Fair Value of Financial Instruments (Tables)
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6 Months Ended |
Jun. 30, 2026 |
|---|
| Fair Value Disclosures [Abstract] |
|
| Schedule of Transfers Between Levels, Change in Investments Measured at Fair Value Using Level 3 Inputs, and Unrealized Appreciation (Depreciation) for Assets Still Held |
The following table presents the Company’s transfers of Level 2 and Level 3 debt investments for the three and six months ended June 30, 2026 and 2025:
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Three Months Ended June 30, |
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Six Months Ended June 30, |
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2026 |
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|
2025 |
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|
2026 |
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|
2025 |
|
Transfers from Level 2 to Level 3 |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,272,109 |
|
|
$ |
— |
|
Transfers from Level 3 to Level 2 |
|
|
— |
|
|
|
1,802,781 |
|
|
|
— |
|
|
|
1,802,781 |
|
The following tables present changes in the investments measured at fair value using Level 3 inputs for the six months ended June 30, 2026 and 2025, respectively:
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First Lien Debt Investments |
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Second Lien Debt Investments |
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Preferred Equity |
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Common Equity and Warrants |
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Structured Finance Securities |
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Total |
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Level 3 assets, December 31, 2025 |
|
$ |
16,069,764 |
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|
$ |
3,041,563 |
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$ |
36,265 |
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|
$ |
624,731 |
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|
$ |
5,227,081 |
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$ |
24,999,404 |
|
Net realized gain on investments |
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|
13,802 |
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|
— |
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— |
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|
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— |
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— |
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|
13,802 |
|
Net unrealized appreciation (depreciation)
on investments |
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|
(382,384 |
) |
|
|
(644,632 |
) |
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|
565 |
|
|
|
172,906 |
|
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(1,849,700 |
) |
|
|
(2,703,245 |
) |
Amortization of Net Loan Fees |
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|
46,214 |
|
|
|
(3,131 |
) |
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— |
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— |
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— |
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|
43,083 |
|
Capitalized PIK interest |
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13,487 |
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|
— |
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— |
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— |
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— |
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13,487 |
|
Accretion of interest income on Structured
Finance Securities |
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— |
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— |
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— |
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— |
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329,530 |
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|
329,530 |
|
Purchase of portfolio investments |
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163,640 |
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|
— |
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— |
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— |
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— |
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|
163,640 |
|
Proceeds from principal payments on
portfolio investments |
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(110,618 |
) |
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— |
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— |
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— |
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— |
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(110,618 |
) |
Sale or redemption of portfolio
investments |
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(4,839,460 |
) |
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— |
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— |
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— |
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— |
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(4,839,460 |
) |
Proceeds from distributions received from
portfolio investments |
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— |
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— |
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— |
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|
— |
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(449,828 |
) |
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(449,828 |
) |
Amendment fees received |
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(3,363 |
) |
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— |
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— |
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— |
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— |
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(3,363 |
) |
Transfers from Level 2 to Level 3 |
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— |
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1,272,109 |
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— |
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— |
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— |
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1,272,109 |
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Level 3 assets, June 30, 2026 |
|
$ |
10,971,082 |
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$ |
3,665,909 |
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$ |
36,830 |
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$ |
797,637 |
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$ |
3,257,083 |
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$ |
18,728,541 |
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First Lien Debt Investments |
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Second Lien Debt Investments |
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Preferred Equity |
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Common Equity and Warrants |
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Structured Finance Securities |
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Total |
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Level 3 assets, December 31, 2024 |
|
$ |
14,629,341 |
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$ |
9,250,862 |
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$ |
35,763 |
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$ |
532,683 |
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$ |
6,714,898 |
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$ |
31,163,547 |
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Net realized loss on investments |
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(3,817 |
) |
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— |
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— |
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— |
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— |
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(3,817 |
) |
Net unrealized appreciation (depreciation)
on investments |
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|
(219,443 |
) |
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(411,619 |
) |
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|
317 |
|
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(78,090 |
) |
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(70,761 |
) |
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(779,596 |
) |
Amortization of Net Loan Fees |
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47,085 |
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|
27,355 |
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— |
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— |
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22,423 |
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|
96,863 |
|
Capitalized PIK interest |
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|
18,288 |
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|
129,680 |
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— |
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— |
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— |
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147,968 |
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Accretion of interest income on Structured
Finance Securities |
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— |
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— |
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— |
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— |
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465,548 |
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|
465,548 |
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Purchase of portfolio investments |
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1,286,400 |
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— |
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— |
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— |
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|
377,737 |
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|
1,664,137 |
|
