Derivative Instruments

3 Months Ended

Mar. 31, 2023

Derivative Instruments

Derivative Instruments

Note 8. 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 future principal and interest cash flows from the Company’s investments denominated in foreign currencies. As of March 31, 2023 and December 31, 2022, the counterparty to these foreign currency forward contracts was Bannockburn Global Forex, LLC. Net unrealized gain or loss on foreign currency forward contracts are included in net change in unrealized gain (loss) on foreign currency forward contracts and net realized gain or loss on forward currency forward contracts are included in net realized gain (loss) on foreign currency forward contracts on the accompanying consolidated statements of operations.

Certain information related to the Company’s foreign currency forward contracts is presented below as of March 31, 2023 and December 31, 2022.

	As of March 31, 2023
				Gross		Gross
				Amount of		Amount of
	Notional Amount		Settlement	Unrealized		Unrealized
Description	to be Sold		Date	Gain		Loss		Balance Sheet location of Net Amounts
Foreign currency forward contract	CAD	426	4/5/2023	$	—	$	(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	128	4/19/2023		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	109	5/17/2023		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	121	6/19/2023		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	428	7/5/2023		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	124	7/19/2023		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	112	8/17/2023		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	120	9/19/2023		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	431	10/3/2023		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	116	10/19/2023		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	103	11/17/2023		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	106	12/19/2023		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	429	1/4/2024		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	143	1/17/2024		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	112	2/19/2024		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	105	3/19/2024		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	424	4/3/2024		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	143	4/17/2024		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	108	5/17/2024		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	118	6/19/2024		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	417	7/3/2024		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	131	7/17/2024		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	111	8/19/2024		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	114	9/18/2024		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	423	10/2/2024		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	134	10/17/2024		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	110	11/19/2024		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	110	12/18/2024		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	409	1/2/2025		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	133	1/17/2025		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	115	2/20/2025		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	91	3/19/2025		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	14,653	4/2/2025		—		(30)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	128	4/17/2025		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	101	5/19/2025		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	107	6/18/2025		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	128	7/17/2025		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	103	8/19/2025		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	103	9/17/2025		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	130	10/17/2025		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	109	11/19/2025		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	12,243	12/18/2025		—		(184)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	160	4/20/2023		17		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	121	5/16/2023		12		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	156	6/19/2023		16		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	138	7/18/2023		14		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	146	8/16/2023		15		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	146	9/18/2023		15		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	148	10/18/2023		15		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	140	11/16/2023		14		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	142	12/18/2023		14		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	150	1/17/2024		15		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	143	2/16/2024		14		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	15,410	3/18/2024		1,526		—	Unrealized gain on foreign currency forward contracts
				$	1,687	$	(278)

	As of December 31, 2022
				Gross		Gross
				Amount of		Amount of
	Notional Amount		Settlement	Unrealized		Unrealized
Description	to be Sold		Date	Gain		Loss		Balance Sheet location of Net Amounts
Foreign currency forward contract	CAD	248	1/5/2023	$	—	$	—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	127	1/19/2023		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	113	2/17/2023		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	109	3/17/2023		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	426	4/5/2023		—		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	128	4/19/2023		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	109	5/17/2023		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	121	6/19/2023		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	428	7/5/2023		—		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	124	7/19/2023		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	112	8/17/2023		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	120	9/19/2023		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	431	10/3/2023		—		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	116	10/19/2023		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	103	11/17/2023		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	106	12/19/2023		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	429	1/4/2024		—		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	143	1/17/2024		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	112	2/19/2024		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	105	3/19/2024		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	424	4/3/2024		—		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	143	4/17/2024		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	108	5/17/2024		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	118	6/19/2024		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	417	7/3/2024		—		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	131	7/17/2024		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	111	8/19/2024		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	114	9/18/2024		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	423	10/2/2024		—		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	134	10/17/2024		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	110	11/19/2024		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	110	12/18/2024		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	409	1/2/2025		—		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	133	1/17/2025		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	115	2/20/2025		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	91	3/19/2025		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	14,653	4/2/2025		—		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	128	4/17/2025		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	101	5/19/2025		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	107	6/18/2025		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	128	7/17/2025		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	103	8/19/2025		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	103	9/17/2025		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	130	10/17/2025		—		(2)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	109	11/19/2025		—		(1)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	CAD	12,243	12/18/2025		—		(159)	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	153	1/18/2023		14		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	140	2/16/2023		12		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	132	3/16/2023		12		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	160	4/20/2023		14		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	121	5/16/2023		11		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	156	6/19/2023		14		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	138	7/18/2023		12		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	146	8/16/2023		13		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	146	9/18/2023		13		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	148	10/18/2023		13		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	140	11/16/2023		12		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	142	12/18/2023		12		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	150	1/17/2024		13		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	143	2/16/2024		12		—	Unrealized gain on foreign currency forward contracts
Foreign currency forward contract	AUD	15,410	3/18/2024		1,329		—	Unrealized gain on foreign currency forward contracts
				$	1,506	$	(210)

For the three months ended March 31, 2023 and 2022, the Company recognized net change in unrealized gain (loss) on foreign currency forward contracts of $113 and ($533), respectively. For the three months ended March 31, 2023 and 2022, the Company recognized net realized gain (loss) on foreign currency forward contracts of $33 and $18, respectively.