v3.25.2
Fair Value Measurement
 6 Months Ended
Jun. 30, 2025
Fair Value Disclosures [Abstract]  
Fair Value Measurement Fair Value Measurement
In accordance with ASC Topic 820, fair value is defined as the price that the Company would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. ASC Topic 820 also establishes a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability as of the reporting date.
Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Company. Unobservable inputs reflect the Company’s own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below:
•Level 1 – Quoted prices in active markets for identical investments.
•Level 2 – Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
•Level 3 – Significant unobservable inputs (including the Company’s own assumptions in determining the fair value of investments at the reporting date).
The level in the fair value hierarchy within which the fair value measurement is categorized in its entirety is determined on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a Level 3 measurement. If a fair value measurement uses price data vendors or observable market price quotations, that measurement may be a Level 1 or Level 2 measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to the asset or liability.
The determination of what constitutes “observable” requires significant judgment by the Company. The Company considers observable data to be market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.
Valuation of Investments
Investments are valued at fair value as determined in good faith by the Advisor, subject to the oversight of the Board, based on input from management and independent valuation firms that have been engaged to assist in the valuation of portfolio investments without readily available market quotations. This valuation process is conducted at the end of each fiscal quarter.
Investments for which market quotations are not readily available are valued at fair value as determined in good faith pursuant to Rule 2a-5 under the 1940 Act and ASC Topic 820. As a general principle, the fair value of a security or other asset is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Pursuant to Rule 2a-5, the Board has designated the Advisor as the valuation designee (“Valuation Designee”) for the Company to perform the fair value determination relating to all Company investments. The Advisor may carry out its designated responsibilities as Valuation Designee through various teams and committees. The Valuation Designee’s policies and procedures govern the Valuation Designee’s selection and application of methodologies for determining and calculating the fair value of Company investments. The Valuation Designee may value Company portfolio securities for which market quotations are not readily available and other Company assets utilizing inputs from pricing sources, quotation reporting systems, valuation agents and other third-party sources (together, “Pricing Sources”).
The fair market value of the Company’s commercial real estate (“CRE”) loans and other real asset loan investments shall be determined by the Valuation Designee on a quarterly basis. Newly originated or acquired loan investments’ fair value in the month they are closed are valued by the Company’s independent valuation firm and will usually approximate the par value of the loan investment. For each quarter after the initial month in which a loan investment is closed, an independent third-party appointed by the Valuation Designee shall review and confirm the reasonableness of the Valuation Designee’s valuation of each of the Company’s CRE loan and other real asset loan investments. Updated valuations of CRE loan and other real asset loan investments will reflect changes in interest rates, spreads, collateral value, loan tests (including loan impairment testing) and metrics, risk ratings, and anticipated liquidation timing and proceeds, among other items. The fair values shall generally be determined by discounting the future contractual cash flows to the present value using a current market interest rate or spread. The market rate shall generally be determined through consideration of the interest rates for debt of comparable quality and maturity, and, where applicable, the value of the underlying real estate investment.
The fair values of loan investments based upon pricing data vendors or observable market price quotations are generally categorized as Level 1 or Level 2. Loan investments priced using internal models with significant unobservable inputs are categorized as Level 3.
The fair value of our real estate securities are determined using market-based inputs provided by external pricing vendors. The vendors utilize observable market data, including recent trades, benchmark indices, and market yield curves, to estimate valuations. The Company performs periodic reviews to ensure that the pricing sources and methodologies used are consistent. The real estate securities are generally categorized as Level 2.
The following table presents fair value measurements of investments, by investment type, as of June 30, 2025, according to the fair value hierarchy:
 Fair Value Measurements
Level 1Level 2Level 3Total
Senior Mortgage$— $— $1,211,613 $1,211,613 
Mezzanine— — 25,408 25,408 
Real Estate Securities— 38,910 — 38,910 
Total$— $38,910 $1,237,021 $1,275,931 
The following table presents fair value measurements of investments, by investment type, as of December 31, 2024, according to the fair value hierarchy:
 Fair Value Measurements
Level 1Level 2Level 3Total
Senior Mortgage$— $— $799,660 $799,660 
Mezzanine— — 14,204 14,204 
Real Estate Securities— 28,992 — 28,992 
Total$— $28,992 $813,864 $842,856 
The following tables present a summary of changes in fair value of Level 3 assets by investment type for the six months ended June 30, 2025 and for the period from March 11, 2024 (date of inception) to December 31, 2024 (amounts in thousands):
For the six months ended June 30, 2025
 
Senior Mortgage (1)
Mezzanine (1)
Total
Balance as of January 1, 2025$799,660 $14,204 $813,864 
Origination of loans420,890 11,182 432,072 
Paydowns of loans(8,937)— (8,937)
Loan origination fees collected(4,447)(272)(4,719)
Net accretion on investments2,925 122 3,047 
Net change in unrealized appreciation (depreciation) on investments (2)
1,522 172 1,694 
Balance as of June 30, 2025
$1,211,613 $25,408 $1,237,021 
(1) There were no transfers into or out of Level 3 for the six months ended June 30, 2025.
(2) The total amount of unrealized gains relating to the Company’s Level 3 assets held was $1.7 million as of June 30, 2025.
For the period from March 11, 2024 (date of inception) to December 31, 2024
Senior Mortgage (1)
Mezzanine (1)
Total
Balance as of March 11, 2024
$— $— $— 
Origination of loans799,659 21,682 821,341 
Loan origination fees collected(8,642)(241)(8,883)
Net accretion on investments885 21 906 
Net change in unrealized appreciation (depreciation) on investments (2)
7,758 137 7,895 
Sales of investments— (7,390)(7,390)
Net realized gains (losses)— (5)(5)
Balance as of December 31, 2024
$799,660 $14,204 $813,864 
(1) There were no transfers into or out of Level 3 for the period from March 11, 2024 (date of inception) to December 31, 2024.
(2) The total amount of unrealized gains relating to the Company’s Level 3 assets held was $7.9 million as of December 31, 2024.
The following table presents quantitative information about the significant unobservable inputs of the Company’s Level 3 financial instruments as of June 30, 2025. The table is not intended to be all-inclusive but instead captures the significant unobservable inputs relevant to the Company’s determination of fair value (amounts in thousands).
Range
Asset CategoryFair ValuePrimary Valuation TechniqueUnobservable InputsMinimumMaximumWeighted Average
Senior Mortgage$37,103 Recent Transactionn/an/an/an/a
Senior Mortgage1,174,510 DCF MethodDiscount Rate2.75%15.48%3.73%
Mezzanine— Recent Transactionn/an/an/an/a
Mezzanine25,408 DCF MethodDiscount Rate6.90%16.18%11.93%
Total$1,237,021 
Increases or decreases in any of the above unobservable inputs in isolation would result in a lower or higher fair value measurement for such assets.
The following table presents quantitative information about the significant unobservable inputs of the Company’s Level 3 financial instruments as of December 31, 2024. The table is not intended to be all-inclusive but instead captures the significant unobservable inputs relevant to the Company’s determination of fair value (amounts in thousands).
Range
Asset CategoryFair ValuePrimary Valuation TechniqueUnobservable InputsMinimumMaximumWeighted Average
Senior Mortgage$106,885 Recent Transactionn/an/an/an/a
Senior Mortgage692,775 DCF MethodDiscount Rate2.65%8.30%3.46%
Mezzanine6,602 Recent Transactionn/an/an/an/a
Mezzanine7,602 DCF MethodDiscount Rate6.75%12.75%8.78%
Total$813,864