v3.25.2
Derivatives
 9 Months Ended
Jun. 30, 2025
Foreign Currency [Abstract]  
Derivatives
Note 5. Derivatives
The Company enters into derivatives from time to time to help mitigate its foreign currency and interest rate risk exposures.
Forward Currency Contracts
The outstanding forward currency contracts as of June 30, 2025 and September 30, 2024 were as follows:
As of June 30, 2025
CounterpartyCurrency to be soldCurrency to be purchasedSettlement dateUnrealized appreciation Unrealized depreciation
Macquarie Bank Limited$7,000 CAD5,386 USD7/18/2025$242 $— 
Macquarie Bank Limited£8,750 GBP10,667 USD7/21/2025— (1,340)
Macquarie Bank Limited€20,700 EUR22,363 USD7/21/2025— (2,042)
Macquarie Bank Limited€10,100 EUR10,918 USD7/21/2025— (990)
Macquarie Bank Limited€16,100 EUR17,902 USD7/30/2025— (1,091)
Macquarie Bank Limited€3,900 EUR4,371 USD1/30/2026— (277)
Macquarie Bank Limited£21,900 GBP27,811 USD2/2/2026— (2,221)
Macquarie Bank Limited€35,000 EUR39,008 USD2/5/2026— (2,712)
Macquarie Bank LimitedA$26,100 AUD17,179 USD2/5/2026— (69)
Macquarie Bank Limited€14,650 EUR16,498 USD5/12/2027— (1,253)
Macquarie Bank Limited€20,300 EUR22,346 USD5/27/2027— (2,228)
$242 $(14,223)
SMBC Capital Markets, Inc.€22,000 EUR24,594 USD1/20/2026$— $(1,600)
SMBC Capital Markets, Inc.€23,750 EUR26,543 USD1/20/2026— (1,734)
SMBC Capital Markets, Inc.$7,400 CAD5,533 USD2/2/202646 — 
SMBC Capital Markets, Inc.£21,900 GBP27,746 USD2/5/2026— (2,266)
SMBC Capital Markets, Inc.€33,200 EUR39,008 USD5/27/2027— (1,309)
$46 $(6,909)
As of September 30, 2024
CounterpartyCurrency to be soldCurrency to be purchasedSettlement dateUnrealized appreciation Unrealized depreciation
Macquarie Bank Limited€14,650 EUR$17,567 USD11/12/2024$1,225 $— 
Macquarie Bank Limited$5,200 CAD$4,245 USD12/9/2024390 — 
Macquarie Bank Limited€12,400 EUR$14,586 USD12/23/2024732 — 
Macquarie Bank Limited€7,900 EUR$8,682 USD2/5/2025— (152)
Macquarie Bank Limited€26,000 EUR$31,803 USD2/27/20252,654 — 
Macquarie Bank Limited£5,600 GBP$7,321 USD3/17/2025— (152)
Macquarie Bank Limited£13,945 GBP$19,149 USD3/31/2025522 — 
Macquarie Bank Limited$7,000 CAD$5,386 USD7/18/2025172 — 
Macquarie Bank Limited£8,750 GBP$10,667 USD7/21/2025— (964)
Macquarie Bank Limited€20,700 EUR$22,363 USD7/21/2025— (894)
Macquarie Bank Limited€10,100 EUR$10,918 USD7/21/2025— (430)
Macquarie Bank Limited€16,100 EUR$17,902 USD7/30/2025— (209)
Macquarie Bank Limited€3,900 EUR$4,371 USD1/30/2026— (45)
Macquarie Bank Limited£21,900 GBP$27,811 USD2/2/2026— (1,244)
Macquarie Bank Limited€35,000 EUR$39,008 USD2/5/2026— (618)
Macquarie Bank Limited$26,100 AUD$17,179 USD2/5/2026— (761)
$5,695 $(5,469)
SMBC Capital Markets, Inc.€22,000 EUR$24,594 USD1/20/2026$— $(387)
SMBC Capital Markets, Inc.€23,750 EUR$26,543 USD1/20/2026— (425)
SMBC Capital Markets, Inc.$7,400 CAD$5,533 USD2/2/2026— (4)
SMBC Capital Markets, Inc.£21,900 GBP$27,811 USD2/5/2026— (1,406)
$— $(2,222)
The impact of forward currency contracts not designated as an effective hedge accounting relationship for the three and nine months ended June 30, 2025 and 2024 on the Consolidated Statements of Operations, including realized and unrealized gains (losses) is summarized in the table below:
Realized gain (loss) on forward currency contracts recognized in income
Risk exposure categoryThree months ended June 30,Nine months ended June 30,
2025202420252024
