v3.26.1
Fair Value Measurement and Disclosures
 6 Months Ended
Jun. 30, 2026
Fair Value Disclosures [Abstract]  
Fair Value Measurement and Disclosures
3.
FAIR VALUE MEASUREMENT AND DISCLOSURES

The following tables summarize the valuation of the Company’s investments and cash and cash equivalents in the fair value hierarchy levels as of June 30, 2026:

 

 

Series I

 

 

 

 

 

Series II

 

 

 

 

 

Total

 

Description

Level I

 

Level II

 

Level III

 

Invt. at NAV (1)

 

Total

 

Level I

 

Level II

 

Level III

 

Invt. at NAV (1)

 

Total

 

Level I

 

Level II

 

Level III

 

Invt. at NAV (1)

 

Total

 

Investments, at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

$

-

 

$

12,497

 

$

197,537

 

$

-

 

$

210,034

 

$

-

 

$

65,288

 

$

1,031,974

 

$

-

 

$

1,097,262

 

$

-

 

$

77,785

 

$

1,229,511

 

$

-

 

$

1,307,296

 

Equity & Other Investments

 

-

 

 

253

 

 

32,059

 

 

69,008

 

 

101,320

 

 

-

 

 

1,322

 

 

167,484

 

 

360,510

 

 

529,316

 

 

-

 

 

1,575

 

 

199,543

 

 

429,518

 

 

630,636

 

Total Investments, at fair value

$

-

 

$

12,750

 

$

229,596

 

$

69,008

 

$

311,354

 

$

-

 

$

66,610

 

$

1,199,458

 

$

360,510

 

$

1,626,578

 

$

-

 

$

79,360

 

$

1,429,054

 

$

429,518

 

$

1,937,932

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Assets, at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Default Swaps

$

-

 

$

-

 

$

8,296

 

$

-

 

$

8,296

 

$

-

 

$

-

 

$

43,336

 

$

-

 

$

43,336

 

$

-

 

$

-

 

$

51,632

 

$

-

 

$

51,632

 

Forward Currency Contracts

 

-

 

 

645

 

 

-

 

 

-

 

 

645

 

 

-

 

 

3,371

 

 

-

 

 

-

 

 

3,371

 

 

-

 

 

4,016

 

 

-

 

 

-

 

 

4,016

 

Swaptions

 

-

 

 

41

 

 

-

 

 

-

 

 

41

 

 

-

 

 

217

 

 

-

 

 

-

 

 

217

 

 

-

 

 

258

 

 

-

 

 

-

 

 

258

 

Total Derivative Assets, at fair value

$

-

 

$

686

 

$

8,296

 

$

-

 

$

8,982

 

$

-

 

$

3,588

 

$

43,336

 

$

-

 

$

46,924

 

$

-

 

$

4,274

 

$

51,632

 

$

-

 

$

55,906

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Liabilities, at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Default Swaps

$

-

 

$

6

 

$

-

 

$

-

 

$

6

 

$

-

 

$

31

 

$

-

 

$

-

 

$

31

 

$

-

 

$

37

 

$

-

 

$

-

 

$

37

 

Interest Rate Swaps

 

-

 

 

1,011

 

 

-

 

 

-

 

 

1,011

 

 

-

 

 

5,284

 

 

-

 

 

-

 

 

5,284

 

 

-

 

 

6,295

 

 

-

 

 

-

 

 

6,295

 

Total Derivative Liabilities, at fair value

$

-

 

$

1,017

 

$

-

 

$

-

 

$

1,017

 

$

-

 

$

5,315

 

$

-

 

$

-

 

$

5,315

 

$

-

 

$

6,332

 

$

-

 

$

-

 

$

6,332

 

Total

$

-

 

$

12,419

 

$

237,892

 

$

69,008

 

$

319,319

 

$

-

 

$

64,883

 

$

1,242,794

 

$

360,510

 

$

1,668,187

 

$

-

 

$

77,302

 

$

1,480,686

 

$

429,518

 

$

1,987,506

 

 

(1)
Investments at fair value at Series I, Series II and the Company were measured at NAV per share (or its equivalent) and have not been classified in the fair value hierarchy.

Cash and cash equivalents at Series I, Series II and the Company include money market funds of $834, $4,358 and $5,192, respectively, which are considered Level I assets.

