Fair Value Measurement and Disclosures (Tables)

6 Months Ended

Jun. 30, 2026

Summarize the Valuation of The Company's Investments and Cash and Cash Equivalents in The Fair Value Hierarchy Levels

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.

Summary of Fair Value of Level III Investments

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 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

Summary of Quantitative Measures used to Determine the Fair Values of The Level III Investments

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