Derivative Instruments

9 Months Ended

Sep. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments

4.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 September 30, 2024:

Derivative Assets, at Fair Value(1),(2)
		Fair Value
Primary Underlying Risk	Derivative	Series I		Series II		Total
Credit Risk	Credit Default Swaps	$	963	$	5,037	$	6,000
Total		$	963	$	5,037	$	6,000

Derivative Liabilities, at Fair Value(1),(2)
		Fair Value
Primary Underlying Risk	Derivative	Series I		Series II		Total
Currency Risk	EUR/USD Forward	$	2	$	11	$	13
Interest Rate Risk	SOFR Futures		75		390		465
Total		$	77	$	401	$	478

(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 $107, $559 and $666 of collateral has been posted as of September 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 September 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 nine months ended September 30, 2024:

								For the three months ended September 30, 2024
		Average Notional / Contracts						Net realized gain (loss) on derivatives						Net change in unrealized gain (loss) on derivatives
Primary Underlying Risk	Derivative	Series I		Series II		Total		Series I		Series II		Total		Series I			Series II			Total
Credit Risk	Credit Default Swaps	$	635	$	3,365	$	4,000	$	-	$	-	$	-	$	-		$	-		$	-
Currency Risk	EUR/USD Forward	$	272	$	1,441	$	1,713		-		-		-		(2	)		(11	)		(13	)
Interest Rate Risk	SOFR Futures	$	7,374	$	43,876	$	51,250		-		-		-		(56	)		(339	)		(395	)
	Total net gain/(loss) on derivatives							$	-	$	-	$	-	$	(58	)	$	(350	)	$	(408	)

								For the nine months ended September 30, 2024
		Average Notional / Contracts						Net realized gain (loss) on derivatives						Net change in unrealized gain (loss) on derivatives
Primary Underlying Risk	Derivative	Series I		Series II		Total		Series I		Series II		Total		Series I			Series II			Total
Credit Risk	Credit Default Swaps	$	476	$	2,524	$	3,000	$	-	$	-	$	-	$	-		$	-		$	-
Currency Risk	EUR/USD Forward	$	204	$	1,081	$	1,285		-		-		-		(2	)		(11	)		(13	)
Interest Rate Risk	SOFR Futures	$	5,531	$	45,719	$	51,250		-		-		-		(56	)		(409	)		(465	)
	Total net gain/(loss) on derivatives							$	-	$	-	$	-	$	(58	)	$	(420	)	$	(478	)

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 following tables present the offsetting of financial and derivative assets and liabilities as of September 30, 2024:

							Gross amounts not offset in the accompanying Consolidated Statements of Assets and Liabilities
	Gross amounts presented in the accompanying Consolidated Statements of Assets and Liabilities						Financial Instruments						Collateral Received						Net Amount
Assets	Series I		Series II		Total		Series I		Series II		Total		Series I		Series II		Total		Series I		Series II		Total
Derivatives, at fair value		963		5,037		6,000		-		-		-		-		-		-		963		5,037		6,000
Total	$	963	$	5,037	$	6,000	$	-	$	-	$	-	$	-	$	-	$	-	$	963	$	5,037	$	6,000

										Gross amounts not offset in the accompanying Consolidated Statements of Assets and Liabilities
	Gross amounts presented in the accompanying Consolidated Statements of Assets and Liabilities									Financial Instruments						Collateral Received						Net Amount
Liabilities	Series I			Series II			Total			Series I		Series II		Total		Series I		Series II		Total		Series I			Series II			Total
Derivatives, at fair value		(2	)		(11	)		(13	)		-		-		-		-		-		-		(2	)		(11	)		(13	)
Total	$	(2	)	$	(11	)	$	(13	)	$	-	$	-	$	-	$	-	$	-	$	-	$	(2	)	$	(11	)	$	(13	)

Amounts in the preceding table have been limited to the liability balance, and accordingly, do not include any excess collateral pledged.

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 $75, $390 and $465 for Series I, Series II and the Company, respectively, are not subject to an enforceable master netting agreement.