DERIVATIVE INSTRUMENTS

9 Months Ended

Sep. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The Fund uses derivative instruments to manage its exposure to interest rates on expected borrowings under its debt facility (see Note 6), as the Fund originates fixed rate loans.

The Fund entered into interest rate collar transactions with Zions Bancorporation, N.A. dba California Bank & Trust. Certain information related to the Fund's interest rate collar contracts is presented below:

Counterparties

Effective Date

Notional Amount

Cap

Floor

Index

Maturity Date

Zions Bancorporation, N.A.

12/29/2023

$50,000,000

5.30%

3.65%

1 mo.USD-SOFR CME Term

12/31/2024

Zions Bancorporation, N.A.

12/29/2023

$50,000,000

5.30%

2.30%

1 mo.USD-SOFR CME Term

12/31/2025

The interest rate collar mitigates the Fund's exposure to interest rate fluctuations on variable rate index of the debt facility. The collar establishes a range where the Fund pays the counterparty if the SOFR rate falls below the established floor rate, and the counterparty will pay the Fund if the SOFR rate exceeds the established cap rate. The interest rate collar settles monthly.

The following table shows the Fund's derivative instruments at fair value on the Fund's Condensed Statements of Assets and Liabilities as of September 30, 2024 and December 31, 2023:


	Derivative Liabilities
Derivative Instruments		September 30, 2024		December 31, 2023
Interest rate collar		$	53,728	$	110,917

The following table shows the effect of the Fund's derivative instruments on the Fund's Condensed Statements of Operations for the three and nine months ended September 30, 2024 and 2023:



		For the Three Months Ended				For the Nine Months Ended
Derivative Instruments	Condensed Statements of Operations Caption	September 30, 2024		September 30, 2023		September 30, 2024		September 30, 2023
Interest rate collar	Net change in unrealized gain (loss) from derivative instruments	$	(110,351)	$	—	$	57,189	$	—
	Net realized gain from derivative instruments	$	7,669	$	—	$	23,597	$	—

The following table shows the Fund's assets and liabilities related to derivatives by counterparty, net of amounts available for offset under the master netting agreement and net of any collateral received or pledged by the Fund for such assets and liabilities as of September 30, 2024 and December 31, 2023:


	As of September 30, 2024
Counterparties	Derivative Liability Subject to Master Netting Agreement		Derivatives Available for Offset		Non-cash Collateral Pledged		Cash Collateral Pledged		Net Amount (1)
Zions Bancorporation, N.A.	$	(53,728)	$	—	$	—	$	—	$	(53,728)
Total	$	(53,728)	$	—	$	—	$	—	$	(53,728)


	As of December 31, 2023
Counterparties	Derivative Liability Subject to Master Netting Agreement		Derivatives Available for Offset		Non-cash Collateral Pledged		Cash Collateral Pledged		Net Amount (1)
Zions Bancorporation, N.A.	$	(110,917)	$	—	$	—	$	—	$	(110,917)
Total	$	(110,917)	$	—	$	—	$	—	$	(110,917)











(1) Net amount of derivative liabilities represents the net amount owed by the Fund to the counterparty.

There were no derivative assets as of either September 30, 2024 or December 31, 2023.

WTI Fund X, Inc. 10-Q