,427 Discounted Cash FlowDiscount Rates7.5%32.5%14.1%
94,808 Broker QuotesBroker QuotesN/AN/A
55,002 Market Comparable ApproachRevenue Multiple
1.45x
4.50x
2.39x
7,492 $ per kW$161.16N/A
1,770 Other(2)Other(2)N/AN/A
Senior secured second lien debt27,878 Discounted Cash FlowDiscount Rates13.5%15.8%15.4%
8,237 Market Comparable ApproachEBITDA Multiple
10.00x
N/A
Collateralized securities and structured products - equity1,224 Discounted Cash FlowDiscount Rates21.0%N/A
Unsecured debt7,423 Discounted Cash FlowDiscount Rates16.5%N/A
4,198 Market Comparable ApproachEBITDA Multiple
6.50x
N/A
3,010 Broker QuotesBroker QuotesN/AN/A
Equity80,754 Market Comparable ApproachEBITDA Multiple
4.75x
14.75x
9.57x
63,919 Revenue Multiple
0.13x
6.00x
0.68x
21,863 $ per kW$400.00N/A
776 Broker QuotesBroker QuotesN/AN/A
257 Options Pricing ModelExpected Volatility105.0%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 ValueValuation Techniques/
Methodologies
Unobservable
Inputs
RangeWeighted Average(1)
Senior secured first lien debt$1,471,816 Discounted Cash FlowDiscount Rates6.5%34.0%14.7%
79,035 Broker QuotesBroker QuotesN/AN/A
20,050 Market Comparable ApproachRevenue Multiple
0.25x
1.70x
1.19x
4,527 $ per kW$131.85N/A
3,552 EBITDA Multiple
2.75x
4.25x
4.09x
532 Other(2)Other(2)N/AN/A
Senior secured second lien debt38,769 Discounted Cash FlowDiscount Rates14.3%21.5%17.2%
Collateralized securities and structured products - equity1,179 Discounted Cash FlowDiscount Rates21.0%N/A
Unsecured debt15,316 Market Comparable ApproachEBITDA Multiple
9.25x
N/A
7,327 Discounted Cash FlowDiscount Rates17.7%N/A
Equity33,441 Market Comparable ApproachEBITDA Multiple
2.75x
14.55x
7.02x
23,995 $ per kW$412.5N/A
13,038 Revenue Multiple
0.13x
5.75x
2.93x
2,238 Discounted Cash FlowDiscount Rates16.8%N/A
1,234 Broker QuotesBroker QuotesN/AN/A
Options Pricing ModelExpected Volatility80.0%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.