XML 34 R27.htm IDEA: XBRL DOCUMENT v3.25.2
Fair Value Measurement and Disclosures (Tables)
 6 Months Ended
Jun. 30, 2025
Fair Value Disclosures [Abstract]  
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, 2025:

 

 

 

Series I

 

 

Series II

 

 

Total

 

Description

 

Level I

 

 

Level II

 

 

Level III

 

 

Level I

 

 

Level II

 

 

Level III

 

 

Level I

 

 

Level II

 

 

Level III

 

Investments, at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset Backed Debt Securities

 

$

-

 

 

$

35,517

 

 

$

47,386

 

 

$

-

 

 

$

110,096

 

 

$

146,887

 

 

$

-

 

 

$

145,613

 

 

$

194,273

 

Bank Loans

 

 

-

 

 

 

-

 

 

 

28,468

 

 

 

-

 

 

 

-

 

 

 

88,245

 

 

 

-

 

 

 

-

 

 

 

116,713

 

Collateralized Loan Obligations - Residual Tranche

 

 

-

 

 

 

-

 

 

 

367

 

 

 

-

 

 

 

-

 

 

 

1,138

 

 

 

-

 

 

 

-

 

 

 

1,505

 

Collateralized Loan Obligations - Warehouses

 

 

-

 

 

 

-

 

 

 

34,264

 

 

 

-

 

 

 

-

 

 

 

106,214

 

 

 

-

 

 

 

-

 

 

 

140,478

 

Total Investments, at fair value(1)

 

$

-

 

 

$

35,517

 

 

$

110,485

 

 

$

-

 

 

$

110,096

 

 

$

342,484

 

 

$

-

 

 

$

145,613

 

 

$

452,969

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Assets, at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Default Swaps

 

$

-

 

 

$

2

 

 

$

10,785

 

 

$

-

 

 

$

6

 

 

$

33,429

 

 

$

-

 

 

$

8

 

 

$

44,214

 

Interest Rate Swaps

 

 

-

 

 

 

36

 

 

 

-

 

 

 

-

 

 

 

113

 

 

 

-

 

 

 

-

 

 

 

149

 

 

 

-

 

Total Derivative Assets, at fair value

 

$

-

 

 

$

38

 

 

$

10,785

 

 

$

-

 

 

$

119

 

 

$

33,429

 

 

$

-

 

 

$

157

 

 

$

44,214

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Liabilities, at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Currency Contracts

 

$

-

 

 

$

988

 

 

$

-

 

 

$

-

 

 

$

3,062

 

 

$

-

 

 

$

-

 

 

$

4,050

 

 

$

-

 

Futures Contracts

 

 

1,929

 

 

 

-

 

 

 

-

 

 

 

5,981

 

 

 

-

 

 

 

-

 

 

 

7,910

 

 

 

-

 

 

 

-

 

Total Derivative Liabilities, at fair value

 

$

1,929

 

 

$

988

 

 

$

-

 

 

$

5,981

 

 

$

3,062

 

 

$

-

 

 

$

7,910

 

 

$

4,050

 

 

$

-

 

Total

 

$

(1,929

)

 

$

34,567

 

 

$

121,270

 

 

$

(5,981

)

 

$

107,153

 

 

$

375,913

 

 

$

(7,910

)

 

$

141,720

 

 

$

497,183

 

 

(1)
Investments at fair value at Series I, Series II and the Company totaling $33,386, $103,492 and $136,878, respectively, were measured at NAV per share (or its equivalent) and have not been classified in the fair value hierarchy.

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, 2024:

 

 

 

Series I

 

 

Series II

 

 

Total

 

Description

 

Level I

 

 

Level II

 

 

Level III

 

 

Level I

 

 

Level II

 

 

Level III

 

 

Level I

 

 

Level II

 

 

Level III

 

Investments, at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset Backed Debt Securities

 

$

-

 

 

$

17,693

 

 

$

18,212

 

 

$

-

 

 

$

43,166

 

 

$

44,434

 

 

$

-

 

 

$

60,859

 

 

$

62,646

 

Bank Loans

 

 

-

 

 

 

-

 

 

 

476

 

 

 

-

 

 

 

-

 

 

 

1,161

 

 

 

-

 

 

 

-

 

 

 

1,637

 

Collateralized Loan Obligations - Residual Tranche

 

 

-

 

 

 

-

 

 

 

27

 

 

 

-

 

 

 

-

 

 

 

67

 

 

 

-

 

 

 

-

 

 

 

94

 

Total Investments, at fair value(1)

 

$

-

 

 

$

17,693

 

 

$

18,715

 

 

$

-

 

 

$

43,166

 

 

$

45,662

 

 

$

-

 

 

$

60,859

 

 

$

64,377

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Assets, at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Default Swaps

 

$

-

 

 

$

-

 

 

$

2,616

 

 

$

-

 

 

$

-

 

 

$

6,384

 

 

$

-

 

 

$

-

 

 

$

9,000

 

Interest Rate Swaps

 

 

-

 

