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

Note 5. Derivative Instruments

Risk Exposures and the Use of Derivative Instruments

Derivatives were used to manage exposure to the following risk(s):

•
Interest Rate Risk - Interest rate risk stems from the mismatch of fixed-rate liabilities and floating-rate assets causing cash flows variability due to changes in market interest rates.
•
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.
•
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized on the consolidated statements of assets and liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Net Realized Gain (Loss) and Net Change in Unrealized Appreciation (Depreciation) on Swaps

The following table, which reflects the impacts of derivatives on the financial performance, is a summary of the net realized gain (loss) and net change in unrealized appreciation (depreciation) on swaps for the three and six months ended June 30, 2025:

 

 

Three Months Ended June 30, 2025

 

 

Six Months Ended June 30, 2025

 

Primary Risk Exposure / Derivative Type

 

Net Realized Gain (Loss)

 

 

Net Change in Unrealized Appreciation (Depreciation)

 

 

Net Realized Gain (Loss)

 

 

Net Change in Unrealized Appreciation (Depreciation)

 

Interest Rate Risk

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

$

(10,059

)

 

$

1,697,905

 

 

$

(10,059

)

 

$

1,697,905

 

Total Interest Rate Risk

 

 

(10,059

)

 

 

1,697,905

 

 

 

(10,059

)

 

 

1,697,905

 

Total

 

$

(10,059

)

 

$

1,697,905

 

 

$

(10,059

)

 

$

1,697,905

 

 

The following table is a summary of the Fund’s value of derivative instruments by primary risk exposure as of June 30, 2025:

 

 

 

June 30, 2025

 

Primary Risk Exposure / Derivative Type

 

Value

 

 

 

Asset

 

 

Liability

 

Interest Rate Risk

 

 

 

 

 

 

Swaps (a)

 

$

1,697,905

 

 

$

—

 

Total Interest Rate Risk

 

 

1,697,905

 

 

 

—

 

Total Value of Derivatives

 

$

1,697,905

 

 

$

—

 
(a)
For centrally cleared swaps, reflects gross cumulative appreciation (depreciation) as presented on the consolidated schedules of investments. On the consolidated statements of assets and liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in total distributable earnings (loss).

The Fund’s volume of activity in interest rate swaps is represented by the average notional amount, which was $105 million and $70 million for the three and six months ended June 30, 2025, respectively. The Fund did not have any derivative activity in 2024.