The following tables summarize the valuation of the Company’s investments and cash and cash equivalents in the fair value hierarchy levels as of December 31, 2025:

 

Series I

 

 

 

 

 

Series II

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

Description

Level I

 

Level II

 

Level III

 

Invt. at NAV (1)

 

Total

 

Level I

 

Level II

 

Level III

 

Invt. at NAV (1)

 

Total

 

Level I

 

Level II

 

Level III

 

Invt. at NAV (1)

 

Total

 

Investments, at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

$

-

 

$

33,223

 

$

149,568

 

$

-

 

$

182,791

 

$

-

 

$

138,192

 

$

622,117

 

$

-

 

$

760,309

 

$

-

 

$

171,415

 

$

771,685

 

$

-

 

$

943,100

 

Equity & Other Investments

 

-

 

 

359

 

 

48,777

 

 

73,862

 

 

122,998

 

 

-

 

 

1,491

 

 

202,889

 

 

307,227

 

 

511,607

 

 

-

 

 

1,850

 

 

251,666

 

 

381,089

 

 

634,605

 

Total Investments, at fair value

$

-

 

$

33,582

 

$

198,345

 

$

73,862

 

$

305,789

 

$

-

 

$

139,683

 

$

825,006

 

$

307,227

 

$

1,271,916

 

$

-

 

$

173,265

 

$

1,023,351

 

$

381,089

 

$

1,577,705

 

Derivative Assets, at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Default Swaps

$

-

 

$

-

 

$

8,655

 

$

-

 

$

8,655

 

$

-

 

$

-

 

$

35,998

 

$

-

 

$

35,998

 

$

-

 

$

-

 

$

44,653

 

$

-

 

$

44,653

 

Interest Rate Swaps

 

-

 

 

269

 

 

-

 

 

-

 

 

269

 

 

-

 

 

1,120

 

 

-

 

 

-

 

 

1,120

 

 

-

 

 

1,389

 

 

-

 

 

-

 

 

1,389

 

Total Derivative Assets, at fair value

$

-

 

$

269

 

$

8,655

 

$

-

 

$

8,924

 

$

-

 

$

1,120

 

$

35,998

 

$

-

 

$

37,118

 

$

-

 

$

1,389

 

$

44,653

 

$

-

 

$

46,042

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Liabilities, at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Default Swaps

$

-

 

$

6

 

$

-

 

$

-

 

$

6

 

$

-

 

$

24

 

$

-

 

$

-

 

$

24

 

$

-

 

$

30

 

$

-

 

$

-

 

$

30

 

Forward Currency Contracts

 

-

 

 

181

 

 

-

 

 

-

 

 

181

 

 

-

 

 

754

 

 

-

 

 

-

 

 

754

 

 

-

 

 

935

 

 

-

 

 

-

 

 

935

 

Futures Contracts

 

779

 

 

-

 

 

-

 

 

-

 

 

779

 

 

3,242

 

 

-

 

 

-

 

 

-

 

 

3,242

 

 

4,021

 

 

-

 

 

-

 

 

-

 

 

4,021

 

Total Derivative Liabilities, at fair value

$

779

 

$

187

 

$

-

 

$

-

 

$

966

 

$

3,242

 

$

778

 

$

-

 

$

-

 

$

4,020

 

$

4,021

 

$

965

 

$

-

 

$

-

 

$

4,986

 

Total

$

(779

)

$

33,664

 

$

207,000

 

$

73,862

 

$

313,747

 

$

(3,242

)

$

140,025

 

$

861,004

 

$

307,227

 

$

1,305,014

 

$

(4,021

)

$

173,689

 

$

1,068,004

 

$

381,089

 

$

1,618,761

 

 

(1)
Investments at fair value at Series I, Series II and the Company were measured at NAV per share (or its equivalent) and have not been classified in the fair value hierarchy.

 

Cash and cash equivalents at Series I, Series II and the Company include money market funds of $640, $2,862 and $3,502, respectively, which are considered Level I assets.

 

 

 

 

 

 

 

 

 

Transfers of investments between levels, if any, are recorded at the end of the period. There were transfers into Series I, Series II and the Company for $-, $- and $-, respectively, and transfer out of Series I, Series II and the Company for $-, $- and $-, respectively, of the Company’s investments that are classified as Level III investments for the three months ended June 30, 2026. There were transfers into Series I, Series II and the Company for $-, $- and $-, respectively, and transfer out of Series I, Series II and the Company for $(327), $(1,352) and $(1,679), respectively, of the Company’s investments that are classified as Level III investments for the six months ended June 30, 2026.

