| Fair Value Measurements |
Note 5. Fair Value Measurements The Company’s investments were categorized in the fair value hierarchy described in Note 2 – Significant Accounting Policies. The Company’s investments measured at fair value by investment type on a recurring basis as of June 30, 2025 were as follows:
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|
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|
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|
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|
June 30, 2025 |
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|
|
Level 1 |
|
|
Level 2 |
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|
Level 3 |
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|
Total |
|
First lien senior secured term loans |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
61,126,185 |
|
|
$ |
61,126,185 |
|
Second lien senior secured term loans |
|
|
- |
|
|
|
- |
|
|
|
8,102,996 |
|
|
|
8,102,996 |
|
Warrants |
|
|
- |
|
|
|
- |
|
|
|
7,159,483 |
|
|
|
7,159,483 |
|
Total investments before cash equivalents |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
76,388,664 |
|
|
$ |
76,388,664 |
|
Money market treasury fund |
|
|
7,657,468 |
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|
|
- |
|
|
|
- |
|
|
|
7,657,468 |
|
Total investments after cash equivalents |
|
$ |
7,657,468 |
|
|
$ |
- |
|
|
$ |
76,388,664 |
|
|
$ |
84,046,132 |
|
The following tables provide a reconciliation of the beginning and ending balances for investments for which fair value was determined using Level 3 inputs:
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|
For the Three Months Ended June 30, 2025 |
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|
|
First lien senior secured term loans |
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|
Second lien senior secured term loans |
|
|
Warrants |
|
|
Total |
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Total fair value of investments in portfolio companies at March 31, 2025 |
|
$ |
50,344,414 |
|
|
$ |
- |
|
|
$ |
3,961,525 |
|
|
$ |
54,305,939 |
|
Purchases of investments in portfolio companies |
|
|
11,076,409 |
|
|
|
8,183,456 |
|
|
|
2,540,135 |
|
|
|
21,800,000 |
|
Paid-in-kind interest income |
|
|
9,050 |
|
|
|
- |
|
|
|
- |
|
|
|
9,050 |
|
Proceeds from loan repayments on investments in portfolio companies |
|
|
(1,009,375 |
) |
|
|
- |
|
|
|
- |
|
|
|
(1,009,375 |
) |
Proceeds from deferred loan fees |
|
|
(223,000 |
) |
|
|
(84,000 |
) |
|
|
- |
|
|
|
(307,000 |
) |
Amortization of deferred loan fees |
|
|
102,854 |
|
|
|
1,784 |
|
|
|
- |
|
|
|
104,638 |
|
Accretion of warrant discount |
|
|
397,276 |
|
|
|
1,756 |
|
|
|
- |
|
|
|
399,032 |
|
Net change in unrealized gain (loss) |
|
|
428,557 |
|
|
|
- |
|
|
|
657,823 |
|
|
|
1,086,380 |
|
Total fair value of investments in portfolio companies at June 30, 2025 |
|
$ |
61,126,185 |
|
|
$ |
8,102,996 |
|
|
$ |
7,159,483 |
|
|
$ |
76,388,664 |
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
For the period from the Commencement of Operations
through June 30, 2025 |
|
|
|
First lien senior secured term loans |
|
|
Second lien senior secured term loans |
|
|
Warrants |
|
|
Total |
|
Total fair value of investments in portfolio companies at Commencement of Operations |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
Investments in portfolio companies acquired from Legacy Fund |
|
|
38,604,265 |
|
|
|
- |
|
|
|
2,808,033 |
|
|
|
41,412,298 |
|
Purchases of investments in portfolio companies |
|
|
22,911,608 |
|
|
|
8,183,456 |
|
|
|
3,704,936 |
|
|
|
34,800,000 |
|
Paid-in-kind interest income |
|
|
10,566 |
|
|
|
- |
|
|
|
- |
|
|
|
10,566 |
|
Proceeds from loan repayments on investments in portfolio companies |
|
|
(1,118,750 |
) |
|
|
- |
|
|
|
- |
|
|
|
(1,118,750 |
) |
Proceeds from deferred loan fees |
|
|
(385,500 |
) |
|
|
(84,000 |
) |
|
|
- |
|
|
|
(469,500 |
) |
Amortization of deferred loan fees |
|
|
138,789 |
|
|
|
1,784 |
|
|
|
- |
|
|
|
140,573 |
|
Accretion of warrant discount |
|
|
536,650 |
|
|
|
1,756 |
|
|
|
- |
|
|
|
538,406 |
|
Net change in unrealized gain (loss) |
|
|
428,557 |
|
|
|
- |
|
|
|
646,514 |
|
|
|
1,075,071 |
|
Total fair value of investments in portfolio companies at June 30, 2025 |
|
$ |
61,126,185 |
|
|
$ |
8,102,996 |
|
|
$ |
7,159,483 |
|
|
$ |
76,388,664 |
|
There were no transfers into or out of Level 3 of the fair value hierarchy during the three months ended June 30, 2025 and the period from the Commencement of Operations through June 30, 2025. The net change in unrealized gain (loss) for the period relating to those Level 3 assets that were still held by the Company at the end of the period was $1,075,071. The following table summarizes the significant unobservable inputs the Valuation Designee used to value the Company's investments categorized within Level 3 as of June 30, 2025.
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Investment
Type |
|
Fair Value as of June 30, 2025 |
|
|
Valuation
Techniques/
Methodologies |
|
Unobservable
Input |
|
Range
(Weighted
Average)1 |
|
Impact to
Valuation
from an
Increase in
Input2 |
First lien senior secured term loans |
|
$ |
60,117,824 |
|
|
Discounted cash flow |
|
Discount rate |
|
11.4% - 29.2% (19.3%) |
|
Decrease |
|
|
|
1,008,361 |
|
|
Recent transaction |
|
Transaction price |
|
N/A |
|
N/A |
Second lien senior secured term loans |
|
|
8,102,996 |
|
|
Discounted cash flow |
|
Discount rate |
|
13.8% - 17.5% (14.8%) |
|
Decrease |
Warrants |
|
|
3,828,441 |
|
|
Black Scholes Option Pricing Model |
|
Volatility |
|
45% - 75% (61.4%) |
|
Increase |
|
|
|
|
|
Black Scholes Option Pricing Model |
|
Estimated time to exit (in years) |
|
2.5 - 4.0
(3.22) |
|
Decrease |
|
|
|
|
|
Black Scholes Option Pricing Model |
|
Revenue Multiples |
|
1.05 – 36.8
(6.66) |
|
Increase |
|
|
|
1,209,417 |
|
|
Market Approach |
|
Revenue Multiples |
|
1.65 - 3.13 (3.08) |
|
Increase |
|
|
|
2,121,625 |
|
|
Market Approach |
|
EBITDA Multiples |
|
7.25 - 7.25 (7.25) |
|
Increase |
Total |
|
$ |
76,388,664 |
|
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|
|
1.The weighted average information is generally derived by assigning each disclosed unobservable input a proportionate weight based on the fair value of the related investment. 2.This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements. |