Form N-CSR Niagara Income Opportuni For: Mar 31

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

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FORM N-CSR

CERTIFIED SHAREHOLDER REPORT
OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

811-23902
Investment Company Act file number

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Niagara Income Opportunities Fund
(Exact name of registrant as specified in charter)

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3550 Lenox Road NE, Suite 2550
Atlanta, GA 30326
(Address of principal executive offices) (Zip code)

Liquid Strategies, LLC
3550 Lenox Road NE, Suite 2550
Atlanta, GA 30326
(Name and address of agent for service)

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770-350-8700
Registrant’s telephone number, including area code

Date of fiscal year end: March 31

Date of reporting period: March 31, 2026

Item 1. Reports to Stockholders.

(a)     

ANNUAL REPORT

March 31, 2026

Niagara Income Opportunities Fund — Review 1st Quarter 2026

Dear Investors,

The Niagara Income Opportunities Fund completed its fiscal year ended March 31, 2026 with continued progress across the key areas that guide the Fund’s strategy: diversified exposure to niche private lending markets, disciplined credit underwriting, and thoughtful liquidity management. For the fiscal year, the Fund delivered a total return of 9.61% net of fees. Assets under management grew from approximately $90 million at March 31, 2025 to approximately $156 million at March 31, 2026, reflecting continued investor support and the ongoing development of the portfolio.

During the year, the portfolio management team continued to manage the Fund in accordance with its stated multi-strategy private lending approach. As the Fund has scaled, we have added resources and depth to the investment team to support our efforts in building, managing, and maintaining a diversified portfolio of private lending strategies. We remain focused on areas of the market where we believe lender competition is more limited, structures are more favorable, and risk-adjusted return potential remains attractive.

As we enter our third year of managing the Niagara investment strategy, we would like to express our gratitude for your trust and support. We are mindful of the responsibility that trust entails, and it continues to shape how we approach every decision we make with respect to managing the Niagara Income Opportunities Fund.

Sincerely,

Mark Garfinkel, Connor Allen, and the Liquid Strategies Team

Past performance does not guarantee future results

Niagara Income Opportunities Fund — Strategy Overview

FUND SUMMARY

The Niagara Income Opportunities Fund is a continuously offered, non-diversified closed-end interval fund with a primary focus on current income generation through investment in a multi-strategy portfolio of private and public credit investments with high current cash yields. The Fund offers daily subscriptions and will offer to make quarterly repurchases at net asset value, subject to applicable terms and fund conditions.

PORTFOLIO STRATEGY

The private credit space spans a broad spectrum of niche lending opportunities. The Niagara portfolio combines different styles of private alternative lending strategies into a single portfolio solution. A top priority for the Niagara portfolio team is risk management across three key pillars: 1) diversification; 2) credit management; and 3) liquidity management. This focus enables the team to construct a portfolio with the proper balance of income and risk. These risk management practices are intended to mitigate risk; however, they do not eliminate the risk of loss, and the Fund’s performance will vary based on market conditions, credit events, and manager execution.

Diversification: The Niagara strategy is designed to help reduce the risk of capital loss through diversification by segment, strategy, and the number of loans across the portfolio. In addition, we establish concentration limitations and monitor and evaluate risk exposures across key portfolio metrics.

Credit Management: The portfolio team invests with lending strategy partners who seek to manage downside risk and support capital preservation. The team is committed to seeking high-quality lending partners that align with our disciplined criteria, including stringent underwriting guidelines, risk mitigation through excess collateralization and strict loan terms and covenants, and a focus on niche, underbanked lending markets.

Liquidity Management: The portfolio team manages portfolio liquidity using a combination of cash equivalents, readily marketable publicly traded securities, and short-duration private investments in order to maintain adequate liquidity. In addition, the team strives to maintain a short average maturity of portfolio investments to provide flexibility with respect to liquidity, while pursuing the strategy’s income objectives.

Niagara Income Opportunities Fund — Market Review Q1 2026

PORTFOLIO DEVELOPMENTS

Over the course of the fiscal year, the portfolio continued to develop from both a scale and diversification perspective. As of March 31, 2026, the Fund held approximately 50 private credit investments across 21 different strategy partners. This diversification across multiple investments, private credit asset classes, and strategy partners remains central to managing portfolio risk and is a basic tenet of the Fund’s approach.

