v3.26.1
Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Foreign Exchange Contracts, Statement of Financial Position
The table below presents the fair value and notional value of the derivative assets and liabilities for the following periods:
As of March 31, 2026As of December 31, 2025
Counterparty
Notional AmountAssetsLiabilitiesNotional AmountAssetsLiabilities
Derivatives designated as hedges:
Interest Rate Swap September 2027 NotesGoldman Sachs Bank USA$600,000 $— $(3,791)$600,000 $— $(768)
Interest Rate Swap AUD 2027 NotesGoldman Sachs Bank USAA$450,000 4,613 (688)A$450,000 — (2,133)
Interest Rate Swap May 2028 NotesDeutsche Bank AG500,000 514 — 500,000 3,936 — 
Interest Rate Swap June 2028 NotesUS Bank National Association650,000 — (4,021)650,000 70 — 
Interest Rate Swap January 2029 NotesGoldman Sachs Bank USA550,000 — (2,639)550,000 10,005 — 
Interest Rate Swap March 2030 NotesGoldman Sachs Bank USA1,000,000 — (17,648)1,000,000 — (11,766)
Interest Rate Swap March 2031 NotesDeutsche Bank AG750,000 2,340 — 750,000 7,717 — 
Interest Rate Swap September 2029 NotesGoldman Sachs Bank USA900,000 16,446 — 900,000 23,947 — 
Interest Rate Swap EUR 2031 NotesDeutsche Bank AG€500,000 — (13,652)€500,000 — (6,328)
Total derivatives designated as hedges(1)(2)
$23,913 $(42,439)$45,675 $(20,995)
Derivatives not designated as hedges:
Foreign currency forward contract GBPRoyal Bank of Canada£45,425 $60,819 $(60,086)£45,425 $60,102 $(61,205)
Foreign currency forward contract CAD
US Bank National AssociationC$286,242 208,508 (207,346)— — — 
Foreign currency forward contract EURUS Bank National Association€58,000 66,951 (66,714)€58,000 68,219 (67,274)
Total derivatives not designated as hedges$336,278 $(334,146)$128,321 $(128,479)
(1)The net fair value of the derivatives designated as hedges is recorded as an asset or liability 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 $5.8 billion and $5.8 billion, net of the related cumulative hedging adjustments that represented an increase (decrease) to the carrying value of the notes of $(16.7) million and $25.5 million as of March 31, 2026 and December 31, 2025, respectively.
Schedule of Derivative Instruments, Gain (Loss)
The tables below present net unrealized gains and losses on effective interest rate swaps and hedged items included in interest expense for the following periods:
Three Months Ended March 31, 2026
Change in Unrealized Gain (Loss) on:
Interest Rate SwapsHedged ItemsNet
Investment related gains/(losses)
Derivatives designated as hedges:
Interest Rate Swap September 2027 Notes$(3,023)$2,959 $(64)
Interest Rate Swap AUD 2027 Notes6,058 (6,342)(284)
Interest Rate Swap May 2028 Notes(3,422)3,151 (271)
Interest Rate Swap June 2028 Notes(4,091)4,026 (65)
Interest Rate Swap January 2029 Notes(2,571)3,917 1,346 
Interest Rate Swap March 2030 Notes(5,882)5,794 (88)
Interest Rate Swap March 2031 Notes(5,377)4,889 (488)
Interest Rate Swap September 2029 Notes(7,501)7,561 60 
Interest Rate Swap EUR 2031 Notes(7,324)7,324 — 
Net Change in Unrealized Gain (Loss) on Interest Rate Swaps and Hedged Items(1)
$146 
(1)Recorded and recognized as components of interest expense in the Consolidated Statements of Operations with the exception of the net change in unrealized gain (loss) of $(348) thousand related to the impact of foreign exchange on the AUD 2027 Notes hedge, which is recorded and recognized as a component of net change in unrealized gain (loss) on the translation of assets and liabilities in foreign currencies in the Consolidated Statements of Operations.
Three Months Ended March 31, 2025
Change in Unrealized (Gain) Loss on:
Interest Rate SwapsHedged ItemsNet
Investment related (gains)/losses
Derivatives designated as hedges:
Interest Rate Swap September 2027 Notes$5,442 $(5,000)$442 
Interest Rate Swap AUD 2027 Notes3,550 (3,683)(133)
Interest Rate Swap June 2028 Notes7,390 (7,477)(87)
Interest Rate Swap January 2029 Notes6,980 (7,101)(121)
Interest Rate Swap March 2030 Notes20,204 (14,169)6,035 
Interest Rate Swap March 2031 Notes14,887 (13,020)1,867 
Interest Rate Swap September 2029 Notes14,886 (15,048)(162)
Net Change in Unrealized Gain (Loss) on Interest Rate Swaps and Hedged Items(1)
$7,841 
(1)Recorded and recognized as components of interest expense in the Consolidated Statements of Operations with the exception of the net change in unrealized gain (loss) of $(213) thousand related to the impact of foreign exchange on the AUD 2027 Notes hedge, which is recorded and recognized as a component of net change in unrealized gain (loss) on the translation of assets and liabilities in foreign currencies in the Consolidated Statements of Operations.
The table below presents net 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 March 31, 2026
Derivatives not designated as hedges:
Foreign currency forward contract GBP
$1,839 
Foreign currency forward contract EUR(708)
Foreign currency forward contract CAD1,162 
Total Net Unrealized Gain (Loss)(1)
$2,293 
(1)Recorded and recognized as components of translation of assets and liabilities in foreign currencies and other transactions in the Consolidated Statements of Operations.