| 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 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. |
| Summary of Fair Value of Level III Investments |
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 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 |
|
|
| 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 September 30, 2026:
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Level III Fair Value |
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Valuation |
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Unobservable |
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Range |
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Weighted |
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Asset Type |
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Series I |
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Series II |
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Total |
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Technique |
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Inputs |
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Average |
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Asset-Backed Securities |
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$ |
112,549 |
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$ |
607,024 |
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$ |
719,573 |
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DCF |
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Discounted Rate |
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4.86% - 23.5% |
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8.62 |
% |
Asset-Backed Securities |
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34,418 |
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185,631 |
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220,049 |
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Transactional Value |
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Cost |
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Asset-Backed Securities |
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44,038 |
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237,512 |
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281,550 |
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Broker Quote |
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Asset-Backed Securities |
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53 |
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287 |
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340 |
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Recoverability | Guideline Public Company | Option Model |
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Estimated Proceeds | TEV/LTM Revenue Multiple | Volatility |
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$0.00 | 4.00x | 55.00% |
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Asset-Backed Securities |
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1,839 |
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9,919 |
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11,758 |
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Cost Approach |
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Asset-Backed Securities |
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2 |
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11 |
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13 |
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Guideline Public Company |
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P/E Multiple |
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5.25x |
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Equity & Other Investments |
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145 |
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781 |
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926 |
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DCF |
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Discounted Rate |
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11.25% |
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11.25 |
% |
Equity & Other Investments |
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24,667 |
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133,038 |
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157,705 |
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Transactional Value |
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Cost |
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Equity & Other Investments |
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3,483 |
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18,790 |
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22,273 |
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Broker Quote |
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Derivative Assets, at fair value |
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6,351 |
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34,252 |
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40,603 |
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Broker Quote |
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Total |
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$ |
227,545 |
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$ |
1,227,245 |
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$ |
1,454,790 |
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The following table provides quantitative measures used to determine the fair values of the Level III investments as of December 31, 2025:
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Level III Fair Value |
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Valuation |
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Unobservable |
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Range |
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Weighted |
Asset Type |
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Series I |
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Series II |
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Total |
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Technique |
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Inputs |
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Average |
Asset-Backed Securities |
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$ |
58,262 |
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$ |
242,337 |
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$ |
300,599 |
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DCF |
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Discounted Rate |
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4.75% - 17.00% |
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7.99% |
Asset-Backed Securities |
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10,131 |
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42,137 |
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52,268 |
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Transactional Value |
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Cost |
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Asset-Backed Securities |
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81,172 |
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337,630 |
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418,802 |
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Broker Quote |
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Asset-Backed Securities |
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3 |
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13 |
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16 |
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Guideline Public Company | Option Model |
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P/E | Volatility |
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Equity & Other Investments |
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31,199 |
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129,775 |
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160,974 |
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Transactional Value |
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Cost |
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Equity & Other Investments |
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17,578 |
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73,114 |
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90,692 |
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Broker Quote |
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Derivative Assets, at fair value |
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8,655 |
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35,998 |
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44,653 |
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Broker Quote |
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Total |
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$ |
207,000 |
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$ |
861,004 |
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$ |
1,068,004 |
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