| Derivative Instruments |
The following tables present the fair value of the derivative assets and derivative liabilities of Series I, Series II and the Company as reflected in the Consolidated Statements of Assets and Liabilities as of June 30, 2026, and December 31, 2025:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2026 |
|
Derivative Assets(1) |
|
|
|
|
|
|
Notional |
|
Fair Value |
|
Primary Underlying Risk |
Derivative |
Settlement Date |
Currency |
Counterparty |
Series I |
|
Series II |
|
Total |
|
Series I |
|
Series II |
|
Total |
|
Currency Risk |
Foreign Currency Forward Contracts |
9/28/2029 |
CAD |
BNP Paribas S.A. |
$ |
17,245,561 |
|
$ |
41,922,400 |
|
$ |
59,167,961 |
|
$ |
172 |
|
$ |
379 |
|
$ |
551 |
|
Currency Risk |
Foreign Currency Forward Contracts |
8/1/2030 |
EUR |
BNP Paribas S.A. |
|
1,849,876 |
|
|
4,429,904 |
|
|
6,279,780 |
|
|
96 |
|
|
229 |
|
|
325 |
|
Currency Risk |
Foreign Currency Forward Contracts |
8/1/2030 |
NOK |
BNP Paribas S.A. |
|
3,405,665 |
|
|
8,183,899 |
|
|
11,589,564 |
|
|
101 |
|
|
269 |
|
|
370 |
|
Currency Risk |
Foreign Currency Forward Contracts |
8/1/2030 |
SEK |
BNP Paribas S.A. |
|
3,621,128 |
|
|
8,721,631 |
|
|
12,342,757 |
|
|
276 |
|
|
676 |
|
|
952 |
|
Currency Risk |
Foreign Currency Forward Contracts |
8/1/2030 |
SEK |
Natixis S.A. |
|
5,326,371 |
|
|
12,762,954 |
|
|
18,089,325 |
|
|
163 |
|
|
400 |
|
|
563 |
|
Currency Risk |
Foreign Currency Forward Contracts |
8/1/2030 |
EUR |
Deutsche Bank |
|
1,755,937 |
|
|
4,211,258 |
|
|
5,967,195 |
|
|
70 |
|
|
170 |
|
|
240 |
|
Currency Risk |
Foreign Currency Forward Contracts |
8/2/2030 |
CHF |
BNP Paribas S.A. |
|
1,847,983 |
|
|
4,414,993 |
|
|
6,262,976 |
|
|
54 |
|
|
131 |
|
|
185 |
|
Currency Risk |
Foreign Currency Forward Contracts |
8/2/2030 |
CHF |
Deutsche Bank |
|
5,127,475 |
|
|
12,297,206 |
|
|
17,424,681 |
|
|
168 |
|
|
420 |
|
|
588 |
|
Currency Risk |
Foreign Currency Forward Contracts |
9/16/2026 |
CAD |
BNP Paribas S.A. |
|
91,307 |
|
|
224,138 |
|
|
315,445 |
|
|
28 |
|
|
69 |
|
|
97 |
|
Currency Risk |
Foreign Currency Forward Contracts |
9/16/2026 |
EUR |
BNP Paribas S.A. |
|
9,349 |
|
|
22,949 |
|
|
32,298 |
|
|
1 |
|
|
3 |
|
|
4 |
|
Currency Risk |
Foreign Currency Forward Contracts |
9/16/2026 |
CAD |
CitiBank, N.A. |
|
102,590 |
|
|
251,835 |
|
|
354,427 |
|
|
31 |
|
|
77 |
|
|
108 |
|
Currency Risk |
Foreign Currency Forward Contracts |
9/16/2026 |
EUR |
CitiBank, N.A. |
|
414,312 |
|
|
1,017,039 |
|
|
1,431,349 |
|
|
103 |
|
|
254 |
|
|
357 |
|
Currency Risk |
Foreign Currency Forward Contracts |
9/16/2026 |
CAD |
Deutsche Bank |
|
52,878 |
|
|
129,802 |
|
|
182,680 |
|
|
16 |
|
|
39 |
|
|
55 |
|
Currency Risk |
Foreign Currency Forward Contracts |
6/16/2027 |
CAD |
BNP Paribas S.A. |
|
266,382 |
|
|
653,906 |
|
|
920,288 |
|
|
5 |
|
|
12 |
|
|
17 |
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
1,284 |
|
$ |
3,128 |
|
$ |
4,412 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Liabilities(1) |
|
|
|
|
|
|
Notional |
|
Fair Value |
|
Primary Underlying Risk |
Derivative |
Settlement Date |
Currency |
Counterparty |
Series I |
|
Series II |
|
Total |
|
Series I |
|
Series II |
|
Total |
