XML 35 R28.htm IDEA: XBRL DOCUMENT v3.25.3
Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 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 September 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

 

$

9,730

 

 

$

34,935

 

 

$

44,665

 

Interest Rate Risk

 

Futures

 

 

8

 

 

 

30

 

 

 

38

 

Interest Rate Risk

 

Interest Rate Swap

 

 

242

 

 

 

870

 

 

 

1,112

 

Total

 

 

 

$

9,980

 

 

$

35,835

 

 

$

45,815

 

 

 

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

 

 

 

 

Fair Value

 

Primary Underlying Risk

 

Derivative

 

Series I

 

 

Series II

 

 

Total

 

Credit Risk

 

EUR/USD Forward

 

$

92

 

 

$

331

 

 

$

423

 

Interest Rate Risk

 

Interest Rate Swaps

 

 

1

 

 

 

5

 

 

 

6

 

Interest Rate Risk

 

SOFR Futures

 

 

1,337

 

 

 

4,799

 

 

 

6,136

 

Total

 

 

 

$

1,430

 

 

$

5,135

 

 

$

6,565

 

 

 

(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 $3,328, $11,949 and $15,277 of collateral has been posted as of September 30, 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 September 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 $-, $- 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 tables present 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, 2025:

 

 

 

 

 

For the Three Months ended Sep 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

 

$

9,793

 

 

$

34,757

 

 

$

44,550

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

97

 

 

$

345

 

 

$

442

 

Currency Risk

 

EUR/USD Forward

 

 

45,242

 

 

 

160,576

 

 

 

205,818

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

778

 

 

 

2,848

 

 

 

3,626

 

Interest Rate Risk

 

Interest Rate Swap

 

 

63,768

 

 

 

226,232

 

 

 

290,000

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

214

 

 

 

743

 

 

 

957

 

Interest Rate Risk

 

SOFR Futures

 

 

207,572

 

 

 

736,228

 

 

 

943,800

 

 

 

(367

)

 

 

(1,309

)

 

 

(1,676

)

 

 

388

 

 

 

1,426

 

 

 

1,814

 

 

Total net gain/(loss) on derivatives

 

 

 

 

 

 

 

 

 

 

$

(367

)

 

$

(1,309

)

 

$

(1,676

)

 

$

1,477

 

 

$

5,362

 

 

$

6,839

 

 

 

 

 

 

 

For the Nine Months ended Sep 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

 

$

8,741

 

 

$

28,031

 

 

$

36,772

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

156

 

 

$

529

 

 

$

685

 

Currency Risk

 

EUR/USD Forward

 

 

23,070

 

 

 

77,657

 

 

 

100,727

 

 

 

(162

)

 

 

(516

)

 

 

(678

)

 

 

(313

)

 

 

(457

)

 

 

(770

)

Interest Rate Risk

 

Interest Rate Swap

 

 

39,436

 

 

 

130,008

 

 

 

169,444

 

 

 

665

 

 

 

1,925

 

 

 

2,590

 

 

 

194

 

 

 

749

 

 

 

943

 

Interest Rate Risk

 

SOFR Futures

 

 

303,748

 

 

 

942,797

 

 

 

1,246,545

 

 

 

(458

)

 

 

(1,604

)

 

 

(2,062

)

 

 

(1,840

)

 

 

(5,297

)

 

 

(7,137

)

 

Total net gain/(loss) on derivatives

 

 

 

 

 

 

 

 

 

 

$

45

 

 

$

(195

)

 

$

(150

)

 

$

(1,803

)

 

$

(4,476

)

 

$

(6,279

)

 

 

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 Sep 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

 

Interest Rate Swap

 

 

7,374

 

 

 

43,876

 

 

 

51,250

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

(56

)

 

 

(339

)

 

 

(395

)

 

 

Total net gain/(loss) on derivatives

 

 

 

 

 

 

 

 

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

(58

)

 

$

(350

)

 

$

(408

)

 

 

 

 

 

For the Nine Months ended Sep 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

 

Interest Rate Swap

 

 

5,531

 

 

 

45,719

 

 

 

51,250

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

(56

)

 

 

(409

)

 

 

(465

)

 

 

Total net gain/(loss) on derivatives

 

 

 

 

 

 

 

 

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

(58

)

 

$

(420

)

 

$

(478

)

 

 
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 September 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

 

$

9,972

 

 

$

35,805

 

 

$

45,777

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

9,972

 

 

$

35,805

 

 

$

45,777

 

Total

 

$

9,972

 

 

$

35,805

 

 

$

45,777

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

9,972

 

 

$

35,805

 

 

$

45,777

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

(93

)

 

$

(336

)

 

$

(429

)

 

$

-

 

 

$

-

 

 

$

-

 

 

$

93

 

 

$

336

 

 

$

429

 

 

$

-

 

 

$

-

 

 

$

-

 

Total

 

$

(93

)

 

$

(336

)

 

$

(429

)

 

$

-

 

 

$

-

 

 

$

-

 

 

$

93

 

 

$

336

 

 

$

429

 

 

$

-

 

 

$

-

 

 

$

-

 

 

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

 

 

$

-

 

 

$

-

 

 

$

-