[1]

For each contract type, calculated based on month end amounts during which the contract was held (see consolidated statements of operations for net realized and unrealized gain (loss) on each non-hedging contract type, consolidated schedule of investments for detailed terms of the contracts, Note 2 on the purpose of the derivative activities and Note 6 for a description of the hedge accounting relationship between certain interest rate swaps and the 2026 Notes).

[2]

Risk exposure is interest rate. Certain interest rate swaps were designated as hedging instruments in accordance with hedge accounting (see Note 6).

[3]

Risk exposure is foreign currency. No foreign currency forward contract was designated as a hedging instrument in accordance with hedge accounting.