Fair Value Measurement and Disclosures

6 Months Ended

Jun. 30, 2024

Fair Value Disclosures [Abstract]

Fair Value Measurement and Disclosures

3.FAIR VALUE MEASUREMENT AND DISCLOSURES

The following tables summarize the valuation of the Company’s investments and cash and cash equivalents in the fair value hierarchy levels as of June 30, 2024:

	Series I						Series II						Total
Description	Level I		Level II		Level III		Level I		Level II		Level III		Level I		Level II		Level III
Investments at fair value
Asset Backed Debt Securities	$	-	$	-	$	-	$	-	$	15,453	$	6,248	$	-	$	15,453	$	6,248
Total Investments at fair value(1)	$	-	$	-	$	-	$	-	$	15,453	$	6,248	$	-	$	15,453	$	6,248
Derivative Liabilities at fair value
Unrealized depreciation on Futures Contracts	$	-	$	-	$	-	$	70	$	-	$	-	$	70	$	-	$	-
Total Derivative Liabilities at fair value	$	-	$	-	$	-		70	$	-	$	-	$	70	$	-	$	-
Total	$	-	$	-	$	-	$	70	$	15,453	$	6,248	$	70	$	15,453	$	6,248

(1)Investments at fair value at Series I, Series II and the Company totaling $0, $26,646 and $26,646, respectively, were measured at NAV per share (or its equivalent) and have not been classified in the fair value hierarchy.

Cash and cash equivalents at Series I, Series II and the Company include money market funds of $1, $3,931 and $3,932, respectively, which are considered Level I assets.

As of December 31, 2023, Series I, Series II and the Company did not have any investments or derivatives to classify in the fair value hierarchy levels.

Transfers of investments between levels, if any, shall be recorded at the end of the period. There were no transfers in or out of the Company’s investments that are classified as Level III investments for the six months ended June 30, 2024. The following table shows changes in the fair value of our Level III investment during the six months ended June 30, 2024:

Description	Series I		Series II		Total
Balance as of December 31, 2023	$	-	$	-	$	-
Purchases		-		6,234		6,234
Net change in unrealized gain (loss) on investments		-		14		14
Transfers out of Level III		-		-		-
Transfers into Level III		-		-		-
Balance as of June 30, 2024	$	-	$	6,248	$	6,248

The net change in unrealized gain (loss) on investments included in the Consolidated Statements of Operations for the six months ended June 30, 2024 attributable to Level III investments still held at June 30, 2024 for Series I, Series II and the Company were $0, $14 and $14, respectively.

The following tables provide quantitative measure used to determine the fair values of the Level III investments as of June 30, 2024:

	Level III Fair Value
Asset Type	Series I		Series II		Total		Valuation Technique	Unobservable Inputs	Range/Weighted Average
Asset Backed Debt Securities	$	-	$	2,000	$	2,000	Transactional Value	Cost
		-		4,248		4,248	DCF	Discount Rate		8.82	%
Total	$	-	$	6,248	$	6,248

As of December 31, 2023, Series I, Series II and the Company did not have any Level III investments that would require disclosure of valuation techniques and unobservable inputs.

Unconsolidated Significant Subsidiary

The following table represents summarized financial information of MAST, the applicable significant subsidiary in which the Company, Series I and Series II have an indirect equity interest. Note that Series I, Series II and the Company invested in MAST Series E on May 29, 2024, while the below summarized information is attributable to the MAST partnership as a whole, for the six months ended June 30, 2024.

Income Statement
	For the period from January 1, 2024 to June 30, 2024
Total Revenue	$	5,285
Total Expenses		578
Income (loss) before taxes		4,707
Provision for (benefit from) taxes		-
Net income (loss)		4,707

The net income (loss) specifically attributable to MAST Series E for Series I, Series II and the Company for the period from May 29, 2024 to June 30, 2024 was $0, ($31) and ($31), respectively.