v3.26.1
Fair Value of Financial Instruments
 6 Months Ended
Jun. 30, 2026
Fair Value of Financial Instruments [Abstract]  
Fair Value of Financial Instruments

NOTE 4 — FAIR VALUE OF FINANCIAL INSTRUMENTS

ASC 820 defines fair value, establishes a framework for measuring fair value, and establishes a fair value hierarchy based on the quality of inputs used to measure fair value and enhances disclosure requirements for fair value measurements. The Company accounts for its investments at fair value. As of June 30, 2026 and December 31, 2025, the Company’s portfolio investments consisted primarily of investments in senior secured loans and secured notes. The fair value amounts have been measured as of the reporting date and have not been reevaluated or updated for purposes of these financial statements subsequent to that date. As such, the fair values of these financial instruments subsequent to the reporting date may be different than amounts reported.

The fair value determination of each portfolio investment categorized as Level 3 required the use of one or more unobservable inputs.

The use of significant unobservable inputs creates uncertainty in the measurement of fair value as of the reporting date. The significant unobservable inputs used in the fair value measurement of the Company’s debt investments may vary and may include debt investments’ yield (i.e. discount rate). The significant unobservable inputs used in the fair value measurement of the Company’s equity and warrant investments may vary and may include EBITDA multiples, revenue multiples and asset multiples.

The Company’s investments measured at fair value by investment type on a recurring basis as of June 30, 2026 and December 31, 2025 were as follows:

 

 

 

Fair Value Measurements at June 30, 2026 Using

 

Investment Type

 

Quoted Prices in
Active Markets
for Identical
Assets (Level 1)

 

 

Significant
Other
Observable
Inputs (Level 2)

 

 

Significant
Unobservable
Inputs (Level 3)

 

 

Total

 

First Lien Senior Secured Loans

 

$

-

 

 

$

-

 

 

$

299,326,128

 

 

$

299,326,128

 

Senior Secured Notes

 

 

-

 

 

 

-

 

 

 

30,904,496

 

 

 

30,904,496

 

Warrants

 

 

-

 

 

 

-

 

 

 

2,745,000

 

 

 

2,745,000

 

Second Lien Senior Secured Loans

 

 

-

 

 

 

-

 

 

 

1,358,368

 

 

 

1,358,368

 

Preferred Stock

 

 

-

 

 

 

-

 

 

 

500,000

 

 

 

500,000

 

Total

 

$

-

 

 

$

-

 

 

$

334,833,992

 

 

$

334,833,992

 

 

 

 

Fair Value Measurements at December 31, 2025 Using

 

Investment Type

 

Quoted Prices in
Active Markets
for Identical
Assets (Level 1)

 

 

Significant
Other
Observable
Inputs (Level 2)

 

 

Significant
Unobservable
Inputs (Level 3)

 

 

Total

 

First Lien Senior Secured Loans

 

$

-

 

 

$

-

 

 

$

292,719,497

 

 

$

292,719,497

 

Senior Secured Notes

 

 

-

 

 

 

-

 

 

 

37,473,499

 

 

 

37,473,499

 

Second Lien Senior Secured Loans

 

 

-

 

 

 

-

 

 

 

1,447,186

 

 

 

1,447,186

 

Warrants

 

 

-

 

 

 

-

 

 

 

1,171,605

 

 

 

1,171,605

 

Preferred Stock

 

 

-

 

 

 

-

 

 

 

500,000

 

 

 

500,000

 

Total

 

$

-

 

 

$

-

 

 

$

333,311,787

 

 

$

333,311,787

 

 

The following tables provide a summary of the significant unobservable inputs used to fair value the Level 3 portfolio investments as of June 30, 2026 and December 31, 2025. The methodology for the determination of the fair value of the Company’s investments is discussed in “Note 2 – Significant Accounting Policies”. Discount rate ranges are shown as spread over the U.S. Prime Rate ("PRIME"), Secured Overnight Financing Rate ("SOFR") and/or U.S. Treasury Rates, as applicable, for senior secured first lien term loans, as of June 30, 2026 and December 31, 2025.

 

Investment Type

 

Fair Value as of
June 30, 2026

 

 

Valuation
Techniques/Methodologies

 

Unobservable Input

 

Range

 

Weighted
Average(1)

 

First Lien Senior Secured Loans

 

$

299,326,128

 

 

Discounted Cash Flow

 

Discount Rate

 

7.00% - 20.40%

 

 

12.55

%

Senior Secured Notes

 

 

30,904,496

 

 

Discounted Cash Flow

 

Discount Rate

 

9.00% - 12.60%

 

 

11.20

%

Warrants

 

 

2,745,000

 

 

Option Pricing Model

 

Volatility Factor

 

40.00% - 72.00%

 

 

56.67

%

Second Lien Senior Secured Loans

 

 

1,358,368

 

 

Discounted Cash Flow

 

Discount Rate

 

18.90% - 20.90%

 

 

19.90

%

Preferred Stock

 

 

500,000

 

 

Market Approach

 

Current Value

 

2.00x

 

2.00x

 

Total

 

$

334,833,992

 

 

 

 

 

 

 

 

 

 

 

 

Investment Type

 

