Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments

v3.24.1.1.u2
Derivative Instruments
 3 Months Ended
Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments Derivative Instruments
The Company enters into foreign currency forward contracts from time to time to help mitigate the impact that an adverse change in foreign exchange rates would have on the value of the Company’s investments denominated in foreign currencies. The Company enters into swap contracts in the normal course of business to manage its interest rate risk exposure. For derivative contracts, the Company enters into netting arrangements with its counterparties. In accordance with authoritative guidance, the Company offsets fair value amounts recognized for derivative instruments with the same security type and counterparty under a master netting arrangement.

During the three months ended March 31, 2024 and 2023, the average notional exposure for foreign currency forward contracts were $670.7 million and $249.8 million, respectively, and the average notional exposure for interest rate swaps were $1,300.0 million and $262.5 million, respectively.

The following tables summarize the aggregate notional amount and fair value of the Company’s derivative financial instruments as of March 31, 2024 and December 31, 2023.
March 31, 2024
Level 1 Level 2 Level 3 Total Fair Value Notional
Derivative Assets
Foreign currency forward contracts $ —  $ 5,655  $ —  $ 5,655  $ 547,747 
Interest rates swaps —  1,016  —  1,016  325,000 
Total derivative assets, at fair value $ —  $ 6,671  $ —  $ 6,671  $ 872,747 
Derivative Liabilities
Foreign currency forward contracts $ —  $ (2,265) $ —  $ (2,265) $ 203,089 
Interest rate swaps —  (11,297) —  (11,297) 1,112,500 
 Total derivative liabilities, at fair value $ —  $ (13,562) $ —  $ (13,562) $ 1,315,589 

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 

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 three months ended March 31, 2024 and 2023 were as follows:
Three Months Ended March 31,
2024 2023
Net change in unrealized gain (loss) on foreign currency forward contracts $ 12,494  $ (2,505)
Realized gain (loss) on foreign currency forward contracts $ 167  $ (529)
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 March 31, 2024 and December 31, 2023.

March 31, 2024
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 $ 383  $ (2,226) $ (1,843) $ —  $ (1,843)
SMBC Capital Markets, Inc. Derivative assets, at fair value $ 5,272  $ (39) $ 5,233  $ —  $ 5,233 
Goldman Sachs Bank USA Derivative liabilities, at fair value $ 1,016  $ (4,932) $ (3,916) $ 3,180  $ (736)
SMBC Capital Markets, Inc. Derivative liabilities, at fair value $ —  $ (6,365) $ (6,365) $ 6,365  $ — 

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 
(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.

Hedging

The Company designated certain interest rate swaps as the hedging instrument in a qualifying fair value hedge accounting relationship.

For derivative instruments designated in qualifying hedge relationships, the change in fair value of the hedging instrument and hedged item are recorded in interest expense and recognized as components of Interest expense in the Consolidated Statements of Operations.

The table below presents the carrying value of unsecured borrowings as of March 31, 2024 and December 31, 2023, 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:
March 31, 2024 December 31, 2023
Description Carrying Value Cumulative Hedging Adjustments Carrying Value Cumulative Hedging Adjustments
Unsecured Notes $ 1,409,316  $ 21,675  $ 888,221  $ (1,369)