| Fair Value of Financial Instruments |
NOTE 4 — FAIR VALUE OF FINANCIAL INSTRUMENTS ASC 820 defines fair value, establishes a framework for measuring fair value, and establishes a fair value hierarchy based on the quality of inputs used to measure fair value and enhances disclosure requirements for fair value measurements. The Company accounts for its investments at fair value. As of September 30, 2025 and December 31, 2024, the Company’s portfolio investments consisted primarily of investments in senior secured loans and secured notes. The fair value amounts have been measured as of the reporting date and have not been reevaluated or updated for purposes of these financial statements subsequent to that date. As such, the fair values of these financial instruments subsequent to the reporting date may be different than amounts reported. The fair value determination of each portfolio investment categorized as Level 3 required the use of one or more unobservable inputs. The use of significant unobservable inputs creates uncertainty in the measurement of fair value as of the reporting date. The significant unobservable inputs used in the fair value measurement of the Company’s debt investments may vary and may include debt investments’ yield (i.e. discount rate) and volatility assumptions. The significant unobservable inputs used in the fair value measurement of the Company’s equity and warrant investments may vary and may include EBITDA multiples, revenue multiples and asset multiples. The Company’s investments measured at fair value by investment type on a recurring basis as of September 30, 2025 and December 31, 2024 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements at September 30, 2025 Using |
|
Investment Type |
|
Quoted Prices in
Active Markets
for Identical
Assets (Level 1) |
|
|
Significant
Other
Observable
Inputs (Level 2) |
|
|
Significant
Unobservable
Inputs (Level 3) |
|
|
Total |
|
First Lien Senior Secured Loans |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
269,334,628 |
|
|
$ |
269,334,628 |
|
Senior Secured Notes |
|
|
- |
|
|
|
- |
|
|
|
39,040,890 |
|
|
|
39,040,890 |
|
Second Lien Senior Secured Loans |
|
|
- |
|
|
|
- |
|
|
|
1,473,025 |
|
|
|
1,473,025 |
|
Warrants |
|
|
- |
|
|
|
- |
|
|
|
1,044,939 |
|
|
|
1,044,939 |
|
Preferred Stock |
|
|
- |
|
|
|
- |
|
|
|
500,000 |
|
|
|
500,000 |
|
Total |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
311,393,482 |
|
|
$ |
311,393,482 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements at December 31, 2024 Using |
|
Investment Type |
|
Quoted Prices in
Active Markets
for Identical
Assets (Level 1) |
|
|
Significant
Other
Observable
Inputs (Level 2) |
|
|
Significant
Unobservable
Inputs (Level 3) |
|
|
Total |
|
First Lien Senior Secured Loans |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
239,860,206 |
|
|
$ |
239,860,206 |
|
Senior Secured Notes |
|
|
- |
|
|
|
- |
|
|
|
34,656,192 |
|
|
|
34,656,192 |
|
Preferred Stock |
|
|
- |
|
|
|
- |
|
|
|
500,000 |
|
|
|
500,000 |
|
Warrants |
|
|
- |
|
|
|
- |
|
|
|
225,000 |
|
|
|
225,000 |
|
Total |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
275,241,398 |
|
|
$ |
275,241,398 |
|
The following tables provide a summary of the significant unobservable inputs used to fair value the Level 3 portfolio investments as of September 30, 2025 and December 31, 2024. The methodology for the determination of the fair value of the Company’s investments is discussed in “Note 2 – Significant Accounting Policies”. Discount rate ranges are shown as spread over the U.S. Prime Rate ("PRIME"), Secured Overnight Financing Rate ("SOFR") and/or U.S. Treasury Rates, as applicable, for senior secured first lien term loans, as of September 30, 2025 and December 31, 2024.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Type |
|
Fair Value as of
September 30, 2025 |
|
|
Valuation
Techniques/Methodologies |
|
Unobservable Input |
|
Range |
|
|
Weighted
Average(1) |
|
First Lien Senior Secured Loans |
|
$ |
208,140,610 |
|
|
Discounted Cash Flow |
|
Discount Rate |
|
8.40% - 29.63% |
|
|
|
13.00 |
% |
First Lien Senior Secured Loans |
|
|
61,194,018 |
|
|
Recent Transaction |
|
N/A |
|
N/A |
|
|
N/A |
|
Senior Secured Notes |
|
|
39,040,890 |
|
|
Discounted Cash Flow |
|
Discount Rate |
|
6.37% - 18.23% |
|
|
|
11.08 |
% |
Second Lien Senior Secured Loans |
|
|
1,473,025 |
|
|
Discounted Cash Flow |
|
Discount Rate |
|
18.64% - 20.64% |
|
|
|
19.64 |
% |
Preferred Stock |
|
|
500,000 |
|
|
