Derivative Instruments

12 Months Ended

Dec. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Note 4. Derivative Instruments

The Master Fund may enter into foreign currency forward contracts from time to time to facilitate settlement of purchases and sales of investments denominated in foreign currencies and to economically hedge the impact that an adverse change in foreign exchange rates would have on the value of the Master Fund's investments denominated in foreign currencies. A foreign currency forward contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. These contracts are marked-to-market by recognizing the difference between the contract forward exchange rate and the forward market exchange rate on the last day of the period presented as unrealized appreciation or depreciation. Realized gains or losses are recognized when forward contracts are settled. Risks arise as a result of the potential inability of the counterparties to meet the terms of their contracts; the Master Fund attempts to limit counterparty risk by only dealing with well-known counterparties and those that it believes have the financial resources to honor their obligations. As of December 31, 2023, there are no open foreign currency forward contracts.

The following tables present the Master Fund's open foreign currency forward contracts as of December 31, 2022:


December 31, 2022
Foreign Currency	Settlement Date	Statement Location	Counterparty	Amount Transacted		Notional Value at Settlement		Notional Value at Period End		Fair Value
GBP	January 17, 2023	Unrealized appreciation on foreign currency forward contracts	JPMorgan Chase Bank, N.A.	£	2,457	$	3,045	$	2,972	$	73
Total						$	3,045	$	2,972	$	73

The following table presents the net realized and unrealized gains and losses on derivative instruments recorded by the Master Fund for the years ended December 31, 2023, December 31, 2022, and December 31, 2021:


		For the Years Ended December 31,
	Statement Location	2023			2022		2021
Net realized gains (losses)
Foreign currency forward contracts	Net realized gains (losses) on foreign currency forward contracts	$	101		$	14	$	(287	)
Net change in unrealized appreciation (depreciation)
Foreign currency forward contracts	Net change in unrealized appreciation (depreciation) on foreign currency forward contracts		(73	)		353		488
Net realized and unrealized gains on foreign currency forward contracts		$	28		$	367	$	201

For derivatives traded under an International Swaps and Derivatives Association Master Agreement ("ISDA Master Agreement"), the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Master Fund and/or the counterparty. Cash collateral that has been pledged, if any, to cover obligations of the Master Fund and cash collateral received from the counterparty, if any, is reported on the consolidated statements of assets and liabilities as collateral deposits (received) for foreign currency forward contracts. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold before a transfer is required. To the extent amounts due to the Master Fund from a counterparty are not fully collateralized, the Master Fund bears the risk of loss from counterparty non-performance.

The following table presents the Master Fund's derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement or similar arrangement, and net of related collateral received by the Master Fund for assets or pledged for liabilities as of December 31, 2023 and December 31, 2022:


As of	Counterparty	Gross Derivative Assets in Statement of Assets and Liabilities		Gross Derivative Liabilities in Statement of Assets and Liabilities		Collateral Pledged (Received)		Net position of Derivative Assets, Liabilities and Pledged Collateral
December 31, 2023	JP Morgan Chase Bank, N.A.	$	—	$	—	$	—	$	—
December 31, 2022	JP Morgan Chase Bank, N.A.	$	73	$	—	$	—	$	73

GUGGENHEIM CREDIT INCOME FUND 10-K