The following tables show changes in the fair value of our Level III investment during the three and six months ended June 30, 2026:

 

Description

 

Series I

 

 

Series II

 

 

Total

 

Balance as of March 31, 2026

 

$

235,599

 

 

$

1,152,596

 

 

$

1,388,195

 

Purchases

 

 

92,738

 

 

 

556,299

 

 

 

649,037

 

Sales

 

 

(86,450

)

 

 

(465,887

)

 

 

(552,337

)

Net realized gain (loss)

 

 

115

 

 

 

8,597

 

 

 

8,712

 

Net change in unrealized gain (loss)

 

 

(4,110

)

 

 

(8,811

)

 

 

(12,921

)

Transfers into Level III

 

 

-

 

 

 

-

 

 

 

-

 

Transfers out of Level III

 

 

-

 

 

 

-

 

 

 

-

 

Balance as of June 30, 2026

 

$

237,892

 

 

$

1,242,794

 

 

$

1,480,686

 

 

Description

 

Series I

 

 

Series II

 

 

Total

 

Balance as of December 31, 2025

 

$

207,000

 

 

$

861,004

 

 

$

1,068,004

 

Purchases

 

 

156,814

 

 

 

1,077,245

 

 

 

1,234,059

 

Sales

 

 

(123,426

)

 

 

(686,512

)

 

 

(809,938

)

Net realized gain (loss)

 

 

128

 

 

 

765

 

 

 

893

 

Net change in unrealized gain (loss)

 

 

(2,297

)

 

 

(8,356

)

 

 

(10,653

)

Transfers into Level III

 

 

-

 

 

 

-

 

 

 

-

 

Transfers out of Level III

 

 

(327

)

 

 

(1,352

)

 

 

(1,679

)

Balance as of June 30, 2026

 

$

237,892

 

 

$

1,242,794

 

 

$

1,480,686

 

 

The net change in unrealized gain (loss) on investments included in the Consolidated Statements of Operations for the three months ended June 30, 2026 attributable to Level III investments still held at June 30, 2026 for Series I, Series II and the Company were $(4,110), $(8,811) and $(12,921), respectively.

 

The net change in unrealized gain (loss) on investments included in the Consolidated Statements of Operations for the six months ended June 30, 2026 attributable to Level III investments still held at June 30, 2026 for Series I, Series II and the Company were $(2,297), $(8,356) and $(10,653), respectively.


Transfers of investments between levels, if any, are recorded at the end of the period. There were no transfers in or out of the Company’s investments that are classified as Level III investments for the three months ended June 30, 2025. For the six months ended June 30, 2025, there were no transfers into Level III investments. Transfers out of Series I, Series II and the Company were $(27), $(67) and $(94), respectively, of the Company’s investments that are classified as Level III investments for the six months ended June 30, 2025.

 

 

 

 

 

 

The following tables show changes in the fair value of our Level III investment during the three and six months ended June 30, 2025

 

Description

 

Series I

 

 

Series II

 

 

Total

 

Balance as of March 31, 2025

 

$

51,476

 

 

$

164,242

 

 

$

215,718

 

Purchases

 

 

58,718

 

 

 

169,457

 

 

 

228,175

 

Sales

 

 

(21,971

)

 

 

(67,723

)

 

 

(89,694

)

Net realized gain (loss)

 

 

-

 

 

 

(1

)

 

 

(1

)

Net change in unrealized gain (loss)

 

 

(1,217

)

 

 

3,724

 

 

 

2,507

 

Transfers into Level III

 

 

-

 

 

 

-

 

 

 

-

 

Transfers out of Level III

 

 

-

 

 

 

-

 

 

 

-

 

Balance as of June 30, 2025

 

$

87,006

 

 

$

269,699

 

 

$

356,705

 

 

Description

 

Series I

 

 

Series II

 

 

Total

 

Balance as of December 31, 2024

 

$

21,331

 

 

$

52,046

 

 

$

73,377

 

Purchases

 

 

92,856

 

 

 

295,471

 

 

 

388,327

 

Sales

 

 

(26,031

)

 

 

(81,192

)

 

 

(107,223

)

Net realized gain (loss)