During the year, the team focused on expanding positions in existing strategy relationships, evaluating the performance of current investments, and maintaining a robust pipeline of potential new opportunities. In the first quarter of 2026, the Fund realized a successful payoff on one portfolio investment, and those proceeds, together with new subscriptions, were redeployed primarily into existing portfolio investments.

The portfolio’s growth reflected continued emphasis on less crowded segments of the private credit markets where we believe capital remains in shorter supply. These areas may provide opportunities for stronger documentation, more favorable pricing, and greater structural protection than more heavily trafficked lending markets. During the fiscal year, the team continued to build exposure across asset-based lending, specialty finance, real estate credit, cannabis lending, and other niche private lending categories. Real estate credit also became a larger component of the portfolio, increasing to approximately 18.0% of the Fund as of March 31, 2026.

The team remains focused on areas of the market where we believe the Fund can access differentiated lending opportunities while maintaining appropriate position sizing, underwriting discipline, and ongoing diligence.

MARKET OVERVIEW

The fiscal year ended March 31, 2026 included several shifts in market sentiment, interest rate expectations, and credit conditions. During the most recent quarter, equity market optimism deteriorated as geopolitical conflict and higher oil prices renewed inflation concerns and contributed to broader market volatility. The VIX, a measure of expected volatility in the S&P 500, rose from 14.95 at the beginning of the year to 25.25 at quarter-end, while the S&P 500 declined 4.33% for the quarter.

S&P 500 Volatility Index (VIX)

Credit markets also reflected the more uncertain environment. Credit spreads widened in both public and private markets during the first quarter of 2026, and several fixed-income benchmarks posted negative quarterly returns. The Morningstar Leveraged Loan Index1 declined 0.55% for the quarter, while the Bloomberg High Yield Index2 declined 0.56%.

Portfolio Management Team Commentary and Outlook

Private credit continued to attract negative attention during the fiscal year as investors, regulators, and market participants evaluated the growth of the asset class and the implications of a more volatile macroeconomic environment. Recent headlines have focused on tightening bank financing, liquidity considerations, software exposure, redemption pressure, and the potential for weaker underwriting standards in certain segments of the market. We believe the underlying reality is more nuanced.

Private lending has become a core allocation for many institutional and high-net-worth investors, and some of the increased scrutiny reflects the asset class’s more prominent position within investor portfolios. Importantly, much of the capital in private lending is housed in long-duration, closed-end vehicles or structures with liquidity terms designed to align with the underlying assets. In our view, this helps limit the type of liquidity-driven contagion that is sometimes implied in broad media narratives. In many cases, the perceived risks — AI disruption, underwriting deterioration, or rising defaults — are either sector-specific or overstated.

At the same time, the current environment is creating a wider dispersion of outcomes across managers and strategies. Risk is increasingly concentrated in larger, more competitive segments of the market — particularly in covenant-lite, sponsor-driven upper middle market and software-heavy transactions — while more fragmented areas such as the lower middle market continue to offer attractive relative value. These less efficient segments benefit from reduced competition, stronger documentation, pricing power, and collateral support. Manager selection, therefore, has become a primary driver of returns, as experienced lenders with disciplined underwriting processes are better positioned to navigate credit cycles and avoid concentrated risks.

This market backdrop aligns closely with the investment approach of the Niagara Income Opportunities Fund. Rather than competing in the most crowded segments of direct lending, the Fund targets niche, esoteric opportunities across asset-based, specialty finance, and other smaller direct lending markets where inefficiencies persist. These areas often provide enhanced yield premiums alongside stronger structural protections, driven by complexity, limited lender participation, and the need for tailored capital solutions. The portfolio is designed to generate consistent income while mitigating the impact of idiosyncratic risk — an approach that has been reflected in the Fund’s relative performance versus both public benchmarks and more traditional private credit peers.

Ultimately, the disconnect between headlines and fundamentals presents a compelling opportunity. As capital becomes more selective and risk is repriced, strategies that emphasize discipline, structural alignment, and access to less efficient markets should continue to differentiate. We do not view private lending as approaching a systemic inflection point; rather, we believe the market is entering a phase where experience, underwriting discipline, portfolio construction, and sourcing advantages will matter more than ever — conditions that may be favorable to specialized platforms like Niagara that are built and managed to operate outside the mainstream flow of capital. While the Fund seeks to position itself thoughtfully within these market conditions, outcomes remain subject to market volatility, credit events, valuation judgement and execution risk.

