FAIR VALUE DISCLOSURES

3 Months Ended

Mar. 31, 2026

The Fund provides asset-based financing primarily to start-up and emerging growth venture-backed companies pursuant to commitments whereby the Fund agrees to finance assets and provide working or growth capital up to a specified amount for the term of the commitment, upon the terms and subject to the conditions specified by such commitment. Even though these loans are generally secured by the assets of the borrowers, the Fund in most cases is subject to the credit risk of such companies. As of March 31, 2026 and December 31, 2025, the Fund’s investments in loans were primarily to companies based within the United States and were diversified among borrowers in the industry segments shown in the Condensed Schedules of Investments. All loans are senior to unsecured creditors and other secured creditors, unless otherwise indicated in the Condensed Schedules of Investments.

The Fund defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date; that is, a recovery price. The recovery price assumes the asset or liability was exchanged in an orderly transaction; it was not a forced liquidation or distressed sale. Because there is no readily available market price and no secondary market for substantially all of the loan investments made by the Fund to borrowing portfolio companies, Management determines fair value (or estimated recovery value) based on a transaction that would occur in the most advantageous market, and several factors related to each borrower.

Loan balances in the Condensed Schedules of Investments are listed by borrower. Typically, a borrower’s balance will be composed of several loans drawn under a commitment made by the Fund with the interest rate on each loan fixed at the time each loan is funded. Each loan drawn under a commitment has a different maturity date and amount.

The following tables show the weighted-average interest rate of the performing loans and all loans:


	For the Three Months Ended
Performing Loans	March 31, 2026		March 31, 2025
Weighted-Average Interest Rate - Cash	24.76	%	13.26	%
Weighted-Average Interest Rate - Non-Cash	9.14	%	3.58	%
Weighted-Average Interest Rate	33.90	%	16.84	%


	For the Three Months Ended
All Loans	March 31, 2026		March 31, 2025
Weighted-Average Interest Rate - Cash	22.40	%	11.77	%
Weighted-Average Interest Rate - Non-Cash	7.63	%	3.17	%
Weighted-Average Interest Rate	30.03	%	14.94	%

Interest is calculated using the effective interest method, and rates earned by the Fund will fluctuate based on many factors including early payoffs, volatility of values ascribed to warrants and new loans funded during the period. Warrants and equity securities received in connection with loan transactions are measured at fair value at the time of acquisition; the non-cash portion of interest income represents the accretion of the discount of these warrants over the life of the loan.

The risk profile of a loan changes when events occur that impact the credit analysis of the borrower and loan as discussed in the Fund’s loan accounting policy. Such changes result in the fair value adjustments made to the individual loans, which in accordance with U.S. GAAP, would be based on the price that would be received to sell an asset or paid to settle a liability in an orderly transaction between market participants at the measurement date. Where the risk profile is consistent with the original underwriting, the cost basis of substantially all of the loans approximates fair value.

All loans as of March 31, 2026 and December 31, 2025 were pledged as collateral for the debt facility, and the Fund’s borrowings are generally collateralized by all assets of the Fund.

Valuation Hierarchy

Under the FASB ASC Topic 820 (“Fair Value Measurement”), the Fund categorizes its fair value measurements according to a three-level hierarchy. The hierarchy prioritizes the inputs used by the Fund’s valuation techniques. A level is assigned to each fair value measurement based on the lowest level input that is significant to the fair value measurement in its entirety.

The three levels of the fair value hierarchy are defined as follows:


Level 1			Unadjusted quoted prices for identical assets or liabilities in active markets that are accessible at the measurement date.
Level 2			Prices or valuations based on observable inputs other than quoted prices in active markets for identical assets and liabilities.
Level 3			Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

The Fund recognizes transfers between levels, if any, on the actual date of the event of change in circumstances that caused the transfer. There were no transfers in or out of Level 1, 2 or 3 during the three months ended March 31, 2026 and 2025.

For fair value disclosure purposes, the Fund has identified two classes of financial instruments: loan investments and derivative instruments. The Fund's derivative instruments are based on quotes from the market makers that derive fair values from market data, and therefore, are classified as Level 2. The Fund’s loan investments are individually negotiated and unique, and because there is little to no market in which these assets trade, the unobservable inputs for these assets are valued using estimated recovery values. As a result, the Fund's loan investments are classified as Level 3.

