XML 25 R15.htm IDEA: XBRL DOCUMENT v3.24.1.u1
DERIVATIVE INSTRUMENTS
 3 Months Ended
Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVE INSTRUMENTS
6. DERIVATIVE INSTRUMENTS

The Company enters into derivative instruments from time to time to help mitigate its foreign currency and interest rate risk exposures.

Foreign Currency Forward Contracts

Certain information related to the Company’s foreign currency forward derivative instruments as of March 31, 2024 and December 31, 2023 is presented below.
 As of March 31, 2024
Derivative InstrumentNotional
Amount		Maturity DateGross Amount of Recognized AssetsGross Amount of Recognized LiabilitiesBalance Sheet
Location of Net Amounts
Foreign currency forward contract€21604/26/2024$236 $(233) Other assets
Foreign currency forward contract CAD 21304/26/2024158 (158)Other assets
Foreign currency forward contract€20404/05/2024220 (220)Other assets
Foreign currency forward contract$15404/26/2024131 (132) Accounts payable and other liabilities
Foreign currency forward contract CAD 15304/18/2024113 (113)Other assets
Foreign currency forward contract£11604/26/2024148 (146) Other assets
Foreign currency forward contract€7704/26/202484 (84)Other assets
Foreign currency forward contract NZD 6404/26/202439 (38) Other assets
Foreign currency forward contract AUD 5011/17/202662 (63) Accounts payable and other liabilities
Foreign currency forward contract£3308/21/202629 (29)Other assets
Foreign currency forward contract€3104/29/202434 (34)Other assets
Foreign currency forward contract AUD 2204/26/202415 (15)Other assets
Total$1,269 $(1,265)

 As of December 31, 2023
Derivative InstrumentNotional
Amount		Maturity DateGross Amount of Recognized AssetsGross Amount of Recognized LiabilitiesBalance Sheet
Location of Net Amounts
Foreign currency forward contract€19001/26/2024$200 $(207)Accounts payable and other liabilities
Foreign currency forward contractCAD16801/26/2024120 (124)Accounts payable and other liabilities
Foreign currency forward contractCAD15301/18/2024114 (115)Accounts payable and other liabilities
Foreign currency forward contract£11601/26/2024140 (147)Accounts payable and other liabilities
Foreign currency forward contractNZD7101/26/202441 (45)Accounts payable and other liabilities
Foreign currency forward contract£5608/21/202669 (70)Accounts payable and other liabilities
Foreign currency forward contract$1001/26/20249 (9)Accounts payable and other liabilities
Foreign currency forward contractAUD1011/17/20267 (7)Accounts payable and other liabilities
Foreign currency forward contractCAD401/26/20243 (3)Accounts payable and other liabilities
Total$703 $(727)

As of March 31, 2024 and December 31, 2023, the counterparties to the Company’s foreign currency forward contracts were Canadian Imperial Bank of Commerce and Royal Bank of Canada.

Net realized and unrealized gains and losses on derivative instruments not designated as a qualifying hedge accounting relationship recognized by the Company for the three months ended March 31, 2024 and 2023 is in the following location in the consolidated statements of operations:
For the Three Months Ended March 31,
Derivative InstrumentStatement Location20242023
Foreign currency forward contractNet realized gains (losses) from foreign currency and other transactions$(15)$(29)
Foreign currency forward contractNet unrealized gains (losses) from foreign currency and other transactions$30 $26 

Interest Rate Swaps

In connection with the January 2027 Notes, the Company entered into interest rate swap agreements for a total notional amount of $900 that mature on January 15, 2027 to more closely align the interest rate of such liability with its investment portfolio, which consists of primarily floating rate loans. Under the interest rate swap agreements, the Company receives a fixed interest rate of 7.000% and pays a floating interest rate of one-month SOFR plus 2.581%. The Company designated these interest rate swaps and the January 2027 Notes as a qualifying fair value hedge accounting relationship. See Note 5 for more information on the January 2027 Notes.

In connection with the 2029 Notes, the Company entered into an interest rate swap agreement for a total notional amount of $1,000 that matures on March 1, 2029 to more closely align the interest rate of such liability with its investment portfolio, which consists of primarily floating rate loans. Under the interest rate swap agreement, the Company receives a fixed interest rate of 5.875% and pays a floating interest rate of one-month SOFR plus 2.023%. The Company designated this interest rate swap and the 2029 Notes as a qualifying hedge accounting relationship. See Note 5 for more information on the 2029 Notes.

As of March 31, 2024 and December 31, 2023, the counterparty to the Company’s interest rate swap agreements was Wells Fargo Bank, N.A.

As a result of the Company’s designation of the interest rate swaps as hedging instruments in a qualifying fair value hedge accounting relationship, the Company is required to fair value the hedging instruments and the related hedged items, with the changes in the fair value of each being recorded in interest expense. The net loss related to the fair value hedges was approximately $0 for the three months ended March 31, 2024, which is included in “interest and credit facility fees” in the Company’s consolidated statement of operations. The balance sheet impact of fair valuing the interest rate swaps as of March 31, 2024 and December 31, 2023 is presented below:

 As of March 31, 2024
Derivative InstrumentNotional AmountMaturity DateGross Amount of Recognized AssetsGross Amount of Recognized LiabilitiesBalance Sheet Location of Amounts
Interest rate swap(1)$900 01/15/2027$1 $— Other assets
Interest rate swap(2)$1,000 03/01/2029— (9)Accounts payable and other liabilities
Total$1 $(9)

(1)The asset related to the fair value of the interest rate swaps is offset by a $1 increase to the carrying value of the January 2027 Notes.

(2)The liability related to the fair value of the interest rate swap is offset by a $9 decrease to the carrying value of the 2029 Notes.
 As of December 31, 2023
Derivative Instrument(1)Notional AmountMaturity DateGross Amount of Recognized AssetsGross Amount of Recognized LiabilitiesBalance Sheet Location of Amounts
Interest rate swap$900 01/15/2027$15 $— Other assets
Total$15 $— 
________________________________________

(1)The asset related to the fair value of the interest rate swaps is offset by a $15 increase to the carrying value of the January 2027 Notes.