Note 3 Fair Value Measurements

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Hierarchy of Fair Value Inputs

 

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

 

Level 1—Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

 

Level 2—Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.

 

Level 3—Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing management’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

The fair values of the Fund’s Level 1 financial assets and liabilities are based on quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. The fair values of the Fund’s Level 2 financial assets and liabilities are obtained using quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets in markets that are not active; and inputs other than quoted prices (e.g., interest rates and yield curves). The Fund utilizes a pricing service to assist in obtaining fair value pricing for the Marketable Debt Securities Portfolio.

 

The following table reflects the valuation level used in the schedule of investments as of September 30, 2025 for the Fund’s assets (in thousands):

		Level 1				Level 2				Level 3				Total
Investments:
Common shares		$	-			$	-			$	350			$	350
Money market funds			15,294				-				-				15,294
Fixed income securities:
U.S. government debt			-				261,979				-				261,979
Total financial assets at fair value		$	15,294			$	261,979			$	350			$	277,623

 

The following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining fair value (in thousands):

		Assets
		Total Investments
Balance as of January 1, 2025		$	356
Purchases			-
Sales			-
Change in unrealized appreciation (depreciation)			(6)
Realized gain (loss)			-
Transfers out of Level 3			-
Balance as of September 30, 2025		$	350
		$	-

 

The change in unrealized appreciation (depreciation) attributable to assets owned on September 30, 2025, which were valued using significant unobservable inputs (Level 3) amounted to $6 thousand.

Type of investment	Fair Value at September 30, 2025 (in thousands)	Valuation Technique	Unobservable Inputs
Investments - common shares	$350	Market Approach	Price per share	$7.62