Proceeds from principal payments on
portfolio investments |
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(446,604 |
) |
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— |
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|
— |
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— |
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(1,000,000 |
) |
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(1,446,604 |
) |
Sale or redemption of portfolio
investments |
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(402,784 |
) |
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— |
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— |
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— |
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— |
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(402,784 |
) |
Proceeds from distributions received from
portfolio investments |
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— |
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— |
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— |
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|
— |
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(714,819 |
) |
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(714,819 |
) |
Amendment fees received |
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(5,993 |
) |
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— |
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— |
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— |
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— |
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(5,993 |
) |
Transfers from Level 3 to Level 2 |
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— |
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|
(1,802,781 |
) |
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— |
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|
— |
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— |
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|
(1,802,781 |
) |
Level 3 assets, June 30, 2025 |
|
$ |
14,902,473 |
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|
$ |
7,193,497 |
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|
$ |
36,080 |
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$ |
454,593 |
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$ |
5,795,026 |
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$ |
28,381,669 |
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The net unrealized depreciation reported in the Company’s consolidated statements of operations for the six months ended June 30, 2026 and 2025, attributable to the Company’s Level 3 assets still held at those respective period ends, was as follows:
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Six Months Ended June 30, |
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2026 |
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2025 |
|
Debt investments |
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$ |
(992,212 |
) |
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$ |
(646,472 |
) |
Equity investments |
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|
173,471 |
|
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|
(77,773 |
) |
Structured Finance Securities |
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|
(1,849,700 |
) |
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|
(48,371 |
) |
Net unrealized depreciation on investments held |
|
$ |
(2,668,441 |
) |
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$ |
(772,616 |
) |
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| Schedule of Investment Portfolio Measured at Fair Value on a Recurring Basis |
The following tables present the Company’s investment portfolio measured at fair value on a recurring basis as of June 30, 2026 and December 31, 2025, respectively:
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Security |
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Level 1 |
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Level 2 |
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Level 3 |
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Fair Value as of June 30, 2026 |
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Debt investments |
|
$ |
— |
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|
$ |
1,129,866 |
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$ |
14,636,991 |
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$ |
15,766,857 |
|
Equity investments |
|
|
— |
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|
|
— |
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|
834,467 |
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|
834,467 |
|
Structured Finance Securities |
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|
— |
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|
— |
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|
3,257,083 |
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|
3,257,083 |
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$ |
— |
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|
$ |
1,129,866 |
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$ |
18,728,541 |
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$ |
19,858,407 |
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Security |
|
Level 1 |
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Level 2 |
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Level 3 |
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Fair Value as of December 31, 2025 |
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Debt investments |
|
$ |
— |
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|
$ |
4,769,131 |
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$ |
19,111,327 |
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$ |
23,880,458 |
|
Equity investments |
|
|
— |
|
|
|
— |
|
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|
660,996 |
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|
660,996 |
|
Structured Finance Securities |
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|
— |
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|
— |
|
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|
5,227,081 |
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|
5,227,081 |
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|
$ |
— |
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|
$ |
4,769,131 |
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$ |
24,999,404 |
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$ |
29,768,535 |
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| Schedule of Significant Level 3 Inputs |
The following tables provide the primary quantitative information about valuation techniques and the Company’s unobservable inputs to its Level 3 fair value measurements as of June 30, 2026 and December 31, 2025. The Company may make changes to the valuation techniques, among techniques otherwise commonly utilized in accordance with its valuation policies, and/or the weighting of techniques used for particular investments based on changes in facts-and-circumstances and depending on the availability of, or changes in, information in order to produce the best estimate of fair value as of the measurement date. In addition to the techniques and unobservable inputs noted in the tables below and in accordance with OFS Advisor’s valuation policy, OFS Advisor, as valuation designee, may also use other valuation techniques and methodologies when determining the fair value measurements of the Company’s investment assets. The tables are not intended to be all-inclusive and only present the most significant unobservable input(s) relevant to the valuation designee’s determination of fair value.
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Fair Value as of June 30, 2026 |
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Valuation techniques |
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Unobservable input |
|
Range
(Weighted average)(1) |
Debt investments: |
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First Lien |
|
$ |
6,815,737 |
|
|
Discounted cash flow |
|
Discount rates |
|
9.45% - 42.50% (16.19%) |
|
|
|
2,765,191 |
|
|
Market approach |
|
EBITDA multiples |
|
7.00x - 9.23x (7.77x) |
|
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|
1,390,154 |
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Market approach |
|
Transaction Price |
|
|
Second Lien |
|
|
3,189,670 |
|
|
Discounted cash flow |
|
Discount rates |
|
11.72% - 28.97% (16.26%) |
|
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|
9,587 |
|
|
Market approach |
|
EBITDA multiples |
|
6.25x - 6.25x (6.25x) |
|
|
|
466,652 |
|
|
Market approach |
|
Revenue multiples |
|
0.93x - 0.93x (0.93x) |
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Structured Finance Securities(2): |
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Subordinated notes and other CLO
equity related investments |
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3,257,083 |
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Discounted cash flow |
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Discount rates |
|
9.94% - 65.00% (42.67%) |
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Constant default rate |
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2.00% - 2.00% (2.00%) |
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Recovery rate |
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65.00% - 65.00% (65.00%) |
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Equity investments: |
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|
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|
Preferred equity |
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|
36,830 |
|
|
Market approach |
|
EBITDA multiples |
|
7.25x - 7.25x (7.25x) |
Common equity and warrants |
|
|
797,637 |
|
|
Market approach |
|
EBITDA multiples |
|
6.00x - 13.75x (9.47x) |
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|
$ |
18,728,541 |
|
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|
(1)Weighted average is calculated based on the fair value of investments. (2)The cash flows utilized in the discounted cash flow calculations assume: (i) liquidation of (a) certain distressed investments and (b) all investments currently in default held by the issuing CLO at their current market prices; and (ii) redeployment of proceeds at the issuing CLO’s assumed reinvestment rate.
