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DERIVATIVE INSTRUMENTS
 6 Months Ended
Jun. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVE INSTRUMENTS
7. DERIVATIVE INSTRUMENTS
In November 2023, in connection with the issuance of the 2028 Notes, the Company entered into a five-year interest rate swap agreement with Morgan Stanley Capital Services LLC (“Morgan Stanley”) to mitigate the exposure to adverse fluctuations in interest rates for a total notional amount of $85.0 million, maturing on December 1, 2028. Morgan Stanley has the ability to exercise an early termination commencing on December 1, 2025, subject to providing written notice thirty days prior. Under the interest rate swap agreement, the Company receives a fixed interest of 8.20% and pays a floating rate based on the compounded average daily SOFR rate plus 3.139%. The Company designated this interest rate swap as a hedging instrument to the 2028 Notes.
Refer to Note 3, Fair Value Measurements, to these unaudited consolidated financial statements for details related to the fair value measurement of derivatives instruments and Note 8, Borrowings, to these unaudited consolidated financial statements for details related to the Company’s 2028 Notes.
The following table details our interest rate swap contracts outstanding as of June 30, 2024 and December 31, 2023.
As ofCounterpartyMaturity DateNotional AmountFair ValueFinancial Statement Location of Net Amounts
June 30, 2024Morgan Stanley Capital Services LLC12/1/2028$85,000 $(246)Other accrued expenses and liabilities
December 31, 2023Morgan Stanley Capital Services LLC12/1/2028$85,000 $985 Prepaid expenses and other assets
As a result of the Company’s designation of the interest rate swap as a hedging instrument in a qualifying hedge accounting relationship, the Company is required to record the hedging instrument and the related hedged item at their respective fair values, with all associated changes in those fair values recorded in interest expense and credit facility fees. The net amount recorded in interest expense and credit facility fees was $82 and 165, respectively, for the three and six months ended June 30, 2024. The Company did not enter into any interest rate swap contracts for the three and six months ended June 30, 2023.
The Company’s interest rate swaps are subject to master netting agreements. These agreements include provisions to offset positions with the same counterparty in the event of default by one of the parties. The Company’s unrealized appreciation and depreciation on derivative instruments are reported net in the accompanying Consolidated Statements of Assets and Liabilities. The following tables present the Company’s assets and liabilities related to derivatives by counterparty, net of amounts available for offset under a master netting arrangement and net of any collateral received or pledged by the Company for such assets and liabilities as of June 30, 2024 and December 31, 2023:
As ofCounterpartyDerivative Assets subject to Master Netting AgreementDerivatives available for OffsetNon-cash Collateral ReceivedCash Collateral Received Net amount of Derivative Assets
June 30, 2024Morgan Stanley Capital Services LLC$— $— $— $— $— 
December 31, 2023Morgan Stanley Capital Services LLC$985 $— $— $(940)$45 
As ofCounterpartyDerivative Liabilities subject to Master Netting AgreementDerivatives available for OffsetNon-cash Collateral PledgedCash Collateral Pledged Net amount of Derivative Liabilities
June 30, 2024Morgan Stanley Capital Services LLC$246 $— $— $— $246 
December 31, 2023Morgan Stanley Capital Services LLC$— $— $— $— $—