| Schedule of Fair Value and Notional Value of the Derivative Assets and Liabilities |
The table below presents the fair value and notional value of the derivative assets and liabilities for the following periods: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | As of June 30, 2026 | | As of December 31, 2025 | | | Counterparty | | Notional Amount | | Assets | | Liabilities | | Notional Amount | | Assets | | Liabilities | | Derivatives designated as hedges: | | | | | | | | | | | | | | Interest rate swaps April 2029 Notes | | Goldman Sachs Bank USA | | $ | 700,000 | | | $ | 942 | | | $ | — | | | $ | 700,000 | | | $ | 14,619 | | | $ | — | | | Interest rate swaps March 2028 Notes | | SMBC Capital Markets, Inc. | | $ | 650,000 | | | 1,799 | | | — | | | 650,000 | | | 12,113 | | | — | | Interest rate swaps January 2031 Notes | | Regions Bank | | $ | 400,000 | | | — | | | (6,087) | | | — | | | — | | | — | | Interest rate swaps October 2029 Notes | | Regions Bank | | $ | 500,000 | | | 549 | | | — | | | — | | | — | | | — | | Total Derivatives Designated as Hedges(1)(2) | | | | $ | 3,290 | | | $ | (6,087) | | | | | $ | 26,732 | | | $ | — | | | | | | | | | | | | | | | | | | Derivatives not designated as hedges: | | | | | | | | | | | | | | Foreign currency forward contract AUD | | Goldman Sachs Bank USA | | A$ | 12,910 | | | $ | 9,255 | | | $ | (8,930) | | | A$ | 12,910 | | | $ | 8,405 | | | $ | (8,616) | | | Foreign currency forward contract CAD | | Goldman Sachs Bank USA | | C$ | 1,454 | | | 1,071 | | | (1,029) | | | C$ | — | | | — | | | — | | | Foreign currency forward contract CAD | | Goldman Sachs Bank USA | | C$ | 54,652 | | | 39,802 | | | (38,690) | | | C$ | — | | | — | | | — | | | Foreign currency forward contract EUR | | Goldman Sachs Bank USA | | € | 282,460 | | | 334,694 | | | (322,867) | | | € | 282,460 | | | 334,694 | | | (334,694) | | Foreign currency forward contract USD | | Goldman Sachs Bank USA | | $ | 18,281 | | | 18,281 | | | (18,571) | | | $ | — | | | — | | | — | | | Foreign currency forward contract GBP | | Goldman Sachs Bank USA | | £ | 136,285 | | | 184,530 | | | (180,741) | | | £ | 147,230 | | | 197,770 | | | (198,381) | | | | | | | | 587,633 | | | (570,828) | | | | | 540,869 | | | (541,691) | | | Foreign currency forward contract EUR | | SMBC Capital Markets, Inc. | | € | 5,301 | | | 6,296 | | | (6,059) | | | € | 5,301 | | | 6,296 | | | (6,281) | | | Foreign currency forward contract EUR | | SMBC Capital Markets, Inc. | | € | 57,071 | | | 66,778 | | | (65,233) | | | € | 57,071 | | | 66,778 | | | (67,608) | | | Foreign currency forward contract GBP | | SMBC Capital Markets, Inc. | | £ | 12,500 | | | 16,934 | | | (16,578) | | | £ | 12,500 | | | 16,539 | | | (16,843) | | | | | | | | 90,008 | | | (87,870) | | | | | 89,613 | | | (90,732) | | | Foreign currency forward contract EUR | | Royal Bank of Canada | | € | 51,692 | | | 60,512 | | | (59,755) | | | € | — | | | — | | | — | | | | | | | | 60,512 | | | (59,755) | | | | | — | | | — | | | Total Derivatives not Designated as Hedges | | | | $ | 738,153 | | | $ | (718,453) | | | | | $ | 630,482 | | | $ | (632,423) | |
_______________ (1)The net fair value of the derivatives designated as hedges is recorded in prepaid expenses and other assets or accrued expenses and other liabilities in the Consolidated Statements of Assets and Liabilities. (2)The Company’s unsecured notes, that are designated in a qualifying hedging relationship, had carrying value of $2.2 billion and $1.4 billion, net of the related cumulative hedging adjustments that represented an increase (decrease) to the carrying value of the notes of $(1.9) million and $27.8 million, as of June 30, 2026 and December 31, 2025, respectively.