Market Approach |
|
Current Value |
|
2.25x |
|
|
2.25x |
|
Warrants |
|
|
885,939 |
|
|
Recent Transaction |
|
N/A |
|
N/A |
|
|
N/A |
|
Warrants |
|
|
159,000 |
|
|
Option Pricing Model |
|
Volatility Factor |
|
|
58.70 |
% |
|
|
58.70 |
% |
Total |
|
$ |
311,393,482 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Type |
|
Fair Value as of
December 31, 2024 |
|
|
Valuation
Techniques/Methodologies |
|
Unobservable Input |
|
Range |
|
|
Weighted
Average(1) |
|
First Lien Senior Secured Loans |
|
$ |
239,860,206 |
|
|
Discounted Cash Flow |
|
Discount Rate |
|
9.10% - 28.60% |
|
|
|
13.38 |
% |
Senior Secured Notes |
|
|
34,656,192 |
|
|
Discounted Cash Flow |
|
Discount Rate |
|
7.40% - 17.20% |
|
|
|
11.53 |
% |
Preferred Stock |
|
|
500,000 |
|
|
Market Approach |
|
Current Value |
|
2.5x |
|
|
2.5x |
|
Warrants |
|
|
225,000 |
|
|
Option Pricing Model |
|
Volatility Factor |
|
|
47.20 |
% |
|
|
47.20 |
% |
Total |
|
$ |
275,241,398 |
|
|
|
|
|
|
|
|
|
|
|
(1)The weighted average is calculated based on the fair value of each investment. Significant increases (decreases) in discount rate in isolation would result in a significantly lower (higher) fair value assessment. Significant increases (decreases) in volatility in isolation would result in a significantly lower (higher) fair value assessment. The following tables provide a summary of changes in the fair value of the Company’s Level 3 portfolio investments for the nine months ended September 30, 2025 and 2024:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien
Senior Secured
Loans |
|
|
Senior
Secured Notes |
|
|
Second Lien Senior Secured Loans |
|
|
Preferred
Stock |
|
|
Warrants |
|
|
Total |
|
Fair Value as of December 31, 2024 |
|
$ |
239,860,206 |
|
|
$ |
34,656,192 |
|
|
$ |
- |
|
|
$ |
500,000 |
|
|
$ |
225,000 |
|
|
$ |
275,241,398 |
|
Purchases |
|
|
120,405,247 |
|
|
|
3,600,000 |
|
|
|
- |
|
|
|
- |
|
|
|
904,255 |
|
|
|
124,909,502 |
|
Accretion of discount and fees (amortization
of premium), net |
|
|
1,857,239 |
|
|
|
239,798 |
|
|
|
8,655 |
|
|
|
- |
|
|
|
- |
|
|
|
2,105,692 |
|
PIK interest |
|
|
1,311,017 |
|
|
|
174,112 |
|
|
|
14,212 |
|
|
|
- |
|
|
|
- |
|
|
|
1,499,341 |
|
Proceeds from sales of investments and
principal repayments |
|
|
(91,045,553 |
) |
|
|
- |
|
|
|
(1,545,432 |
) |
|
|
- |
|
|
|
- |
|
|
|
(92,590,985 |
) |
Net realized gain (loss) on investments |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
Net change in unrealized appreciation
(depreciation) on investments |
|
|
(26,642 |
) |
|
|
370,788 |
|
|
|
(31,296 |
) |
|
|
- |
|
|
|
(84,316 |
) |
|
|
228,534 |
|
Transfers between investment types |
|
|
(3,026,886 |
) |
|
|
- |
|
|
|
3,026,886 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
Balance as of September 30, 2025 |
|
$ |
269,334,628 |
|
|
$ |
39,040,890 |
|
|
$ |
1,473,025 |
|
|
$ |
500,000 |
|
|
$ |
1,044,939 |
|
|
$ |
311,393,482 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized appreciation/depreciation on Level 3 investments still held as of September 30, 2025 |
|
$ |
(202,733 |
) |
|
$ |
370,787 |
|
|
$ |
(37,400 |
) |
|
$ |
- |
|
|
$ |
(84,316 |
) |
|
$ |
46,338 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien
Senior Secured
Loans |
|
|
Senior
Secured Notes |
|
|
Preferred
Stock |
|
|
Warrants |
|
|
Total |
|
Fair Value as of December 31, 2023 |
|
|
46,006,000 |
|
|
$ |
8,114,000 |
|
|
|
- |
|
|
|
- |
|
|
$ |
54,120,000 |
|
Purchases |
|
|
1,082,174 |
|
|
|
3,316,250 |
|
|
|
500,000 |
|
|
|
242,826 |
|
|
|
5,141,250 |
|
Accretion of discount and fees (amortization
of premium), net |
|
|
316,057 |
|
|
|
185,246 |
|
|
|
- |
|
|
|
- |
|
|
|
501,303 |
|
PIK interest |
|
|
182,634 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
182,634 |
|
Proceeds from sales of investments and
principal repayments |
|
|
(4,344,000 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(4,344,000 |
) |
Net realized gain (loss) on investments |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
Net change in unrealized appreciation
(depreciation) on investments |
|
|
127,135 |
|
|
|
127,015 |
|
|
|
- |
|
|
|
(66,826 |
) |
|
|
187,324 |
|
Balance as of September 30, 2024 |
|
$ |
43,370,000 |
|
|
$ |
11,742,511 |
|
|
$ |
500,000 |
|
|
$ |
176,000 |
|
|
$ |
55,788,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized appreciation/depreciation on Level 3 investments still held as of September 30, 2024 |
|
$ |
127,135 |
|
|
$ |
127,015 |
|
|
$ |
- |
|
|
$ |
(66,826 |
) |
|
$ |
187,324 |
|
|