•       Regardless of how the Fund performs, an investor may not be able to sell or otherwise liquidate his, her or its shares whenever such investor would prefer and, except to the extent permitted under the quarterly repurchase offer, will be unable to reduce the shareholder’s exposure on any market downturn.

•        The Fund may invest a portion of its assets in securities that have speculative characteristics, e.g., lower-rated or unrated debt commonly referred to as “high yield bonds” or “junk bonds.” See “Risk Factors — Below Investment Grade Instruments Risk” beginning on page 14 of the prospectus.

Liquid Strategies LLC (“Liquid”) is an independent investment adviser registered under the Investment Advisers Act of 1940, as amended. Registration does not imply a certain level of skill or training. More information about Liquid, including our investment strategies, fees and objectives, can be found in our Form ADV Part 2A and our Form CRS.

Distributed by Foreside Fund Services, LLC, which is not affiliated with the Adviser.

All returns are quoted net of fees.

The accompanying notes are an integral part of the financial statements.

The accompanying notes are an integral part of the financial statements.

The accompanying notes are an integral part of the financial statements.

Percentages are stated as a percent of net assets.

BDC Business Development Company

LLC Limited Liability Company

LP Limited Partnership

PIK Payment in Kind

SOFR Secured Overnight Financing Rate

SPV Special Purpose Vehicle

​(a)    Investment valued using net asset value per share (or its equivalent) as a practical expedient. See Note 9 for respective investment strategies, unfunded commitments, and redemptive restrictions.

​(b)    Private investment company does not issue shares or units.

​(c)    Value was determined using significant unobservable inputs. See Note 9 for details.

​(d)    Represents less than 0.05% of net assets.

​(e)    The rate shown represents the 7-day annualized yield as of March 31, 2026.

​(f)     All or a portion of this security is unfunded.

The accompanying notes are an integral part of the financial statements.

The accompanying notes are an integral part of the financial statements.

The accompanying notes are an integral part of the financial statements.

The accompanying notes are an integral part of the financial statements.

The accompanying notes are an integral part of these financial statements.

​(a)   Commencement of operations of the Fund was December 29, 2023.

​(b)   Net investment income per share was calculated using average shares outstanding during the year or period.

​(c)   Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the year or period.

​(d)   Total value is less than $(0.005).

​(e)   Not annualized for periods less than one year.

​(f)    The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests, including management and performance fees.

​(g)   Annualized for periods less than one year.

​(h)   As of March 31, 2026, the Fund’s underlying investment companies included a range of management fees from 0.0% to 2.25% (unaudited) and performance fees from 10% to 20% (unaudited).

The accompanying notes are an integral part of the financial statements.

1.     Organization

2.    Significant Accounting Policies

The Fund prepares its financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”). The Fund is an investment company and applies the specialized accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 Financial Services — Investment Companies. The functional and reporting currency of the Fund is the U.S. dollar. Following are the significant accounting policies adopted by the Fund:

A. Use of Estimates

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, recognition of income, and disclosure of contingent assets and liabilities at the date of the financial statements. Actual results could differ from those estimates.

B. Fund Expenses

The Fund bears its own operating expenses subject to an expense limitation and reimbursement agreement discussed in Note 4. These operating expenses include, but are not limited to: all investment-related expenses, advisory fees, registration expenses, legal fees, audit and tax preparation fees and expenses, administrative and accounting expenses and fees, transfer agent fees, custody fees, costs of insurance, fees and travel-related expenses of the Board, and all costs and expenses of preparing, setting in type, printing and distributing reports and other communications to shareholders.

C. Investment Transactions and Investment Income

Securities transactions are recorded on the trade date. Realized gains and losses from securities transactions are calculated on a specific identification cost basis. Interest income, including amortization of premium and accretion of discount, is recognized on the accrual basis. Dividend income is recorded on the ex-dividend date. Distributions received from investments in securities and private funds that represent a return of capital or capital gains are recorded as a reduction of cost or as a realized gain, respectively. Distributions from private funds occur at irregular intervals and the exact timing and character has not been communicated from the private funds. It is estimated that distributions will occur over the life of the private funds.

