Annual report pursuant to Section 13 and 15(d)

Derivative Instruments (Tables)

v3.24.1
Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments
The following tables summarize the aggregate notional amount and fair value of the Company’s derivative financial instruments as of December 31, 2023 and 2022.
December 31, 2023
Level 1 Level 2 Level 3 Total Fair Value Notional
Derivative Assets
Foreign currency forward contracts $ —  $ 429  $ —  $ 429  $ 94,135 
Interest rate swaps —  8,396  —  8,396  802,500 
Total derivative assets, at fair value $ —  $ 8,825  $ —  $ 8,825  $ 896,635 
Derivative Liabilities
Foreign currency forward contracts $ —  $ (9,533) $ —  $ (9,533) $ 603,276 
Interest rate swaps —  (43) —  (43) 85,000 
Total derivative liabilities, at fair value $ —  $ (9,576) $ —  $ (9,576) $ 688,276 

December 31, 2022
Level 1 Level 2 Level 3 Total Fair Value Notional
Derivative Assets
Foreign currency forward contracts $ —  $ 1,125  $ —  $ 1,125  $ 123,895 
Interest rate swaps —  991  —  991  162,500 
Total derivative assets, at fair value $ —  $ 2,116  $ —  $ 2,116  $ 286,395 
Derivative Liabilities
Foreign currency forward contracts $ —  $ (3,261) $ —  $ (3,261) $ 117,375 
Total derivative liabilities, at fair value $ —  $ (3,261) $ —  $ (3,261) $ 117,375 
Derivatives Not Designated as Hedging Instruments
The effect of transactions in derivative instruments that are not designated in a qualifying hedge accounting relationship on the Consolidated Statements of Operations during the years ended December 31, 2023 and 2022 were as follows:
Year Ended December 31,
2023 2022
Net change in unrealized gain (loss) on foreign currency forward contracts $ (6,968) $ (2,136)
Realized gain (loss) on foreign currency forward contracts $ (7,613) $ 4,010 
Schedule of Offsetting Assets
The following table presents both gross and net information about derivative instruments eligible for offset in the Consolidated Statements of Assets and Liabilities as of December 31, 2023 and 2022.
December 31, 2023
Counterparty Account in the Consolidated Statements of Asset and Liabilities Gross Amount of Assets Gross Amount of (Liabilities) Net amounts presented in the Consolidated Statements of Assets and Liabilities
Collateral Received/Pledged(1)
Net Amounts(2)
Goldman Sachs Bank USA Derivative liabilities, at fair value $ 35  $ (8,225) $ (8,190) $ —  $ (8,190)
SMBC Capital Markets, Inc. Derivative liabilities, at fair value $ 394  $ (1,308) $ (914) $ —  $ (914)
Goldman Sachs Bank USA Derivative assets, at fair value $ 8,396  $ (43) $ 8,353  $ —  $ 8,353 

December 31, 2022
Counterparty Account in the Consolidated Statements of Asset and Liabilities Gross Amount of Assets Gross Amount of (Liabilities) Net amounts presented in the Consolidated Statements of Assets and Liabilities
Collateral Received/Pledged(1)
Net Amounts(2)
Goldman Sachs Bank USA Derivative liabilities, at fair value $ 1,125  $ (3,261) $ (2,136) $ —  $ (2,136)
Goldman Sachs Bank USA Derivative assets, at fair value $ 991  $ —  $ 991  $ —  $ 991 
(1) Amount excludes excess cash collateral paid.
(2) Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual setoff rights under the agreement. Net amount excludes any over-collateralized amounts, if applicable.
Schedule of Offsetting Liabilities
The following table presents both gross and net information about derivative instruments eligible for offset in the Consolidated Statements of Assets and Liabilities as of December 31, 2023 and 2022.
December 31, 2023
Counterparty Account in the Consolidated Statements of Asset and Liabilities Gross Amount of Assets Gross Amount of (Liabilities) Net amounts presented in the Consolidated Statements of Assets and Liabilities
Collateral Received/Pledged(1)
Net Amounts(2)
Goldman Sachs Bank USA Derivative liabilities, at fair value $ 35  $ (8,225) $ (8,190) $ —  $ (8,190)
SMBC Capital Markets, Inc. Derivative liabilities, at fair value $ 394  $ (1,308) $ (914) $ —  $ (914)
Goldman Sachs Bank USA Derivative assets, at fair value $ 8,396  $ (43) $ 8,353  $ —  $ 8,353 

December 31, 2022
Counterparty Account in the Consolidated Statements of Asset and Liabilities Gross Amount of Assets Gross Amount of (Liabilities) Net amounts presented in the Consolidated Statements of Assets and Liabilities
Collateral Received/Pledged(1)
Net Amounts(2)
Goldman Sachs Bank USA Derivative liabilities, at fair value $ 1,125  $ (3,261) $ (2,136) $ —  $ (2,136)
Goldman Sachs Bank USA Derivative assets, at fair value $ 991  $ —  $ 991  $ —  $ 991 
(1) Amount excludes excess cash collateral paid.
(2) Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual setoff rights under the agreement. Net amount excludes any over-collateralized amounts, if applicable.
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location
The table below presents the carrying value of unsecured borrowings as of December 31, 2023 and 2022, that are designated in a qualifying hedging relationship and the related cumulative hedging adjustment (increase/decrease) from current and prior hedging relationships included in such carrying values:
December 31, 2023 December 31, 2022
Description Carrying Value Cumulative Hedging Adjustments Carrying Value Cumulative Hedging Adjustments
Unsecured Notes $ 888,221  $ (1,369) $ 322,420  $ (953)