|
Currency Risk |
Foreign Currency Forward Contracts |
8/1/2030 |
NOK |
Natixis S.A. |
$ |
5,573,428 |
|
$ |
13,354,947 |
|
$ |
18,928,375 |
|
$ |
(70 |
) |
$ |
(137 |
) |
$ |
(207 |
) |
Currency Risk |
Foreign Currency Forward Contracts |
9/16/2026 |
CAD |
Natixis S.A. |
|
6,006 |
|
|
14,744 |
|
|
20,752 |
|
|
(0 |
) |
|
(0 |
) |
|
0 |
|
Currency Risk |
Foreign Currency Forward Contracts |
6/21/2028 |
CAD |
BNP Paribas S.A. |
|
299,689 |
|
|
735,667 |
|
|
1,035,354 |
|
|
(5 |
) |
|
(12 |
) |
|
(17 |
) |
Currency Risk |
Foreign Currency Forward Contracts |
6/20/2029 |
CAD |
BNP Paribas S.A. |
|
302,516 |
|
|
742,605 |
|
|
1,045,121 |
|
|
(5 |
) |
|
(13 |
) |
|
(18 |
) |
Currency Risk |
Foreign Currency Forward Contracts |
6/20/2030 |
CAD |
BNP Paribas S.A. |
|
244,137 |
|
|
599,299 |
|
|
843,434 |
|
|
(3 |
) |
|
(8 |
) |
|
(11 |
) |
Currency Risk |
Foreign Currency Forward Contracts |
6/18/2031 |
CAD |
BNP Paribas S.A. |
|
2,305,355 |
|
|
5,659,111 |
|
|
7,964,466 |
|
|
(85 |
) |
|
(221 |
) |
|
(306 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
$ |
(168 |
) |
$ |
(391 |
) |
$ |
(559 |
) |
(1)Approximately, $9,500, $23,320 and $32,820 of collateral has been received as of June 30, 2026 for Series I, Series II and the Company, respectively, with counterparties related to foreign currency forward contracts. Approximately, $10,872, $26,688 and $37,560 of collateral has been posted as of June 30, 2026 for Series I, Series II and the Company, respectively, related to foreign currency forward contracts. The Company may be required to post additional collateral in subsequent periods due to unfavorable changes in the fair value of the contracts. The collateral posted and collateral received balances are netted and included in either prepaid expenses and other assets or other accrued expenses and liabilities, respectively, in the Consolidated Statements of Assets and Liabilities.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2025 |
|
Derivative Assets(1) |
|
|
|
|
|
|
Notional |
|
Fair Value |
|
Primary Underlying Risk |
Derivative |
Settlement Date |
Currency |
Counterparty |
Series I |
|
Series II |
|
Total |
|
Series I |
|
Series II |
|
Total |
|
Currency Risk |
Foreign Currency Forward Contracts |
8/1/2030 |
EUR |
BNP Paribas S.A. |
$ |
2,740,421 |
|
$ |
6,549,022 |
|
$ |
9,289,443 |
|
$ |
48 |
|
$ |
115 |
|
$ |
163 |
|
Currency Risk |
Foreign Currency Forward Contracts |
8/1/2030 |
NOK |
BNP Paribas S.A. |
|
3,855,953 |
|
|
9,214,907 |
|
|
13,070,860 |
|
|
12 |
|
|
27 |
|
|
39 |
|
Currency Risk |
Foreign Currency Forward Contracts |
8/1/2030 |
NOK |
Natixis S.A. |
|
7,910,584 |
|
|
18,904,614 |
|
|
26,815,198 |
|
|
108 |
|
|
255 |
|
|
363 |
|
Currency Risk |
Foreign Currency Forward Contracts |
8/1/2030 |
EUR |
Deutsche Bank |
|
2,717,839 |
|
|
6,504,189 |
|
|
9,222,028 |
|
|
17 |
|
|
41 |
|
|
58 |
|
Currency Risk |
Foreign Currency Forward Contracts |
8/2/2030 |
CHF |
BNP Paribas S.A. |
|
3,172,936 |
|
|
7,582,643 |
|
|
10,755,579 |
|
|
57 |
|
|
138 |
|
|
195 |
|
Currency Risk |
Foreign Currency Forward Contracts |
8/2/2030 |
CHF |
Deutsche Bank |
|
7,936,306 |
|
|
18,992,746 |
|
|
26,929,052 |
|
|
68 |
|
|
165 |
|
|
233 |
|