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Fair Value as of December 31, 2025 |
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Valuation techniques |
|
Unobservable inputs |
|
Range
(Weighted average)(1) |
Debt investments: |
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|
First lien |
|
$ |
11,840,807 |
|
|
Discounted cash flow |
|
Discount rates |
|
8.61% - 37.50% (13.90%) |
|
|
|
912,400 |
|
|
Market approach |
|
EBITDA multiples |
|
7.50x - 7.50x (7.50x) |
|
|
|
3,316,557 |
|
|
Market approach |
|
Transaction Price |
|
|
Second lien |
|
|
625,122 |
|
|
Discounted cash flow |
|
Discount rates |
|
13.70% - 13.70% (13.70%) |
|
|
|
84,171 |
|
|
Market approach |
|
EBITDA multiples |
|
9.00x - 9.00x (9.00x) |
|
|
|
959,770 |
|
|
Market approach |
|
Revenue multiples |
|
0.90x - 0.90x (0.90x) |
|
|
|
1,372,500 |
|
|
Market approach |
|
Transaction Price |
|
|
|
|
|
|
|
|
|
|
|
|
Structured Finance Securities(2): |
|
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|
|
|
|
|
|
|
Subordinated notes and other CLO
equity related investments |
|
|
5,227,081 |
|
|
Discounted cash flow |
|
Discount rates |
|
9.94% - 32.50% (19.45%) |
|
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|
|
|
|
Constant default rate |
|
2.00% - 2.00% (2.00%) |
|
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|
|
|
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|
Recovery rate |
|
65.00% - 65.00% (65.00%) |
|
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|
|
|
|
|
|
|
|
Equity investments: |
|
|
|
|
|
|
|
|
|
Preferred equity |
|
|
36,265 |
|
|
Market approach |
|
EBITDA multiples |
|
7.25x - 7.25x (7.25x) |
Common equity and warrants |
|
|
624,731 |
|
|
Market approach |
|
EBITDA multiples |
|
6.25x - 14.75x (9.97x) |
|
|
$ |
24,999,404 |
|
|
|
|
|
|
|
(1)Weighted average is calculated based on the fair value of investments. (2)The cash flows utilized in the discounted cash flow calculations assume: (i) liquidation of (a) certain distressed investments and (b) all investments currently in default held by the issuing CLO at their current market prices; and (ii) redeployment of proceeds at the issuing CLO’s assumed reinvestment rate.
|
| Schedule of Carrying Values and Fair Values of Debt |
The following tables present the fair value measurements of the Company’s debt and the level within the fair value hierarchy of the significant unobservable inputs used to determine such fair values as of June 30, 2026 and December 31, 2025:
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|
June 30, 2026 |
|
Description |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3(1) |
|
|
Total |
|
Unsecured Note |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
14,869,178 |
|
|
$ |
14,869,178 |
|
Total debt, at fair value |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
14,869,178 |
|
|
$ |
14,869,178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2025 |
|
Description |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3(1) |
|
|
Total |
|
Banc of California Credit Facility |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,650,000 |
|
|
$ |
2,650,000 |
|
Unsecured Note |
|
|
— |
|
|
|
— |
|
|
|
14,811,558 |
|
|
|
14,811,558 |
|
Total debt, at fair value |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
17,461,558 |
|
|
$ |
17,461,558 |
|
(1)For Level 3 measurements, fair value is estimated by discounting remaining payments using current market rates for similar instruments at the measurement date and considering such factors as the legal maturity date. The following table sets forth the carrying values and fair values of the Company’s debt as of June 30, 2026 and December 31, 2025:
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|
June 30, 2026 |
|
|
December 31, 2025 |
|
Description |
|
Carrying Value(1) |
|
|
Fair Value |
|
|
Carrying Value(1) |
|
|
Fair Value |
|
Banc of California Credit Facility(2) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,650,000 |
|
|
$ |
2,650,000 |
|
Unsecured Note |
|
|
14,969,714 |
|
|
|
14,869,178 |
|
|
|
14,933,370 |
|
|
|
14,811,558 |
|
Total debt |
|
$ |
14,969,714 |
|
|
$ |
14,869,178 |
|
|
$ |
17,583,370 |
|
|
$ |
17,461,558 |
|
(1)Carrying value of the Unsecured Note is calculated as the outstanding principal amount less unamortized deferred debt issuance costs. (2)On June 29, 2026, the Company terminated the Banc of California Credit Facility.
|