DERIVATIVE INSTRUMENTS |
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Sep. 30, 2026 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| DERIVATIVE INSTRUMENTS | DERIVATIVE INSTRUMENTS The Company enters into derivative instruments from time to time to help mitigate its interest rate risk exposures. See Note 4 - Fair Value Measurements for additional disclosures related to the fair value hierarchy for derivative instruments. Interest Rate Swaps In connection with certain of the unsecured notes issued by the Company, the Company has entered into an interest rate swap to manage interest rate risk associated with our fixed-rate debt. The Company applies the shortcut method described in ASC 815, since the critical terms of the hedging instrument and the hedged item are identical and the conditions in ASC 815 are met. In applying the shortcut method, the basis of the hedged item is adjusted through interest expense by an amount exactly equal and offsetting to the change in fair value of the hedging instrument. Under the interest rate swaps, the Company receives a fixed interest rate and pays a floating interest rate of Daily Compounded SOFR plus an applicable spread, as disclosed below. The Company designated this interest rate swap and the associated unsecured notes as a qualifying fair value hedge accounting relationship. The accruals under the company’s receive-fixed, pay-variable interest rate swap resulted in a reduction of approximately $50.0 thousand in interest expense for the three months ended September 30, 2026. As of September 30, 2026, the counterparty to the Company’s interest rate swap was ING Capital Markets LLC and the Company has cash collateral posted in the amount of $4.1 million, which is included in restricted cash on the Consolidated Statements of Assets and Liabilities. As of March 31, 2026, the Company was not party to any interest rate swaps. Certain information related to the Company’s interest rate swaps as of September 30, 2026 is presented below.
(1)Payment received semiannually. (2)Payment made quarterly. See Note 5 - Borrowings for more information on the September 2031 Notes, including the effects of the hedging relationship on the hedged item. As a result of the Company’s designation of the interest rate swap as a hedging instrument in a qualifying fair value hedge accounting relationship, the Company is required to fair value the derivative and offset the hedged item by the same amount, both through interest expense. Since the hedging relationship qualifies for the shortcut method, the net unrealized gain/loss impact related to the fair value hedge and the hedged item on interest expense is zero. Depending on the nature of the balance at period end, the fair value of the interest rate swap is either included in other liabilities or other assets on the Company's Consolidated Statements of Assets and Liabilities. The balance sheet impact of fair valuing the interest rate swap as of September 30, 2026 is presented below (dollars in thousands):
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