v3.26.1
Derivatives
 3 Months Ended
Mar. 31, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives

Note 7. Derivatives

In the normal course of business, the Company enters into derivative financial instruments to achieve certain risk management objectives, including managing its interest rate and foreign currency risk exposures. The fair value of derivative contracts open as of March 31, 2026 and December 31, 2025 is included on the consolidated schedules of investments by contract.

The Company presents derivatives on a net basis by counterparty on the Consolidated Statements of Assets and Liabilities. The Company has elected not to offset assets and liabilities in the Consolidated Statements of Assets and Liabilities that may be received or paid as part of collateral arrangements, even when an enforceable master netting arrangement or other arrangement is in place that provides the Company, in the event of counterparty default, the right to liquidate collateral and the right to offset a counterparty’s rights and obligations.

The following table presents both gross and net information about derivative instruments eligible for offset in the Consolidated Statements of Assets and Liabilities as of March 31, 2026:

 

 

 

 

 

 

 

 

 

 

 

 

Net amount of

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of

 

 

assets or

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of

 

 

(liabilities)

 

 

(liabilities)

 

 

 

 

 

 

 

 

 

 

 

Account in the

 

assets on the

 

 

on the

 

 

presented on the

 

 

 

 

 

 

 

 

 

 

 

consolidated

 

consolidated

 

 

consolidated

 

 

consolidated

 

 

 

 

 

 

 

 

 

statements of

 

statements of

 

 

statements of

 

 

statements of

 

 

Cash Collateral

 

 

 

 

 

 

 

assets

 

assets and

 

 

assets and

 

 

assets and

 

 

paid

 

 

Net

 

Counterparty

 

and liabilities

 

liabilities

 

 

liabilities

 

 

liabilities

 

 

(received) (1)

 

 

Amounts (2)

 

Bank of New York

 

Unrealized depreciation on forward currency contracts

 

$

 

1,039

 

 

$

 

(2,097

)

 

$

 

(1,058

)

 

$

 

1,058

 

 

$

 

—

 

BNP Paribas

 

Unrealized depreciation on forward currency contracts

 

$

 

187

 

 

$

 

(1,037

)

 

$

 

(850

)

 

$

 

850

 

 

$

 

—

 

US Bank

 

Unrealized appreciation on forward currency contracts

 

$

 

511

 

 

$

 

(291

)

 

$

 

220

 

 

$

 

—

 

 

$

 

220

 

Wells Fargo

 

Unrealized depreciation on forward currency contracts

 

$

 

472

 

 

$

 

(1,303

)

 

$

 

(831

)

 

$

 

—

 

 

$

 

(831

)

Citibank

 

Unrealized appreciation on forward currency contracts

 

$

 

4

 

 

$

 

—

 

 

$

 

4

 

 

$

 

—

 

 

$

 

4

 

Wells Fargo

 

Interest rate swap

 

$

 

5,278

 

 

$

 

—

 

 

$

 

5,278

 

 

$

 

(4,760

)

 

$

 

518

 

BNP Paribas

 

Interest rate swap

 

$

 

—

 

 

$

 

(299

)

 

$

 

(299

)

 

$

 

120

 

 

$

 

(179

)

 

(1)
Amount excludes excess cash collateral paid or received.
(2)
Net amount represents the net amount due (to) from counterparty in the event of default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts.

The following table presents both gross and net information about derivative instruments eligible for offset in the Consolidated Statements of Assets and Liabilities as of December 31, 2025:

 

 

 

 

 

 

 

 

 

 

 

 

Net amount of

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of

 

 

assets or

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of

 

 

(liabilities)

 

 

(liabilities)

 

 

 

 

 

 

 

 

 

 

 

Account in the

 

assets on the

 

 

on the

 

 

presented on the

 

 

 

 

 

 

 

 

 

 

 

consolidated

 

consolidated

 

 

consolidated

 

 

consolidated

 

 

 

 

 

 

 

 

 

statements of

 

statements of

 

 

statements of

 

 

statements of

 

 

Cash Collateral

 

 

 

 

 

 

 

assets

 

assets and

 

 

assets and

 

 

assets and

 

 

paid

 

 

Net

 

Counterparty

 

and liabilities

 

liabilities

 

 

liabilities

 

 

liabilities

 

 

(received) (1)

 

 

Amounts (2)

 

Bank of New York

 

Unrealized depreciation on forward currency contracts

 

$

 

134

 

 

$

 

(4,353

)

 

$

 

(4,219

)

 

$

 

4,219

 

 

$

 

—

 

BNP Paribas

 

Unrealized depreciation on forward currency contracts

 

$

 

—

 

 

$

 

(1,927

)

 

$

 

(1,927

)

 

$

 

—

 

 

$

 

(1,927

)

US Bank

 

Unrealized depreciation on forward currency contracts

 

$

 

45

 

 

$

 

(1,082

)

 

$

 

(1,037

)

 

$

 

1,037

 

 

$

 

—

 

Wells Fargo

 

Unrealized depreciation on forward currency contracts

 

$

 

23

 

 

$

 

(1,901

)

 

$

 

(1,878

)

 

$

 

—

 

 

$

 

(1,878

)

Wells Fargo

 

Interest rate swap

 

$

 

7,976

 

 

$

 

—

 

 

$

 

7,976

 

 

$

 

(7,976

)

 

$

 

—

 

 

(1)
Amount excludes excess cash collateral paid or received.
(2)
Net amount represents the net amount due (to) from counterparty in the event of default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts.

For the three months ended March 31, 2026 and 2025, the Company’s average U.S. dollar notional exposure to forward currency exchange contracts was $199.5 million and $146.3 million, respectively, and the average notional exposure for interest rate swaps was $525.0 million and $175 million, respectively.

The effect of transactions in derivative instruments to the Consolidated Statements of Operations during the three months ended March 31, 2026 and 2025 was as follows:

 

 

 

For the Three Months Ended March 31,

 

 

 

2026

 

 

2025

 

Net realized gain (loss) on forward currency exchange contracts

 

$

 

(2,989

)

 

$

 

(2,405

)

Net change in unrealized appreciation on forward currency exchange contracts

 

 

 

6,546

 

 

 

 

(2,073

)

Total net realized and unrealized gain (loss) on forward currency exchange contracts

 

$

 

3,557

 

 

$

 

(4,478

)

 

 

Included in total net gains (losses) on the Consolidated Statements of Operations are net gains (losses) of ($2.9) million and $4.3 million related to realized and unrealized gains and losses on investments, foreign currency holdings and non-investment assets and liabilities attributable to the changes in foreign currency exchange rates for the three months ended March 31, 2026 and 2025, respectively. Including the total net realized and unrealized gains (losses) on forward currency exchange contracts of $3.6 million and ($4.5) million, respectively, included in the above table, the net impact of foreign currency on total net gains (losses) on the Consolidated Statements of Operations is $0.7 million and ($0.2) million for the three months ended March 31, 2026 and 2025, respectively.

The Company's interest rate swaps have been designated in a qualifying hedge accounting relationship. Net realized and unrealized gains and losses for the three months ended March 31, 2026 and 2025, for the Company’s interest rate swap, are in the following locations in the Consolidated Statement of Operations:

 

 

 

For the Three Months Ended March 31,

Financial Statement Location

 

 

2026

 

 

2025

 

 

 

Interest rate swaps

 

$

 

(262

)

 

$

 

74

 

 

Interest and debt financing expenses

Hedged items

 

 

 

(108

)

 

 

 

(78

)

 

Interest and debt financing expenses