| DERIVATIVE INSTRUMENTS |
DERIVATIVE INSTRUMENTS Interest Rate Swaps
The Fund entered into interest rate swaps to reduce the Fund’s exposure to interest rate volatility in relation to the Denali Credit Agreement, the Aspen Credit Agreement, the Tango Credit Agreement and the Pioneer Credit Agreement. Under the interest rate swap agreements, the Fund pays a fixed interest rate and receives a floating interest rate of SOFR. The interest rate swaps of the Fund are not hedging instruments in accordance with ASC 815.
As of December 31, 2025 and 2024, the counterparties to the Fund’s interest rate swap agreements and certain information related to the Fund’s interest rate swap instruments are presented on the consolidated schedules of investments.
The net change in unrealized appreciation (depreciation) related to the interest rate swaps was approximately $(6.5) million and $9.6 million for the year ended December 31, 2025 and for the period from May 7, 2024 (inception) to December 31, 2024, respectively, which is included in “derivatives” under “net unrealized gains / (losses)” in the Fund’s consolidated statements of operations. The net swap amounts are settled quarterly, which began in February 2025, and are recorded as net realized gains/losses in “net realized and unrealized gains on investments and derivatives” in the Fund’s consolidated statements of operations. For the year ended December 31, 2025, there were net interest rate swap payments received resulting in a realized gain of $2.3 million. For the period from May 7, 2024 (inception) to December 31, 2024, there were no net interest rate swap payments. The balance sheet impact of fair valuing the interest rate swaps as of December 31, 2025 is presented below: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Description | | Notional Amount | | Maturity Date | | Gross Amount of Recognized Assets | | Gross Amount of Recognized
Liabilities | | Collateral (Received) Pledged | | Net Amount | | Consolidated Statements of Assets and Liabilities | | Interest rate swap | | $ | 40,132 | | | 09/2029 | | $ | 3,756 | | | $ | — | | | $ | — | | | $ | 3,756 | | | Derivative contracts, at fair value | | Interest rate swap | | 40,132 | | | 09/2029 | | 3,743 | | | — | | | — | | | 3,743 | | | Derivative contracts, at fair value | | Interest rate swap | | 20,064 | | | 09/2029 | | — | | | (684) | | | — | | | (684) | | | Derivative contracts, at fair value | | Interest rate swap | | 15,244 | | | 09/2029 | | — | | | (519) | | | — | | | (519) | | | Derivative contracts, at fair value | | Interest rate swap | | 15,244 | | | 09/2029 | | — | | | (519) | | | — | | | (519) | | | Derivative contracts, at fair value | | Interest rate swap | | 12,972 | | | 09/2029 | | — | | | (441) | | | — | | | (441) | | | Derivative contracts, at fair value | | Interest rate swap | | 12,195 | | | 09/2029 | | — | | | (415) | | | — | | | (415) | | | Derivative contracts, at fair value | | Interest rate swap | | 18,750 | | | 03/2030 | | — | | | (172) | | | — | | | (172) | | | Derivative contracts, at fair value | | Interest rate swap | | 18,750 | | | 03/2030 | | — | | | (169) | | | — | | | (169) | | | Derivative contracts, at fair value | | Interest rate swap | | 65,430 | | | 03/2030 | | — | | | (346) | | | — | | | (346) | | | Derivative contracts, at fair value | | Interest rate swap | | 65,430 | | | 03/2030 | | — | | | (357) | | | — | | | (357) | | | Derivative contracts, at fair value | | Interest rate swap | | 69,281 | | | 07/2030 | | — | | | (1,323) | | | — | | | (1,323) | | | Derivative contracts, at fair value | | Interest rate swap | | 23,094 | | | 07/2030 | | — | | | (443) | | | — | | | (443) | | | Derivative contracts, at fair value | | Interest rate swap | | 23,094 | | | 07/2030 | | — | | | (442) | | | — | | | (442) | | | Derivative contracts, at fair value | | Interest rate swap | | 23,094 | | | 07/2030 | | — | | | (444) | | | — | | | (444) | | | Derivative contracts, at fair value | | Interest rate swap | | 84,750 | | | 10/2030 | | 975 | | | — | | | — | | | 975 | | | Derivative contracts, at fair value | | Interest rate swap | | 84,750 | | | 10/2030 | | 884 | | | — | | | — | | | 884 | | | Derivative contracts, at fair value | | Total | | | | | | $ | 9,358 | | | $ | (6,274) | | | $ | — | | | $ | 3,084 | | | |
The balance sheet impact of fair valuing the interest rate swaps as of December 31, 2024 is presented below: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Description | | Notional Amount | | Maturity Date | | Gross Amount of Recognized Assets | | Gross Amount of Recognized
Liabilities | | Collateral (Received) Pledged | | Net Amount | | Consolidated Statements of Assets and Liabilities | | Interest rate swap | | $ | 41,006 | | | 09/2029 | | $ | 5,200 | | | $ | — | | | $ | — | | | $ | 5,200 | | | Derivative contracts, at fair value | | Interest rate swap | | 41,006 | | | 09/2029 | | 5,214 | | | — | | | — | | | 5,214 | | | Derivative contracts, at fair value | | Interest rate swap | | 20,500 | | | 09/2029 | | — | | | (215) | | | — | | | (215) | | | Derivative contracts, at fair value | | Interest rate swap | | 15,576 | | | 09/2029 | | — | | | (127) | | | — | | | (127) | | | Derivative contracts, at fair value | | Interest rate swap | | 15,576 | | | 09/2029 | | — | | | (173) | | | — | | | (173) | | | Derivative contracts, at fair value | | Interest rate swap | | 13,254 | | | 09/2029 | | — | | | (177) | | | — | | | (177) | | | Derivative contracts, at fair value | | Interest rate swap | | 12,460 | | | 09/2029 | | — | | | (132) | | | — | | | (132) | | | Derivative contracts, at fair value | | Total | | | | | | $ | 10,414 | | | $ | (824) | | | $ | — | | | $ | 9,590 | | | |
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