Investments structured with payment in kind ("PIK") or accrued interest generally earn interest on a current basis, but such interest is not paid in cash as earned. Instead, interest either remains accrued on the investment or is periodically added to principal, and is generally payable upon maturity, repayment, or another specified payment event. These structures are subject to the risk that the borrower may default when cash interest or principal payments become due.

The Fund may acquire income-generating equity membership interests into business entities that generate income from investment into interest bearing notes or loans from investments into other business or consumer lending portfolios. Profit share income is recognized on an accrual basis and reported as profit share income on the Fund's Statement of Operations. The Fund accrues income daily and will adjust accruals as information is received based on the best available information regarding the performance from the underlying investment, which may occur at irregular intervals.

E. Investment Valuation

In computing the net asset value (“NAV”), portfolio securities of the Fund are valued at their current market values determined on the basis of market quotations. If market quotations are not readily available (collectively, “Fair Valued Securities”), securities are valued at fair value as determined by the Adviser, in its capacity as the Valuation Designee (the “Valuation Designee”). The Board has delegated the day-to-day responsibility for determining these fair values in accordance with the policies it has approved for each period end. Fair valuation involves subjective judgments, and it is possible that the fair value determined for a security may differ materially from the value that could be realized upon the sale of the security. There is no single standard for determining fair value of a security. Rather, the fair value determinations involve significant professional judgment in the application of both observable and unobservable attributes, and as a result, the calculated NAVs of the Fair Valued Securities’ assets may differ from their actual realizable value or future fair value. In determining the fair value of a security for which there are no readily available market quotations, the Adviser may consider several factors, including fundamental analytical data relating to the investment in the security, the nature and duration of any restriction on the disposition of the security, the cost of the security at the date of purchase, the liquidity of the market for the security as well as overall market information and the prices of a group of similar assets. The Adviser may also consider periodic financial statements (audited and unaudited) or other information provided by the issuer to investors or prospective investors.

The Fund’s investments in pooled investment vehicles will be fair valued at the cost of the security as of the date of purchase and subsequently valued at the pooled investment vehicle’s NAV, as determined by such pooled investment vehicle’s manager.

For purposes of determining the NAV of the Fund, readily marketable portfolio securities listed on the New York Stock Exchange (“NYSE”) are valued, except as indicated below, at the last sale price reflected on the consolidated tape at the close of the NYSE on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the closing bid and asked prices on such day. If no bid or asked prices are quoted on such day or if market prices may be unreliable because of events occurring after the close of trading, then the security is valued by such method as the Adviser determines in good faith to reflect its fair market value. Readily marketable securities not listed on the NYSE but listed on other domestic or foreign securities exchanges are valued in a like manner. Portfolio securities traded on more than one securities exchange are valued at the last sale price on the business day as of which such value is being determined as reflected on the consolidated tape at the close of the exchange representing the principal market for such securities. Securities trading on the NASDAQ Global Market®, NASDAQ Global Select Market® and the NASDAQ Capital Market® exchanges (collectively, “NASDAQ”) are valued at the NASDAQ official closing price.

Readily marketable securities traded in the over-the-counter market, including listed securities whose primary market is believed by the Adviser to be over-the-counter, are valued at the mean of the current bid and asked prices as reported by the NASDAQ or, in the case of securities not reported by the NASDAQ or a comparable source, as the Adviser deems appropriate to reflect their fair market value. Where securities are traded on multiple markets, including exchanges and over-the-counter markets, the securities are generally valued using quotations from the principal market, or, in the absence of a principal market, the market determined by the valuation designee to be most representative of fair value, subject to Board oversight.

Non-dollar-denominated securities, if any, are valued as of the close of the NYSE at the closing price of such securities in their principal trading market, but may be valued at fair value if subsequent events occurring before the computation of NAV materially have affected the value of the securities. Trading may take place in foreign issues held by the Fund, if any, at times

when the Fund is not open for business. As a result, the Fund’s NAV may change at times when it is not possible to purchase or sell shares of the Fund. The Fund may use a third-party pricing service to assist it in determining the market value of securities in the Fund’s portfolio.