The methodologies primarily employed by Management for valuation purposes consist of valuing loans based on the most advantageous market as discussed in Note 2 - Summary of Significant Accounting Policies of the Fund’s audited financial statements included in the Form 10-K, and the “asset recovery” method. The asset recovery method is utilized once Management identifies a troubled loan. This methodology incorporates various alternative outcomes based on all available information as of the valuation date. Each outcome is assigned a weighting depending on the facts and circumstances which exist at the underlying portfolio company. In certain scenarios, Management identifies all relevant remaining assets and the expected value of the proceeds the Fund may receive for selling off tangible assets or intellectual property rights, redeploying those assets to other companies, recovering receivables, etc. In other circumstances, Management considers the portfolio company’s potential ability to raise an additional round of financing or to be acquired which then allows for full or partial recovery of the Fund's loan.

The following tables provide quantitative information about the Fund’s Level 3 fair value measurements of the Fund’s investments by industry as of March 31, 2026 and December 31, 2025. In addition to the techniques and inputs noted in the tables below, the Fund may also use other valuation techniques and methodologies when determining its fair value measurements.

Investment Type - Level 3

Loan Investments

Fair Value at March 31, 2026

Valuation Techniques / Methodologies

Unobservable Input

Range

Weighted Average(a)

Biotechnology

14,399,244

Most advantageous market analysis

Most advantageous market effective yield rate

15% - 19%

17%

Asset Recovery

Probability weighting of alternative outcomes

10% - 25%*

Computers & Storage

676,564

Most advantageous market analysis

Most advantageous market effective yield rate

27% *

27%

Internet

18,376,364

Most advantageous market analysis

Most advantageous market effective yield rate

15% - 26%

17%

Asset Recovery

Probability weighting of alternative outcomes

10% - 65% ^

Medical Devices

7,745,106

Most advantageous market analysis

Most advantageous market effective yield rate

18% - 26%

21%

Other Healthcare

39,643,504

Most advantageous market analysis

Most advantageous market effective yield rate

14% - 26%

15%

Asset Recovery

Probability weighting of alternative outcomes

5% - 80% ^

Other Technology

146,695,508

Most advantageous market analysis

Most advantageous market effective yield rate

14% - 29%

18%

Asset Recovery

Probability weighting of alternative outcomes

5% - 100% ^

Semiconductors & Equipment

3,656,590

Most advantageous market analysis

Most advantageous market effective yield rate

15% *

15%

Software

70,064,756

Most advantageous market analysis

Most advantageous market effective yield rate

13% - 27%

21%

Asset Recovery

Probability weighting of alternative outcomes

5% - 100%^

Technology Services

17,348,981

Most advantageous market analysis

Most advantageous market effective yield rate

14% - 19%

16%

Asset Recovery

Probability weighting of alternative outcomes

25% - 100% ^

Wireless

16,368,450

Most advantageous market analysis

Most advantageous market effective yield rate

18% - 22%

19%

Total Loan Investments

334,975,067

(a) The weighted-average most advantageous market effective yield rates were calculated using the relative fair value of the loans.

^ Probability weightings vary among portfolio companies within this industry based on different potential future outcomes.

* There is only one loan within this industry that utilizes this valuation technique.

Investment Type - Level 3

Loan Investments

Fair Value at December 31, 2025

Valuation Techniques / Methodologies

Unobservable Input

Range

Weighted Average(a)

Biotechnology

15,339,309

Most advantageous market analysis

Most advantageous market effective yield rate

15% - 17%

17%

Asset Recovery

Probability weighting of alternative outcomes

25% *

Computers & Storage

5,831,669

Most advantageous market analysis

Most advantageous market effective yield rate

27% *

27%

Asset Recovery

Probability weighting of alternative outcomes

30% - 40% *

Internet

22,755,376

Most advantageous market analysis

Most advantageous market effective yield rate

16% - 26%

19%

Asset Recovery

Probability weighting of alternative outcomes

10% - 65% ^

Investment Type - Level 3

Loan Investments

Fair Value at December 31, 2025

Valuation Techniques / Methodologies

Unobservable Input

Range

Weighted Average(a)