Currency Risk |
Foreign Currency Forward Contracts |
3/18/2026 |
EUR |
CitiBank, N.A. |
|
7,259,040 |
|
|
17,154,927 |
|
|
24,413,967 |
|
|
3 |
|
|
6 |
|
|
9 |
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
313 |
|
$ |
747 |
|
$ |
1,060 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Liabilities(1) |
|
|
|
|
|
|
Notional |
|
Fair Value |
|
Primary Underlying Risk |
Derivative |
Settlement Date |
Currency |
Counterparty |
Series I |
|
Series II |
|
Total |
|
Series I |
|
Series II |
|
Total |
|
Currency Risk |
Foreign Currency Forward Contracts |
9/28/2029 |
CAD |
BNP Paribas S.A. |
$ |
17,167,299 |
|
$ |
42,000,662 |
|
$ |
59,167,961 |
|
$ |
(193 |
) |
$ |
(524 |
) |
$ |
(717 |
) |
Currency Risk |
Foreign Currency Forward Contracts |
8/1/2030 |
SEK |
BNP Paribas S.A. |
|
3,261,989 |
|
|
7,795,461 |
|
|
11,057,450 |
|
|
(50 |
) |
|
(119 |
) |
|
(169 |
) |
Currency Risk |
Foreign Currency Forward Contracts |
8/1/2030 |
SEK |
Natixis S.A. |
|
7,559,927 |
|
|
18,066,617 |
|
|
25,626,544 |
|
|
(67 |
) |
|
(162 |
) |
|
(229 |
) |
Currency Risk |
Foreign Currency Forward Contracts |
3/18/2026 |
CAD |
BNP Paribas S.A. |
|
1,084,611 |
|
|
2,563,206 |
|
|
3,647,817 |
|
|
(7 |
) |
|
(17 |
) |
|
(24 |
) |
Currency Risk |
Foreign Currency Forward Contracts |
3/18/2026 |
CAD |
CitiBank, N.A. |
|
1,788,557 |
|
|
4,226,809 |
|
|
6,015,366 |
|
|
(12 |
) |
|
(28 |
) |
|
(40 |
) |
Currency Risk |
Foreign Currency Forward Contracts |
3/18/2026 |
CAD |
Deutsche Bank |
|
436,109 |
|
|
1,030,634 |
|
|
1,466,743 |
|
|
(3 |
) |
|
(7 |
) |
|
(10 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
$ |
(332 |
) |
$ |
(857 |
) |
$ |
(1,189 |
) |
(1)Approximately, $3,987, $9,423 and $13,410 of collateral has been received as of December 31, 2025 for Series I, Series II and the Company, respectively, with counterparties related to foreign currency forward contracts. Approximately, $4,272, $10,098 and $14,370 of collateral has been posted as of December 31, 2025 for Series I, Series II and the Company, respectively, related to foreign currency forward contracts. The Company may be required to post additional collateral in subsequent periods due to unfavorable changes in the fair value of the contracts. The collateral posted and collateral received balances are netted and included in either prepaid expenses and other assets or other accrued expenses and liabilities, respectively, in the Consolidated Statements of Assets and Liabilities. The following table presents the gains (losses) recognized on derivatives, by contract type, of Series I, Series II and the Company, included in the Consolidated Statements of Operations for the six months ended June 30, 2026 and June 30, 2025:
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the three months ended June 30, 2026 |
|
|
For the six months ended June 30, 2026 |
|
|
|
|
|
Net realized gain (loss) on derivatives |
|
|
Net change in unrealized appreciation/(depreciation) from derivatives |
|
|
Net realized gain (loss) on derivatives |
|
|
Net change in unrealized appreciation/(depreciation) from derivatives |
|
Primary Underlying Risk |
|
Derivative |
|
Series I |
|
|
Series II |
|
|
Total |
|
|
Series I |
|