F. Cash and Cash Equivalents

Cash and cash equivalents include liquid investments of sufficient credit quality with original maturities of three months or less from the date of purchase.

G. Income Taxes

The Fund intends to continue to qualify to be taxed as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended. If so qualified, the Fund generally will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. The Fund generally intends to operate in a manner such that it will not be liable for federal income or excise taxes.

The Fund is subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions when the positions are more likely than not to be sustained. Management is not aware of any exposure to uncertain tax positions that could require accrual.

As of March 31, 2026, the Fund’s most recent fiscal year end, the Fund did not have a liability for any unrecognized tax benefits. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. During the year ended March 31, 2026, the Fund’s most recent fiscal period end, the Fund did not incur any interest or penalties.

The Fund utilizes a tax year-end of March 31. The Fund’s Federal and state income and Federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

H. Indemnifications

Under the Fund’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts that provide general indemnification to other parties. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred and may not occur. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

I. Segment Reporting

The Fund has one reportable segment. Business activities are managed on a consolidated basis and revenues are derived primarily through the Fund’s investments in accordance with its investment objective. The Fund’s chief operating decision maker (“CODM”) is the Principal Executive Officer and the Principal Financial Officer. The CODM assesses performance based on the Fund’s Total Return as reported in the Financial Highlights, and the same accounting policies are applied as described in the summary of significant accounting policies. The Fund’s Total Return is utilized by the CODM to compare results, including the impact of the Fund’s costs, to the Fund’s competitors and to the Fund’s benchmark index.

3.    Investment Transactions

For the year ended March 31, 2026, the Fund purchased (at cost) and sold interests (proceeds) in investment securities in the amount of $99,106,043 and $42,108,142 (excluding short-term securities), respectively.

4.    Fees and Other Related Party Transactions

The Fund has entered into an investment advisory agreement with the Adviser. Under the investment advisory agreement, the Fund pays the Adviser a monthly fee, which is calculated and accrued monthly (the “Advisory Fee”), at the annual rate of 1.65% of the Fund’s average daily net assets. For the year ended March 31, 2026, the Fund incurred $2,136,586 in advisory fees under the agreement.

The Adviser and the Fund have entered into an expense limitation and reimbursement agreement under which the Adviser has agreed contractually to waive its management fees and to pay or absorb the ordinary operating expenses of the Fund (including organizational and offering expenses, but excluding interest, dividends, amortization/accretion and interest on securities sold short, brokerage commissions, acquired fund fees and expenses and extraordinary expenses), to the extent that the management fees plus the Fund’s ordinary annual operating expenses exceed 1.99% per annum of the Fund’s average daily net assets through at least July 31, 2027. Prior to July 29, 2024, the expense limitation was 2.05%. In consideration of the Advisor’s agreement to limit the Fund’s expenses, any waiver and reimbursement by the Adviser is subject to repayment by the Fund within the three years from the date the Adviser waived or made any reimbursement payment, if the Fund is able to make the repayment (after the repayment amount is taken into consideration) without exceeding the lesser of the expense limitation in place at the time of the waiver or the current expense limitation and the repayment is approved by the Board of Trustees. The expense limitation and reimbursement agreement may not be terminated by the Adviser, but it may be terminated by the Board upon written notice to the Adviser.

During the year ended March 31, 2026, the Adviser waived $178,316 of expenses and the Fund repaid $104,775 of previously waived expenses to the Adviser. The amounts subject to repayment by the Fund, pursuant to the aforementioned conditions at March 31, 2026, are included in the table below.

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), an indirect wholly-owned subsidiary of U.S. Bancorp, serves as the Fund’s Administrator (“Administrator”) and, in that capacity, performs various administrative and accounting services for the Fund. Fund Services also serves as the Fund’s fund accountant and transfer agent. The Administrator prepares various federal and state regulatory filings, reports and returns for the Fund; prepares reports and materials to be supplied to the Trustees; monitors the activities of the Fund’s custodian; coordinates the preparation and payment of the Fund’s expenses and reviews the Fund’s expense accruals. As compensation for its services, the Administrator is entitled to a monthly fee at an annual rate based upon the average daily net assets of the Fund. U.S. Bank, N.A. (the “Custodian”) serves as custodian to the Fund. These fees are included in the Administration, Fund accounting, Transfer agent, and Custodian line items that are reflected in the Statement of Operations.