Foreign exchange $— $624 $7,203 $624 
Change in unrealized appreciation (depreciation) on forward currency contracts recognized in income
Risk exposure categoryThree months ended June 30,Nine months ended June 30,
2025202420252024
Foreign exchange $(22,219)$2,972 $(15,787)$1,589 
The following table is a summary of the average outstanding daily volume for forward currency contracts for the three and nine months ended June 30, 2025 and 2024:
Average U.S. Dollar notional outstandingThree months ended June 30,Nine months ended June 30,
2025202420252024
Forward currency contracts$296,011 $442,838 $324,980 $343,044 
Interest Rate Swaps
In connection with the 2028 Notes and 2029 Notes (each as defined in Note 7), the Company entered into interest rate swap agreements to more closely align the interest rate of such liability with its investment portfolio, which consists primarily of floating rate loans. The Company designated these interest rate swaps and the 2028 and 2029 Notes as a qualifying fair value hedge accounting relationship. See Note 7 for more information on the 2028 and 2029 Notes. As of June 30, 2025, the counterparties to the Company’s interest rate swap agreements were SMBC Capital Markets, Inc. and Macquarie Bank Limited. The outstanding interest rate swap contracts as of June 30, 2025 and September 30, 2024 were as follows:
As of June 30, 2025
CounterpartyHedged itemCompany receivesCompany paysMaturity dateNotional amountUnrealized appreciationUnrealized depreciation
SMBC Capital Markets, Inc2028 Notes7.310%1M SOFR+3.327 %11/5/2028$225,000 $3,403 $— 
SMBC Capital Markets, Inc2028 Notes7.310%1M SOFR+2.835 %11/5/2028225,000 6,910 — 
SMBC Capital Markets, Inc2029 Notes6.248%1M SOFR+2.444 %6/15/2029600,000 7,279 — 
$17,592 $— 
Macquarie Bank Limited2029 Notes5.881%3M SOFR+2.012 %6/15/2029150,000 $2,267 $— 
$2,267 $— 
As of September 30, 2024
CounterpartyHedged itemCompany receivesCompany paysMaturity dateNotional amountUnrealized appreciationUnrealized depreciation
SMBC Capital Markets, Inc2028 Notes7.310%1M SOFR+3.327 %11/5/2028$225,000 $8,925 $— 
SMBC Capital Markets, Inc2028 Notes7.310%1M SOFR+2.835 %11/5/2028225,000 13,298 — 
SMBC Capital Markets, Inc2029 Notes6.248%1M SOFR+2.444 %6/15/2029600,000 9,263 — 
$31,486 $— 
As a result of the Company’s designation as a hedging instrument in a qualifying fair value hedge accounting relationship, the Company is required to fair value the hedging instrument and the related hedged item, with the changes in the fair value of each being recorded in interest expense. The net unrealized gain/(loss) related to the fair value hedge was $155 and ($4,541), respectively, for the three and nine months ended June 30, 2025. The net unrealized gain/(loss) related to the fair value hedge was ($5,763) and ($2,991), respectively, for the three and nine months ended June 30, 2024. The net unrealized gain /(loss) related to the fair value hedge is included in “Interest and other debt financing expenses” in the Company’s Consolidated Statement of Operations. The table below presents the components of the net unrealized gain /(loss) related to the fair value hedge recognized for the hedging instrument, the interest rate swaps, and the hedged items, the 2028 and 2029 Notes, from derivatives designated in a qualifying hedge accounting relationship for the three and nine months ended June 30, 2025 and 2024.
