Fair Value of Financial Instruments

12 Months Ended

Dec. 31, 2022

The following table presents fair value measurements of the Company’s portfolio investments as of December 31, 2022 and 2021, according to the fair value hierarchy:


	December 31, 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	$	—	$	—	$	1,579,512	$	1,579,512	$	—	$	—	$	1,526,989	$	1,526,989
Senior secured second lien debt	—		—		38,769		38,769		—		—		38,583		38,583

Collateralized securities and structured products - equity	—		—		1,179		1,179		—		—		2,998		2,998
Unsecured debt	—		—		22,643		22,643		—		—		26,616		26,616
Equity	2,341		—		73,951		76,292		3,404		—		37,736		41,140
Short term investments	10,869		—		—		10,869		87,917		—		—		87,917
Total Investments	$	13,210	$	—	$	1,716,054	$	1,729,264	$	91,321	$	—	$	1,632,922	$	1,724,243

(1)Excludes the Company's $30,766 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.

The following tables provide a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the years ended December 31, 2022 and 2021:


	Year Ended December 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)	549,950		19,930		—		3,635		35,081		608,596
Net realized (loss) gain	(5,646)		(19,327)		24		—		(7,798)		(32,747)
Net change in unrealized (depreciation) appreciation	(21,581)		14,604		(621)		(7,623)		9,999		(5,222)
Accretion of discount	10,517		500		—		15		—		11,032
Sales and principal repayments	(480,717)		(15,521)		(1,222)		—		(1,067)		(498,527)
Ending balance, December 31, 2022	$	1,579,512	$	38,769	$	1,179	$	22,643	$	73,951	$	1,716,054
Change in net unrealized (depreciation) appreciation on investments still held as of December 31, 2022(1)	$	(39,831)	$	801	$	(621)	$	(7,623)	$	1,604	$	(45,670)

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

(2)Investments purchased includes PIK interest.


	Year Ended December 31, 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)	889,038		1,885		—		21,095		8,096		920,114
Net realized (loss) gain	(210)		(2,932)		670		—		6,350		3,878
Net change in unrealized appreciation	5,394		3,102		2,287		43		20,751		31,577
Accretion of discount	10,940		783		—		14		—		11,737
Sales and principal repayments(1)	(601,441)		(115,761)		(12,090)		—		(73,374)		(802,666)
Ending balance, December 31, 2021	$	1,526,989	$	38,583	$	2,998	$	26,616	$	37,736	$	1,632,922
Change in net unrealized appreciation (depreciation) on investments still held as of December 31, 2021(2)	$	2,341	$	(1,621)	$	1,152	$	43	$	15,638	$	17,553

(1)Includes non-cash restructured securities.

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

Significant Unobservable Inputs

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of investments as of December 31, 2022 and 2021 were as follows:

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.


	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.

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.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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