Company: NMFCZ
Filing Date: 2025-08-04
Form Type: 10-Q
Source: 0001496099-25-000027
Chunk: 394

Company: New Mountain Finance Corp
Filing Date: 2025-08-04
Form: 10-Q
Item: Part I, Item 8
Chunk 394
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.200% and pays a floating rate of one-month SOFR plus 2.882% on the notional amount of $300,000. The Company designates interest rate swaps as fair value hedges in a qualifying fair value hedge accounting relationship to mitigate risk of changes in the fair value of financial liabilities due to interest rate risk. As a result, the Company will present changes in fair value of the hedging instruments and the related hedged items in interest expense within the Company’s Consolidated Statements of Operations.The Company recorded and formally documented all hedging relationships, its risk management objective and strategy upon entering into each hedging relationship. For each hedging relationship, the Company performs quarterly quantitative assessments of the hedge effectiveness to assess that the hedging relationships are highly effective in offsetting changes in fair values of hedged items and whether the relationship is expected to continue to be highly effective in the future. To the extent the changes in fair value of the derivative do not offset the changes in fair value of the hedged item, the difference is recognized. The corresponding adjustment to the hedged asset or liability is included in the basis of the hedged item, while the 

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corresponding change in the fair value of the derivative instrument is recorded as an adjustment to "Derivative assets at fair value" or "Derivative liabilities at fair value", as applicable.If a hedge relationship is de-designated or if hedge accounting is discontinued because the hedged item no longer exists, the derivative will continue to be recorded as a "Derivative asset at fair value" or "Derivative liability at fair value" in the Consolidated Statements of Assets and Liabilities at its fair value, with changes in fair value recognized in net change in unrealized appreciation (depreciation).The following table presents the effect of hedging derivative instruments on the Consolidated Statements of Operations and the total amounts for the respective line items affected:Three Months EndedSix Months EndedJune 30, 2025June 30, 2024June 30, 2025June 30, 2024(Losses) gains on fair value hedging relationship:Interest rate swap contract:Interest expense recognized on derivative$(1,074)$(1,017)$(2,002)$(1,081)Gains (losses) recognized on derivative4,545 (1,128)11,717 (1,552)(Losses) gains recognized on hedged item(4,449)844 (10,866)1,175