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Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

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 September 30, 2022 and December 31, 2021, according to the fair value hierarchy: 

			September 30, 2022(1)																								December 31, 2021(2)
			Level 1						Level 2						Level 3						Total						Level 1						Level 2						Level 3						Total
Senior secured first lien debt			$	—					$	—					$	1,616,352					$	1,616,352					$	—					$	—					$	1,526,989					$	1,526,989
Senior secured second lien debt			—						—						38,716						38,716						—						—						38,583						38,583
Collateralized securities and structured products - equity			—						—						1,366						1,366						—						—						2,998						2,998
Unsecured debt			—						—						28,319						28,319						—						—						26,616						26,616
Equity			2,333						—						74,989						77,322						3,404						—						37,736						41,140
Short term investments			9,804						—						—						9,804						87,917						—						—						87,917
Total Investments			$	12,137					$	—					$	1,759,742					$	1,771,879					$	91,321					$	—					$	1,632,922					$	1,724,243

(1)Excludes the Company's $35,169 investment in CION/EagleTree, which is measured at NAV.

(2)Excludes the Company's $29,796 investment in CION/EagleTree, which is measured at NAV.

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 and nine months ended September 30, 2022 and 2021:

			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.

			Three Months Ended September 30, 2021
			Senior Secured First Lien Debt						Senior Secured Second Lien Debt												Collateralized Securities and Structured Products - Equity						Unsecured Debt						Equity						Total
Beginning balance, June 30, 2021			$	1,407,224					$	141,710											$	14,095					$	5,508					$	92,357					$	1,660,894
Investments purchased			167,208						244												—						—						3,642						171,094
Net realized gain (loss)			563						619												(309)						—						18,856						19,729
Net change in unrealized (depreciation) appreciation			(2,075)						(461)												126						39						(12,187)						(14,558)
Accretion of discount			3,185						171												—						4						—						3,360
Sales and principal repayments(1)			(147,549)						(42,784)												(900)						—						(35,150)						(226,383)
Ending balance, September 30, 2021			$	1,428,556					$	99,499											$	13,012					$	5,551					$	67,518					$	1,614,136
Change in net unrealized (depreciation) appreciation on investments still held as of September 30, 2021(2)			$	(430)					$	140											$	(536)					$	39					$	10,145					$	9,358

(1)Includes non-cash restructured securities.

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

			Nine Months Ended September 30, 2021
			Senior Secured First Lien Debt						Senior Secured Second Lien Debt												Collateralized Securities and Structured Products - Equity						Unsecured Debt						Equity												Total
Beginning balance, December 31, 2020			$	1,223,268					$	151,506											$	12,131					$	5,464					$	75,913											$	1,468,282
Investments purchased(1)			580,641						1,885												—						—						7,783												590,309
Net realized (loss) gain			(851)						619												(309)						—						19,661												19,120
Net change in unrealized appreciation			17,599						592												2,908						76						5,373												26,548
Accretion of discount			8,742						512												—						11						—												9,265
Sales and principal repayments(1)			(400,843)						(55,615)												(1,718)						—						(41,212)												(499,388)
Ending balance, September 30, 2021			$	1,428,556					$	99,499											$	13,012					$	5,551					$	67,518											$	1,614,136
Change in net unrealized appreciation (depreciation) on investments still held as of September 30, 2021(2)			$	14,459					$	(880)											$	1,962					$	76					$	19,858											$	35,475

(1)Includes non-cash restructured securities.

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

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 September 30, 2022 and December 31, 2021 were as follows:

						September 30, 2022
						Fair Value						Valuation Techniques/ Methodologies						Unobservable Inputs						Range																		Weighted Average(1)
Senior secured first lien debt						$	1,494,773					Discounted Cash Flow						Discount Rates						6.5%						—						32.0%						13.5%
						82,525						Broker Quotes						Broker Quotes						N/A																		N/A
						14,330						Market Comparable Approach						Revenue Multiple						0.27x						—						1.65x						1.47x
						4,699												$ per kW						$131.85																		N/A
						3,610												EBITDA Multiple						3.00x						—						4.75x						3.20x
						16,415						Other(2)						Other(2)						N/A																		N/A
Senior secured second lien debt						38,716						Discounted Cash Flow						Discount Rates						8.8%						—						20.8%						16.1%
Collateralized securities and structured products - equity						1,366						Discounted Cash Flow						Discount Rates						21.0%																		N/A
Unsecured debt						28,319						Discounted Cash Flow						Discount Rates						13.7%						—						16.5%						14.3%
Equity						34,188						Market Comparable Approach						EBITDA Multiple						3.75x						—						14.55x						6.70x
						22,203												$ per kW						$387.5																		N/A
						17,169												Revenue Multiple						0.13x						—						5.25x						2.70x
						1,279						Broker Quotes						Broker Quotes						N/A																		N/A
						150						Options Pricing Model						Expected Volatility						61.1%						—						90.0%						89.4%
Total						$	1,759,742

(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, 2021
						Fair Value						Valuation Techniques/ Methodologies						Unobservable Inputs						Range																		Weighted Average(1)
Senior secured first lien debt						$	1,292,635					Discounted Cash Flow						Discount Rates						5.5%						—						24.7%						9.9%
						183,768						Broker Quotes						Broker Quotes						N/A																		N/A
						27,557						Market Comparable Approach						EBITDA Multiple						3.50x						—						6.00x						4.98x
						6,327												Revenue Multiple						2.25x																		N/A
						16,702						Other(2)						Other(2)						N/A																		N/A
Senior secured second lien debt						24,408						Discounted Cash Flow						Discount Rates						8.5%						—						18.6%						12.7%
						14,175						Broker Quotes						Broker Quotes						N/A																		N/A
Collateralized securities and structured products - equity						2,998						Discounted Cash Flow						Discount Rates						16.0%																		N/A
Unsecured debt						26,616						Discounted Cash Flow						Discount Rates						12.7%												16.2%						13.6%
Equity						17,596						Market Comparable Approach						EBITDA Multiple						3.25x						—						21.50x						9.88x
						15,127												$ per kW						$325																		N/A
						4,032												Revenue Multiple						0.68x						—						2.00x						1.87x
						981						Options Pricing Model						Expected Volatility						73.0%						—						84.2%						73.0%
Total						$	1,632,922

(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.

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- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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