The Company enters into derivative financial instruments in the normal course of business to achieve certain risk management objectives, including managing its interest rate and foreign currency risk exposures.

The net fair value of foreign currency and interest rate derivative contracts are included within Derivative assets and Derivative liabilities, respectively, in the Statements of Assets and Liabilities.

The table below summarizes the aggregate notional amount and fair value of the Company’s derivative financial instruments as of September 30, 2022 and December 31, 2021.


	September 30, 2022
	Level 1		Level 2		Level 3		Total Fair Value		Notional
Derivative Assets
Foreign currency forward contract	$	—	$	1,642	$	—	$	1,642	$	66,656

Total Fair Value	—		1,642		—		1,642		66,656

Derivative Liabilities
Foreign currency forward contract	—		(1,336)		—		(1,336)		94,771
Interest rate swaps	—		(263,674)		—		(263,674)		5,425,000
Total Fair Value	$	—	$	(265,010)	$	—	$	(265,010)	$	5,519,771


	December 31, 2021
	Level 1		Level 2		Level 3		Total Fair Value		Notional
Derivative Assets
Foreign currency forward contract	$	—	$	—	$	1,505	$	1,505	$	423,123

•The Company has not applied counterparty netting or collateral netting to offset Derivative Assets and Derivative Liabilities in the Consolidated Statements of Assets and Liabilities.

The table below presents the impact to the Consolidated Statement of Operations from Derivative Assets and Liabilities not designated in a qualifying hedge accounting relationship for the three and nine month periods ended September 30, 2022 and September 30, 2021, respectively.

The unrealized gains and losses on the Derivative assets and Derivative liabilities not designated in a qualifying hedge accounting relationship are included within Net change in unrealized appreciation (depreciation) on Derivative instruments in the Consolidated Statement of Operations. The realized gains and losses on the Derivative assets and Derivative liabilities not designated in a qualifying hedge accounting relationship are included within Foreign currency and other transactions in the Consolidated Statement of Operations.


	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
Unrealized gain (loss)
Foreign currency forward contract	$	(452)	$	—	$	(2,499)	$	—
Total Unrealized gain (loss)	$	(452)	$	—	$	(2,499)	$	—
Realized gain (loss)
Foreign currency forward contract	$	(2,412)	$	—	$	(33,326)	$	—
Interest rate swaps	—		—		—		—
Total Realized gain (loss)	$	(2,412)	$	—	$	(33,326)	$	—

The Company designated certain interest rate swaps as the hedging instrument in a qualifying fair value hedge accounting relationship.

The table below presents the impact to the Consolidated Statement of Operations from Derivative Assets and Liabilities designated in a qualifying hedge accounting relationship for the three and nine month periods ended September 30, 2022 and September 30, 2021, respectively.

For derivative instruments designated in qualifying hedge relationships, the change in fair value of the hedging instrument and hedged item are recorded in Interest expense and recognized as components of Interest expense in the Consolidated Statements of Operations.


	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
Interest rate swaps	$	(167,469)	$	—	$	(263,674)	$	—
Hedged items	165,162		—		262,336		—

The table below presents the carrying value of unsecured borrowings 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: