Note 6. Derivatives The Company enters into derivative instruments in the normal course of business to manage foreign currency risk. The net fair value of foreign currency transactions are included within derivative assets, at fair value, if any, or derivative liabilities, at fair value, if any, in the Consolidated Statements of Assets and Liabilities. The following table presents the aggregate notional amount and fair value hierarchy of the Company’s derivative financial instruments:
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March 31, 2026 |
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|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total Fair Value |
|
|
Notional |
|
Derivative assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts |
$ |
— |
|
|
$ |
425 |
|
|
$ |
— |
|
|
$ |
425 |
|
|
$ |
35,000 |
|
Total derivative assets, at fair value |
$ |
— |
|
|
$ |
425 |
|
|
$ |
— |
|
|
$ |
425 |
|
|
$ |
35,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts |
$ |
— |
|
|
$ |
155 |
|
|
$ |
— |
|
|
$ |
155 |
|
|
$ |
86,419 |
|
Total derivative liabilities, at fair value |
$ |
— |
|
|
$ |
155 |
|
|
$ |
— |
|
|
$ |
155 |
|
|
$ |
86,419 |
|
Cash collateral posted |
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|
|
|
|
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|
|
|
$ |
5,510 |
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|
|
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|
December 31, 2025 |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total Fair Value |
|
|
Notional |
|
Derivative assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts |
$ |
— |
|
|
$ |
44 |
|
|
$ |
— |
|
|
$ |
44 |
|
|
$ |
35,419 |
|
Total derivative assets, at fair value |
$ |
— |
|
|
$ |
44 |
|
|
$ |
— |
|
|
$ |
44 |
|
|
$ |
35,419 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts |
$ |
— |
|
|
$ |
420 |
|
|
$ |
— |
|
|
$ |
420 |
|
|
$ |
35,000 |
|
Total derivative liabilities, at fair value |
$ |
— |
|
|
$ |
420 |
|
|
$ |
— |
|
|
$ |
420 |
|
|
$ |
35,000 |
|
Cash collateral posted |
|
|
|
|
|
|
|
|
|
$ |
3,500 |
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|
|
|
In the table above: •The notional amount represents the absolute value amount of all outstanding derivative instruments. •All foreign currency derivatives are not designated in hedge relationships. •The fair value has been presented prior to the application of counterparty netting or cash collateral netting. The table below presents the impact to the Consolidated Statements of Operations from derivative instruments not designated in a qualifying hedge accounting relationship for the three months ended March 31, 2026. The net change in unrealized gains and losses on the derivative instruments not designated in a qualifying hedge accounting relationship are included within net change in unrealized gain (loss) on derivative instruments in the Consolidated Statements of Operations. The net realized gains and losses on the derivative instruments not designated in a qualifying hedge accounting relationship are included within net realized gain on derivative instruments in the Consolidated Statements of Operations, if any.
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For the Three Months Ended March 31, |
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|
|
2026 |
|
Net change in unrealized gain |
|
|
|
Foreign currency forward contracts |
|
$ |
646 |
|
Net change in unrealized gain |
|
$ |
646 |
|
Realized gain |
|
|
|
Foreign currency forward contracts |
|
$ |
1,827 |
|
Realized gain |
|
$ |
1,827 |
|
There was no impact to the Consolidated Statements of Operations from derivative instruments for the three months ended March 31, 2025. Offsetting of Derivative Instruments The Company has elected to not offset cash collateral posted to or received from its counterparty against the net fair value of derivative instruments with that counterparty. The following table presents the offsetting of the Company’s derivative financial instruments:
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March 31, 2026 |
|
Description |
Gross Amounts of Recognized Assets |
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|
Gross Amounts Offset in the Consolidated Statements of Assets and Liabilities |
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|
Net Amounts of Assets Presented in the Consolidated Statements of Assets and Liabilities |
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Gross Amounts of Financial Instruments Not Offset in Consolidated Statements of Assets and Liabilities |
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Gross Amounts of Cash Collateral Received from Counterparty Not Offset in Consolidated Statements of Assets and Liabilities |
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|
Net Amount (not less than 0) |
|
Foreign currency forward contracts |
$ |
425 |
|
|
$ |
— |
|
|
$ |
425 |
|
|
$ |
(155 |
) |
|
$ |
— |
|
|
$ |
270 |
|
Total |
$ |
425 |
|
|
$ |
— |
|
|
$ |
425 |
|
|
$ |
(155 |
) |
|
$ |
— |
|
|
$ |
270 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
Gross Amounts of Recognized Liabilities |
|
|
Gross Amounts Offset in the Consolidated Statements of Assets and Liabilities |
|
|
Net Amounts of Liabilities Presented in the Consolidated Statements of Assets and Liabilities |
|
|
Gross Amounts of Financial Instruments Not Offset in Consolidated Statements of Assets and Liabilities |
|
|
Gross Amounts of Cash Collateral Pledged with Counterparty Not Offset in Consolidated Statements of Assets and Liabilities |
|
|
Net Amount (not less than 0) |
|
Foreign currency forward contracts |
$ |
155 |
|
|
$ |
— |
|
|
$ |
155 |
|
|
$ |
(155 |
) |
|
$ |
— |
|
|
$ |
— |
|
Total |
$ |
155 |
|
|
$ |
— |
|
|
$ |
155 |
|
|
$ |
(155 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
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|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
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|
December 31, 2025 |
|
Description |
Gross Amounts of Recognized Assets |
|
|
Gross Amounts Offset in the Consolidated Statements of Assets and Liabilities |
|
|
Net Amounts of Assets Presented in the Consolidated Statements of Assets and Liabilities |
|
|
Gross Amounts of Financial Instruments Not Offset in Consolidated Statements of Assets and Liabilities |
|
|
Gross Amounts of Cash Collateral Received from Counterparty Not Offset in Consolidated Statements of Assets and Liabilities |
|
|
Net Amount (not less than 0) |
|
Foreign currency forward contracts |
$ |
44 |
|
|
$ |
— |
|
|
$ |
44 |
|
|
$ |
(44 |
) |
|
$ |
— |
|
|
$ |
— |
|
Total |
$ |
44 |
|
|
$ |
— |
|
|
$ |
44 |
|
|
$ |
(44 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
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|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
Gross Amounts of Recognized Liabilities |
|
|
Gross Amounts Offset in the Consolidated Statements of Assets and Liabilities |
|
|
Net Amounts of Liabilities Presented in the Consolidated Statements of Assets and Liabilities |
|
|
Gross Amounts of Financial Instruments Not Offset in Consolidated Statements of Assets and Liabilities |
|
|
Gross Amounts of Cash Collateral Pledged with Counterparty Not Offset in Consolidated Statements of Assets and Liabilities |
|
|
Net Amount (not less than 0) |
|
Foreign currency forward contracts |
$ |
420 |
|
|
$ |
— |
|
|
$ |
420 |
|
|
$ |
(44 |
) |
|
$ |
(376 |
) |
|
$ |
— |
|
Total |
$ |
420 |
|
|
$ |
— |
|
|
$ |
420 |
|
|
$ |
(44 |
) |
|
$ |
(376 |
) |
|
$ |
— |
|
|