CION Investment CorpCION
CION Investment Corp Fair Value Disclosure
Fair Value of Financial Instruments
The following table presents fair value measurements of the Company’s portfolio investments as of December 31, 2024 and 2023, according to the fair value hierarchy:
| December 31, 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 | $ | — | $ | — | $ | 1,563,256 | $ | 1,563,256 | $ | — | $ | — | $ | 1,565,171 | $ | 1,565,171 | |||||||||||||||||||||||||||||||
| Senior secured second lien debt | — | — | 2,680 | 2,680 | — | — | 29,111 | 29,111 | |||||||||||||||||||||||||||||||||||||||
| Collateralized securities and structured products - equity | — | — | 2,682 | 2,682 | — | — | 1,096 | 1,096 | |||||||||||||||||||||||||||||||||||||||
| Unsecured debt | — | — | 11,814 | 11,814 | — | — | 12,874 | 12,874 | |||||||||||||||||||||||||||||||||||||||
| Equity | 2,041 | — | 219,294 | 221,335 | 1,624 | — | 205,909 | 207,533 | |||||||||||||||||||||||||||||||||||||||
| Short term investments | 68,818 | — | — | 68,818 | 113,446 | — | — | 113,446 | |||||||||||||||||||||||||||||||||||||||
| Total Investments | $ | 70,859 | $ | — | $ | 1,799,726 | $ | 1,870,585 | $ | 115,070 | $ | — | $ | 1,814,161 | $ | 1,929,231 | |||||||||||||||||||||||||||||||
(1)Excludes the Company's $18,103 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.
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, 2024 and 2023:
| Year Ended December 31, 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) | 520,073 | 393 | 2,002 | 6,682 | 61,470 | 590,620 | |||||||||||||||||||||||||||||
| Net realized (loss) gain | (25,105) | (11,809) | (1,210) | — | 9,811 | (28,313) | |||||||||||||||||||||||||||||
| Net change in unrealized (depreciation) appreciation | (8,344) | 9,662 | 968 | 1,146 | (30,558) | (27,126) | |||||||||||||||||||||||||||||
| Accretion of discount | 15,925 | 809 | — | 39 | — | 16,773 | |||||||||||||||||||||||||||||
| Sales and principal repayments(3) | (504,464) | (25,486) | (174) | (8,927) | (27,338) | (566,389) | |||||||||||||||||||||||||||||
| Ending balance, December 31, 2024 | $ | 1,563,256 | $ | 2,680 | $ | 2,682 | $ | 11,814 | $ | 219,294 | $ | 1,799,726 | |||||||||||||||||||||||
| Change in net unrealized (depreciation) appreciation on investments still held as of December 31, 2024(1) | $ | (11,576) | $ | (2,120) | $ | (229) | $ | 1,052 | $ | (23,153) | $ | (36,026) | |||||||||||||||||||||||
(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.
| Year Ended December 31, 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) | 393,865 | 57 | — | 5,449 | 111,200 | 510,571 | |||||||||||||||||||||||||||||
| Net realized loss | (24,261) | — | — | — | (7,666) | (31,927) | |||||||||||||||||||||||||||||
| Net change in unrealized appreciation (depreciation) | 20,543 | (9,901) | 242 | (11,035) | 28,815 | 28,664 | |||||||||||||||||||||||||||||
| Accretion of discount | 13,285 | 204 | — | 17 | — | 13,506 | |||||||||||||||||||||||||||||
| Sales and principal repayments(3) | (417,773) | (18) | (325) | (4,200) | (391) | (422,707) | |||||||||||||||||||||||||||||
| Ending balance, December 31, 2023 | $ | 1,565,171 | $ | 29,111 | $ | 1,096 | $ | 12,874 | $ | 205,909 | $ | 1,814,161 | |||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) on investments still held as of December 31, 2023(1) | $ | 5,416 | $ | (9,901) | $ | 242 | $ | (11,035) | $ | 26,333 | $ | 11,055 | |||||||||||||||||||||||
(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.
Significant Unobservable Inputs
The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of investments as of December 31, 2024 and 2023 were as follows:
| December 31, 2024 | ||||||||||||||||||||||||||||||||||||||||||||
| Fair Value | Valuation Techniques/ Methodologies | Unobservable Inputs | Range | Weighted Average(1) | ||||||||||||||||||||||||||||||||||||||||
| Senior secured first lien debt | $ | 1,305,445 | Discounted Cash Flow | Discount Rates | 9.4% | — | 30.0% | 13.4% | ||||||||||||||||||||||||||||||||||||
| 117,665 | Market Comparable Approach | Revenue Multiple | 0.70x | — | 6.13x | 1.77x | ||||||||||||||||||||||||||||||||||||||
| 41,891 | EBITDA Multiple | 5.50x | — | 10.25x | 7.59x | |||||||||||||||||||||||||||||||||||||||
| 67,950 | Broker Quotes | Broker Quotes | N/A | N/A | ||||||||||||||||||||||||||||||||||||||||
| 15,209 | Other(2) | Insurance Claim Recovery Rate | 28% | — | 55% | 35% | ||||||||||||||||||||||||||||||||||||||
| 15,096 | Other(2) | N/A | N/A | |||||||||||||||||||||||||||||||||||||||||
| Senior secured second lien debt | 2,680 | Market Comparable Approach | EBITDA Multiple | 5.75x | 6.75x | 6.23x | ||||||||||||||||||||||||||||||||||||||
| Collateralized securities and structured products - equity | 2,682 | Discounted Cash Flow | Discount Rates | 14.3% | — | 21.0% | 16.0% | |||||||||||||||||||||||||||||||||||||
| Unsecured debt | 5,418 | Discounted Cash Flow | Discount Rates | 11.3% | — | 14.0% | 11.9% | |||||||||||||||||||||||||||||||||||||
| 5,315 | Other(2) | Other(2) | N/A | N/A | ||||||||||||||||||||||||||||||||||||||||
| 1,081 | Options Pricing Model | Expected Volatility | 35% | N/A | ||||||||||||||||||||||||||||||||||||||||
| Equity | 79,142 | Market Comparable Approach | EBITDA Multiple | 4.75x | — | 18.75x | 11.73x | |||||||||||||||||||||||||||||||||||||
| 62,171 | Revenue Multiple | 0.36x | — | 6.13x | 0.50x | |||||||||||||||||||||||||||||||||||||||
| 52,166 | $ per kW | $450.00 | N/A | |||||||||||||||||||||||||||||||||||||||||
| 16,061 | Options Pricing Model | Expected Volatility | 47.5% | — | 95.0% | 67.0% | ||||||||||||||||||||||||||||||||||||||
| 7,965 | Discounted Cash Flow | Discount Rates | 19.0% | N/A | ||||||||||||||||||||||||||||||||||||||||
| 930 | Other(2) | Other(2) | N/A | N/A | ||||||||||||||||||||||||||||||||||||||||
| 859 | Broker Quotes | Broker Quotes | N/A | N/A | ||||||||||||||||||||||||||||||||||||||||
| Total | $ | 1,799,726 | ||||||||||||||||||||||||||||||||||||||||||
(1)Weighted average amounts are based on the estimated fair values.
(2)Fair value is based on the expected outcome of proposed corporate transactions, recovery of insurance claims 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.
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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About Fair Value Disclosures
Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.
Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.