 

 

(1

)

 

 

2

 

 

 

1

 

Net change in unrealized gain (loss)

 

 

(1,122

)

 

 

3,439

 

 

 

2,317

 

Transfers into Level III

 

 

-

 

 

 

-

 

 

 

-

 

Transfers out of Level III

 

 

(27

)

 

 

(67

)

 

 

(94

)

Balance as of June 30, 2025

 

$

87,006

 

 

$

269,699

 

 

$

356,705

 

 

The net change in unrealized gain (loss) on investments included in the Consolidated Statements of Operations for the three months ended June 30, 2025 attributable to Level III investments still held at June 30, 2025 for Series I, Series II and the Company were $(1,217), $3,724 and $2,507, respectively.

The net change in unrealized gain (loss) on investments included in the Consolidated Statements of Operations for the six months ended June 30, 2025 attributable to Level III investments still held at June 30, 2025 for Series I, Series II and the Company were $(1,122), $3,439 and $2,317, respectively.

 

The following table provides quantitative measures used to determine the fair values of the Level III investments as of June 30, 2026:

 

 

 

Level III Fair Value

 

 

Valuation

 

Unobservable

 

Range

 

Weighted

Asset Type

 

Series I

 

 

Series II

 

 

Total

 

 

Technique

 

Inputs

 

 

 

Average

Asset-Backed Securities

 

$

119,138

 

 

$

622,401

 

 

$

741,539

 

 

DCF

 

 Discounted Rate

 

4.86% - 23.5%

 

8.33%

Asset-Backed Securities

 

 

15,986

 

 

 

83,517

 

 

 

99,503

 

 

Transactional Value

 

 Cost

 

 

 

 

Asset-Backed Securities

 

 

59,989

 

 

 

313,393

 

 

 

373,382

 

 

Broker Quote

 

 

 

 

 

 

Asset-Backed Securities

 

 

300

 

 

 

1,569

 

 

 

1,869

 

 

Recovery Approach

 

 

 

 

 

 

Asset-Backed Securities

 

 

2,124

 

 

 

11,094

 

 

 

13,218

 

 

Cost Approach

 

 

 

 

 

 

Equity & Other Investments

 

 

28,379

 

 

 

148,259

 

 

 

176,638

 

 

Transactional Value

 

 Cost

 

 

 

 

Equity & Other Investments

 

 

3,680

 

 

 

19,225

 

 

 

22,905

 

 

Broker Quote

 

 

 

 

 

 

Derivative Assets, at fair value

 

 

8,296

 

 

 

43,336

 

 

 

51,632

 

 

Broker Quote

 

 

 

 

 

 

Total

 

$

237,892

 

 

$

1,242,794

 

 

$

1,480,686

 

 

 

 

 

 

 

 

 

 

 

The following table provides quantitative measures used to determine the fair values of the Level III investments as of December 31, 2025:

 

 

 

Level III Fair Value

 

 

Valuation

 

Unobservable

 

Range

 

Weighted

Asset Type

 

Series I

 

 

Series II

 

 

Total

 

 

Technique

 

Inputs

 

 

 

Average

Asset-Backed Securities

 

$

58,262

 

 

$

242,337

 

 

$

300,599

 

 

DCF

 

 Discounted Rate

 

4.75% - 17.00%

 

7.99%

Asset-Backed Securities

 

 

10,131

 

 

 

42,137

 

 

 

52,268

 

 

Transactional Value

 

 Cost

 

 

 

 

Asset-Backed Securities

 

 

81,172

 

 

 

337,630

 

 

 

418,802

 

 

Broker Quote

 

 

 

 

 

 

Asset-Backed Securities

 

 

3

 

 

 

13

 

 

 

16

 

 

Guideline Public Company | Option Model

 

 P/E | Volatility

 

 

 

 

Equity & Other Investments

 

 

31,199

 

 

 

129,775

 

 

 

160,974

 

 

Transactional Value

 

 Cost

 

 

 

 

Equity & Other Investments

 

 

17,578

 

 

 

73,114

 

 

 

90,692

 

 

Broker Quote

 

 

 

 

 

 

Derivative Assets, at fair value

 

 

8,655

 

 

 

35,998

 

 

 

44,653

 

 

Broker Quote

 

 

 

 

 

 

Total

 

$

207,000

 

 

$

861,004

 

 

$

1,068,004