XML 40 R30.htm IDEA: XBRL DOCUMENT v3.24.2.u1
Derivatives (Tables)
 9 Months Ended
Jun. 30, 2024
Foreign Currency [Abstract]  
Open Forward Foreign Currency Contract
The outstanding forward currency contracts as of June 30, 2024 and September 30, 2023 were as follows:
As of June 30, 2024
CounterpartyCurrency to be soldCurrency to be purchasedSettlement dateUnrealized appreciation ($)Unrealized depreciation ($)
Macquarie Bank Limited$10,800 CAD$8,235 USD7/15/2024$339 $— 
Macquarie Bank Limited$15,600 CAD$12,236 USD8/27/2024813 — 
Macquarie Bank Limited$30,000 CAD$23,399 USD8/27/20241,432 — 
Macquarie Bank Limited£4,500 GBP$6,182 USD8/27/2024487 — 
Macquarie Bank Limited£25,000 GBP$34,298 USD8/27/20242,660 — 
Macquarie Bank Limited$22,600 CAD$17,739 USD8/30/20241,188 — 
Macquarie Bank Limited£20,550 GBP$28,297 USD9/3/20242,287 — 
Macquarie Bank Limited$6,000 CAD$4,717 USD9/4/2024322 — 
Macquarie Bank Limited£6,500 GBP$8,567 USD9/5/2024343 — 
Macquarie Bank Limited$5,558 CAD$4,365 USD9/27/2024291 — 
SMBC Capital Markets, Inc.€9,300 EUR$10,203 USD9/30/2024193 — 
Macquarie Bank Limited£15,000 GBP$20,258 USD9/30/20241,266 — 
Macquarie Bank Limited£16,290 GBP$21,848 USD9/30/20241,226 — 
Macquarie Bank Limited€14,650 EUR$17,567 USD11/12/20241,741 — 
Macquarie Bank Limited$5,200 CAD$4,245 USD12/9/2024420 — 
Macquarie Bank Limited€12,400 EUR$14,586 USD12/23/20241,163 — 
Macquarie Bank Limited€7,900 EUR$8,682 USD2/5/2025125 — 
Macquarie Bank Limited€26,000 EUR$31,803 USD2/27/20253,501 — 
Macquarie Bank Limited£5,600 GBP$7,321 USD3/17/2025223 — 
Macquarie Bank Limited£13,945 GBP$19,149 USD3/31/20251,436 — 
Macquarie Bank Limited$7,000 CAD$5,386 USD7/18/2025216 — 
Macquarie Bank Limited€20,700 EUR$22,363 USD7/21/2025— (210)
Macquarie Bank Limited€10,100 EUR$10,918 USD7/21/2025— (96)
Macquarie Bank Limited£8,750 GBP$10,667 USD7/21/2025— (394)
Macquarie Bank Limited€16,100 EUR$17,902 USD7/30/2025312 — 
SMBC Capital Markets, Inc.€22,000 EUR$24,594 USD1/20/2026360 — 
SMBC Capital Markets, Inc.€23,750 EUR$26,543 USD1/20/2026382 — 
Macquarie Bank Limited€3,900 EUR$4,371 USD1/30/202674 — 
SMBC Capital Markets, Inc.$7,400 CAD$5,533 USD2/2/202650 — 
Macquarie Bank Limited£21,900 GBP$27,811 USD2/2/202661 — 
Macquarie Bank Limited$26,100 AUD$17,179 USD2/5/2026— (293)
Macquarie Bank Limited€35,000 EUR$39,008 USD2/5/2026457 — 
SMBC Capital Markets, Inc.£21,900 GBP$27,746 USD2/5/2026— (10)
$23,368 $(1,003)
As of September 30, 2023
CounterpartyCurrency to be soldCurrency to be purchasedSettlement dateUnrealized appreciation ($)Unrealized depreciation ($)
Macquarie Bank Limited$15,600 CAD$12,236 USD8/27/2024$676 $— 
Macquarie Bank Limited$30,000 CAD$23,399 USD8/27/20241,174 — 
Macquarie Bank Limited£25,000 GBP$34,298 USD8/27/20243,570 — 
Macquarie Bank Limited$22,600 CAD$17,739 USD8/30/2024991 — 
Macquarie Bank Limited£20,550 GBP$28,297 USD9/3/20243,032 — 
Macquarie Bank Limited€26,000 EUR$31,803 USD2/27/20253,397 — 
Macquarie Bank Limited£13,945 GBP$19,149 USD3/31/20251,968 — 
Macquarie Bank Limited$7,000 CAD$5,386 USD7/18/2025203 — 
Macquarie Bank Limited€10,100 EUR$10,918 USD7/21/2025— (70)
$15,011 $(70)
Schedule of Derivative Instruments, Fair Value
The following table is intended to provide additional information about the effect of the forward currency contracts on the consolidated financial statements of the Company including: the fair value of derivatives by risk category, the location of those fair values on the Consolidated Statements of Financial Condition, and the Company’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Company as of June 30, 2024 and September 30, 2023.

