Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2025

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 March 31, 2025:

Derivative Assets, at Fair Value(1),(2)
		Fair Value
Primary Underlying Risk	Derivative	Series I		Series II		Total
Credit Risk	Credit Default Swaps	$	10,501	$	33,507	$	44,008
Interest Rate Risk	Interest Rate Swap		538		1,714		2,252
Total		$	11,039	$	35,221	$	46,260

Derivative Liabilities, at Fair Value(1),(2)
		Fair Value
Primary Underlying Risk	Derivative	Series I		Series II		Total
Credit Risk	EUR/USD Forward	$	39	$	123	$	162
Interest Rate Risk	SOFR Futures		1,109		3,539		4,648
Total		$	1,148	$	3,662	$	4,810

(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 $3,515, $11,215 and $14,730 of collateral has been posted as of March 31, 2025 for Series I, Series II and the Company, respectively, with counterparties related to derivative contracts. Approximately $-, $- and $- of collateral has been received as of March 31, 2025 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 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 $-, $- and $- 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 three months ended March 31, 2025:

		For the Year Quarter March 31, 2025
		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	$	5,179	$	16,038	$	21,217	$	-		$	-		$	-		$	7		$	23		$	30
Currency Risk	EUR/USD Forward	$	5,535	$	16,783	$	22,318	$	(162	)	$	(516	)	$	(678	)	$	(123	)	$	(386	)	$	(509	)
Interest Rate Risk	Interest Rate Swap	$	44,438	$	133,895	$	178,333	$	47		$	131		$	178		$	520		$	1,569		$	2,089
Interest Rate Risk	SOFR Futures	$	3,678	$	10,982	$	14,660	$	(92	)	$	(295	)	$	(387	)	$	(1,424	)	$	(4,264	)	$	(5,688	)
	Total net gain/(loss) on derivatives							$	(207	)	$	(680	)	$	(887	)	$	(1,020	)	$	(3,058	)	$	(4,078	)

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

For the three months ended March 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

$

-

$

-

$

-

$

-

$

-

$

-

$

-

$

-

$

-

Currency Risk

EUR/USD Forward

$

-

$

-

$

-

$

-

$

-

$

-

$

-

$

-

$

-

Interest Rate Risk

Interest Rate Swap

$

-

$

-

$

-

$

-

$

-

$

-

$

-

$

-

$

-

Interest Rate Risk

SOFR Futures

$

-

$

-

$

-

$

-

$

-

$

-

$

-

$

-

$

-

Total net gain/(loss) on derivatives

$

-

$

-

$

-

$

-

$

-

$

-

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 March 31, 2025:

	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		11,039		35,221		46,260	$	-	$	-	$	-	$	-	$	-	$	-		11,039		35,221		46,260
Total	$	11,039	$	35,221	$	46,260	$	-	$	-	$	-	$	-	$	-	$	-	$	11,039	$	35,221	$	46,260

	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 Pledged						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	$	(39	)	$	(123	)	$	(162	)	$	-	$	-	$	-	$	39	$	123	$	162	$	-	$	-	$	-
Total	$	(39	)	$	(123	)	$	(162	)	$	-	$	-	$	-	$	39	$	123	$	162	$	-	$	-	$	-

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 Pledged						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	$	-	$	-	$	-