Fair Value as of
December 31, 2025

 

 

Valuation
Techniques/Methodologies

 

Unobservable Input

 

Range

 

Weighted
Average(1)

 

First Lien Senior Secured Loans

 

$

249,770,789

 

 

Discounted Cash Flow

 

Discount Rate

 

8.40% - 23.25%

 

 

12.81

%

First Lien Senior Secured Loans

 

 

42,948,708

 

 

Recent Transaction

 

N/A

 

N/A

 

N/A

 

Senior Secured Notes

 

 

37,473,499

 

 

Discounted Cash Flow

 

Discount Rate

 

5.87% - 18.23%

 

 

10.66

%

Second Lien Senior Secured Loans

 

 

1,447,186

 

 

Discounted Cash Flow

 

Discount Rate

 

18.39% - 20.39%

 

 

19.64

%

Warrants

 

 

826,250

 

 

Enterprise Value

 

Revenue Multiple

 

1.75x - 5.25x

 

4.52x

 

Preferred Stock

 

 

500,000

 

 

Market Approach

 

Current Value

 

1.75x

 

1.75x

 

Warrants

 

 

345,355

 

 

Option Pricing Model

 

Volatility Factor

 

49.00% - 72.00%

 

 

51.51

%

Total

 

$

333,311,787

 

 

 

 

 

 

 

 

 

 

 

(1) The weighted average is calculated based on the fair value of each investment.

Significant increases (decreases) in discount rate in isolation would result in a significantly lower (higher) fair value assessment. Significant increases (decreases) in volatility in isolation would result in a significantly lower (higher) fair value assessment.

The following tables provide a summary of changes in the fair value of the Company’s Level 3 portfolio investments for the six months ended June 30, 2026 and 2025:

 

 

 

First Lien
 Senior Secured
Loans

 

 

Senior
Secured Notes

 

 

Second Lien Senior Secured Loans

 

 

Preferred
Stock

 

 

Warrants

 

 

Total

 

Fair Value as of December 31, 2025

 

$

292,719,497

 

 

$

37,473,499

 

 

$

1,447,186

 

 

$

500,000

 

 

$

1,171,605

 

 

$

333,311,787

 

Purchases

 

 

91,107,507

 

 

 

2,715,658

 

 

 

-

 

 

 

-

 

 

 

1,583,321

 

 

 

95,406,486

 

Accretion of discount and fees (amortization of premium), net

 

 

1,470,998

 

 

 

476,083

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

1,947,081

 

PIK interest

 

 

2,634,170

 

 

 

82,143

 

 

 

24,656

 

 

 

-

 

 

 

-

 

 

 

2,740,969

 

Proceeds from sales of investments and principal repayments

 

 

(86,019,690

)

 

 

(9,431,091

)

 

 

(105,536

)

 

 

-

 

 

 

-

 

 

 

(95,556,317

)

Net realized gain (loss) on investments

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

Net change in unrealized appreciation (depreciation) on investments

 

 

(2,586,354

)

 

 

(411,796

)

 

 

(7,938

)

 

 

-

 

 

 

(9,926

)

 

 

(3,016,014

)

Balance as of June 30, 2026

 

$

299,326,128

 

 

$

30,904,496

 

 

$

1,358,368

 

 

$

500,000

 

 

$

2,745,000

 

 

$

334,833,992

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net change in unrealized appreciation/depreciation on
   Level 3 investments still held as of
   June 30, 2026

 

$

(2,055,652

)

 

$

(133,584

)

 

$

(7,938

)

 

$

-

 

 

$

(9,926

)

 

$

(2,207,100

)

 

 

 

First Lien
 Senior Secured
Loans

 

 

Senior
Secured Notes

 

 

Preferred
Stock

 

 

Warrants

 

 

Total

 

Fair Value as of December 31, 2024

 

$

239,860,206

 

 

$

34,656,192

 

 

$

500,000

 

 

$

225,000

 

 

$

275,241,398

 

Purchases

 

 

55,028,224

 

 

 

3,600,000

 

 

 

-

 

 

 

422,381

 

 

 

59,050,605

 

Accretion of discount and fees (amortization of premium), net

 

 

1,096,351

 

 

 

119,751

 

 

 

-

 

 

 

-

 

 

 

1,216,102

 

PIK interest

 

 

937,827

 

 

 

108,140

 

 

 

-

 

 

 

-

 

 

 

1,045,967

 

Proceeds from sales of investments and principal repayments

 

 

(29,940,662

)

 

 

-

 

 

 

-

 

 

 

-

 

 

 

(29,940,662

)

Net realized gain (loss) on investments

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

Net change in unrealized appreciation (depreciation) on investments

 

 

638,803

 

 

 

370,506

 

 

 

-

 

 

 

(123,715

)

 

 

885,594

 

Balance as of June 30, 2025

 

$

267,620,749

 

 

$

38,854,589

 

 

$

500,000

 

 

$

523,666

 

 

$

307,499,004

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net change in unrealized appreciation/depreciation on
   Level 3 investments still held as of
   June 30, 2025

 

$

638,803

 

 

$

370,506

 

 

$

-

 

 

$

(123,715

)

 

$

885,594