Medical Devices

8,092,081

Most advantageous market analysis

Most advantageous market effective yield rate

18% - 26%

21%

Other Healthcare

39,509,857

Most advantageous market analysis

Most advantageous market effective yield rate

14% - 22%

15%

Asset Recovery

Probability weighting of alternative outcomes

5% - 50% ^

Other Technology

172,837,110

Most advantageous market analysis

Most advantageous market effective yield rate

14% - 29%

20%

Asset Recovery

Probability weighting of alternative outcomes

5% - 100% ^

Semiconductors & Equipment

3,831,814

Most advantageous market analysis

Most advantageous market effective yield rate

14% *

14%

Software

92,070,903

Most advantageous market analysis

Most advantageous market effective yield rate

13% - 27%

20%

Asset Recovery

Probability weighting of alternative outcomes

5% - 100% ^

Technology Services

20,007,065

Most advantageous market analysis

Most advantageous market effective yield rate

14% - 20%

16%

Asset Recovery

Probability weighting of alternative outcomes

25% - 100% ^

Wireless

17,838,116

Most advantageous market analysis

Most advantageous market effective yield rate

18%

Total Loan Investments

398,113,300

(a) The weighted-average most advantageous market effective yield rates were calculated using the relative fair value of the loans.

^ Probability weightings vary among portfolio companies within each industry based on different potential future outcomes.

* There is only one loan within this industry that utilizes this valuation technique.

Increases (or decreases) in the most advantageous market effective yield rate, in isolation, could result in a significantly lower (or higher) fair value measurement. Likewise, increases (or decreases) in the probability weighting of unfavorable outcomes could decrease (increase) the fair value of the loan investments significantly. These sensitivities vary across industry segments and individual borrowers.

The following tables present the balances of assets and liabilities as of March 31, 2026 and December 31, 2025 measured at fair value on a recurring basis:


As of March 31, 2026
ASSETS:	Level 1		Level 2		Level 3		Total
Loans †	$	—	$	—	$	334,975,067	$	334,975,067
Derivative assets	—		19,028		—		19,028

Total assets	$	—	$	19,028	$	334,975,067	$	334,994,095

LIABILITIES:	Level 1		Level 2		Level 3		Total

Derivative liabilities	$	—	$	13,281	$	—	$	13,281
Total liabilities	$	—	$	13,281	$	—	$	13,281

† For a detailed listing of borrowers comprising this amount, please refer to the Condensed Schedule of Investments.


As of December 31, 2025
ASSETS:	Level 1		Level 2		Level 3		Total
Loans †	$	—	$	—	$	398,113,300	$	398,113,300


Total assets	$	—	$	—	$	398,113,300	$	398,113,300

LIABILITIES:	Level 1		Level 2		Level 3		Total
Derivative liabilities	$	—	$	149,057	$	—	$	149,057
Total liabilities	$	—	$	149,057	$	—	$	149,057

† For a detailed listing of borrowers comprising this amount, please refer to the Condensed Schedule of Investments.

The following tables provide a summary of changes in Level 3 assets measured at fair value on a recurring basis:


	For the Three Months Ended March 31, 2026
	Loans		Warrants
Beginning balance	$	398,113,300	$	—
Acquisitions and originations	30,350,000		3,525,302
Principal payments on loans, net of accretion	(90,017,063)		—
Distributions to shareholder	—		(3,525,302)
Net realized loss from loans	(1,202,352)		—
Net change in unrealized loss from loans	(2,268,818)		—
Ending balance	$	334,975,067	$	—

Net change in unrealized loss from loans still held at March 31, 2026	$	(4,375,179)


	For the Three Months Ended March 31, 2025
	Loans		Warrants		Convertible Notes
Beginning balance	$	440,132,395	$	—	$	—
Acquisitions and originations	48,412,000		6,064,501		799,876
Principal payments on loans, net of accretion	(28,484,249)		—		—
Distributions to shareholder	—		(6,064,501)		(799,876)

Net change in unrealized loss from loans	(7,670,681)		—		—
Ending balance	$	452,389,465	$	—	$	—

Net change in unrealized loss from loans still held at March 31, 2025	$	(7,908,661)

- 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

WTI Fund X, Inc. 10-Q