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FAIR VALUE MEASUREMENTS | 9 Months Ended
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Sep. 30, 2025
Fair Value Disclosures [Abstract] |
FAIR VALUE MEASUREMENTS | FAIR VALUE MEASUREMENTS The Company determines fair value based on assumptions that market participants would use in pricing an asset or a liability in the principal or most advantageous market. When considering market participant assumptions in fair value measurements, the following fair value hierarchy distinguishes between observable and unobservable inputs, which are categorized in one of the following levels: •Level 1 inputs: Unadjusted quoted prices in active markets for identical assets or liabilities accessible to the reporting entity at the measurement date. •Level 2 inputs: Other than quoted prices in Level 1 inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the asset or liability. •Level 3 inputs: Unobservable inputs for the asset or liability used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. Recurring Fair Value Measurements—The assets and liabilities measured at estimated fair value on a recurring basis and their corresponding placement in the fair value hierarchy are presented in the tables below. The Company evaluates its estimates and judgments on an ongoing basis. The Company bases its estimates on historical experience and or other relevant assumptions that the Company believes to be reasonable under the circumstances. Actual results may differ materially from management’s estimates.
| Fair Value Hierarchy
As of September 30, 2025 | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |
Life settlement policies, at fair value | $ | — |  |  | $ | — |  |  | $ | 423,782,347 |  |  | $ | 423,782,347 |
Available-for-sale securities, at fair value | — |  |  | — |  |  | 3,194,593 |  |  | 3,194,593 |
Total assets held at fair value | $ | — |  |  | $ | — |  |  | $ | 426,976,940 |  |  | $ | 426,976,940 |
Liabilities: |  |  |  |  |  |  |
Current portion of long-term debt, at fair value | $ | — |  |  | $ | — |  |  | $ | 118,498,871 |  |  | $ | 118,498,871 |
Total liabilities held at fair value: | $ | — |  |  | $ | — |  |  | $ | 118,498,871 |  |  | $ | 118,498,871 |
| Fair Value Hierarchy
As of December 31, 2024 | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |
Life settlement policies, at fair value | $ | — |  |  | $ | — |  |  | $ | 370,398,447 |  |  | $ | 370,398,447 |
Available-for-sale securities, at fair value | — |  |  | — |  |  | 2,205,904 |  |  | 2,205,904 |
Total assets held at fair value | $ | — |  |  | $ | — |  |  | $ | 372,604,351 |  |  | $ | 372,604,351 |
Liabilities: |  |  |  |  |  |  |
Current portion of long-term debt, at fair value | $ | — |  |  | $ | — |  |  | $ | 37,430,336 |  |  | $ | 37,430,336 |
Long-term debt, at fair value | — |  |  | — |  |  | 105,120,100 |  |  | 105,120,100 |
Private Placement Warrants | — |  |  | — |  |  | 9,345,000 |  |  | 9,345,000 |
Total liabilities held at fair value: | $ | — |  |  | $ | — |  |  | $ | 151,895,436 |  |  | $ | 151,895,436 |
Life Settlement Policies—For all policies purchased after June 30, 2023, the Company accounts for owned life settlement policies using the fair value method. There have been no changes to the fair value methodology since June 30, 2023, but we have expanded our disclosures. Prior to June 30, 2023, the Company elected to use either the fair value method or the investment method (cost, plus premiums paid). The valuation method is chosen upon contract acquisition and is irrevocable. The Company purchases policies from individuals or institutions, bundles those policies into tranches and sells to institutions, insurance carriers or funds that are attracting new investors. These initial purchases happen in the secondary market and the tertiary market. The secondary market is different from the principal or most advantageous market for purchasing policies and has less competition due to state-by-state licensing requirements. The Company leverages its broad policy base and extensive network, to offer individual policies that provide enhanced standalone value. This is achieved by precisely matching each policy’s risk profile to the specific needs of fund managers, institutions, insurance carriers, or funds as well as bundling secondary market originated policies with those originated in the tertiary market. This tailored approach attracts new investors by making it easier to identify and acquire policies that align with their investment objectives. This approach enhances realized gains because it increases market liquidity, broadens the investor base, and enables more efficient price discovery, which in turn supports higher policy values. Our historical realized gains on policies sold, are materially consistent regardless of where policies are originated For policies carried at fair value, the valuation is based on Level 3 inputs that reflect our assumptions about