v3.26.3
Fair Value Measurement and Disclosures
 9 Months Ended
Sep. 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 September 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

$

-

 

$

22,332

 

$

192,899

 

$

-

 

$

215,231

 

$

-

 

$

120,452

 

$

1,040,384

 

$

-

 

$

1,160,836

 

$

-

 

$

142,784

 

$

1,233,283

 

$

-

 

$

1,376,067

 

Equity & Other Investments

 

-

 

 

235

 

 

28,295

 

 

69,237

 

 

97,767

 

 

-

 

 

1,265

 

 

152,609

 

 

373,426

 

 

527,300

 

 

-

 

 

1,500

 

 

180,904

 

 

442,663

 

 

625,067

 

Total Investments, at fair value

$

-

 

$

22,567

 

$

221,194

 

$

69,237

 

$

312,998

 

$

-

 

$

121,717

 

$

1,192,993

 

$

373,426

 

$

1,688,136

 

$

-

 

$

144,284

 

$

1,414,187

 

$

442,663

 

$

2,001,134

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Assets, at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Default Swaps

$

-

 

$

-

 

$

6,351

 

$

-

 

$

6,351

 

$

-

 

$

-

 

$

34,252

 

$

-

 

$

34,252

 

$

-

 

$

-

 

$

40,603

 

$

-

 

$

40,603

 

Swaptions

 

-

 

 

3

 

 

-

 

 

-

 

 

3

 

 

-

 

 

15

 

 

-

 

 

-

 

 

15

 

 

-

 

 

18

 

 

-

 

 

-

 

 

18

 

Forward Currency Contracts

 

-

 

 

979

 

 

-

 

 

-

 

 

979

 

 

-

 

 

5,282

 

 

-

 

 

-

 

 

5,282

 

 

-

 

 

6,261

 

 

-

 

 

-

 

 

6,261

 

Total Derivative Assets, at fair value

$

-

 

$

982

 

$

6,351

 

$

-

 

$

7,333

 

$

-

 

$

5,297

 

$

34,252

 

$

-

 

$

39,549

 

$

-

 

$

6,279

 

$

40,603

 

$

-

 

$

46,882

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Liabilities, at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Default Swaps

$

-

 

$

57

 

$

-

 

$

-

 

$

57

 

$

-

 

$

306

 

$

-

 

$

-

 

$

306

 

$

-

 

$

363

 

$

-

 

$

-

 

$

363

 

Swaptions

 

-

 

 

3

 

 

-

 

 

-

 

 

3

 

 

-

 

 

17

 

 

-

 

 

-

 

 

17

 

 

-

 

 

20

 

 

-

 

 

-

 

 

20

 

Interest Rate Swaps

 

-

 

 

2,639

 

 

-

 

 

-

 

 

2,639

 

 

-

 

 

14,231

 

 

-

 

 

-

 

 

14,231

 

 

-

 

 

16,870

 

 

-

 

 

-

 

 

16,870

 

Total Derivative Liabilities, at fair value

$

-

 

$

2,699

 

$

-

 

$

-

 

$

2,699

 

$

-

 

$

14,554

 

$

-

 

$

-

 

$

14,554

 

$

-

 

$

17,253

 

$

-

 

$

-

 

$

17,253

 

Total

$

-

 

$

20,850

 

$

227,545

 

$

69,237

 

$

317,632

 

$

-

 

$

112,460

 

$

1,227,245

 

$

373,426

 

$

1,713,130

 

$

-

 

$

133,310

 

$

1,454,790

 

$

442,663

 

$

2,030,763

 

 

(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 $1,831, $12,337 and $14,168, 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 transfers out of Series I, Series II and the Company for $(11,141), $(46,350) and $(57,491), respectively, of the Company’s investments that are classified as Level III investments for the three months ended September 30, 2026. There were transfers into Series I, Series II and the Company for $-, $- and $-, respectively, and transfers out of Series I, Series II and the Company for $(11,468), $(47,702) and $(59,170), respectively, of the Company’s investments that are classified as Level III investments for the nine months ended September 30, 2026.

The following tables show changes in the fair value of our Level III investments during the three and nine months ended September 30, 2026:

 

Description

 

Series I

 

 

Series II

 

 

Total

 

Balance as of June 30, 2026

 

$

237,892

 

 

$

1,242,794

 

 

$

1,480,686

 

Purchases

 

 

89,279

 

 

 

535,330

 

 

 

624,609

 

Sales

 

 

(86,724

)

 

 

(495,230

)

 

 

(581,954

)

Net realized gain (loss)

 

 

(43

)

 

 

(224

)

 

 

(267

)

Net change in unrealized gain (loss)

 

 

(1,718

)

 

 

(9,075

)

 

 

(10,793

)

Transfers into Level III

 

 

-

 

 

 

-

 

 

 

-

 

Transfers out of Level III

 

 

(11,141

)

 

 

(46,350

)

 

 

(57,491

)

Balance as of September 30, 2026

 

$

227,545

 

 

$

1,227,245

 

 

$

1,454,790

 

 

Description

 

Series I

 

 

Series II

 

 

Total

 

Balance as of December 31, 2025

 

$

207,000

 

 

$

861,004

 

 

$

1,068,004

 

Purchases

 

 

246,093

 

 

 

1,612,575

 

 

 

1,858,668

 

Sales

 

 

(210,150

)

 

 

(1,181,742

)

 

 

(1,391,892

)

Net realized gain (loss)

 

 

85

 

 

 

541

 

 

 

626

 

Net change in unrealized gain (loss)

 

 

(4,015

)

 

 

(17,431

)

 

 

(21,446

)

Transfers into Level III

 

 

-

 

 

 

-

 

 

 

-

 

Transfers out of Level III

 

 

(11,468

)

 

 

(47,702

)

 

 

(59,170

)

Balance as of September 30, 2026

 

$

227,545

 

 

$

1,227,245

 

 

$

1,454,790

 

 

The net change in unrealized gain (loss) on investments included in the Consolidated Statements of Operations for the three months ended September 30, 2026 attributable to Level III investments still held at September 30, 2026 for Series I, Series II and the Company were $(1,718), $(9,075) and $(10,793), respectively.

