| Fair Value Measurements |
5.Fair Value Measurements The following table presents the investments carried on the consolidated statements of assets and liabilities by level within the fair value hierarchy as of March 31, 2026.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2026 |
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
Secured loans |
|
$ |
— |
|
|
$ |
139,560,923 |
|
|
$ |
475,293,123 |
|
|
$ |
614,854,046 |
|
Secured debt |
|
|
— |
|
|
|
377,236 |
|
|
|
18,349 |
|
|
|
395,585 |
|
Equities and warrants |
|
|
— |
|
|
|
— |
|
|
|
1,328,342 |
|
|
|
1,328,342 |
|
Total investments |
|
$ |
— |
|
|
$ |
139,938,159 |
|
|
$ |
476,639,814 |
|
|
$ |
616,577,973 |
|
The following table presents the investments carried on the consolidated statements of assets and liabilities by level within the fair value hierarchy as of December 31, 2025.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2025 |
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
Secured loans |
|
$ |
— |
|
|
$ |
70,073,748 |
|
|
$ |
266,001,039 |
|
|
$ |
336,074,787 |
|
Secured debt |
|
|
— |
|
|
|
4,352,092 |
|
|
|
18,349 |
|
|
|
4,370,441 |
|
Equities and warrants |
|
|
— |
|
|
|
— |
|
|
|
55,325 |
|
|
|
55,325 |
|
Total investments |
|
$ |
— |
|
|
$ |
74,425,840 |
|
|
$ |
266,074,713 |
|
|
$ |
340,500,553 |
|
The following table includes a roll forward of the amounts for three months ended March 31, 2026 for investments classified within level 3. The classification of an investment within level 3 is based upon the significance of the unobservable inputs to the overall fair value measurement.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements of Level 3 Investments |
|
|
|
Secured Loans |
|
|
Secured Bonds |
|
|
Equities and warrants |
|
|
Total |
|
Balance at December 31, 2025 |
|
$ |
266,001,038 |
|
|
$ |
18,349 |
|
|
$ |
55,325 |
|
|
$ |
266,074,712 |
|
Transfer in(1) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Transfer out(2) |
|
|
(10,913,675 |
) |
|
|
— |
|
|
|
— |
|
|
|
(10,913,675 |
) |
Accretion/amortization of discounts/premiums |
|
|
685,733 |
|
|
|
— |
|
|
|
— |
|
|
|
685,733 |
|
Interest paid-in-kind |
|
|
193,823 |
|
|
|
— |
|
|
|
— |
|
|
|
193,823 |
|
Purchases(3) |
|
|
256,927,897 |
|
|
|
— |
|
|
|
1,275,228 |
|
|
|
258,203,125 |
|
Sales, paydowns and resolutions(3) |
|
|
(36,364,716 |
) |
|
|
— |
|
|
|
— |
|
|
|
(36,364,716 |
) |
Net realized gain/(loss) |
|
|
211,825 |
|
|
|
— |
|
|
|
— |
|
|
|
211,825 |
|
Net change in unrealized appreciation/(depreciation) |
|
|
(1,448,802 |
) |
|
|
— |
|
|
|
(2,211 |
) |
|
|
(1,451,013 |
) |
Balance at March 31, 2026 |
|
$ |
475,293,123 |
|
|
$ |
18,349 |
|
|
$ |
1,328,342 |
|
|
$ |
476,639,814 |
|
Change in net unrealized appreciation / (depreciation) on investments held as of March 31, 2026 |
|
$ |
(1,480,749 |
) |
|
$ |
— |
|
|
$ |
(2,211 |
) |
|
$ |
(1,482,960 |
) |
(1) There were no investments transferred in to level 3. (2) Investment was transferred out from level 3 due to changes in observability of valuation inputs. (3) Includes the effects of reorganizations, if any. The following table includes a roll forward of the amounts for three months ended March 31, 2025 for investments classified within level 3.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements of Level 3 Investments |
|
|
|
Secured Loans |
|
|
Secured Bonds |
|
|
Equities and warrants |
|
|
Total |
|
Balance at December 31, 2024 |
|
$ |
57,830,754 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
57,830,754 |
|
Transfer in(1) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Transfer out(2) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Accretion/amortization of discounts/premiums |
|
|
88,382 |
|
|
|
— |
|
|
|
— |
|
|
|
88,382 |
|
Interest paid-in-kind |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Purchases(3) |
|
|
26,265,033 |
|
|
|
— |
|
|
|
— |
|
|