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| Schedule of Derivative Instruments, Gain (Loss) |
The tables below present net change in unrealized gains and losses on effective interest rate swaps and hedged items included in interest expense for the following periods: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | For the Three Months Ended June 30, 2026 | | For the Six Months Ended June 30, 2026 | | | | | Interest Rate Swaps | | Hedged Items | | Net | | Interest Rate Swaps | | Hedged Items | | Net | | Investment related gains/(losses) | | | | | | | | | | | | | | | | Derivatives designated as hedges: | | | | | | | | | | | | | | | | Interest rate swaps April 2029 Notes | | | | $ | (7,906) | | | $ | 8,023 | | | $ | 117 | | | $ | (13,677) | | | $ | 13,673 | | | $ | (4) | | | Interest rate swaps March 2028 Notes | | | | (5,097) | | | 5,286 | | | 189 | | | (10,314) | | | 10,495 | | | 181 | | Interest rate swaps January 2031 Notes | | | | (5,149) | | | 5,145 | | | (4) | | | (6,087) | | | 6,080 | | | (7) | | Interest rate swaps October 2029 Notes | | | | 549 | | | (520) | | | 29 | | | 549 | | | (520) | | | 29 | | Net Change in Unrealized Gain (Loss) on Interest Rate Swaps and Hedged Items(1) | | | | | | $ | 331 | | | | | | | $ | 199 | |
_______________ (1)Recorded and recognized as components of interest expense in the Consolidated Statements of Operations.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | For the Three Months Ended June 30, 2025 | | For the Six Months Ended June 30, 2025 | | | | | Interest Rate Swaps | | Hedged Items | | Net | | Interest Rate Swaps | | Hedged Items | | Net | | Derivatives designated as hedges: | | | | | | | | | | | | | | | | Interest rate swaps April 2029 Notes | | | | $ | 5,071 | | | $ | (5,245) | | | $ | (174) | | | $ | 7,084 | | | $ | (7,316) | | | $ | (232) | | | Interest rate swaps March 2028 Notes | | | | 2,879 | | | (3,058) | | | (179) | | | 13,087 | | | (13,676) | | | (589) | | Net Change in Unrealized Gain (Loss) on Interest Rate Swaps and Hedged Items(1) | | | | | | $ | (353) | | | | | | | $ | (821) | |
_______________(1) Recorded and recognized as components of interest expense in the Consolidated Statements of Operations.
The table below presents net change in unrealized gains and losses on derivative instruments not designated as a qualifying hedge accounting relationship recognized by the Company for the following periods: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | For the Three Months Ended June 30, 2026 | | | | | | For the Six Months Ended June 30, 2026 | | Derivatives not designated as hedges: | | | | | | | | | | | | | | | | Foreign currency forward contract AUD | | | | $ | 574 | | | | | | | $ | 536 | | | | | | | Foreign currency forward contract CAD | | | | 924 | | | | | | | 1,154 | | | | | | | Foreign currency forward contract GBP | | | | 1,631 | | | | | | | 5,060 | | | | | | | Foreign currency forward contract EUR | | | | 6,682 | | | | | | | 14,891 | | | | | | Total Net Change in Unrealized Gain (Loss)(1) | | | | $ | 9,811 | | | | | | | $ | 21,641 | | | | | |
_______________ (1)Recorded and recognized as components of translation of assets and liabilities in foreign currencies and other transactions in the Consolidated Statements of Operations. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | For the Three Months Ended June 30, 2025 | | | | | | For the Six Months Ended June 30, 2025 | | Derivatives not designated as hedges: | | | | | | | | | | | | | | | | Foreign currency forward contract AUD | | | | $ | (76) | | | | | | | $ | (76) | | | | | | Foreign currency forward contract GBP | | | | (3,832) | | | | | | | (3,832) | | | | | | Foreign currency forward contract EUR | | | | (7,492) | | | | | | | (7,492) | | | | | | Total Net Change in Unrealized Gain (Loss)(1) | | | | $ | (11,400) | | | | | | | $ | (11,400) | | | | | |
_______________ (1)Recorded and recognized as components of translation of assets and liabilities in foreign currencies and other transactions in the Consolidated Statements of Operations.
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