 

The net change in unrealized gain (loss) on investments included in the Consolidated Statements of Operations for the nine months ended September 30, 2026 attributable to Level III investments still held at September 30, 2026 for Series I, Series II and the Company were $(4,015), $(17,431) and $(21,446), respectively.


Transfers of investments between levels, if any, are recorded at the end of the period. There were no transfers out of the Company’s investments that are classified as Level III investments for the three months ended September 30, 2025. There were transfers in for $34,264, $106,214 and $140,478 of the Company’s investments that are classified as Level III investments for the three and nine months ended September 30, 2025. 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 nine months ended September 30, 2025.

 

 

 

 

 

The following tables show changes in the fair value of our Level III investments during the three and nine months ended September 30, 2025

 

 

Description

 

Series I

 

 

Series II

 

 

Total

 

Balance as of June 30, 2025

 

$

87,006

 

 

$

269,699

 

 

$

356,705

 

Purchases

 

 

59,072

 

 

 

281,702

 

 

 

340,774

 

Sales

 

 

(10,426

)

 

 

(55,820

)

 

 

(66,246

)

Net realized gain (loss)

 

 

51

 

 

 

4,397

 

 

 

4,448

 

Net change in unrealized gain (loss)

 

 

(1,237

)

 

 

(344

)

 

 

(1,581

)

Transfers into Level III

 

 

34,264

 

 

 

106,214

 

 

 

140,478

 

Transfers out of Level III

 

 

-

 

 

 

-

 

 

 

-

 

Balance as of September 30, 2025

 

$

168,730

 

 

$

605,848

 

 

$

774,578

 

 

 

Description

 

Series I

 

 

Series II

 

 

Total

 

Balance as of December 31, 2024

 

$

21,331

 

 

$

52,046

 

 

$

73,377

 

Purchases

 

 

151,928

 

 

 

577,173

 

 

 

729,101

 

Sales

 

 

(36,457

)

 

 

(137,012

)

 

 

(173,469

)

Net realized gain (loss)

 

 

50

 

 

 

4,399

 

 

 

4,449

 

Net change in unrealized gain (loss)

 

 

(2,359

)

 

 

3,095

 

 

 

736

 

Transfers into Level III

 

 

34,264

 

 

 

106,214

 

 

 

140,478

 

Transfers out of Level III

 

 

(27

)

 

 

(67

)

 

 

(94

)

Balance as of September 30, 2025

 

$

168,730

 

 

$

605,848

 

 

$

774,578

 

 

The net change in unrealized gain (loss) on investments included in the Consolidated Statements of Operations for the three months ended September 30, 2025 attributable to Level III investments still held at September 30, 2025 for Series I, Series II and the Company were $(1,237), $(344) and $(1,581), respectively.

The net change in unrealized gain (loss) on investments included in the Consolidated Statements of Operations for the nine months ended September 30, 2025 attributable to Level III investments still held at September 30, 2025 for Series I, Series II and the Company were $(2,359), $3,095 and $736, respectively.

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

Level III Fair Value

 

 

Valuation

 

Unobservable

 

Range

 

Weighted

 

Asset Type

 

Series I

 

 

Series II

 

 

Total

 

 

Technique

 

Inputs

 

 

 

Average

 

Asset-Backed Securities

 

$

112,549

 

 

$

607,024

 

 

$

719,573

 

 

 DCF

 

Discounted Rate

 

4.86% - 23.5%

 

 

8.62

%

Asset-Backed Securities

 

 

34,418

 

 

 

185,631

 

 

 

220,049

 

 

 Transactional Value

 

Cost

 

 

 

 

 

Asset-Backed Securities

 

 

44,038

 

 

 

237,512

 

 

 

281,550

 

 

 Broker Quote

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

53

 

 

 

287

 

 

 

340

 

 

 Recoverability | Guideline Public Company | Option Model

 

Estimated Proceeds | TEV/LTM Revenue Multiple | Volatility

 

$0.00 | 4.00x | 55.00%

 

 

 

Asset-Backed Securities

 

 

1,839

 

 

 

9,919

 

 

 

11,758

 

 

 Cost Approach

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

2

 

 

 

11

 

 

 

13

 

 

 Guideline Public Company

 

P/E Multiple

 

5.25x

 

 

 

Equity & Other Investments

 

 

145

 

 

 

781

 

 

 

926

 

 

 DCF

 

Discounted Rate

 

11.25%

 

 

11.25

%

Equity & Other Investments

 

 

24,667

 

 

 

133,038

 

 

 

157,705

 

 

 Transactional Value

 

Cost

 

 

 

 

 

Equity & Other Investments

 

 

3,483

 

 

 

18,790

 

 

 

22,273

 

 

 Broker Quote

 

 

 

 

 

 

 

Derivative Assets, at fair value

 

 

6,351

 

 

 

34,252

 

 

 

40,603

 

 

 Broker Quote

 

 

 

 

 

 

 

Total

 

$

227,545

 

 

$

1,227,245

 

 

$

1,454,790

 

 

 

 

 

 

 

 

 

 

 

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