| Schedule of Fair Value of Derivative Liabilities |
The following tables present the fair value of the derivative assets and liabilities of Series I, Series II and the Company as reflected in the Consolidated Statements of Assets and Liabilities as of June 30, 2026:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Assets, at Fair Value(1),(2) |
|
|
|
|
|
Fair Value |
|
Primary Underlying Risk |
|
Derivative |
|
Series I |
|
|
Series II |
|
|
Total |
|
Credit Risk |
|
Credit Default Swaps |
|
|
8,296 |
|
|
|
43,336 |
|
|
|
51,632 |
|
Interest Rate Risk |
|
Swaptions |
|
|
41 |
|
|
|
217 |
|
|
|
258 |
|
Currency Risk |
|
Forwards |
|
|
645 |
|
|
|
3,371 |
|
|
|
4,016 |
|
Total |
|
|
|
$ |
8,982 |
|
|
$ |
46,924 |
|
|
$ |
55,906 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Liabilities, at Fair Value(1),(2) |
|
|
|
|
|
Fair Value |
|
Primary Underlying Risk |
|
Derivative |
|
Series I |
|
|
Series II |
|
|
Total |
|
Credit Risk |
|
Credit Default Swaps |
|
|
6 |
|
|
|
31 |
|
|
|
37 |
|
Interest Rate Risk |
|
Interest Rate Swaps |
|
|
1,011 |
|
|
|
5,284 |
|
|
|
6,295 |
|
Total |
|
|
|
$ |
1,017 |
|
|
$ |
5,315 |
|
|
$ |
6,332 |
|
(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 $2,534, $13,237 and $15,771 of collateral has been posted as of June 30, 2026 for Series I, Series II and the Company, respectively, with counterparties related to derivative contracts. Approximately $313, $1,637 and $1,950 of collateral has been received as of June 30, 2026 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 fair value of the derivative assets and liabilities of Series I, Series II and the Company as reflected in the Consolidated Statements of Assets and Liabilities as of December 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 |
|
$ |
8,655 |
|
|
$ |
35,998 |
|
|
$ |
44,653 |
|
Interest Rate Risk |
|
Interest Rate Swaps |
|
|
269 |
|
|
|
1,120 |
|
|
|
1,389 |
|
Total |
|
|
|
$ |
8,924 |
|
|
$ |
37,118 |
|
|
$ |
46,042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Liabilities, at Fair Value(1),(2) |
|
|
|
|
|
Fair Value |
|
Primary Underlying Risk |
|
Derivative |
|
Series I |
|
|
Series II |
|
|
Total |
|
Credit Risk |
|
Credit Default Swaps |
|
|
6 |
|
|
|
24 |
|
|
|
30 |
|
Currency Risk |
|
Forwards |
|
|
181 |
|
|
|
754 |
|
|
|
935 |
|
Interest Rate Risk |
|
Futures |
|
|
779 |
|
|
|
3,242 |
|
|
|
4,021 |
|
Total |
|
|
|
$ |
966 |
|
|
$ |
4,020 |
|
|
$ |
4,986 |
|
(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 $3,047, $12,671 and $15,718 of collateral has been posted as of December 31, 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 December 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.