Three months ended June 30,
Nine months ended June 30,
2025202420252024
Hedging Instruments (Interest rate swaps)$9,598 $(7,916)$(11,627)$(13,744)
Hedged items (Unsecured notes)(9,443)2,153 7,086 10,753 
Fair market value adjustments for hedge accounting recognized in interest expense$155 $(5,763)$(4,541)$(2,991)
The table below presents the carrying value of the 2028 and 2029 Notes as of June 30, 2025 and September 30, 2024 that are designated in qualifying hedging relationships and the related cumulative hedging adjustment (increase/(decrease)) from the current hedging relationships included in such carrying value:
As of June 30, 2025
As of September 30, 2024
DescriptionCarrying ValueCumulative Hedging AdjustmentCarrying ValueCumulative Hedging Adjustment
2028 Notes$456,834 $10,145 $460,642 $14,675 
2029 Notes755,252 9,657 606,271 12,213 
Offsetting Derivatives
In order to better define its contractual rights and to secure rights that will help the Company mitigate its counterparty risk, the Company has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) with each of its derivative counterparties, Macquarie Bank Limited (“Macquarie”) and SMBC Capital Markets, Inc. (“SMBC” and, together with Macquarie, the “Counterparties” and each a “Counterparty”). Each ISDA Master Agreement is a bilateral agreement between the Company and each Counterparty that governs over the counter (“OTC”) derivatives, including forward currency contracts and interest rate swaps, and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of each ISDA Master Agreements with each of the Counterparties permits a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Company and cash collateral received from either Counterparty, if any, is included in the Consolidated Statements of Financial Condition as other assets or other liabilities. As of June 30, 2025 and September 30, 2024, there was $9,060 and $650, respectively, of collateral pledged for derivatives which is included in other assets on the Consolidated Statements of Financial Condition. The Company minimizes counterparty credit risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.
The following table is intended to provide additional information about the effect of the offsetting derivative contracts on the consolidated financial statements of the Company including: the location of those fair values on the Consolidated Statements of Financial Condition, and the Company’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Company as of June 30, 2025 and September 30, 2024.
As of June 30, 2025
CounterpartyStatement of Financial Condition Location of AmountsGross Amount of Recognized AssetsGross Amount of Recognized (Liabilities)Net amounts presented in the Consolidated Statements of Financial Condition
Collateral (Received) / Pledged(1)
Net Amounts(2)
Macquarie Bank LimitedNet unrealized depreciation on derivatives$2,509 $(14,223)$(11,714)$9,060 $(2,654)
SMBC Capital Markets, Inc.Net unrealized appreciation on derivatives17,638 (6,909)10,729 — 10,729 
As of September 30, 2024
CounterpartyStatement of Financial Condition Location of AmountsGross Amount of Recognized AssetsGross Amount of Recognized (Liabilities)Net amounts presented in the Consolidated Statements of Financial Condition
Collateral (Received) / Pledged(1)
Net Amounts(2)
Macquarie Bank LimitedNet unrealized appreciation on derivatives$5,695 $(5,469)$226 $— $226 
SMBC Capital Markets, Inc.Net unrealized appreciation on derivatives31,486 (2,222)29,264 — 29,264 
(1)The actual collateral pledged could be more than the amount shown due to over collateralization.
(2)Represents the net amount due from/(to) counterparties in the event of default.
Exclusion of the Investment Adviser from Commodity Pool Operator Definition
Engaging in commodity interest transactions such as swap transactions or futures contracts for the Company could cause the Investment Adviser to fall within the definition of “commodity pool operator” under the Commodity Exchange Act (the “CEA”) and related Commodity Futures Trading Commission (the “CFTC”) regulations. The Investment Adviser has claimed an exclusion from the definition of the term “commodity pool operator” under the CEA and the CFTC regulations in connection with its management of the Company and, therefore, is not subject to CFTC registration or regulation under the CEA as a commodity pool operator with respect to its management of the Company.