DERIVATIVES (Tables)
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6 Months Ended |
Jun. 30, 2026 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Schedule of Outstanding Interest Rate Swap Contracts |
The outstanding interest rate swap contracts as of June 30, 2026 and December 31, 2025 were as follows:
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As of June 30, 2026 |
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Counterparty |
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Hedged item |
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Company receives |
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Company pays |
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Maturity date |
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Notional amount |
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Unrealized appreciation |
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Unrealized depreciation |
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ING |
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Tranche A Notes |
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5.85% |
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3M SOFR+ |
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2.512% |
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10/2/2028 |
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$ |
62,500 |
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$ |
- |
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$ |
(1,016 |
) |
ING |
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Tranche B Notes |
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6.22% |
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3M SOFR+ |
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2.8155% |
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10/2/2030 |
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37,500 |
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- |
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(911 |
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ING |
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Tranche C Notes |
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5.85% |
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3M SOFR+ |
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2.448% |
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10/2/2028 |
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62,500 |
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- |
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(929 |
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ING |
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Tranche D Notes |
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6.22% |
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3M SOFR+ |
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2.736% |
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10/2/2030 |
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37,500 |
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- |
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(793 |
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ING |
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Class A-2 Notes |
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5.49% |
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3M SOFR+ |
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1.974% |
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1/20/2029 |
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179,350 |
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- |
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(2,329 |
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ING |
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Class B-2 Notes |
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7.24% |
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3M SOFR+ |
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3.692% |
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1/20/2029 |
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21,541 |
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- |
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(279 |
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$ |
400,891 |
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$ |
- |
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$ |
(6,257 |
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As of December 31, 2025 |
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Counterparty |
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Hedged item |
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Company receives |
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Company pays |
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Maturity date |
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Notional amount |
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Unrealized appreciation |
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Unrealized depreciation |
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ING |
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Tranche A Notes |
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5.85% |
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3M SOFR+ |
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2.512% |
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10/2/2028 |
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$ |
62,500 |
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$ |
- |
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$ |
(128 |
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ING |
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Tranche B Notes |
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6.22% |
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3M SOFR+ |
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2.8155% |
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10/2/2030 |
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37,500 |
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- |
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(230 |
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ING |
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Tranche C Notes |
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5.85% |
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3M SOFR+ |
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2.448% |
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10/2/2028 |
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62,500 |
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- |
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(23 |
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ING |
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Tranche D Notes |
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6.22% |
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3M SOFR+ |
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2.736% |
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10/2/2030 |
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37,500 |
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- |
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(99 |
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$ |
200,000 |
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$ |
- |
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$ |
(480 |
) |
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| Schedule of Derivatives Designated in a Qualifying Hedge Accounting |
The table below presents the components of the net unrealized gain (loss) related to the fair value hedge recognized for the hedging instrument, the interest rate swaps, the hedged items, the 2025 Notes, the Class A-2 Notes and the Class B-2 Notes, from derivatives designated in a qualifying hedge accounting relationship for the three and six months ended June 30, 2026 and 2025.
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For the Three Months Ended June 30, |
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For the Six Months Ended June 30, |
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2026 |
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2025 |
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2026 |
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2025 |
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Hedging instruments (Interest rate swaps) |
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$ |
(3,778 |
) |
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$ |
- |
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$ |
(5,777 |
) |
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$ |
- |
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Hedged items (2025 Notes, Class A-2 Notes and Class B-2 Notes) |
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3,766 |
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- |
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5,799 |
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- |
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Fair market value adjustments for hedge accounting recognized in interest expense |
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$ |
(12 |
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$ |
- |
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$ |
22 |
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$ |
- |
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| Schedule of Cumulative Hedging Adjustment (Increase/(Decrease)) From the Current Hedging |
The table below presents the carrying value of the 2025 Notes, the Class A-2 Notes and the Class B-2 Notes as of June 30, 2026 and December 31, 2025 that are designated in qualifying hedging relationships and the related cumulative hedging adjustment (increase (decrease)) from the current hedging relationships included in such carrying value:
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As of June 30, 2026 |
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As of December 31, 2025 |
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Carrying Value |
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Cumulative Hedging Adjustment |
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Carrying Value |
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Cumulative Hedging Adjustment |
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Tranche A Notes |
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$ |
61,558 |
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$ |
942 |
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$ |
62,444 |
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$ |
56 |
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Tranche B Notes |
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36,664 |
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836 |
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37,359 |
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141 |
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Tranche C Notes |
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61,637 |
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863 |
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62,538 |
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(38 |
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Tranche D Notes |
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36,772 |
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728 |
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37,478 |
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22 |
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Class A-2 Notes |
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177,018 |
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2,332 |
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- |
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- |
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Class B-2 Notes |
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21,262 |
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279 |
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- |
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- |
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$ |
394,911 |
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$ |
5,980 |
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$ |
199,819 |
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$ |
181 |
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| Schedule of Gross and Net Amount of Assets and Liabilities Available For Offset Under Netting Arrangements |
The following table is intended to provide additional information about the effect of the offsetting derivative contracts on the consolidated financial statements of the Company including: the location of those fair values on the Consolidated Statements of Assets and Liabilities, and the Company’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Company as of June 30, 2026 and December 31, 2025.
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As of June 30, 2026 |
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Counterparty |
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Statement of Assets and Liabilities Location of
Amounts |
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Gross Amount of
Recognized Assets |
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Gross Amount of
Recognized
(Liabilities) |
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Net amounts presented
in the Consolidated
Statements of Assets and
Liabilities |
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Collateral
(Received) /
Pledged (1) |
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Net Amounts (2) |
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ING |
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Net unrealized depreciation on derivatives |
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$ |
- |
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$ |
(6,257 |
) |
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$ |
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(6,257 |
) |
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$ |
7,101 |
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$ |
- |
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As of December 31, 2025 |
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Counterparty |
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Statement of Assets and Liabilities Location of
Amounts |
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Gross Amount of
Recognized Assets |
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Gross Amount of
Recognized
(Liabilities) |
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Net amounts presented
in the Consolidated
Statements of Assets and
Liabilities |
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Collateral
(Received) /
Pledged (1) |
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Net Amounts (2) |
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ING |
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Net unrealized depreciation on derivatives |
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$ |
- |
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$ |
(480 |
) |
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$ |
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(480 |
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$ |
501 |
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$ |
- |
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(1)The actual collateral pledged could be more than the amount shown due to over collateralization. (2)Represents the net amount due from/(to) counterparties in the event of default.
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