|
26,265,033 |
|
Sales, paydowns and resolutions(3) |
|
|
(5,654,559 |
) |
|
|
— |
|
|
|
— |
|
|
|
(5,654,559 |
) |
Net realized gain/(loss) |
|
|
(2,066 |
) |
|
|
— |
|
|
|
— |
|
|
|
(2,066 |
) |
Net change in unrealized appreciation/(depreciation) |
|
|
200,471 |
|
|
|
— |
|
|
|
— |
|
|
|
200,471 |
|
Balance at March 31, 2025 |
|
$ |
78,728,015 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
78,728,015 |
|
Change in net unrealized appreciation / (depreciation) on investments held as of March 31, 2025 |
|
$ |
200,471 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
200,471 |
|
(1) There were no investments transferred in to level 3. (2) There were no investments transferred out of level 3. (3) Includes the effects of reorganizations, if any. All realized gains (losses) and change in unrealized appreciation (depreciation) in the tables above are reflected in the accompanying consolidated statements of operations. Transfers between levels, if any, are recognized at the beginning of each reporting period. The following tables provide quantitative information about the Fund’s level 3 fair value measurements for the Fund’s investments as of March 31, 2026 and December 31, 2025. In addition to the techniques and inputs noted in the tables below, the Fund may also use, in accordance with the valuation policy, other valuation techniques and methodologies when determining the Fund’s fair value measurements. The below tables are not intended to be inclusive of all unobservable inputs, but rather provide information on the significant level 3 inputs as they relate to the Fund’s fair value measurements.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Value Investments |
Investment Type |
|
Fair Value at March 31, 2026 |
|
|
Valuation
Technique(s) |
|
Unobservable
Input(s) |
|
Range (Weighted
Average) |
|
Impact to Valuation from an Increase in Input(1) |
Secured Loans |
|
$ |
425,041,205 |
|
|
Income Approach |
|
Yield |
|
8.4% - 19.3% (10.5%) |
|
Decrease |
|
|
|
|
|
|
|
Expected Term(2) |
|
0.1 yrs. - 0.1 yrs. (0.1 yrs.) |
|
Decrease |
|
|
|
50,251,918 |
|
|
Recent Transaction |
|
N/A |
|
N/A |
|
Increase |
Equities and warrants |
|
|
1,275,228 |
|
|
Recent Transaction |
|
N/A |
|
N/A |
|
Increase |
|
|
|
53,114 |
|
|
Market Comparables |
|
Market Multiple |
|
2.3x |
|
Increase |
Secured Bond |
|
|
18,349 |
|
|
Recent Transaction |
|
N/A |
|
N/A |
|
Increase |
Total Level 3 Investments |
|
$ |
476,639,814 |
|
|
|
|
|
|
|
|
|
(1)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 unobservable input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements. (2)Expected term is an unobservable input for non-debt investments, or debt investments where the valuation methodology contemplates exits other than contractual maturities, if any. Weighted average expected term for the all the Fund's Level 3 debt investments, including those valued to contractual maturity, was approximately 4.6 years as of March 31, 2026.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Value Investments |
Investment Type |
|
Fair Value at December 31, 2025 |
|
|
Valuation
Technique(s) |
|
Unobservable
Input(s) |
|
Range (Weighted
Average) |
|
Impact to Valuation from an Increase in Input(1) |
Secured Loans |
|
$ |
154,819,697 |
|
|
Income Approach |
|
Yield |
|
7.5% - 12.9% (10.3%) |
|
Decrease |
|
|
|
|
|
|
|
Expected Term(2) |
|
0.6 yrs. - 1.8 yrs. (1.1 yrs.) |
|
Decrease |
|
|
|
106,267,840 |
|
|
Recent Transaction |
|
N/A |
|
N/A |
|
Increase |
|
|
|
4,931,850 |
|
|
Market Quotation |
|
Market Quotation |
|
N/A |
|
Increase |
Equities and warrants |
|
|
55,325 |
|
|
Recent Transaction |
|
N/A |
|
N/A |
|
Increase |
Total Level 3 Investments |
|
$ |
266,074,712 |
|
|
|
|
|
|
|
|
|
(1)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 unobservable input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements. |