The Fund has engaged Foreside Fund Services, LLC to serve as the Fund’s distributor.

5.    Trustees and Officers

The Board has overall responsibility to manage and control the business affairs of the Fund, including the complete and exclusive authority to oversee and to establish policies regarding the management, conduct and operation of the Fund’s business. The Board exercises the same powers, authority and responsibilities on behalf of the Fund as are customarily exercised by the board of directors of a registered investment company organized as a corporation. Each Trustee who is not an “interested person,” as defined in the 1940 Act, as amended, of the Fund, as well as Denali Structured Return Strategy Fund, an affiliated registrant not disclosed in this report, is each paid an annual fee of $10,000 plus $2,000 per in-person meeting and $500 per electronic meeting. All Trustees are reimbursed by the Fund for any reasonable expenses incurred attending such meetings. One of the Trustees is an employee of the Adviser and receives no compensation from the Fund for serving as a Trustee.

The officers of the Fund are affiliated with the Adviser. All such affiliated officers receive no compensation from the Fund for serving in their respective roles.

6.    Repurchase Offers

The Fund operates as an “interval fund” pursuant to Rule 23c-3 under the 1940 Act. The Board has adopted a fundamental policy that the Fund will make quarterly repurchase offers pursuant to Rule 23c-3 under the 1940 Act, as such rule may be amended from time to time, for between 5% and 25% of the shares of beneficial interest (“Shares”) outstanding at NAV, unless suspended or postponed in accordance with regulatory requirements. Each repurchase pricing shall occur no later than the 14th day after the Repurchase Request Deadline (as defined in the Fund’s Prospectus), or the next business day if the 14th day is not a business day. The Fund will not be required to repurchase Shares at a shareholder’s option nor will Shares be exchangeable for units, interests or shares of any investment of the Fund. In connection with each repurchase offer, it is possible that the Fund may offer to repurchase only the minimum amount of 5% of its outstanding Shares. It is also possible that a repurchase offer may be oversubscribed, with the result that shareholders may only be able to have a portion of their Shares repurchased. The Fund does not intend to list its Shares in the foreseeable future. The Shares are, therefore, not readily marketable. Even though the Fund will make quarterly repurchase offers to repurchase a portion of the Shares to provide liquidity to shareholders, investors should consider the Shares to be illiquid. The Fund’s fundamental policy requires the Fund to make repurchase offers every three months. Quarterly repurchases occur in the months of March, June, September, and December. During the year ended March 31, 2026, the Fund completed four repurchase offers:

8.    Fair Value of Financial Instruments

The Fund has adopted the authoritative fair valuation accounting standards of ASC 820, Fair Value Measurements and Disclosures, which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below.

Level 1 — Quoted prices in active markets for identical securities.

Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 — Valuations based primarily on inputs that are unobservable and significant.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Valuation Designee’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the investment. The following section describes the valuation techniques used by the Valuation Designee to measure different financial instruments at fair value and includes the level within the fair value hierarchy in which the financial instrument is categorized.

The following table presents the changes in assets and transfers in and out which are classified in Level 3 of the fair value hierarchy for the year ended March 31, 2026:

​(a)    Includes payment in kind

The following table summarizes the valuation techniques and significant unobservable inputs used for the Fund’s investments that are categorized in Level 3 of the fair value hierarchy as of March 31, 2026:

During the year, the Fund changed the valuation technique for certain securities from a market approach, which incorporated transaction cost inputs, to an income approach utilizing a discounted cash flow methodology. Management determined that the revised approach better reflects current market participant assumptions and appropriately incorporates security-specific cash flow projections. This change is considered a change in accounting estimate in accordance with U.S. GAAP and has been applied prospectively.

Loans may be structured to be fully funded at the time of investment or include unfunded loan commitments, which are contractual obligations for future funding. As of March 31, 2026, the Fund had unfunded loan commitments to loans of $0.

The following table represents investment categories, unfunded commitments and redemptive restrictions of investments that are measured at NAV per share (or its equivalent) as a practical expedient as of March 31, 2026: