Fair Value Measurement and Disclosures

12 Months Ended

Dec. 31, 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 December 31, 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	$	-	$	17,693	$	18,212	$	-	$	43,166	$	44,434	$	-	$	60,859	$	62,646
Collateralized Loan Obligations - Residual Tranche		-		-		476		-		-		1,161		-		-		1,637
Collateralized Loan Obligations - Warehouses		-		-		27		-		-		67		-		-		94
Total Investments, at fair value(1)	$	-	$	17,693	$	18,715	$	-	$	43,166	$	45,662	$	-	$	60,859	$	64,377
Derivative Assets, at fair value
Credit Default Swaps	$	-	$	-	$	2,616	$	-	$	-	$	6,384	$	-	$	-	$	9,000
Interest Rate Swap		-		48		-		-		116		-		-		164		-
Forward Currency Contracts		-		101		-		-		246		-		-		347		-
Futures Contracts		334		-		-		816		-		-		1,150		-		-
Total Derivative Assets, at fair value	$	334	$	149	$	2,616	$	816	$	362	$	6,384	$	1,150	$	511	$	9,000
Derivative Liabilities, at fair value
Credit Default Swaps	$	-	$	6	$	-	$	-	$	16	$	-	$	-	$	22	$	-
Interest Rate Swap		-		-		-		-		-		-		-		-		-
Forward Currency Contracts		-		-		-		-		-		-		-		-		-
Futures Contracts		32		-		-		77		-		-		109		-		-
Total Derivative Liabilities, at fair value	$	32	$	6	$	-	$	77	$	16	$	-	$	109	$	22	$	-
Total	$	302	$	17,836	$	21,331	$	739	$	43,512	$	52,046	$	1,041	$	61,348	$	73,377

(1)Investments at fair value at Series I, Series II and the Company totaling $25,647, $62,574 and $88,221, 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 $14,594, $37,189 and $51,783, 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 year ended December 31, 2024. The following table shows changes in the fair value of our Level III investment during the year ended December 31, 2024:

Description	Series I			Series II			Total
Balance as of December 31, 2023	$	-		$	-		$	-
Purchases		22,601			55,135			77,736
Sales		(1,375	)		(3,371	)		(4,746	)
Net realized gain (loss)		14			50			64
Net change in unrealized gain (loss)		91			232			323
Transfers into Level III		-			-			-
Transfers out of Level III		-			-			-
Balance as of December 31, 2024	$	21,331		$	52,046		$	73,377

The net change in unrealized gain (loss) on investments included in the Consolidated Statements of Operations for the year ended December 31, 2024 attributable to Level III investments still held at December 31, 2024 for Series I, Series II and the Company were $91, $232 and $323, respectively.

The following tables provide quantitative measure used to determine the fair values of the Level III investments as of December 31, 2024:

	Level III Fair Value						Valuation	Unobservable	Range	Weighted
Asset Type	Series I		Series II		Total		Technique	Inputs		Average
Asset Backed Debt Securities	$	3,303	$	8,061	$	11,364	DCF	Discount Rate	3.70% - 17.00%	9.78%
Asset Backed Debt Securities		13,019		31,763		44,782	Transactional Value	Cost
Asset Backed Debt Securities		1,890		4,610		6,500	Broker Quote	N/A
Collateralized Loan Obligations - Residual Tranche		476		1,161		1,637	Transactional Value	Cost
Collateralized Loan Obligations - Warehouses		27		67		94	Transactional Value	Cost
Credit Default Swaps		2,616		6,384		9,000	Broker Quote	N/A
Total	$	21,331	$	52,046	$	73,377

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

Series I, Series II and the Company invest in MAST, a significant unconsolidated subsidiary. Please refer to exhibit 99.1 to this Annual Report for the audited financial statements of MAST. Note that Series I, Series II and the Company invested in MAST Series E for the year ended December 31, 2024 and do not have economic exposure to other series within the MAST partnership.

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 December 31, 2024 was $627, $1,092 and 1,719, respectively.