Financial Instruments

6 Months Ended

Jun. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following is a summary of the fair value and location of the Company’s derivative instruments in the consolidated balance sheets held as of June 30, 2023 and December 31, 2022:


Derivative Instrument	Statement Location	June 30, 2023 (Unaudited)		December 31, 2022

Foreign currency forward contracts	Unrealized appreciation on foreign currency forward contracts	$	22	$	25
Foreign currency forward contracts	Unrealized depreciation on foreign currency forward contracts	(1)		(1)
Total		$	21	$	24

Net realized and unrealized gains and losses on derivative instruments recorded by the Company for the six months ended June 30, 2023 and 2022 are in the following locations in the consolidated statements of operations:



		Six Months Ended June 30,
Derivative Instrument	Statement Location	2023		2022

Foreign currency forward contracts	Net realized gain (loss) on foreign currency forward contracts	$	4	$	7
Foreign currency forward contracts	Net change in unrealized appreciation (depreciation) on foreign currency forward contracts	$	(3)	$	16
Total		$	1	$	23

Offsetting of Derivative Instruments

The Company has derivative instruments that are subject to master netting agreements. These agreements include provisions to offset positions with the same counterparty in the event of default by one of the parties. The Company’s unrealized appreciation and depreciation on derivative instruments are reported as gross assets and liabilities, respectively, in the consolidated balance sheets. The following tables present the Company’s assets and liabilities related to derivatives by counterparty, net of amounts available for offset under a master netting arrangement and net of any collateral received or pledged by the Company for such assets and liabilities as of June 30, 2023 and December 31, 2022:


	As of June 30, 2023 (Unaudited)
Counterparty	Derivative Assets Subject to Master Netting Agreement		Derivatives Available for Offset		Non-cash Collateral Received(1)		Cash Collateral Received(1)		Net Amount of Derivative Assets(2)
JP Morgan Chase Bank	$	22	$	(1)	$	—	$	—	$	21

Total	$	22	$	(1)	$	—	$	—	$	21
Counterparty	Derivative Liabilities Subject to Master Netting Agreement		Derivatives Available for Offset		Non-cash Collateral Pledged(1)		Cash Collateral Pledged(1)		Net Amount of Derivative Liabilities(3)
JP Morgan Chase Bank	$	(1)	$	1	$	—	$	—	$	—

Total	$	(1)	$	1	$	—	$	—	$	—


	As of December 31, 2022
Counterparty	Derivative Assets Subject to Master Netting Agreement		Derivatives Available for Offset		Non-cash Collateral Received(1)		Cash Collateral Received(1)		Net Amount of Derivative Assets(2)
JP Morgan Chase Bank	$	25	$	(1)	$	—	$	—	$	24

Total	$	25	$	(1)	$	—	$	—	$	24
Counterparty	Derivative Liabilities Subject to Master Netting Agreement		Derivatives Available for Offset		Non-cash Collateral Pledged(1)		Cash Collateral Pledged(1)		Net Amount of Derivative Liabilities(3)
JP Morgan Chase Bank	$	(1)	$	1	$	—	$	—	$	—

Total	$	(1)	$	1	$	—	$	—	$	—

___________

(1)In some instances, the actual amount of the collateral received and/or pledged may be more than the amount shown due to overcollateralization.

(2)Net amount of derivative assets represents the net amount due from the counterparty to the Company.

(3)Net amount of derivative liabilities represents the net amount due from the Company to the counterparty.

Foreign Currency Forward Contracts and Cross Currency Swaps:

The Company may enter into foreign currency forward contracts and cross currency swaps from time to time to facilitate settlement of purchases and sales of investments denominated in foreign currencies and to economically hedge the impact that an adverse change in foreign exchange rates would have on the value of the Company’s investments denominated in foreign currencies. A foreign currency forward contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. These contracts are marked-to-market by recognizing the difference between the contract forward exchange rate and the forward market exchange rate on the last day of the period presented as unrealized appreciation or depreciation. Realized gains or losses are recognized when forward contracts are settled. Risks arise as a result of the potential inability of the counterparties to meet the terms of their contracts. The Company attempts to limit counterparty risk by only dealing with well-known counterparties.

Cross currency swaps are interest rate swaps in which interest cash flows are exchanged between two parties based on the notional amounts of two different currencies. These swaps are marked-to-market by recognizing the difference between the present value of cash flows of each leg of the swaps as unrealized appreciation or depreciation. Realized gain or loss is recognized when periodic payments are received or paid and the swaps are terminated. The entire notional value of a cross currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations. The Company attempts to limit counterparty risk by only dealing with well-known counterparties. The Company utilizes cross currency swaps from time to time in order to hedge a portion of its investments in foreign currency.

The average notional balance for foreign currency forward contracts during the six months ended June 30, 2023 and 2022 was $223.2 and $242.4, respectively.