XML 47 R34.htm IDEA: XBRL DOCUMENT v3.24.3

Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2024

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, 2024 and December 31, 2023, according to the fair value hierarchy: 

			September 30, 2024(1)																								December 31, 2023(2)
			Level 1						Level 2						Level 3						Total						Level 1						Level 2						Level 3						Total
Senior secured first lien debt			$	—					$	—					$	1,494,524					$	1,494,524					$	—					$	—					$	1,565,171					$	1,565,171
Senior secured second lien debt			—						—						3,873						3,873						—						—						29,111						29,111
Collateralized securities and structured products - equity			—						—						685						685						—						—						1,096						1,096
Unsecured debt			—						—						11,761						11,761						—						—						12,874						12,874
Equity			1,511						—						221,521						223,032						1,624						—						205,909						207,533
Short term investments			53,503						—						—						53,503						113,446						—						—						113,446
Total Investments			$	55,014					$	—					$	1,732,364					$	1,787,378					$	115,070					$	—					$	1,814,161					$	1,929,231

(1)Excludes the Company's $18,851 investment in CION/EagleTree, which is measured at NAV.

(2)Excludes the Company's $25,039 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 and nine months ended September 30, 2024 and 2023:

			Three Months Ended September 30, 2024
			Senior Secured First Lien Debt						Senior Secured Second Lien Debt												Collateralized Securities and Structured Products - Equity						Unsecured Debt						Equity						Total
Beginning balance, June 30, 2024			$	1,536,753					$	15,050											$	770					$	5,493					$	245,634					$	1,803,700
Investments purchased(2)(3)			122,203						134												—						5,187						11,326						138,850
Net realized (loss) gain			(1,792)						—												—						—						5,730						3,938
Net change in unrealized (depreciation) appreciation			(6,653)						107												(64)						1,081						(21,509)						(27,038)
Accretion of discount			1,781						83												—						—						—						1,864
Sales and principal repayments(3)			(157,768)						(11,501)												(21)						—						(19,660)						(188,950)
Ending balance, September 30, 2024			$	1,494,524					$	3,873											$	685					$	11,761					$	221,521					$	1,732,364
Change in net unrealized (depreciation) appreciation on investments still held as of September 30, 2024(1)			$	(6,228)					$	174											$	(64)					$	1,081					$	(17,503)					$	(22,540)

(1)Included in net change in unrealized (depreciation) appreciation 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, 2024
			Senior Secured First Lien Debt						Senior Secured Second Lien Debt												Collateralized Securities and Structured Products - Equity						Unsecured Debt						Equity						Total
Beginning balance, December 31, 2023			$	1,565,171					$	29,111											$	1,096					$	12,874					$	205,909					$	1,814,161
Investments purchased(2)(3)			398,176						323												—						6,641						54,805						459,945
Net realized (loss) gain			(22,209)						(11,809)												(1,210)						—						9,153						(26,075)
Net change in unrealized (depreciation) appreciation			(7,672)						10,926												948						1,079						(21,635)						(16,354)
Accretion of discount			14,315						808												—						39						—						15,162
Sales and principal repayments(3)			(453,257)						(25,486)												(149)						(8,872)						(26,711)						(514,475)
Ending balance, September 30, 2024			$	1,494,524					$	3,873											$	685					$	11,761					$	221,521					$	1,732,364
Change in net unrealized (depreciation) appreciation on investments still held as of September 30, 2024(1)			$	(10,575)					$	(856)											$	(249)					$	985					$	(14,229)					$	(24,924)

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

(2)Investments purchased includes PIK interest.

(3)Includes non-cash restructured securities.

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, 2024 and December 31, 2023 were as follows:

September 30, 2024

Fair Value

Valuation Techniques/ Methodologies

Unobservable Inputs

Range

Weighted Average(1)

Senior secured first lien debt

$

1,332,134

Discounted Cash Flow

Discount Rates

8.5%

—

30.0%

13.2%

67,169

Market Comparable Approach

Revenue Multiple

1.00x

—

6.50x

1.83x

28,019

EBITDA Multiple

5.38x

—

10.25x

7.99x

55,269

Broker Quotes

Broker Quotes

N/A

N/A

11,933

Other(2)

Other(2)

N/A

N/A

Senior secured second lien debt

3,873

Market Comparable Approach

EBITDA Multiple

5.88x

—

6.25x

5.99x

Collateralized securities and structured products - equity

685

Discounted Cash Flow

Discount Rates

21.0%

N/A

Unsecured debt

5,513

Discounted Cash Flow

Discount Rates

11.5%

—

13.0%

11.9%

5,298

Other(2)

Other(2)

N/A

N/A

950

Options Pricing Model

Expected Volatility

35.0%

N/A

Equity

78,754

Market Comparable Approach

EBITDA Multiple

5.00x

—

17.00x

10.84x

70,186

Revenue Multiple

0.30x

—

6.50x

0.52x

49,272

$ per kW

$442.5

N/A

8,374

Options Pricing Model

Expected Volatility

47.5%

—

100.0%

52.9%

7,613

Discounted Cash Flow

Discount Rates

19.0%

N/A

6,439

Broker Quotes

Broker Quotes

N/A

N/A

883

Other(2)

Other(2)

N/A

N/A

Total

$

1,732,364

(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, 2023

Fair Value

Valuation Techniques/ Methodologies

Unobservable Inputs

Range

Weighted Average(1)

Senior secured first lien debt

$

1,354,388

Discounted Cash Flow

Discount Rates

8.5%

—

32.5%

13.8%

108,992

Broker Quotes

Broker Quotes

N/A

N/A

72,229

Market Comparable Approach

Revenue Multiple

1.00x

—

2.50x

1.61x

27,867

EBITDA Multiple

9.00x

—

16.25x

14.35x

1,695

Other(2)

Other(2)

N/A

N/A

Senior secured second lien debt

27,638

Discounted Cash Flow

Discount Rates

13.4%

—

25.0%

16.1%

1,473

Market Comparable Approach

EBITDA Multiple

9.00x

N/A

Collateralized securities and structured products - equity

1,096

Discounted Cash Flow

Discount Rates

5.4%

—

21.0%

20.7%

Unsecured debt

8,739

Discounted Cash Flow

Discount Rates

16.0%

N/A

4,135

Other(2)

Other(2)

N/A

N/A

Equity

90,771

Market Comparable Approach

EBITDA Multiple

4.75x

—

17.25x

9.38x

84,328

Revenue Multiple

0.15x

—

6.50x

1.48x

29,463

$ per kW

$161.16

—

$400.00

$337.28

971

Broker Quotes

Broker Quotes

N/A

N/A

376

Options Pricing Model

Expected Volatility

115.0%

N/A

Total

$

1,814,161

(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.

X

- 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.

+ References

Reference 1: http://www.xbrl.org/2003/role/exampleRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 55
-Paragraph 103
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482078/820-10-55-103

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (bbb)(2)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

Reference 3: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (bbb)(1)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

+ Details

Name:	us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

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).

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringBasisTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

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.

+ References

Reference 1: http://www.xbrl.org/2003/role/exampleRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 55
-Paragraph 101
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482078/820-10-55-101

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 3
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-3

Reference 3: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (d)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

Reference 4: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (c)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_FairValueDisclosuresAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration