v3.25.2
Derivatives
 6 Months Ended
Jun. 30, 2025
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives

Note 5. Derivatives

The Company enters into derivative financial instruments in the normal course of business to achieve certain risk management objectives, including managing its foreign currency risk exposures on its portfolio holdings.

The fair value of foreign currency contracts are included within Derivative assets at fair value and Derivative liabilities at fair value, respectively, in the Consolidated Statements of Assets and Liabilities.

The tables below present the aggregate notional amount and fair value hierarchy of the Company’s derivative financial instruments as of June 30, 2025 and December 31, 2024:

 

 

June 30, 2025

 

Derivative Assets

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total Fair Value

 

 

Notional

 

Foreign currency forward contract

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

Total Derivatives assets at fair value

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

Cash collateral received

 

 

 

 

 

 

 

 

 

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency forward contract

 

$

—

 

 

$

(733,825

)

 

$

—

 

 

$

(733,825

)

 

$

18,668,765

 

Total Derivatives liabilities at fair value

 

$

—

 

 

$

(733,825

)

 

$

—

 

 

$

(733,825

)

 

$

18,668,765

 

Cash collateral posted

 

 

 

 

 

 

 

 

 

 

$

2,210,000

 

 

 

 

 

 

December 31, 2024

 

Derivative Assets

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total Fair Value

 

 

Notional

 

Foreign currency forward contract

 

$

—

 

 

$

319,195

 

 

$

—

 

 

$

319,195

 

 

$

17,224,192

 

Total Derivative assets at fair value

 

$

—

 

 

$

319,195

 

 

$

—

 

 

$

319,195

 

 

$

17,224,192

 

Cash collateral received

 

 

 

 

 

 

 

 

 

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency forward contract

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

Total Derivative liabilities at fair value

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

Cash collateral posted

 

 

 

 

 

 

 

 

 

 

$

780,000

 

 

 

 

 

In the table above:

•
The fair value of derivatives assets and derivative liabilities is presented on a gross basis.
•
The notional amount represents the absolute value amount of all outstanding derivative contracts.
•
All foreign currency derivatives are not designated in hedge relationships.
•
The Company has not applied counterparty netting or collateral netting; as such, the amounts of cash collateral received and posted are not offset against the derivative assets and derivative liabilities in the Consolidated Statements of Assets and Liabilities.

 

The table below presents the impact to the Consolidated Statements of Operations from derivative assets and liabilities not designated in a qualifying hedge accounting relationship for the three and six months ended June 30, 2025 and June 30, 2024, respectively. The unrealized gains and losses on the derivative assets and derivative liabilities not designated in a qualifying hedge accounting relationship are included within Net change in unrealized appreciation (depreciation) on Derivative instruments in the Consolidated Statements of Operations. The realized gains and losses on the derivative assets and derivative liabilities not designated in a qualifying hedge accounting relationship are included within Foreign currency and other transactions in the Consolidated Statements of Operations.

 

 

 

For the Three Months Ended June 30,

 

 

For the Six Months Ended June 30,

 

 

 

2025

 

 

2024

 

 

2025

 

 

2024

 

Net change in unrealized appreciation (depreciation)

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency forward contract

 

$

(371,995

)

 

$

11,637

 

 

$

(1,053,020

)

 

$

11,637

 

Net change in unrealized appreciation (depreciation)

 

$

(371,995

)

 

$

11,637

 

 

$

(1,053,020

)

 

$

11,637

 

Net realized gain (loss)

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency forward contract

 

$

(1,083,416

)

 

$

—

 

 

$

(1,083,416

)

 

$

—

 

Net realized gain (loss)

 

$

(1,083,416

)

 

$

—

 

 

$

(1,083,416

)

 

$

—

 

 

In order to better define its contractual rights and to secure rights that will help the Company mitigate its counterparty risk, the Company entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”). An ISDA Master Agreement is a bilateral agreement between the Company and a counterparty that governs OTC derivatives, including foreign currency forward contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.