|
| 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 six months ended June 30, 2026:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Three Months ended June 30, 2026 |
|
|
|
|
|
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 |
|
$ |
2,376 |
|
|
$ |
12,174 |
|
|
$ |
14,550 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
221 |
|
|
$ |
(222 |
) |
|
$ |
(1 |
) |
Currency Risk |
|
Forward |
|
|
40,588 |
|
|
|
208,224 |
|
|
|
248,812 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
277 |
|
|
|
1,063 |
|
|
|
1,340 |
|
Interest Rate Risk |
|
Interest Rate Swap |
|
|
97,995 |
|
|
|
502,005 |
|
|
|
600,000 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(680 |
) |
|
|
(3,452 |
) |
|
|
(4,132 |
) |
Market Risk |
|
Swaptions |
|
|
97,995 |
|
|
|
502,005 |
|
|
|
600,000 |
|
|
|
|
|
|
|
|
|
|
|
|
(212 |
) |
|
|
(1,118 |
) |
|
|
(1,330 |
) |
Interest Rate Risk |
|
Futures |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
- |
|
|
- |
|
|
- |
|
|
|
60 |
|
|
|
(61 |
) |
|
|
(1 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
- |
|
|
- |
|
|
- |
|
|
$ |
(334 |
) |
|
$ |
(3,790 |
) |
|
$ |
(4,124 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Six Months ended June 30, 2026 |
|
|
|
|
|
Average Notional / Contracts (1) |
|
|
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 |
|
|
$ |
24,371 |
|
|
$ |
29,550 |
|
|
- |
|
|
- |
|
|
- |
|
|
$ |
129 |
|
|
$ |
(654 |
) |
|
$ |
(525 |
) |
Currency Risk |
|
Forward |
|
|
40,227 |
|
|
|
195,524 |
|
|
|
235,751 |
|
|
- |
|
|
- |
|
|
- |
|
|
|
827 |
|
|
|
4,125 |
|
|
|
4,952 |
|
Interest Rate Risk |
|
Interest Rate Swaps |
|
|
201 |
|
|
|
25,632 |
|
|
|
25,833 |
|
|
- |
|
|
- |
|
|
- |
|
|
|
(1,281 |
) |
|
|
(6,404 |
) |
|
|
(7,685 |
) |
Market Risk |
|
Swaptions |
|
|
100,373 |
|
|
|
499,627 |
|
|
|
600,000 |
|
|
- |
|
|
- |
|
|
- |
|
|
|
(260 |
) |
|
|
(1,356 |
) |
|
|
(1,616 |
) |
Interest Rate Risk |
|
Futures |
|
|
38,914 |
|
|
|
164,836 |
|
|
|
203,750 |
|
|
|
(952 |
) |
|
|
(4,407 |
) |
|
|
(5,359 |
) |
|
|
779 |
|
|
|
3,242 |
|
|
|
4,021 |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(952 |
) |
|
$ |
(4,407 |
) |
|
$ |
(5,359 |
) |
|
$ |
194 |
|
|
$ |
(1,047 |
) |
|
$ |
(853 |
) |
(1) For Futures, average notional is calculated as a three-month average to reflect the full period during which the instrument was active prior to its sale in Q1. 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 |
|
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 |
|
Futures |
|
|
335,835 |
|
|
|
993,915 |
|
|
|
1,329,750 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(803 |
) |
|
|
(2,459 |
) |
|
$ |
(3,262 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
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 |
|
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 |
|
Futures |
|
|
351,835 |
|
|
|
1,046,081 |
|
|
|
1,397,916 |
|
|
|
(91 |
) |
|
|
(295 |
) |
|
$ |
(386 |
) |
|
|
(2,228 |
) |
|
|
(6,723 |
) |
|
$ |
(8,951 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
412 |
|
|
$ |
1,114 |
|
|
$ |
1,526 |
|
|
$ |
(3,280 |
) |
|
$ |
(9,838 |
) |
|
$ |
(13,118 |
) |
|
| 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 June 30, 2026:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
$ |
8,982 |
|
|
$ |
46,924 |
|
|
$ |
55,906 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
8,982 |
|
|
$ |
46,924 |
|
|
$ |
55,906 |
|
Total |
|
$ |
8,982 |
|
|
$ |
46,924 |
|
|
$ |
55,906 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
8,982 |
|
|
$ |
46,924 |
|
|
$ |
55,906 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
$ |
(1,017 |
) |
|
$ |
(5,315 |
) |
|
$ |
(6,332 |
) |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
1,017 |
|
|
$ |
5,315 |
|
|
$ |
6,332 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
Total |
|
$ |
(1,017 |
) |
|
$ |
(5,315 |
) |
|
$ |
(6,332 |
) |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
1,017 |
|
|
$ |
5,315 |
|
|
$ |
6,332 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
The following tables present the offsetting of financial and derivative assets and liabilities as of December 31, 2025:
|
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|
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|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
$ |
8,924 |
|
|
$ |
37,118 |
|
|
$ |
46,042 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
8,924 |
|
|
$ |
37,118 |
|
|
$ |
46,042 |
|
Total |
|
$ |
8,924 |
|
|
$ |
37,118 |
|
|
$ |
46,042 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
8,924 |
|
|
$ |
37,118 |
|
|
$ |
46,042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
$ |
(187 |
) |
|
$ |
(778 |
) |
|
$ |
(965 |
) |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
187 |
|
|
$ |
778 |
|
|
$ |
965 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
Total |
|
$ |
(187 |
) |
|
$ |
(778 |
) |
|
$ |
(965 |
) |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
187 |
|
|
$ |
778 |
|
|
$ |
965 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|