v3.26.1
Derivatives
 6 Months Ended
Jun. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives
7.
Derivatives

The Fund may enter into derivative financial instruments in the normal course of business to achieve certain risk management objectives, including managing its interest rate, credit risk and foreign currency risk exposures. The Fund is a party to International Swap and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) with certain counterparties that govern over-the-counter derivative contracts entered into from time to time. The Fund is also a party to agreements that govern derivatives cleared by a Central Counterparty Clearing House (“Cleared Derivative Agreements” and together with ISDA Master Agreements, “Derivative Agreements”). The Derivative Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral requirements under Derivative Agreements are determined based on the Fund’s net position with each counterparty. Collateral can be in the form of cash and U.S. government securities as agreed to by the Fund and the applicable counterparty. Collateral pledged by the Fund is segregated by the Fund’s custodians and may be restricted as to resale. Collateral posted to the Fund is held by the Fund’s custodians or the central counterparty clearing house and with respect to those amounts that can be sold or repledged, are presented in the Fund’s portfolio. As of June 30, 2026 and December 31, 2025, only cash was pledged and received by the Fund as collateral under the Derivative Agreements and was included in due from broker and due to broker on the consolidated statements of assets and liabilities.

The following table presents the details of the Fund’s average U.S. dollar notional exposure for the three and six months ended June 30, 2026 and June 30, 2025:

 

 

 

For the Three Months Ended June 30,

 

 

For the Six Months Ended June 30,

 

Average notional value(1)

 

2026

 

 

2025

 

 

2026

 

 

2025

 

Interest Rate Swaps(2), hedge accounting

 

$

145,000,000

 

 

$

145,000,000

 

 

$

145,000,000

 

 

$

145,000,000

 

Interest Rate Swaps(2), non-hedge accounting

 

 

24,589,907

 

 

 

5,811,900

 

 

 

22,435,543

 

 

 

4,401,877

 

Foreign Currency Forward Contracts(3)

 

 

71,780,156

 

 

 

28,216,302

 

 

 

64,129,792

 

 

 

26,535,580

 
(1)
For each contract type, calculated based on month end amounts during which the contract was held (see consolidated statements of operations for net realized and unrealized gain (loss) on each non-hedging contract type, consolidated schedule of investments for detailed terms of the contracts, Note 2 on the purpose of the derivative activities and Note 6 for a description of the hedge accounting relationship between certain interest rate swaps and the 2026 Notes).
(2)
Risk exposure is interest rate. Certain interest rate swaps were designated as hedging instruments in accordance with hedge accounting (see Note 6).
(3)
Risk exposure is foreign currency. No foreign currency forward contract was designated as a hedging instrument in accordance with hedge accounting.

 

The Fund’s net exposure to foreign currency forward contracts and interest rate swaps presented on the consolidated statements of assets and liabilities was as follows:

 

 

 

 

 

 

 

 

 

 

 

 

Amounts Not Offset in Consolidated Statements of Assets and Liabilities

 

 

 

 

 

 

Gross Amount of Assets

 

 

Gross Amount of Liabilities

 

 

Net Amount of Assets (Liabilities)

 

 

Collateral (Received) Pledged

 

 

Net Amounts

 

June 30, 2026

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate Swaps, hedge accounting(1)

 

$

562,071

 

 

$

—

 

 

$

562,071

 

 

$

—

 

 

$

562,071

 

Interest Rate Swaps, non-hedge accounting(2)

 

 

364,128

 

 

 

68,576

 

 

 

295,552

 

 

 

(295,552

)

 

 

—

 

Foreign Currency Forward Contracts(3)

 

 

11,797

 

 

 

266,417

 

 

 

(254,620

)

 

 

254,620

 

 

 

—

 

December 31, 2025

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate Swaps, hedge accounting(4)

 

$

1,017,060

 

 

$

—

 

 

$

1,017,060

 

 

$

—

 

 

$

1,017,060

 

Interest Rate Swaps, non-hedge accounting(5)

 

 

127,520

 

 

 

226,331

 

 

 

(98,811

)

 

 

—

 

 

 

(98,811

)

Foreign Currency Forward Contracts(6)

 

 

65,048

 

 

 

177,236

 

 

 

(112,188

)

 

 

112,188

 

 

 

—

 
(1)
Over collateralization of $1.2 million is excluded from Collateral (Received)/Pledged at June 30, 2026.
(2)
Over collateralization of $(0.7) million is excluded from Collateral (Received)/Pledged at June 30, 2026.
(3)
Over collateralization of $0.6 million is excluded from Collateral (Received)/Pledged at June 30, 2026.
(4)
Over collateralization of $1.7 million is excluded from Collateral (Received)/Pledged at December 31, 2025.
(5)
Over collateralization of $(1.2) million is excluded from Collateral (Received)/Pledged at December 31, 2025.
(6)
Over collateralization of $1.2 million is excluded from Collateral (Received)/Pledged at December 31, 2025.

The effect of transactions in derivative instruments not utilizing hedge accounting is presented in net gain (loss) on interest rate swaps and foreign currency forward contracts in the consolidated statements of operations as follows:

 

 

 

For the Three Months Ended June 30,

 

 

For the Six Months Ended June 30,

 

 

 

2026

 

 

2025

 

 

2026

 

 

2025

 

Net realized gain (loss) on derivative contracts:

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency forward contracts

 

$

1,785,810

 

 

$

(1,614,978

)

 

$

2,363,057

 

 

$

(2,183,731

)

Interest rate swaps

 

 

(222,240

)

 

 

5,057

 

 

 

(193,951

)

 

 

10,276

 

Total net realized gain (loss) on derivative contracts

 

$

1,563,570

 

 

$

(1,609,921

)

 

$

2,169,106

 

 

$

(2,173,455

)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net change in unrealized appreciation / (depreciation) on derivative contracts:

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency forward contracts

 

$

(586,999

)

 

$

(546,035

)

 

$

(142,432

)

 

$

(932,058

)

Interest rate swaps

 

 

288,852

 

 

 

(51,633

)

 

 

394,364

 

 

 

(254,656

)

Total net change in unrealized appreciation / (depreciation) on derivative contracts

 

$

(298,147

)

 

$

(597,668

)

 

$

251,932

 

 

$

(1,186,714

)

Refer to Note 6 for interest rate swaps designated as hedging instruments associated with the 2026 Notes.