Fair Value Measurement and Disclosures (Tables)

3 Months Ended

Mar. 31, 2025

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 March 31, 2025:

	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	$	-		$	34,527	$	28,084	$	-		$	110,167	$	89,606	$	-		$	144,694	$	117,690
Bank Loans		-			-		12,578		-			-		40,131		-			-		52,709
Collateralized Loan Obligations - Residual Tranche		-			-		320		-			-		1,020		-			-		1,340
Total Investments, at fair value(1)	$	-		$	34,527	$	40,982	$	-		$	110,167	$	130,757	$	-		$	144,694	$	171,739
Derivative Assets, at fair value
Credit Default Swaps		-			7		10,494		-			22		33,485		-			29		43,979
Interest Rate Swaps		-			538		-		-			1,714		-		-			2,252		-
Total Derivative Assets, at fair value	$	-		$	545	$	10,494	$	-		$	1,736	$	33,485	$	-		$	2,281	$	43,979
Derivative Liabilities, at fair value
Forward Currency Contracts		-			39		-		-			123		-		-			162		-
Futures Contracts		1,109			-		-		3,539			-		-		4,648			-		-
Total Derivative Liabilities, at fair value	$	1,109		$	39	$	-	$	3,539		$	123	$	-	$	4,648		$	162	$	-
Total	$	(1,109	)	$	35,033	$	51,476	$	(3,539	)	$	111,780	$	164,242	$	(4,648	)	$	146,813	$	215,718

(1)Investments at fair value at Series I, Series II and the Company totaling $43,391, $138,449 and $181,840, respectively, were measured at NAV per share (or its equivalent) and have not been classified in the fair value hierarchy.

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.

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 months ended March 31, 2025:

Description	Series I			Series II			Total
Balance as of December 31, 2024	$	21,331		$	52,046		$	73,377
Purchases		34,138			126,014			160,152
Sales		(4,060	)		(13,469	)		(17,529	)
Net realized gain (loss)		(1	)		3			2
Net change in unrealized gain (loss)		95			(285	)		(190	)
Transfers into Level III		-			-			-
Transfers out of Level III		(27	)		(67	)		(94	)
Balance as of March 31, 2025	$	51,476		$	164,242		$	215,718

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 March 31, 2025:

	Level III Fair Value						Valuation	Unobservable	Range	Weighted
Asset Type	Series I		Series II		Total		Technique	Inputs		Average
Asset Backed Debt Securities	$	5,192	$	16,566	$	21,758	DCF	Discount Rate	5.14% - 17.00%	10.33%
Asset Backed Debt Securities		21,345		68,103		89,448	Transactional Value	Cost
Asset Backed Debt Securities		1,547		4,937		6,484	Broker Quote	N/A
Bank Loans		12,578		40,131		52,709	Transactional Value	Cost
Collateralized Loan Obligations - Residual Tranche		320		1,020		1,340	DCF	Discount Rate	12.00%	12.00%
Credit Default Swaps		10,494		33,485		43,979	Broker Quote	N/A
Total	$	51,476	$	164,242	$	215,718

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

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 invest in MAST Series E, while the below summarized information is attributable to the MAST partnership as a whole, for the three months ended March 31, 2025.

Income Statement
	For the three months
	ended March 31, 2025
Total Revenue		14,579
Total Expenses		(3,615	)
Income (loss) before taxes		10,965
Provision for (benefit from) taxes		-
Net income (loss)		10,965