 

 

48

 

 

 

-

 

 

 

-

 

 

 

116

 

 

 

-

 

 

 

-

 

 

 

164

 

 

 

-

 

Forward Currency Contracts

 

 

-

 

 

 

101

 

 

 

-

 

 

 

-

 

 

 

246

 

 

 

-

 

 

 

-

 

 

 

347

 

 

 

-

 

Futures Contracts

 

 

334

 

 

 

-

 

 

 

-

 

 

 

816

 

 

 

-

 

 

 

-

 

 

 

1,150

 

 

 

-

 

 

 

-

 

Total Derivative Assets, at fair value

 

$

334

 

 

$

149

 

 

$

2,616

 

 

$

816

 

 

$

362

 

 

$

6,384

 

 

$

1,150

 

 

$

511

 

 

$

9,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Liabilities, at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Default Swaps

 

$

-

 

 

$

6

 

 

$

-

 

 

$

-

 

 

$

16

 

 

$

-

 

 

$

-

 

 

$

22

 

 

$

-

 

Interest Rate Swaps

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

Forward Currency Contracts

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

Futures Contracts

 

 

32

 

 

 

-

 

 

 

-

 

 

 

77

 

 

 

-

 

 

 

-

 

 

 

109

 

 

 

-

 

 

 

-

 

Total Derivative Liabilities, at fair value

 

$

32

 

 

$

6

 

 

$

-

 

 

$

77

 

 

$

16

 

 

$

-

 

 

$

109

 

 

$

22

 

 

$

-

 

Total

 

$

302

 

 

$

17,836

 

 

$

21,331

 

 

$

739

 

 

$

43,512

 

 

$

52,046

 

 

$

1,041

 

 

$

61,348

 

 

$

73,377

 

 

(1)
Investments at fair value at Series I, Series II and the Company totaling $25,647, $62,574 and $88,221, respectively, 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, 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 Measure used to Determine the Fair Values of The Level III Investments

The following tables provide quantitative measure used to determine the fair values of the Level III investments as of June 30, 2025:

 

 

Level III Fair Value

 

Valuation Technique

Unobservable Inputs

Range

Weighted Average

 

Asset Type

Series I

 

Series II

 

Total

 

 

 

 

 

 

Asset Backed Debt Securities

$

14,729

 

$

45,657

 

$

60,386

 

 DCF

 Discount Rate

5.00% - 17.00%

 

7.75

%

Asset Backed Debt Securities

 

14,323

 

 

44,398

 

 

58,721

 

 Transactional Value

 Cost

 

 

 

Asset Backed Debt Securities

 

18,334

 

 

56,832

 

 

75,166

 

 Broker Quote

 N/A

 

 

 

Bank Loans

 

15,807

 

 

48,998

 

 

64,805

 

 Transactional Value

 Cost

 

 

 

Bank Loans

 

12,661

 

 

39,247

 

 

51,908

 

 DCF

 Discount Rate

6.94% - 8.06%

 

7.75

%

Collateralized Loan Obligations - Residual Tranche

 

367

 

 

1,138

 

 

1,505

 

 Broker Quote

 N/A

 

 

 

Collateralized Loan Obligations - Warehouses

 

34,264

 

 

106,214

 

 

140,478

 

 Broker Quote

 N/A

 

 

 

 Credit Default Swaps

 

10,787

 

 

33,435

 

 

44,222

 

 Broker Quote

 N/A

 

 

 

Total

$

121,272

 

$

375,919

 

$

497,191

 

 

 

 

 

 

The following tables provide quantitative measure used to determine the fair values of the Level III investments as of December 31, 2024:

 

 

 

Level III Fair Value

 

 

Valuation

 

Unobservable

 

Range

 

Weighted

 

Asset Type

 

Series I

 

 

Series II

 

 

Total

 

 

Technique

 

Inputs

 

 

 

Average

 

Asset Backed Debt Securities

 

$

3,303

 

 

$

8,061

 

 

$

11,364

 

 

 DCF

 

 Discount Rate

 

3.70% - 17.00%

 

 

9.78

%

Asset Backed Debt Securities

 

 

13,019

 

 

 

31,763

 

 

 

44,782

 

 

 Transactional Value

 

 Cost

 

 

 

 

 

Asset Backed Debt Securities

 

 

1,890

 

 

 

4,610

 

 

 

6,500

 

 

 Broker Quote

 

 N/A

 

 

 

 

 

Collateralized Loan Obligations - Residual Tranche

 

 

476

 

 

 

1,161

 

 

 

1,637

 

 

 Transactional Value

 

 Cost

 

 

 

 

 

Collateralized Loan Obligations - Warehouses

 

 

27

 

 

 

67

 

 

 

94

 

 

 Transactional Value

 

 Cost

 

 

 

 

 

Credit Default Swaps

 

 

2,616

 

 

 

6,384

 

 

 

9,000

 

 

Broker Quote

 

N/A

 

 

 

 

 

Total

 

$

21,331

 

 

$

52,046

 

 

$

73,377