v3.25.2
Fair Value Measurements
 6 Months Ended
Jun. 30, 2025
Fair Value Disclosures [Abstract]  
Fair Value Measurements

5. Fair Value Measurements

U.S. GAAP establishes a hierarchy of valuation techniques based on the observability of inputs utilized in measuring financial assets and liabilities at fair value. U.S. GAAP establishes market-based or observable inputs as the preferred source of values, followed by valuation models using management assumptions in the absence of market inputs. The three levels of the hierarchy are described below:

Level I—Inputs are unadjusted, quoted prices in active markets for identical assets or liabilities at the measurement date.

Level II—Inputs (other than quoted prices included in Level I) are either directly or indirectly observable for the asset or liability through correlation with market data at the measurement date and for the duration of the instrument’s anticipated life.

Level III—Inputs reflect management’s best estimate of what market participants would use in pricing the asset or liability at the measurement date. Consideration is given to the risk inherent in the valuation technique and the risk inherent in the inputs to the model.

Valuation Process

The Company has valuation control processes in place to validate the fair value of the Company’s financial assets and liabilities measured at fair value including those derived from pricing models. These control processes are designed to assure that the values used for financial reporting are based on observable inputs wherever possible. In the event that observable inputs are not available, the control processes are designed to assure that the valuation approach utilized is appropriate and consistently applied and the assumptions are reasonable.

Pricing Verification—The Company uses recently executed transactions, other observable market data such as exchange data, broker/dealer quotes, third party pricing vendors and aggregation services for validating the fair values generated using valuation models. Pricing data provided by approved external sources is evaluated using a number of approaches; for example, by corroborating the external sources’ prices to executed trades, analyzing the methodology and assumptions used by the external source to generate a price and/or by evaluating how active the third party pricing source (or originating sources used by the third party pricing source) is in the market.

Unobservable Inputs—Where inputs are not observable, the Company reviews the appropriateness of the proposed valuation methodology to ensure it is consistent with how a market participant would arrive at the unobservable input. The valuation methodologies utilized in the absence of observable inputs may include extrapolation techniques and the use of comparable observable inputs.

Any changes to the valuation methodology will be reviewed by the Company’s management to ensure the changes are appropriate. The methods used may produce a fair value calculation that is not indicative of net realizable value or reflective of future fair values. Furthermore, while the Company anticipates that its valuation methods are appropriate and consistent with other market participants, the use of different methodologies, or assumptions, to determine the fair value could result in a different estimate of fair value at the reporting date.

Fair Value on a Recurring Basis

The Company measures the fair value of its loans receivable and secured financings using a discounted cash flow analysis unless observable market data is available. A discounted cash flow analysis requires management to make estimates regarding future interest rates and credit spreads. The most significant of these inputs relates to credit spreads and is unobservable. Thus, the Company has determined that the fair values of loans receivable and secured financings valued using a discounted cash flow analysis should be classified in Level III of the fair value hierarchy, while mortgage loans valued using securitized pricing should be classified in Level II of the fair value hierarchy. Mortgage loans classified in Level III are transferred to Level II if securitized pricing becomes available.

The Company measures the fair value of its foreign currency forward contracts by utilizing the foreign exchange forward curve, the yields on applicable government debt, and the counterparty credit risk. The most significant of these inputs relates to the foreign exchange forward curve and the yields on the applicable government debt, which are observable. Thus, the Company has determined that the fair values of the foreign currency forward contracts should be classified in Level II of the fair value hierarchy.

Fair Value Disclosure

The following table presents the Company’s financial assets and liabilities carried at fair value on a recurring basis in the Condensed Consolidated Balance Sheets by their level in the fair value hierarchy (dollars in thousands):

 

 

 

June 30, 2025

 

 

December 31, 2024

 

 

 

Level I

 

 

Level II

 

 

Level III

 

 

Level I

 

 

Level II

 

 

Level III

 

Financial Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  Loans receivable, at fair value

 

$

—

 

 

$

—

 

 

$

1,028,960

 

 

$

—

 

 

$

—

 

 

$

828,215

 

  Derivative instrument assets, at fair value

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

85

 

 

 

—

 

Total

 

$

—

 

 

$

—

 

 

$

1,028,960

 

 

$

—

 

 

$

85

 

 

$

828,215

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  Secured financings, at fair value

 

