Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2026

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Fair Value of Derivative Assets and Derivative Liabilities of Series I, Series II, and Company

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.

Summary of Gains (Losses) Recognized on Derivatives, by Contract Type

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:


		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	)

Summary of Offsetting of Derivative Assets and Liabilities

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)