Derivative Instruments

9 Months Ended

Sep. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Note 5. Derivative Instruments

The Company may enter into foreign currency forward contracts from time to time to facilitate the settlement of purchases and sales of investments denominated in foreign currencies and to economically hedge the impact that an adverse change in foreign exchange rates would have on the value of investments denominated in foreign currencies. A foreign currency forward contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. These contracts are marked-to-market by recognizing the difference between the contract forward exchange rate and the forward market exchange rate on the last day of the period presented as unrealized appreciation or depreciation. Realized gains or losses are recognized when forward contracts are settled. Risks arise as a result of the potential inability of the counterparties to meet the terms of their contracts; we attempt to limit counterparty risk by only dealing with well-known counterparties and those that we believe have the financial resources to honor their obligations. The foreign currency forward contracts open at the end of the period are generally indicative of the volume of activity during the period.

The following tables present the open foreign currency forward contracts as of September 30, 2024 and December 31, 2023:


September 30, 2024
Foreign Currency	Settlement Date	Statement of Assets and Liabilities Location	Counterparty	Amount Transacted		Notional Value at Settlement			Notional Value at Period End			Fair Value
GBP	December 18, 2024	Unrealized depreciation on foreign currency forward contracts	Macquarie		GBP 20,050	$	26,473		$	26,815		$	(342	)
GBP	December 18, 2024	Unrealized depreciation on foreign currency forward contracts	Macquarie		GBP 79,000	$	104,296		$	105,652		$	(1,356	)
GBP	December 18, 2024	Unrealized depreciation on foreign currency forward contracts	Macquarie		GBP (168)	$	(224	)	$	(224	)	$	(0	)
GBP	December 18, 2024	Unrealized depreciation on foreign currency forward contracts	Macquarie		GBP 4,163	$	5,541		$	5,568		$	(27	)
CAD	March 31, 2025	Unrealized depreciation on foreign currency forward contracts	Macquarie		CAD 1,845	$	1,354		$	1,370		$	(17	)
CAD	March 31, 2026	Unrealized depreciation on foreign currency forward contracts	Macquarie		CAD 1,718	$	1,268		$	1,285		$	(18	)
CAD	June 30, 2025	Unrealized depreciation on foreign currency forward contracts	Macquarie		CAD 1,823	$	1,340		$	1,357		$	(17	)
CAD	June 30, 2026	Unrealized depreciation on foreign currency forward contracts	Macquarie		CAD 76,721	$	56,704		$	57,500		$	(795	)
CAD	September 29, 2025	Unrealized depreciation on foreign currency forward contracts	Macquarie		CAD 1,786	$	1,315		$	1,332		$	(17	)
CAD	December 31, 2024	Unrealized depreciation on foreign currency forward contracts	Macquarie		CAD 1,868	$	1,368		$	1,384		$	(17	)
CAD	December 31, 2025	Unrealized depreciation on foreign currency forward contracts	Macquarie		CAD 1,719	$	1,268		$	1,285		$	(17	)
Total						$	200,703		$	203,324		$	(2,623	)


December 31, 2023
Foreign Currency	Settlement Date	Statement of Assets and Liabilities Location	Counterparty	Amount Transacted		Notional Value at Settlement		Notional Value at Period End		Fair Value
CAD	March 20, 2024	Unrealized depreciation on foreign currency forward contracts	Macquarie		CAD 101,611	$	76,165	$	76,828	$	(663	)
GBP	March 20, 2024	Unrealized depreciation on foreign currency forward contracts	Macquarie		GBP 14,904		18,870		19,004		(134	)
Total						$	95,035	$	95,832	$	(797	)

The following table presents the net realized and unrealized gains and losses on derivative instruments recorded for the three and nine months ended September 30, 2024 and 2023:


		For the Three Months Ended September 30,					For the Nine Months Ended September 30,
	Statement of Operations Location	2024			2023		2024			2023
Net realized gains (losses)
Foreign currency forward contracts	Net realized gains (losses) on foreign currency forward contracts	$	(694	)	$	2,609	$	1,314		$	(1,024	)
Net change in unrealized appreciation (depreciation)
Foreign currency forward contracts	Net change in unrealized appreciation (depreciation) on foreign currency forward contracts		(2,376	)		343		(1,826	)		1,060
Net realized and unrealized gains on foreign currency forward contracts		$	(3,070	)	$	2,952	$	(512	)	$	36

For derivatives traded under an International Swaps and Derivatives Association Master Agreement (“ISDA Master Agreement”), the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Company or the counterparty. Cash collateral that has been pledged, if any, to cover obligations of the Company and cash collateral received from the counterparty, if any, is reported on the consolidated statements of assets and liabilities as collateral deposits (received) for foreign currency forward contracts. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold before a transfer is required. To the extent amounts due to the Company from a counterparty are not fully collateralized, the Company bears the risk of loss from counterparty non-performance.

The following tables present the derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement or similar arrangement, and net of related collateral received for assets or pledged for liabilities as of September 30, 2024 and December 31, 2023:


As of	Counterparty	Gross Amounts of Recognized Derivative Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Financial Position		Collateral Pledged (1)		Net position of Derivative Liabilities and Pledged Collateral
September 30, 2024	Macquarie	$	2,623	$	—	$	2,623	$	—	$	2,623


As of	Counterparty	Gross Derivative Assets in Consolidated Statement of Assets and Liabilities		Gross Derivative Liabilities in Consolidated Statement of Assets and Liabilities			Collateral Pledged (1)		Net position of Derivative Assets, Liabilities and Pledged Collateral
December 31, 2023	Macquarie	$	—	$	(797	)	$	—	$	(797	)

(1)

Lesser of the amount pledged and the amount needed to offset the liability.