|
Series II |
|
|
Total |
|
|
Series I |
|
|
Series II |
|
|
Total |
|
|
Series I |
|
|
Series II |
|
|
Total |
|
Currency Risk |
|
Foreign Currency Forward Contracts |
|
$ |
151 |
|
|
$ |
371 |
|
|
$ |
522 |
|
|
$ |
446 |
|
|
$ |
1,229 |
|
|
$ |
1,675 |
|
|
$ |
235 |
|
|
$ |
571 |
|
|
$ |
806 |
|
|
$ |
1,124 |
|
|
$ |
2,858 |
|
|
$ |
3,982 |
|
Total |
|
|
|
$ |
151 |
|
|
$ |
371 |
|
|
$ |
522 |
|
|
$ |
446 |
|
|
$ |
1,229 |
|
|
$ |
1,675 |
|
|
$ |
235 |
|
|
$ |
571 |
|
|
$ |
806 |
|
|
$ |
1,124 |
|
|
$ |
2,858 |
|
|
$ |
3,982 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the three months ended June 30, 2025 |
|
|
For the six months ended June 30, 2025 |
|
|
|
|
|
Net realized gain (loss) on derivatives |
|
|
Net change in unrealized appreciation/(depreciation) from derivatives |
|
|
Net realized gain (loss) on derivatives |
|
|
Net change in unrealized appreciation/(depreciation) from derivatives |
|
Primary Underlying Risk |
|
Derivative |
|
Series I |
|
|
Series II |
|
|
Total |
|
|
Series I |
|
|
Series II |
|
|
Total |
|
|
Series I |
|
|
Series II |
|
|
Total |
|
|
Series I |
|
|
Series II |
|
|
Total |
|
Currency Risk |
|
Foreign Currency Forward Contracts |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
(615 |
) |
|
$ |
(1,575 |
) |
|
$ |
(2,190 |
) |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
(520 |
) |
|
$ |
(1,315 |
) |
|
$ |
(1,835 |
) |
Total |
|
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
(615 |
) |
|
$ |
(1,575 |
) |
|
$ |
(2,190 |
) |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
(520 |
) |
|
$ |
(1,315 |
) |
|
$ |
(1,835 |
) |
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 rights to liquidate collateral and the right to offset a counterparty’s rights and obligations. The following tables present the offsetting of derivative assets and liabilities as of June 30, 2026 and December 31, 2025:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2026 |
|
|
|
|
|
|
Gross amounts not offset in the accompanying Consolidated Statements of Assets and Liabilities |
|
|
|
|
|
|
|
|
|
|
Gross and net amounts presented in the Consolidated Statements of Assets and Liabilities |
|
|
Financial Instruments |
|
|
Cash Collateral Received (1) |
|
|
Net Amount |
|
Assets |
|
Series I |
|
Series II |
|
Total |
|
|
Series I |
|
Series II |
|
Total |
|
|
Series I |
|
Series II |
|
Total |
|
|
Series I |
|
Series II |
|
Total |
|
Derivative Assets |
|
$ |
1,284 |
|
$ |
3,128 |
|
$ |
4,412 |
|
|
$ |
168 |
|
$ |
391 |
|
$ |
559 |
|
|
$ |
1,116 |
|
$ |
2,737 |
|
$ |
3,853 |
|
|
$ |
- |
|
$ |
- |
|
$ |
- |
|
Total |
|
$ |
1,284 |
|
$ |
3,128 |
|
$ |
4,412 |
|
|
$ |
168 |
|
$ |
391 |
|
$ |
559 |
|
|
$ |
1,116 |
|
$ |
2,737 |
|
$ |
3,853 |
|
|
$ |
- |
|
$ |
- |
|
$ |
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross amounts not offset in the accompanying Consolidated Statements of Assets and Liabilities |
|
|
|
|
|
|
|
|
|
|
Gross and net amounts presented in the Consolidated Statements of Assets and Liabilities |
|
|
Financial Instruments |
|
|
Cash Collateral Posted (1) |
|
|
Net Amount |
|
Liabilities |
|
Series I |
|
Series II |
|
Total |
|
|
Series I |
|
Series II |
|
Total |
|
|
Series I |
|
