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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Fair Value of Derivative Liabilities

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 December 31, 2024:

 

Derivative Assets, at Fair Value(1),(2)

 

 

 

 

Fair Value

 

Primary Underlying Risk

 

Derivative

 

Series I

 

 

Series II

 

 

Total

 

Credit Risk

 

Credit Default Swaps

 

$

2,616

 

 

$

6,384

 

 

$

9,000

 

Currency Risk

 

EUR/USD Forward

 

 

101

 

 

 

246

 

 

 

347

 

Interest Rate Risk

 

Interest Rate Swap

 

 

48

 

 

 

116

 

 

 

164

 

Interest Rate Risk

 

SOFR Futures

 

 

334

 

 

 

816

 

 

 

1,150

 

Total

 

 

 

$

3,099

 

 

$

7,562

 

 

$

10,661

 

 

Derivative Liabilities, at Fair Value(1),(2)

 

 

 

 

Fair Value

 

Primary Underlying Risk

 

Derivative

 

Series I

 

 

Series II

 

 

Total

 

Credit Risk

 

Credit Default Swaps

 

$

6

 

 

$

16

 

 

$

22

 

Interest Rate Risk

 

SOFR Futures

 

 

32

 

 

 

77

 

 

 

109

 

Total

 

 

 

$

38

 

 

$

93

 

 

$

131

 

 

(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 $793, $1,934 and $2,727 of collateral has been posted as of December 31, 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 December 31, 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.
Schedule of Gains (Losses) Recognized on Derivative Instruments by Contract Type

The following table presents the gains (losses) recognized on derivatives, by contract type, included in the Consolidated Statements of Operations for the year ended December 31, 2024:

 

 

 

 

 

For the Year Ended December 31, 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

 

$

1,321

 

 

$

4,486

 

 

$

5,807

 

 

 

$

-

 

 

$

-

 

 

$

-

 

 

 

$

(13

)

 

$

(34

)

 

$

(47

)

Currency Risk

 

EUR/USD Forward

 

$

934

 

 

$

2,917

 

 

$

3,851

 

 

 

$

-

 

 

$

(1

)

 

$

(1

)

 

 

$

92

 

 

$

254

 

 

$

346

 

Interest Rate Risk

 

Interest Rate Swap

 

$

3,126

 

 

$

8,302

 

 

$

11,428

 

 

 

$

25

 

 

$

86

 

 

$

111

 

 

 

$

49

 

 

$

115

 

 

$

164

 

Interest Rate Risk

 

SOFR Futures

 

$

50,312

 

 

$

152,724

 

 

$

203,036

 

 

 

$

-

 

 

$

-

 

 

$

-

 

 

 

$

374

 

 

$

666

 

 

$

1,040

 

 

Total net gain/(loss) on derivatives

 

 

 

 

 

 

 

 

 

 

 

$

25

 

 

$

85

 

 

$

110

 

 

 

$

502

 

 

$

1,001

 

 

$

1,503

 
Summary of Offsetting of Financial and Derivative Assets and Liabilities The following tables present the offsetting of financial and derivative assets and liabilities as of December 31, 2024:

 

 

 

Gross amounts not offset in the accompanying Consolidated Statements of Assets and Liabilities

 

 

 

Gross amounts not offset 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

 

 

2,765

 

 

 

6,746

 

 

 

9,511

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

 

2,765

 

 

 

6,746

 

 

 

9,511

 

Total

 

$

2,765

 

 

$

6,746

 

 

$

9,511

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

2,765

 

 

$

6,746

 

 

$

9,511

 

 

 

 

Gross amounts not offset in the accompanying Consolidated Statements of Assets and Liabilities

 

 

 

Gross and net 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

 

$

(6

)

 

$

(16

)

 

$

(22

)

 

$

-

 

 

$

-

 

 

$

-

 

 

$

6

 

 

$

16

 

 

$

22

 

 

$

-

 

 

$

-

 

 

$

-

 

Total

 

$

(6

)

 

$

(16

)

 

$

(22

)

 

$

-

 

 

$

-

 

 

$

-

 

 

$

6

 

 

$

16

 

 

$

22

 

 

$

-

 

 

$

-

 

 

$

-