v3.26.3
Derivative Instruments
 9 Months Ended
Sep. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments
4.
DERIVATIVE INSTRUMENTS

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 September 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

 

 

6,351

 

 

 

34,252

 

 

 

40,603

 

Interest Rate Risk

 

Swaptions

 

 

3

 

 

 

15

 

 

 

18

 

Currency Risk

 

Forwards

 

 

979

 

 

 

5,282

 

 

 

6,261

 

Total

 

 

 

$

7,333

 

 

$

39,549

 

 

$

46,882

 

 

 

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

 

 

 

 

Fair Value

 

Primary Underlying Risk

 

Derivative

 

Series I

 

 

Series II

 

 

Total

 

Credit Risk

 

Credit Default Swaps

 

 

57

 

 

 

306

 

 

 

363

 

Interest Rate Risk

 

Interest Rate Swaps

 

 

2,639

 

 

 

14,231

 

 

 

16,870

 

Interest Rate Risk

 

Swaptions

 

 

3

 

 

 

17

 

 

 

20

 

Total

 

 

 

$

2,699

 

 

$

14,554

 

 

$

17,253

 

 

 

(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 $4,657, $25,118 and $29,775 of collateral has been posted as of September 30, 2026 for Series I, Series II and the Company, respectively, with counterparties related to derivative contracts. Approximately $336, $1,814 and $2,150 of collateral has been received as of September 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 $-, $- and $- 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.

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, 2026:

 

 

 

 

 

For the Three Months ended September 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

 

$

7,193

 

 

$

38,942

 

 

$

46,135

 

 

$

6

 

 

$

34

 

 

$

40

 

 

$

(6

)

 

$

(26

)

 

$

(32

)

Currency Risk

 

Forward

 

 

44,135

 

 

 

239,084

 

 

 

283,219

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

334

 

 

 

1,912

 

 

 

2,246

 

Interest Rate Risk

 

Interest Rate Swap

 

 

138,767

 

 

 

751,233

 

 

 

890,000

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

(1,611

)

 

 

(8,869

)

 

 

(10,480

)

Market Risk

 

Swaptions

 

 

93,513

 

 

 

506,487

 

 

 

600,000

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

(50

)

 

 

(305

)

 

 

(355

)

Interest Rate Risk

 

Futures

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

6

 

 

$

34

 

 

$

40

 

 

$

(1,333

)

 

$

(7,288

)

 

$

(8,621

)

 

 

 

 

 

 

 

For the Nine Months ended September 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

 

$

5,850

 

 

$

29,228

 

 

$

35,078

 

 

$

6

 

 

$

34

 

 

$

40

 

 

$

123

 

 

$

(680

)

 

$

(557

)

Currency Risk

 

Forward

 

 

41,530

 

 

 

210,044

 

 

 

251,574

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

1,161

 

 

 

6,037

 

 

 

7,198

 

Interest Rate Risk

 

Interest Rate Swaps

 

 

46,122

 

 

 

233,323

 

 

 

279,445

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

(2,892

)

 

 

(15,273

)

 

 

(18,165

)

Market Risk

 

Swaptions

 

 

97,801

 

 

 

502,199

 

 

 

600,000

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

(310

)

 

 

(1,661

)

 

 

(1,971

)

Interest Rate Risk

 

Futures (1)

 

 

38,914

 

 

 

164,836

 

 

 

203,750

 

 

 

(952

)

 

 

(4,407

)

 

 

(5,359

)

 

 

779

 

 

 

3,242

 

 

 

4,021

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(946

)

 

$

(4,373

)

 

$

(5,319

)

 

$

(1,139

)

 

$

(8,335

)

 

$

(9,474

)

 

(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 nine months ended September 30, 2025:

 

 

 

 

 

 

For the Three Months ended September 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

 

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

 

Futures

 

 

207,572

 

 

 

736,228

 

 

 

943,800

 

 

 

(367

)

 

 

(1,309

)

 

$

(1,676

)

 

 

388

 

 

 

1,426

 

 

$

1,814

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(367

)

 

$

(1,309

)

 

$

(1,676

)

 

$

1,477

 

 

$

5,362

 

 

$

6,839

 

 

 

 

 

 

 

For the Nine Months ended September 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

 

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

 

Futures

 

 

303,748

 

 

 

942,797

 

 

 

1,246,545

 

 

 

(458

)

 

 

(1,604

)

 

 

(2,062

)

 

 

(1,840

)

 

 

(5,297

)

 

$

(7,137

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

45

 

 

$

(195

)

 

$

(150

)

 

$

(1,803

)

 

$

(4,476

)

 

$

(6,279

)

 

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 September 30, 2026:

 

 

 

 

 

 

 

 

 

 

 

 

Gross amounts not offset in the accompanying Consolidated Statements of Assets and Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Gross and Net Amounts Presented in the accompanying Consolidated Statements 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

 

$

7,333

 

 

$

39,549

 

 

$

46,882

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

7,333

 

 

$

39,549

 

 

$

46,882

 

Total

 

$

7,333

 

 

$

39,549

 

 

$

46,882

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

7,333

 

 

$

39,549

 

 

$

46,882

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross amounts not offset in the accompanying Consolidated Statements of Assets and Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross and Net Amounts Presented in the accompanying Consolidated Statements 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

 

$

(2,699

)

 

$

(14,554

)

 

$

(17,253

)

 

$

-

 

 

$

-

 

 

$

-

 

 

$

2,699

 

 

$

14,554

 

 

$

17,253

 

 

$

-

 

 

$

-

 

 

$

-

 

Total

 

$

(2,699

)

 

$

(14,554

)

 

$

(17,253

)

 

$

-

 

 

$

-

 

 

$

-

 

 

$

2,699

 

 

$

14,554

 

 

$

17,253

 

 

$

-

 

 

$

-

 

 

$

-

 

 

 

As of September 30, 2026, the gross amount of derivative assets presented in the Consolidated Statements of Assets and Liabilities in the amount of $-, $- and $- for Series I, Series II and the Company, respectively, are not subject to an enforceable master netting agreement. As of September 30, 2026, the gross amount of derivative liabilities presented in the Consolidated Statements of Assets and Liabilities in the amount of $-, $- and $- 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, 2025:

 

 

 

 

 

 

 

 

 

 

 

 

Gross amounts not offset in the accompanying Consolidated Statements of Assets and Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Gross and Net Amounts Presented in the accompanying Consolidated Statements 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 Statements 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

 

 

$

-

 

 

$

-

 

 

$

-

 

 

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, 2025, the gross amount of derivative assets presented in the Consolidated Statements of Assets and Liabilities in the amount of $-, $- and $- for Series I, Series II and the Company, respectively, are not subject to an enforceable master netting agreement. As of December 31, 2025, the gross amount of derivative liabilities presented in the Consolidated Statements of Assets and Liabilities in the amount of $779, $3,242 and $4,021 for Series I, Series II and the Company, respectively, are not subject to an enforceable master netting agreement.