Series II |
|
Total |
|
|
Series I |
|
Series II |
|
Total |
|
Derivative Liabilities |
|
$ |
168 |
|
$ |
391 |
|
$ |
559 |
|
|
$ |
168 |
|
$ |
391 |
|
$ |
559 |
|
|
$ |
- |
|
$ |
- |
|
$ |
- |
|
|
$ |
- |
|
$ |
- |
|
$ |
- |
|
Total |
|
$ |
168 |
|
$ |
391 |
|
$ |
559 |
|
|
$ |
168 |
|
$ |
391 |
|
$ |
559 |
|
|
$ |
- |
|
$ |
- |
|
$ |
- |
|
|
$ |
- |
|
$ |
- |
|
$ |
- |
|
(1)Amounts related to master netting agreements and collateral agreements which have been determined by the Company to be legally enforceable in the event of default but where certain other criteria are not met in accordance with applicable offsetting accounting guidance. The collateral amounts may exceed the related net amounts of financial assets and liabilities presented in the statement of assets and liabilities. Where this is the case, the total amount reported is limited to the net amounts of financial assets and liabilities for that instrument type.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2025 |
|
|
|
|
|
|
Gross amounts not offset in the accompanying Consolidated Statements of Assets and Liabilities |
|
|
|
|
|
|
|
|
|
|
Gross and net amounts presented in the Consolidated Statements of Assets and Liabilities |
|
|
Financial Instruments |
|
|
Cash Collateral Received (1) |
|
|
Net Amount |
|
Assets |
|
Series I |
|
Series II |
|
Total |
|
|
Series I |
|
Series II |
|
Total |
|
|
Series I |
|
Series II |
|
Total |
|
|
Series I |
|
Series II |
|
Total |
|
Derivative Assets |
|
$ |
313 |
|
$ |
747 |
|
$ |
1,060 |
|
|
$ |
190 |
|
$ |
454 |
|
$ |
644 |
|
|
$ |
82 |
|
$ |
200 |
|
$ |
282 |
|
|
$ |
41 |
|
$ |
93 |
|
$ |
134 |
|
Total |
|
$ |
313 |
|
$ |
747 |
|
$ |
1,060 |
|
|
$ |
190 |
|
$ |
454 |
|
$ |
644 |
|
|
$ |
82 |
|
$ |
200 |
|
$ |
282 |
|
|
$ |
41 |
|
$ |
93 |
|
$ |
134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross amounts not offset in the accompanying Consolidated Statements of Assets and Liabilities |
|
|
|
|
|
|
|
|
|
|
Gross and net amounts presented in the Consolidated Statements of Assets and Liabilities |
|
|
Financial Instruments |
|
|
Cash Collateral Posted (1) |
|
|
Net Amount |
|
Liabilities |
|
Series I |
|
Series II |
|
Total |
|
|
Series I |
|
Series II |
|
Total |
|
|
Series I |
|
Series II |
|
Total |
|
|
Series I |
|
Series II |
|
Total |
|
Derivative Liabilities |
|
$ |
332 |
|
$ |
857 |
|
$ |
1,189 |
|
|
$ |
190 |
|
$ |
454 |
|
$ |
644 |
|
|
$ |
133 |
|
$ |
382 |
|
$ |
515 |
|
|
$ |
9 |
|
$ |
21 |
|
$ |
30 |
|
Total |
|
$ |
332 |
|
$ |
857 |
|
$ |
1,189 |
|
|
$ |
190 |
|
$ |
454 |
|
$ |
644 |
|
|
$ |
133 |
|
$ |
382 |
|
$ |
515 |
|
|
$ |
9 |
|
$ |
21 |
|
$ |
30 |
|
(1)Amounts related to master netting agreements and collateral agreements which have been determined by the Company to be legally enforceable in the event of default but where certain other criteria are not met in accordance with applicable offsetting accounting guidance. The collateral amounts may exceed the related net amounts of financial assets and liabilities presented in the statement of assets and liabilities. Where this is the case, the total amount reported is limited to the net amounts of financial assets and liabilities for that instrument type.
|