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Fair Value Measurement and Disclosures (Tables)
 9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Summarize the Valuation of The Company's Investments and Cash and Cash Equivalents in The Fair Value Hierarchy Levels

The following tables summarize the valuation of the Company’s investments and cash and cash equivalents in the fair value hierarchy levels as of September 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

 

$

-

 

 

$

3,154

 

 

$

3,255

 

 

$

-

 

 

$

16,500

 

 

$

17,032

 

 

$

-

 

 

$

19,654

 

 

$

20,287

 

Total Investments, at fair value(1)

 

$

-

 

 

$

3,154

 

 

$

3,255

 

 

$

-

 

 

$

16,500

 

 

$

17,032

 

 

$

-

 

 

$

19,654

 

 

$

20,287

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Assets, at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Default Swaps

 

$

-

 

 

$

-

 

 

$

963

 

 

$

-

 

 

$

-

 

 

$

5,037

 

 

$

-

 

 

$

-

 

 

$

6,000

 

Total Derivative Assets, at fair value

 

$

-

 

 

$

-

 

 

$

963

 

 

$

-

 

 

$

-

 

 

$

5,037

 

 

$

-

 

 

$

-

 

 

$

6,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Liabilities, at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Currency Contracts

 

$

-

 

 

$

2

 

 

$

-

 

 

$

-

 

 

$

11

 

 

$

-

 

 

$

-

 

 

$

13

 

 

$

-

 

Futures Contracts

 

 

75

 

 

 

-

 

 

 

-

 

 

 

390

 

 

 

-

 

 

 

-

 

 

 

465

 

 

 

-

 

 

 

-

 

Total Derivative Liabilities, at fair value

 

$

75

 

 

$

2

 

 

$

-

 

 

$

390

 

 

$

11

 

 

$

-

 

 

$

465

 

 

$

13

 

 

$

-

 

Total

 

$

(75

)

 

$

3,152

 

 

$

4,218

 

 

$

(390

)

 

$

16,489

 

 

$

22,069

 

 

$

(465

)

 

$

19,641

 

 

$

26,287

 

 

(1)
Investments at fair value at Series I, Series II and the Company totaling $5,919, $30,968 and $36,887, respectively, were measured at NAV per share (or its equivalent) and have not been classified in the fair value hierarchy.
Summary of Fair Value of Level III Investments The following table shows changes in the fair value of our Level III investment during the three and nine months ended September 30, 2024:

 

Description

 

Series I

 

 

Series II

 

 

Total

 

Balance as of December 31, 2023

 

$

-

 

 

$

-

 

 

$

-

 

Purchases

 

 

-

 

 

 

-

 

 

 

-

 

Net change in unrealized gain (loss)

 

 

-

 

 

 

-

 

 

 

-

 

Transfers into Level III

 

 

-

 

 

 

-

 

 

 

-

 

Transfers out of Level III

 

 

-

 

 

 

-

 

 

 

-

 

Balance as of March 31, 2024

 

$

-

 

 

$

-

 

 

$

-

 

Purchases

 

 

-

 

 

 

6,234

 

 

 

6,234

 

Net change in unrealized gain (loss)

 

 

-

 

 

 

14

 

 

 

14

 

Transfers into Level III

 

 

-

 

 

 

-

 

 

 

-

 

Transfers out of Level III

 

 

-

 

 

 

-

 

 

 

-

 

Balance as of June 30, 2024

 

$

-

 

 

$

6,248

 

 

$

6,248

 

Purchases

 

 

4,282

 

 

 

16,154

 

 

 

20,436

 

Sales

 

 

(77

)

 

 

(400

)

 

 

(477

)

Net realized gain (loss)

 

 

1

 

 

 

3

 

 

 

4

 

Net change in unrealized gain (loss)

 

 

12

 

 

 

64

 

 

 

76

 

Transfers into Level III

 

 

-

 

 

 

-

 

 

 

-

 

Transfers out of Level III

 

 

-

 

 

 

-

 

 

 

-

 

Balance as of September 30, 2024

 

$

4,218

 

 

$

22,069

 

 

$

26,287

 

 
Summary of Quantitative Measure used to Determine the Fair Values of The Level III Investments

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

 

 

 

Level III Fair Value

 

 

Valuation

 

Unobservable

 

Range

 

Weighted

Asset Type

 

Series I

 

 

Series II

 

 

Total

 

 

Technique

 

Inputs

 

 

 

Average

Asset Backed Debt Securities

 

$

1,393

 

 

$

7,291

 

 

$

8,684

 

 

DCF

 

Discount Rate

 

6.59% - 16.00%

 

9.17%

 

 

 

819

 

 

 

4,284

 

 

 

5,102

 

 

Transactional Value

 

Cost

 

 

 

 

 

 

 

2,006

 

 

 

10,494

 

 

 

12,500

 

 

Broker Quote

 

N/A

 

 

 

 

Total

 

$

4,218

 

 

$

22,069

 

 

$

26,287

 

 

 

 

 

 

 

 

 

 
Summarized Financial Information of 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 nine months ended September 30, 2024.

 

Income Statement

 

 

 

For the period from

 

 

 

January 1, 2024 to

 

 

 

September 30, 2024

 

Total Revenue

 

$

10,312

 

Total Expenses

 

 

(1,081

)

Income (loss) before taxes

 

 

9,230

 

Provision for (benefit from) taxes

 

 

-

 

Net income (loss)

 

 

9,230

 

 

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 September 30, 2024 was $122, $688 and 810, respectively.