DERIVATIVE INSTRUMENTS

3 Months Ended

Mar. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The Company enters into forward currency contracts from time to time to primarily help mitigate the impact that an adverse change in foreign exchange rates would have on net interest income from the Company’s investments and related borrowings denominated in foreign currencies. Forward currency contracts are considered undesignated derivative instruments.

The following tables present the Company’s foreign currency forward contracts as of March 31, 2024 and December 31, 2023:

As of March 31, 2024

Description

($ in thousands)

Notional Amount to be Purchased

Notional Amount to be Sold

Maturity Date

Gross Amount of Recognized Assets (Liabilities)

Balance Sheet Location of Net Amounts

Foreign currency forward contract (AUD)

A$37,920

$24,768

04/08/24

(25)

Derivative liabilities

Foreign currency forward contract (AUD)

$571

A$872

04/08/24

Derivative assets

Foreign currency forward contract (AUD)

$25,161

A$37,048

04/08/24

987

Derivative assets

Foreign currency forward contract (AUD)

$25,112

A$38,350

07/08/24

Derivative assets

Foreign currency forward contract (CAD)

C$252

$189

04/08/24

(3)

Derivative liabilities

Foreign currency forward contract (CAD)

C$5,633

$4,148

04/08/24

Derivative assets

Foreign currency forward contract (CAD)

$83

C$113

04/08/24

—

Derivative liabilities

Foreign currency forward contract (CAD)

$4,342

C$5,772

04/08/24

Derivative assets

Foreign currency forward contract (CAD)

$4,213

C$5,715

07/08/24

(16)

Derivative liabilities

Foreign currency forward contract (DKK)

4,058kr.

$589

04/08/24

(1)

Derivative liabilities

Foreign currency forward contract (DKK)

$12

80kr.

04/08/24

—

Derivative assets

Foreign currency forward contract (DKK)

$587

3,978kr.

04/08/24

Derivative assets

Foreign currency forward contract (DKK)

$594

4,077kr.

07/08/24

Derivative assets

Foreign currency forward contract (EUR)

€95,644

$103,471

04/08/24

(155)

Derivative liabilities

Foreign currency forward contract (EUR)

$3,430

€3,164

04/08/24

Derivative assets

Foreign currency forward contract (EUR)

$101,716

€92,480

04/08/24

1,818

Derivative assets

Foreign currency forward contract (EUR)

$107,123

€98,651

07/08/24

158

Derivative assets

Foreign currency forward contract (GBP)

£1,056

$1,335

04/08/24

(1)

Derivative liabilities

Foreign currency forward contract (GBP)

£15,862

$20,025

04/08/24

Derivative assets

Foreign currency forward contract (GBP)

$1,254

£982

04/08/24

Derivative assets

Foreign currency forward contract (GBP)

$20,135

£15,936

04/08/24

Derivative assets

Foreign currency forward contract (GBP)

$21,094

£16,701

07/08/24

(14)

Derivative liabilities

Foreign currency forward contract (NZD)

NZ$10,224

$6,141

04/08/24

(25)

Derivative liabilities

Foreign currency forward contract (NZD)

$6,401

NZ$10,224

04/08/24

285

Derivative assets

Foreign currency forward contract (NZD)

$6,210

NZ$10,338

10/10/23

Derivative assets

Foreign currency forward contract (NOK)

21,883kr

$2,032

04/08/24

(15)

Derivative liabilities

Foreign currency forward contract (NOK)

$40

429kr

04/08/24

Derivative assets

Foreign currency forward contract (NOK)

$2,083

21,453kr

04/08/24

105

Derivative assets

Foreign currency forward contract (NOK)

$2,038

21,901kr

07/08/24

Derivative assets

Foreign currency forward contract (SEK)

16,338kr

$1,541

04/08/24

(12)

Derivative liabilities

Foreign currency forward contract (SEK)

$32

330kr

04/08/24

Derivative assets

Foreign currency forward contract (SEK)

$1,576

16,008kr

04/08/24

Derivative assets

Foreign currency forward contract (SEK)

$1,549

16,363kr

07/08/24

Derivative assets

Foreign currency forward contract (CHF)

1,691Fr.

$1,870

04/08/24

Derivative assets

Foreign currency forward contract (CHF)

$2,013

1,691Fr.

04/08/24

134

Derivative assets

Foreign currency forward contract (CHF)

$1,921

1,720Fr.

07/08/24

(9)

Derivative liabilities

Total

3,525

As of December 31, 2023

Description

($ in thousands)

Notional Amount to be Purchased

Notional Amount to be Sold

Maturity Date

Gross Amount of Recognized Assets (Liabilities)

Balance Sheet Location of Net Amounts

Foreign currency forward contract (AUD)

$22,960

A$35,907

01/10/24

(1,568)

Derivative liabilities

Foreign currency forward contract (AUD)

$569

A$867

01/10/24

(23)

Derivative liabilities

Foreign currency forward contract (CAD)

$4,087

C$5,577

01/10/24

(137)

Derivative liabilities

Foreign currency forward contract (CAD)

$182

C$245

01/10/24

(4)

Derivative liabilities

Foreign currency forward contract (DKK)

$548

3,873kr.

01/10/24

(27)

Derivative liabilities

Foreign currency forward contract (DKK)

$17

120kr.

01/10/24

(1)

Derivative liabilities

Foreign currency forward contract (EUR)

$93,155

€88,305

01/10/24

(4,541)

Derivative liabilities

Foreign currency forward contract (EUR)

$7,409

€6,840

01/10/24

(158)

Derivative liabilities

Foreign currency forward contract (GBP)

$18,602

£15,328

01/10/24

(927)

Derivative liabilities

Foreign currency forward contract (NZD)

$5,813

NZ$9,760

01/10/24

(373)

Derivative liabilities

Foreign currency forward contract (NZD)

$126

NZ$215

01/10/24

(10)

Derivative liabilities

Foreign currency forward contract (NOK)

$1,946

kr21,024

01/10/24

(130)

Derivative liabilities

Foreign currency forward contract (SEK)

$1,523

16,000kr

01/10/24

(69)

Derivative liabilities

Foreign currency forward contract (CHF)

$1,843

1,672Fr.

01/10/24

(148)

Derivative liabilities

Total

(8,116)

As of March 31, 2024 and December 31, 2023, the total fair value of the Company’s foreign currency forward contracts was $3.5 million and $(8.1) million, respectively. The fair values of the Company’s foreign currency forward contracts are based on unadjusted prices from independent pricing services and independent indicative broker quotes, which are Level 2 inputs.