The Company enters into interest rate swap transactions from time to time to hedge fixed rate debt obligations and certain fixed rate debt investments. The Company’s interest rate swaps are all with one counterparty and are centrally cleared through a registered commodities exchange. Refer to the consolidated schedule of investments for additional disclosure regarding these interest rate swaps.

Cash flows related to the Company's derivatives are included within operating activities on the Consolidated Statements of Cash Flows. The following tables present the amounts paid and received on the Company’s interest rate swap transactions, excluding upfront fees, for the three and nine months ended September 30, 2023 and 2022:


				For the Three Months Ended September 30, 2023								For the Nine Months Ended September 30, 2023
	Maturity Date	Notional Amount		Paid			Received		Net			Paid			Received		Net
Interest rate swap (1)	1/22/2023	$	—	$	—		$	—	$	—		$	(663	)	$	431	$	(232	)
Interest rate swap	11/1/2024		300,000		(5,911	)		2,906		(3,005	)		(16,744	)		8,719		(8,025	)
Interest rate swap	11/1/2024		50,000		(1,011	)		484		(527	)		(2,859	)		1,453		(1,406	)
Interest rate swap	11/1/2024		2,500		(24	)		49		25			(72	)		140		68
Interest rate swap	8/1/2026		300,000		(5,651	)		1,854		(3,797	)		(15,913	)		5,563		(10,350	)
Interest rate swap	8/14/2028		300,000		(2,909	)		2,375		(534	)		(2,909	)		2,375		(534	)
Total		$	952,500	$	(15,506	)	$	7,668	$	(7,838	)	$	(39,160	)	$	18,681	$	(20,479	)

(1)

As of September 30, 2023, this interest rate swap had either matured or been terminated due to repayment of the underlying investment or security.


				For the Three Months Ended September 30, 2022								For the Nine Months Ended September 30, 2022
	Maturity Date	Notional Amount		Paid			Received		Net			Paid			Received		Net
Interest rate swap	8/1/2022	$	115,000	$	(427	)	$	460	$	33		$	(2,159	)	$	3,048	$	889
Interest rate swap	8/1/2022		50,000		(150	)		200		50			(706	)		1,325		619
Interest rate swap	8/1/2022		7,500		(23	)		30		7			(106	)		198		92
Interest rate swap	8/1/2022		27,531		(117	)		101		(16	)		(730	)		474		(256	)
Interest rate swap	8/1/2022		2,160		(9	)		8		(1	)		(57	)		37		(20	)
Interest rate swap	8/1/2022		42,819		(171	)		149		(22	)		(1,134	)		737		(397	)
Interest rate swap	1/22/2023		150,000		(1,620	)		1,688		68			(3,591	)		5,063		1,472
Interest rate swap	11/1/2024		300,000		(3,374	)		2,907		(467	)		(7,708	)		8,719		1,011
Interest rate swap	11/1/2024		50,000		(589	)		484		(105	)		(1,356	)		1,453		97
Interest rate swap	11/1/2024		2,500		(24	)		28		4			(72	)		64		(8	)
Interest rate swap	8/1/2026		300,000		(3,115	)		1,854		(1,261	)		(6,894	)		5,563		(1,331	)
Total		$	1,047,510	$	(9,619	)	$	7,909	$	(1,710	)	$	(24,513	)	$	26,681	$	2,168

For the three and nine months ended September 30, 2023, the Company recognized no net unrealized gains/losses and $0.2 million in net unrealized gains, respectively, on interest rate swaps not designated as hedging instruments in the Consolidated Statements of Operations related to the swap transactions. For the three and nine months ended September 30, 2023, the Company recognized net unrealized gains of $3.3 million and $0.9 million, respectively, on interest rate swaps designated as hedging instruments in the Consolidated Statements of Operations. For the three and nine months ended September 30, 2023, this amount is offset by an increase of $2.5 million and an increase of $4.3 million, respectively, for a change in the carrying value of the 2024 Notes, an increase of $0.3 million and an increase of $0.9 million, respectively, for a change in carrying value of the 2026 Notes and a decrease of $(6.1) million for a change in carrying value of the 2028 Notes.

For the three and nine months ended September 30, 2022, the Company recognized $2.6 million and $7.2 million, respectively, in net change in unrealized losses, on interest rate swaps not designated as hedging instruments in the Consolidated Statement of Operations related to the swap transactions. For the three and nine months ended September 30, 2022, the Company recognized $2.3 million in realized gains on interest rate swaps not designated as hedging instruments in the Consolidated Statement of Operations related to the unwind of unrealized gains on interest rate swaps related to upfront fee payments received on interest rates swaps associated with the 2022 Convertible Notes. For the three and nine months ended September 30, 2022, the Company recognized $17.1 million and $52.4 million in net change in unrealized losses, respectively, on interest rate swaps designated as hedging instruments as a component of interest expense in the Consolidated Statement of Operations. For the three and nine months ended September 30, 2022, this amount is offset by a decrease of $7.4 million and $24.3 million, respectively, for a change in the carrying value of the 2024 Notes and a decrease of $9.7 million and $28.1 million, respectively, for a change in carrying value of the 2026 Notes.

As of September 30, 2023, the swap transactions had a fair value of $(55.9) million which is netted against cash collateral on the Company’s consolidated balance sheet. As of December 31, 2022, the swap transactions had a fair value of $(55.3) million which is netted against cash collateral on the Company’s consolidated balance sheet.

The Company is required under the terms of its derivatives agreements to pledge assets as collateral to secure its obligations underlying the derivatives. The amount of collateral required varies over time based on the mark-to-market value, notional amount and remaining term of the derivatives, and may exceed the amount owed by the Company on a mark-to-market basis. Any failure by the Company to fulfill any collateral requirement (e.g., a so-called “margin call”) may result in a default. In the event of a default by a counterparty, the Company would be an unsecured creditor to the extent of any such overcollateralization.

As of September 30, 2023, $26.9 million of cash was pledged as collateral under the Company’s derivative agreements and is included in restricted cash as a component of cash and cash equivalents on the Company’s Consolidated Balance Sheet. As of December 31, 2022, $15.4 million of cash was pledged as collateral under the Company’s derivative agreements and is included in restricted cash as a component of cash and cash equivalents on the Company’s Consolidated Balance Sheet.

The Company may enter into other derivative instruments and incur other exposures with the same or other counterparties in the future.