Derivative Instruments

6 Months Ended

Jun. 30, 2025

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 June 30, 2025:

Derivative Assets, at Fair Value(1),(2)
		Fair Value
Primary Underlying Risk	Derivative	Series I		Series II		Total
Credit Risk	Credit Default Swaps	$	10,787	$	33,435	$	44,222
Interest Rate Risk	Interest Rate Swap		36		113		149
Total		$	10,823	$	33,548	$	44,371

Derivative Liabilities, at Fair Value(1),(2)
		Fair Value
Primary Underlying Risk	Derivative	Series I		Series II		Total
Credit Risk	EUR/USD Forward	$	988	$	3,062	$	4,050
Interest Rate Risk	SOFR Futures		1,929		5,981		7,910
Total		$	2,917	$	9,043	$	11,960

(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 $5,471, $17,457 and $22,928 of collateral has been posted as of June 30, 2025 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, 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 $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.

The following tables present 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, 2025:

		For the Three Months Ended June 30, 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	$	11,251	$	33,299	$	44,550	$	-	$	-	$	-	$	53		$	161		$	214
Currency Risk	EUR/USD Forward		18,432		55,610		74,042		-		-		-		(968	)		(2,920	)		(3,888	)
Interest Rate Risk	Interest Rate Swap		10,102		29,898		40,000		619		1,794		2,413		(542	)		(1,562	)		(2,104	)
Interest Rate Risk	SOFR Futures		335,835		993,915		1,329,750		-		-		-		(803	)		(2,459	)		(3,262	)
	Total net gain/(loss) on derivatives							$	619	$	1,794	$	2,413	$	(2,260	)	$	(6,780	)	$	(9,040	)

		For the Six Months Ended June 30, 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	$	8,215	$	24,668	$	32,883	$	-		$	-		$	-		$	60		$	185		$	245
Currency Risk	EUR/USD Forward		11,984		36,197		48,181		(162	)		(516	)		(678	)		(1,091	)		(3,305	)		(4,396	)
Interest Rate Risk	Interest Rate Swap		27,270		81,897		109,167		665			1,925			2,590			(21	)		5			(16	)
Interest Rate Risk	SOFR Futures		351,835		1,046,081		1,397,916		(91	)		(295	)		(386	)		(2,228	)		(6,723	)		(8,951	)
	Total net gain/(loss) on derivatives							$	412		$	1,114		$	1,526		$	(3,280	)	$	(9,838	)	$	(13,118	)

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:

		For the three and six months ended June 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
Interest Rate Risk	SOFR Futures	-	$	51,250	$	51,250		-		-		-		-		(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 following tables present the offsetting of financial and derivative assets and liabilities as of June 30, 2025:

							Gross amounts not offset in the accompanying Consolidated Statements of Assets and Liabilities
	Gross and Net Amounts Presented in the accompanying Consolidated Statement 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	$	10,823	$	33,548	$	44,371	$	-	$	-	$	-	$	-	$	-	$	-	$	10,823	$	33,548	$	44,371
Total	$	10,823	$	33,548	$	44,371	$	-	$	-	$	-	$	-	$	-	$	-	$	10,823	$	33,548	$	44,371

										Gross amounts not offset in the accompanying Consolidated Statements of Assets and Liabilities
	Gross and Net Amounts Presented in the accompanying Consolidated Statement 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	$	(988	)	$	(3,062	)	$	(4,050	)	$	-	$	-	$	-	$	988	$	3,062	$	4,050	$	-	$	-	$	-
Total	$	(988	)	$	(3,062	)	$	(4,050	)	$	-	$	-	$	-	$	988	$	3,062	$	4,050	$	-	$	-	$	-

As of June 30, 2025, 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. As of June 30, 2025 the gross amount of derivative liabilities presented in the Consolidated Statements of Assets and Liabilities in the amount of $1,929, $5,981 and $7,910 for Series I, Series II and the Company, respectively, are not subject to an enforceable master netting agreement.

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 and Net Amounts Presented in the accompanying Consolidated Statement 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 Statement 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	$	-	$	-	$	-

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

As of December 31, 2024, the gross amount of derivative assets presented in the Consolidated Statements of Assets and Liabilities in the amount of $334, $816 and $1,150 for Series I, Series II and the Company, respectively, are not subject to an enforceable master netting agreement. As of December 31, 2024 the gross amount of derivative liabilities presented in the Consolidated Statements of Assets and Liabilities in the amount of $32, $77 and $109 for Series I, Series II and the Company, respectively, are not subject to an enforceable master netting agreement.