Derivatives

3 Months Ended

Mar. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

DERIVATIVES

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.

In order to better define its contractual rights and to secure rights that will help the Company mitigate its counterparty risk, the Company may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or a similar agreement with its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Company and a counterparty that governs OTC derivatives, including foreign currency forward contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Company and cash collateral received from the counterparty, if any, is included on the Consolidated Statements of Assets and Liabilities as other assets. The Company minimizes counterparty credit risk by only entering into agreements with counterparties that they believe to be in good standing and by monitoring the financial stability of those counterparties.

For the three months ended March 31, 2024 and 2023, the Company’s average USD notional exposure to foreign currency forward contracts was $7,749.

The Company’s net exposure to foreign currency forward contracts that are subject to ISDA Master Agreements or similar agreements presented on the Consolidated Statements of Assets and Liabilities, all of which are with Bank of America, N.A., was as follows:


	March 31, 2024			December 31, 2023
Gross Amount of Assets	$	—		$	—
Gross Amount of Liabilities		(581	)		(726	)
Net Amount of Assets or (Liabilities)	$	(581	)	$	(726	)
Collateral (Received) Pledged (1)		581			590
Net Amounts (2)	$	—		$	(136	)

(1)

Amount excludes excess cash collateral paid, if any.

(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.

The effect of transactions in derivative instruments on the Consolidated Statements of Operations was as follows:


	For the Three Months Ended
	March 31, 2024		March 31, 2023
Net realized gain (loss) on foreign currency forward contracts	$	—	$	—
Net change in unrealized appreciation (depreciation) on foreign currency forward contracts		145		(41	)
Total net realized and unrealized gains (losses) on foreign currency forward contracts	$	145	$	(41	)