Derivatives

9 Months Ended

Sep. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives

Derivatives

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 at fair value and Derivative liabilities at fair value, respectively, in the Condensed Consolidated Statements of Assets and Liabilities.

The tables below present the aggregate notional amount and fair value of the Company’s derivative financial instruments as of September 30, 2023 and December 31, 2022.

	September 30, 2023
	Level 1		Level 2		Level 3		Total Fair Value		Notional
Derivative Assets
Foreign currency forward contract	$	—	$	2,316	$	—	$	2,316	$	—
Total Derivative assets at fair value	$	—	$	2,316	$	—	$	2,316	$	—
Cash collateral received							$	—
Derivative Liabilities
Foreign currency forward contract	$	—	$	(1,286)	$	—	$	(1,286)	$	277,279
Interest rate swaps	—		(269,324)		—		(269,324)		6,030,375
Total Derivative liabilities at fair value	$	—	$	(270,610)	$	—	$	(270,610)	$	6,307,654
Cash collateral posted							$	368,323

	December 31, 2022
	Level 1		Level 2		Level 3		Total Fair Value		Notional
Derivative Assets
Foreign currency forward contract	$	—	$	3,952	$	—	$	3,952	$	157,384
Total Derivative assets at fair value	$	—	$	3,952	$	—	$	3,952	$	157,384
Cash collateral received							$	—
Derivative Liabilities
Foreign currency forward contract	$	—	$	(2,040)	$	—	$	(2,040)	$	162,174
Interest rate swaps	—		(248,311)		—		(248,311)		5,975,000
Total Derivative liabilities at fair value	$	—	$	(250,351)	$	—	$	(250,351)	$	6,137,174
Cash collateral posted							$	355,742

In the tables above:

•The fair value of derivatives assets and derivative liabilities is presented on a gross basis.

•The notional amount represents the absolute value amount of all outstanding derivative contracts.

•All foreign currency derivatives are not designated in hedge relationships.

•All interest rate swaps are designated in fair value hedge relationships.

•The Company has not applied counterparty netting or collateral netting; as such, the amounts of cash collateral received and posted are not offset against the derivative assets and derivative liabilities in the Condensed Consolidated Statements of Assets and Liabilities.

The table below presents the impact to the Condensed Consolidated Statements 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, 2023 and September 30, 2022, 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 Condensed Consolidated Statements 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 Condensed Consolidated Statements of Operations.

	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2023		2022		2023		2022
Unrealized gain (loss)
Foreign currency forward contract	$	7,661	$	(452)	$	(7,305)	$	(2,499)
Total Unrealized gain (loss)	$	7,661	$	(452)	$	(7,305)	$	(2,499)
Realized gain (loss)
Foreign currency forward contract	$	2,704	$	(2,412)	$	5,010	$	(33,326)
Interest rate swaps	—		—		—		—
Total Realized gain (loss)	$	2,704	$	(2,412)	$	5,010	$	(33,326)

Hedging

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 Condensed Consolidated Statements of Operations from derivative assets and liabilities designated in a qualifying hedge accounting relationship for the three and nine month periods ended September 30, 2023 and September 30, 2022, 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 Condensed Consolidated Statements of Operations.

	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2023		2022		2023		2022
Interest rate swaps	$	2,953	$	(167,469)	$	(21,013)	$	(263,674)
Hedged items	(2,662)		165,162		20,574		262,336

The table below presents the carrying value of unsecured borrowings as of September 30, 2023 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:

Description	Carrying Value		Cumulative Hedging Adjustments
Unsecured notes	$	5,718,995	$	(266,864)