what factors market participants would use in pricing the asset. Fair value is determined using a discounted cash flow (“DCF”) with Monte Carlo simulation to determine the fair value of each policy. This model uses a discount rate based on historical realized gains applied to the policies in inventory analyzed by risk category. The Monte Carlo simulation is applied to each policy to generate one million mortality scenario simulations which provides a comprehensive distribution of potential outcomes and calculates expected cash flows. In certain circumstances, if there is a verbal commitment to purchase a specific policy as of the balance sheet date, we use that transaction price as the fair value as we believe it is a more precise estimate of exit price than that determined using historical data. Further information about the inputs to the valuation are listed below: •Risk-Based Discount Rate: Each policy's discount rate is determined based on its proprietary risk score (1-5 scale), with discount rates directly calibrated to historical realized gains data for policies within the same risk category. This transaction-based approach ensures that discount rates reflect actual transaction pricing rather than theoretical market rates. •Historical realized gains, which represents the historical realized gains on life insurance policies sold: Each policy is fundamentally anchored by historical realized gains for policies that the Company has transacted over recent years. These historical realized gains represent the internal rates of return (“IRR") that equate the discounted cash flows of sold policies to their actual sale prices, providing direct market-based discount rates for the valuation model. Historical realized gains represent t he average realized gain on policies sold as a percentage of the sum of the original cost of the corresponding life settlement policy and the related lifetime continuing costs (e.g., premium costs). The average realized gain on policies sold represents realized gains as a percentage of related Lifetime Carrying Costs. These realized gains include policies sold to third parties and to funds that are managed by us as the general partner, which we consider to be related parties. We believe these trades are representative of the market price at the time of the transaction. The discount rates used in the discounted cash flow calculations are derived from these historical realized gains, categorized by risk score. •Risk Score: Each policy is assigned a proprietary risk score from 1 to 5, with 5 being higher risk, based on multiple factors including insured age, life expectancy, life expectancy extension ratio, survival probability at breakeven, maturity probability, and risk-adjusted return on capital metrics. •Life expectancy: Survival curves are generated using the Society of Actuaries 2015 VBT mortality tables adjusted by mortality ratings to achieve risk-adjusted life expectancies. For policies with multiple insureds, joint survival probabilities are calculated using statistical modeling techniques. The Company performs quarterly lookback analysis to validate current valuations against actual market transactions. The quarterly lookback reviews policies sold during the current quarter and compares sale prices to fair value measures as of the prior quarter. Risk Metrics and Portfolio Analysis Expected Tail Loss (“ETL99”): The Company calculates Expected Tail Loss at the 99th percentile, representing the weighted average of net present values in the worst 1% of simulated scenarios. This metric is used in conjunction with average net present value (“NPV”) to derive Risk-Adjusted Return on Capital (“RAROC”) ratios for individual policies and portfolio-level risk assessment. Portfolio Diversification: When evaluating policies as part of a portfolio, the Company performs correlated analysis across all holdings, recognizing that combining policies with varying risk profiles can mitigate tail risk exposure while maintaining expected returns. Data Sources: Valuations are fundamentally based on historical realized gains analysis from over 1 thousand policy transactions, representing actual transaction-based IRRs by risk category. Current market conditions are incorporated through ongoing discussions with investors such as institutional asset managers, credit unions, regional banks, and reinsurers, and proprietary risk modeling developed from the Company's transaction history. The following table provides quantitative information about significant unobservable inputs for Level 3 fair value measurements as of September 30, 2025:
Fair Value |  | Valuation Technique |  | Significant Unobservable Inputs |  | Weighted Average |  | Range
$ | 423,782,347 |  |  | Discounted cash flow with Monte Carlo simulation |  | Discount rate supported by historical realized gains by risk category |  | 15% |  | 14% —18%
|  |  |  | Historical realized gains by risk category |  | 24% |  | 6% —56%1
|  |  |  | Life expectancy (months) |  | 50 months |  | 2 months —270 months
|  |  |  | Risk score |  | 1.98 |  | 1 —5
1 Historical realized gains represents the evenly spread weighted average realized gains on a quarterly basis over the last 8 quarters of issued financial statements. The following table provides quantitative information about significant unobservable inputs for Level 3 fair value measurements as of December 31, 2024:
Fair Value |  | Valuation Technique |  | Significant Unobservable Inputs |  | Weighted Average |  | Range
$ | 370,398,447 |  |  | Discounted cash flow with Monte Carlo simulation |  | Discount rate supported by historical realized gains by risk category |  | 20% |  | 17% —21%
|  |  |  | Historical realized gains by risk category |  | 20% |  | 6% —56%1
|  |  |  | Life expectancy (months) |  | 71 months |  | 5 months —311 months
|  |  |  | Risk score |  | 1.86 |  | 1 —5
1 Historical realized gains represents the evenly spread weighted average realized gains on a quarterly basis over the last 6 quarters of issued financial statements. For life settlement policies carried using the investment method, the Company measures these at the cost of the policy plus premiums paid. The policies accounted for using the investment method totaled $905,349 and $1,083,977 at September 30, 2025 and at December 31, 2024, respectively. Discount Rate Sensitivity—15% was determined to be the weighted average discount rate used to estimate the fair value of policies held by the Company and its investment funds. If the discount rate increased or decreased by one percentage point and the other assumptions used to estimate fair value remained the same, the change in estimated fair value as of September 30, 2025, would be as follows:
| Fair Value |  | Change in Fair Value |  | Implied Realized Gain
+1% | $ | 416,087,778 |  |  | $ | (7,694,569) |  |  | 22 | %
No change | 423,782,347 |  |  |  |  | 24 | %
-1% | 444,968,231 |  |  | 21,185,884 |  |  | 30 | %
Historical Realized Gains Sensitivity—While the weighted average discount rate can fluctuate based on the overall mix of policies included in the company's portfolio at any given time, the discount rates are determined using historical realized gains by risk category, which have a more consistent weighted average. As a result, we have supplementally added an additional sensitivity analysis for realized gains. The fair value of life settlement policies is sensitive to changes in key unobservable inputs used to estimate the fair value of policies held by the Company and its investment funds. The historical realized gains represents the total actual sales price of policies less their total cost basis divided by their total cost basis. The sensitivity analysis is intended to illustrate the potential increase or decrease if policies sold for an average of 1% above or below their determined sale price. The fair market value of the Company’s policies would increase when historical realized gains on life insurance policies sold increases. If the historical realized gains increased or decreased by one percentage point and the other assumptions used to estimate fair value remained the same, the change in estimated fair value as of September 30, 2025, would be as follows:
| Fair Value |  | Change in Fair Value
+1% | $ | 427,229,303 |  |  | $ | 3,446,956 |
No change | 423,782,347 |  |  |
-1% | 420,335,391 |  |  | (3,446,956) |
Credit Exposure to Insurance Companies—The following table provides information about the life insurance issuer concentrations that exceed 10% of total face value or 10% of total fair value of the Company’s life insurance policies as of September 30, 2025:
Carrier | Percentage of Face Value |  | Percentage of Fair Value |  | Carrier Rating 1
Lincoln National Life Insurance Company | 12.7 | % |  | 13.2 | % |  | A
Transamerica | 10.8 | % |  | 12.9 | % |  | A
John Hancock Life Insurance Company (U.S.A.) | 15.9 | % |  | 12.1 | % |  | A+
1 Carrier ratings are based on AB Best ratings. The following table provides a rollforward of the fair value of life insurance policies for the nine months ended September 30, 2025:
Fair value at December 31, 2024 | $ | 370,398,447 |
Policies purchased | 301,259,528 |
Matured/sold policies | (281,476,598) |
Unrealized gain on held policies | 33,600,970 |
Fair value at September 30, 2025 | $ | 423,782,347 |
