Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

v3.23.1
Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments
The following table summarizes the aggregate notional amount and fair value of the Company’s derivative financial instruments as of March 31, 2023 and December 31, 2022.
March 31, 2023
Level 1 Level 2 Level 3 Total Fair Value Notional
Derivative Assets
Foreign currency forward contracts $ —  $ 120  $ —  $ 120  $ 3,012 
Interest rate swaps —  7,489  —  7,489  562,500 
Total derivative assets, at fair value $ —  $ 7,609  $ —  $ 7,609  $ 565,512 
Derivative Liabilities
Foreign currency forward contracts $ —  $ (4,761) $ —  $ (4,761) $ 255,549 
Total derivative liabilities, at fair value $ —  $ (4,761) $ —  $ (4,761) $ 255,549 

December 31, 2022
Level 1 Level 2 Level 3 Total Fair Value Notional
Derivative Assets
Foreign currency forward contracts $ —  $ 1,125  $ —  $ 1,125  $ 123,895 
Interest rate swaps —  991  —  991  162,500 
Total derivative assets, at fair value $ —  $ 2,116  $ —  $ 2,116  $ 286,395 
Derivative Liabilities
Foreign currency forward contracts $ —  $ (3,261) $ —  $ (3,261) $ 117,375 
Total derivative liabilities, at fair value $ —  $ (3,261) $ —  $ (3,261) $ 117,375 
Derivatives Not Designated as Hedging Instruments
The effect of transactions in derivative instruments that are not designated in a qualifying hedge accounting relationship on the Consolidated Statements of Operations during the three months ended March 31, 2023 and 2022 were as follows:
Three Months Ended March 31, 2023 Three Months Ended March 31, 2022
Net change in unrealized gain (loss) on foreign currency forward contracts $ (2,505) $ 18 
Realized gain (loss) on foreign currency forward contracts $ (529) $ — 
Offsetting Assets
The following table presents both gross and net information about derivative instruments eligible for offset in the Consolidated Statements of Assets and Liabilities as of March 31, 2023 and December 31, 2022.

March 31, 2023
Counterparty Account in the Consolidated Statements of Asset and Liabilities Gross Amount of Assets Gross Amount of (Liabilities) Net amounts presented in the Consolidated Statements of Assets and Liabilities
Collateral Received/Pledged(1)
Net Amounts(2)
Goldman Sachs Bank USA Derivative liabilities, at fair value $ 120  $ (4,761) $ (4,641) $ —  $ (4,641)
Goldman Sachs Bank USA Derivative assets, at fair value $ 7,489  $ —  $ 7,489  $ (7,489) $ — 
(1) Amount excludes excess cash collateral paid.
(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, if applicable.

December 31, 2022
Counterparty Account in the Consolidated Statements of Asset and Liabilities Gross Amount of Assets Gross Amount of (Liabilities) Net amounts presented in the Consolidated Statements of Assets and Liabilities
Collateral Received/Pledged(1)
Net Amounts(2)
Goldman Sachs Bank USA Derivative liabilities, at fair value $ 1,125  $ (3,261) $ (2,136) $ —  $ (2,136)
Goldman Sachs Bank USA Derivative assets, at fair value $ 991  $ —  $ 991  $ —  $ 991 
(1) Amount excludes excess cash collateral paid.
(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, if applicable.
Offsetting Liabilities
The following table presents both gross and net information about derivative instruments eligible for offset in the Consolidated Statements of Assets and Liabilities as of March 31, 2023 and December 31, 2022.

March 31, 2023
Counterparty Account in the Consolidated Statements of Asset and Liabilities Gross Amount of Assets Gross Amount of (Liabilities) Net amounts presented in the Consolidated Statements of Assets and Liabilities
Collateral Received/Pledged(1)
Net Amounts(2)
Goldman Sachs Bank USA Derivative liabilities, at fair value $ 120  $ (4,761) $ (4,641) $ —  $ (4,641)
Goldman Sachs Bank USA Derivative assets, at fair value $ 7,489  $ —  $ 7,489  $ (7,489) $ — 
(1) Amount excludes excess cash collateral paid.
(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, if applicable.

December 31, 2022
Counterparty Account in the Consolidated Statements of Asset and Liabilities Gross Amount of Assets Gross Amount of (Liabilities) Net amounts presented in the Consolidated Statements of Assets and Liabilities
Collateral Received/Pledged(1)
Net Amounts(2)
Goldman Sachs Bank USA Derivative liabilities, at fair value $ 1,125  $ (3,261) $ (2,136) $ —  $ (2,136)
Goldman Sachs Bank USA Derivative assets, at fair value $ 991  $ —  $ 991  $ —  $ 991 
(1) Amount excludes excess cash collateral paid.
(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, if applicable.
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location
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 March 31, 2023 Three Months Ended March 31, 2022
Interest rate swaps $ 7,489  $ — 
Hedged items $ (7,773) $ — 

The table below presents the carrying value of unsecured borrowings as of March 31, 2023 and December 31, 2022, 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:
March 31, 2023 December 31, 2022
Description Carrying Value Cumulative Hedging Adjustments Carrying Value Cumulative Hedging Adjustments
Unsecured Notes $ 563,691  $ (7,773) $ 322,420  $ (953)