$

—

 

 

$

—

 

 

$

(771,266

)

 

$

—

 

 

$

—

 

 

$

(619,787

)

  Derivative instrument liabilities, at fair value

 

 

—

 

 

 

(3,430

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Total

 

$

—

 

 

$

(3,430

)

 

$

(771,266

)

 

$

—

 

 

$

—

 

 

$

(619,787

)

 

The following tables show a reconciliation of the beginning and ending fair value measurements of the Company’s Loans Receivable, at fair value, for the three and six months ended June 30, 2025 and 2024, respectively (dollars in thousands):

 

Three Months Ended
June 30, 2025

 

 

Six Months Ended
June 30, 2025

 

Beginning Balance

$

936,846

 

 

$

828,215

 

Loan originations and fundings

 

98,484

 

 

 

200,176

 

Loan repayments

 

(19,500

)

 

 

(19,500

)

Unrealized loss on loans receivable, at fair value

 

978

 

 

 

1,924

 

Foreign currency translation

 

12,152

 

 

 

18,145

 

Balance as of June 30, 2025

$

1,028,960

 

 

$

1,028,960

 

 

 

 

Three Months Ended
June 30, 2024

 

 

Six Months Ended
June 30, 2024

 

Beginning Balance

$

251,387

 

 

$

158,288

 

Loan originations and fundings

 

208,967

 

 

 

302,849

 

Unrealized loss on loans receivable, at fair value

 

(1,786

)

 

 

(2,569

)

Foreign currency translation

 

2,011

 

 

 

2,011

 

Balance as of June 30, 2024

$

460,579

 

 

$

460,579

 

 

The following table shows a reconciliation of the beginning and ending fair value measurements of the Company’s Secured financings, at fair value, for the three and six months ended June 30, 2025 and 2024, respectively (dollars in thousands):

 

Three Months Ended
June 30, 2025

 

 

Six Months Ended
June 30, 2025

 

Beginning Balance

$

(715,778

)

 

$

(619,787

)

Borrowings under secured financings

 

(87,910

)

 

 

(197,334

)

Repayments under secured financings

 

42,438

 

 

 

60,938

 

Unrealized loss on secured financings, at fair value

 

(258

)

 

 

(509

)

Foreign currency translation

 

(9,758

)

 

 

(14,574

)

Balance as of June 30, 2025

$

(771,266

)

 

$

(771,266

)

 

 

 

Three Months Ended
June 30, 2024

 

 

Six Months Ended
June 30, 2024

 

Beginning Balance

$

(164,869

)

 

$

(120,196

)

Borrowings under secured financings

 

(204,363

)

 

 

(297,863

)

Repayments under secured financings

 

70,500

 

 

 

119,250

 

Unrealized gain on secured financings, at fair value

 

1,655

 

 

 

1,732

 

Foreign currency translation

 

(1,622

)

 

 

(1,622

)

Balance as of June 30, 2024

$

(298,699

)

 

$

(298,699

)

 

The following tables contain the quantitative inputs and assumptions used for items categorized in Level 3 of the fair value hierarchy as of June 30, 2025 and December 31, 2024 (dollars in thousands):

June 30, 2025

 

Fair Value

 

 

Valuation Technique

 

Unobservable Inputs

 

Weighted Average

 

Range

Financial Assets:

 

 

 

 

 

 

 

 

 

 

Loans receivable, at fair value

$

1,028,960

 

 

Discounted cash flow

 

Discount Rate

 

7.13%

 

6.73 - 7.57%

Financial Liabilities:

 

 

 

 

 

 

 

 

 

 

Secured financings, at fair value

$

(771,266

)

 

Discounted cash flow

 

Discount Rate

 

6.24%

 

5.82 - 6.57%

 

 

December 31, 2024

 

Fair Value

 

 

Valuation Technique

 

Unobservable Inputs

 

Weighted Average

 

Range

Financial Assets:

 

 

 

 

 

 

 

 

 

 

Loans receivable, at fair value

$

828,215

 

 

Discounted cash flow

 

Discount Rate

 

7.86%

 

7.53 - 8.18%

Financial Liabilities:

 

 

 

 

 

 

 

 

 

 

Secured financings, at fair value

$

(619,787

)

 

Discounted cash flow

 

Discount Rate

 

6.74%

 

6.42 - 7.08%