Derivative Instruments

6 Months Ended

Jun. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

DERIVATIVE INSTRUMENTS

The following table presents the fair value of the derivative liabilities of Series I, Series II and the Company as reflected in the Consolidated Statements of Assets and Liabilities as of June 30, 2024:


Derivative Liabilities, at Fair Value(1),(2)
				Fair Value
Primary Underlying Risk	Derivative	Series I		Series II		Total
Interest Rate Risk	SOFR Futures	$	-	$	70	$	70
Total		$	-	$	70	$	70

(1)

See Note 2 for additional information on the Company’s purposes for entering into different types of derivatives and how they are recorded.

(2)

Approximately $0, $246 and $246 of collateral has been posted as of June 30, 2024 for Series I, Series II and the Company, respectively, with counterparties related to derivative contracts. Approximately $0, $0 and $0 of collateral has been received as of June 30, 2024 for Series I, Series II and the Company, respectively, related to derivative contracts. The Company may be required to post additional collateral in subsequent periods due to unfavorable changes in the fair value of these contracts. The collateral posted and collateral received balances are included in prepaid expenses and other assets and accrued expenses and other liabilities, respectively, in the Consolidated Statements of Assets and Liabilities.

The following table presents the gains (losses) recognized on derivatives, by contract type, included in the Consolidated Statements of Operations for the three and six months ended June 30, 2024:


		Average Notional / Contracts						Net realized gain (loss) on derivatives								Net unrealized gain (loss) on derivatives
Primary Underlying Risk	Derivative	Series I		Series II		Total		Series I		Series II			Total			Series I		Series II			Total
Interest Rate Risk	SOFR Futures	$	-	$	51,250	$	51,250	$	-	$	(0	)	$	(0	)	$	-	$	(70	)	$	(70	)

The Company has elected not to offset assets and liabilities in the Consolidated Statements of Assets and Liabilities that may be received or paid as part of collateral arrangements, even when an enforceable master netting arrangement or other agreement is in place that provides the Company, in the event of counterparty default, the right to liquidate collateral and the right to offset a counterparty’s rights and obligations. The gross amount of derivative assets presented in the Consolidated Statements of Assets and Liabilities in the amount of $0, $0 and $0 for Series I, Series II and the Company, respectively, are not subject to an enforceable master netting agreement. The gross amount of derivative liabilities presented in the Consolidated Statements of Assets and Liabilities in the amount of $0, $70 and $70 for Series I, Series II and the Company, respectively, are not subject to an enforceable master netting agreement.