Long-Term Debt—See Note 14, Long-Term Debt, for background information on the market-indexed debt. The Company elected the fair value option in accounting for certain debt instruments. Fair value is determined using Level 3 inputs. The valuation methodology for the LMATT notes was based on the Black-Scholes-Merton option-pricing formula and a discounted cash flow analysis. Inputs to the Black-Scholes-Merton model included (i) the S&P 500 Index price, (ii) S&P 500 Index volatility, (iii) a risk-free rate based on data published by the US Treasury, and (iv) a term assumption based on the contractual term of the LMATT Notes. The discounted cash flow analysis included a discount rate that was based on the implied discount rate developed by calibrating a valuation model to the purchase price on the initial investment date. The implied discount rate was evaluated for reasonableness by benchmarking it to yields on actively traded comparable securities. The last of the LMATT notes was paid off in January 2025 based on the historical cost of $11,229,560 as of December 31, 2024. As a result, the accumulated total change in fair value of the debt was reversed resulting in a gain of $— and $3,362,103 for the three and nine months ended September 30, 2025, respectively, which is included within the gain on change in fair value of debt within the consolidated statement of operations and comprehensive income (loss). The following table provides a rollforward of the fair value of the outstanding debt for the nine months ended September 30, 2025:
Fair value at December 31, 2024 | $ | 142,550,436 |
Debt issued to third parties | 25,410,115 |
Repayment of debt | (46,423,206) |
Change in estimated fair value of debt | (3,362,103) |
LMA Income Series, LP excess return accrual | 143,630 |
Deferred issuance costs | 179,999 |
Fair value at September 30, 2025 | $ | 118,498,871 |
Private Placement Warrants—The Company had — and 8,900,000 private placement warrants (“Private Placement Warrants”) outstanding as of September 30, 2025 and December 31, 2024, respectively. The Private Placement Warrants were accounted for as liabilities in accordance with ASC 815-40. The warrant liabilities were measured at fair value at inception and on a recurring basis, with changes in fair value presented separately in the consolidated statements of operations and comprehensive income (loss). The Private Placement Warrants were considered a Level 3 fair value measurement using a binomial lattice model in a risk-neutral framework. The binomial lattice model’s primary unobservable input utilized in determining the fair value of the Private Placement Warrants is the expected volatility of the common stock. The implied volatility as of the reporting date was derived from observable public warrant traded price. The following table presents the key assumptions in the analysis as of the Merger Closing Date:
| Private Placement Warrants
Expected implied volatility | de minimis
Risk-free interest rate | 4.09%
Term to expiration | 5.0 years
Exercise price | $11.50
Common Stock Price | $10.03
Dividend Yield | —%
The subsequent changes in the value of the private warrants is based on the changes in the value of the public warrants as of the relevant reporting date due to mostly identical terms between the Private Placement Warrants and the Public warrants. During the third quarter, all 8,900,000 Private Placement Warrants were redeemed and exchanged for 2,035,536 shares of the Company’s common stock at an average share price of $5.44. As part of the conversion, the Company recognized a loss on extinguishment of $1,704,193 recorded in loss of change in fair value of warrant liability on the consolidated statements of operation and comprehensive income (loss), which was the difference between the fair of the issued shares of $11,049,193 recorded in additional paid-in-capital on the consolidated balance sheets. and the fair value of the exchanged Private Placement Warrants of $9,345,000 derecognized warrant liability on the consolidated balance sheets. Refer to Note 15 Convertible Preferred Stock and Stockholders’ Equity for additional information. Available-for-Sale Investment—The convertible promissory notes are classified as an available-for-sale securities. Available-for-sale investments are subsequently measured at fair value. Unrealized holding gains and losses are excluded from earnings and reported in other comprehensive income until realized. The Company determines fair value of its available-for-sale investments using unobservable inputs by considering the initial investment value, next round financing, and the likelihood of conversion or settlement based on the contractual terms in the agreement. As of September 30, 2025 and December 31, 2024, the Company evaluated the fair value of its Convertible Promissory Notes and determined that the fair value approximates the carrying value of $3,194,593 and $2,205,904, respectively. Financial Instruments Where Carrying Value Approximates Fair Value—Th e carrying value of cash and cash equivalents, accounts receivables, accounts receivable, related party, income tax receivables, accrued expenses, and other current liabilities approximates fair value due to the short-term nature of their maturities.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb)(1) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 3: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 13: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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