As of June 30, 2024
CounterpartyRisk exposure categoryUnrealized appreciation on forward currency contracts Unrealized depreciation on forward currency contracts Net amounts presented in the Consolidated Statement of Financial Condition
Collateral (Received) Pledged (1)
Net Amount (2)
Macquarie Bank LimitedForeign exchange$22,383 $(993)$21,390 $— $21,390 
SMBC Capital Markets, Inc.Foreign exchange985 (10)975 — 975 
$23,368 $(1,003)$22,365 $22,365 
As of September 30, 2023
CounterpartyRisk exposure categoryUnrealized appreciation on forward currency contracts Unrealized depreciation on forward currency contracts Net amounts presented in the Consolidated Statement of Financial Condition
Collateral (Received) Pledged (1)
Net Amount (2)
Macquarie Bank LimitedForeign exchange$15,011 $(70)$14,941 $— $14,941 

(1) The actual collateral pledged may be more than the amount shown due to over collateralization.
(2)Represents the net amount due from/(to) counterparties in the event of default.
The Statement of Financial Condition impact of fair valuing the interest rate swaps as of June 30, 2024 is presented below:
Derivative InstrumentNotional AmountMaturity DateGross Amount of Recognized AssetsGross Amount of Recognized LiabilitiesStatement of Financial Condition Location of Amounts
Interest rate swap$225,000 11/5/2028$— $2,440 Accounts payable and other liabilities
Interest rate swap$225,000 11/5/2028$2,083 $— Accounts payable and other liabilities
Interest rate swap$600,000 6/15/2029$— $13,386 Accounts payable and other liabilities
Schedule of Realized and Unrealized Gain (Loss) on Forward Currency Contract
The impact of derivative transactions not designated as an effective hedge accounting relationship for the three and nine months ended June 30, 2024 and 2023 on the Consolidated Statements of Operations, including realized and unrealized gains (losses) is summarized in the table below:

Realized gain (loss) on forward currency contracts recognized in income
Risk exposure categoryThree months ended June 30,Nine months ended June 30,
2024202320242023
Foreign exchange $624 $2,021 $624 $3,192 
Change in unrealized appreciation (depreciation) on forward currency contracts recognized in income
Risk exposure categoryThree months ended June 30,Nine months ended June 30,
2024202320242023
Foreign exchange $2,972 $(5,431)$1,589 $(22,326)
Summary of Average Outstanding Daily Volume for Forward Currency Contract
The following table is a summary of the average outstanding daily volume for forward currency contracts for the three and nine months ended June 30, 2024 and 2023:

Average U.S. Dollar notional outstandingThree months ended June 30,Nine months ended June 30,
2024202320242023
Forward currency contracts$442,838 $204,449 $343,044 $233,538 
Schedule of Derivative Liabilities at Fair Value
The table below presents the carrying value of the 2028 and 2029 Notes as of June 30, 2024 that is designated in a qualifying hedging relationship and the related hedging adjustment (increase/(decrease)) from the current hedging relationship included in such carrying value:
DescriptionCarrying ValueHedging Adjustment
2028 Notes$445,088 $(636)
2029 Notes$583,629 $(10,116)