Derivative Instruments (Tables)
|
3 Months Ended |
Mar. 31, 2024 |
|---|
| 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 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 |
|
|
| 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 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) |
|
|
|
| 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 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.
|
| 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 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.
|
| 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 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) |
|
|