| Derivative Instruments |
Note 5. Derivative Instruments In the normal course of business, the Company enters into derivative financial instruments to achieve certain risk management objectives, including managing its interest rate and foreign currency risk exposures. Certain information related to the Company’s foreign currency forward contracts is presented below as of June 30, 2026:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Notional amount to be purchased |
|
Notional amount to be sold |
|
Settlement Date |
|
Fair Value* |
|
Balance Sheet Location of Net Amounts |
BNP Paribas S.A. |
|
A$ |
4,144 |
|
$ |
2,910 |
|
9/16/2026 |
|
$ |
(47) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
BNP Paribas S.A. |
|
$ |
55,021 |
|
C$ |
77,676 |
|
9/16/2026 |
|
$ |
120 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
BNP Paribas S.A. |
|
₣ |
90 |
|
$ |
114 |
|
9/16/2026 |
|
$ |
(2) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
BNP Paribas S.A. |
|
$ |
258,654 |
|
€ |
221,946 |
|
9/16/2026 |
|
$ |
4,351 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
BNP Paribas S.A. |
|
$ |
1,226,352 |
|
£ |
913,023 |
|
9/16/2026 |
|
$ |
15,503 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
BNP Paribas S.A. |
|
Skr |
10,830 |
|
$ |
1,134 |
|
9/16/2026 |
|
$ |
(13) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
BNP Paribas S.A. |
|
$ |
135,811 |
|
₩ |
196,131,330 |
|
8/12/2026 |
|
$ |
8,992 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Goldman Sachs International |
|
A$ |
2,698 |
|
$ |
1,890 |
|
9/16/2026 |
|
$ |
(26) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Goldman Sachs International |
|
$ |
10,129 |
|
€ |
8,710 |
|
9/16/2026 |
|
$ |
149 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Goldman Sachs International |
|
$ |
4,597 |
|
£ |
3,430 |
|
9/16/2026 |
|
$ |
48 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Goldman Sachs International |
|
$ |
3,124 |
|
¥ |
497,111 |
|
9/16/2026 |
|
$ |
47 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Morgan Stanley Bank N.A. |
|
$ |
97,187 |
|
A$ |
138,543 |
|
9/16/2026 |
|
$ |
1,457 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Morgan Stanley Bank N.A. |
|
$ |
83,223 |
|
C$ |
115,661 |
|
9/16/2026 |
|
$ |
1,476 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Morgan Stanley Bank N.A. |
|
$ |
152 |
|
₣ |
120 |
|
9/16/2026 |
|
$ |
2 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Morgan Stanley Bank N.A. |
|
$ |
10,490 |
|
¥ |
1,668,622 |
|
9/16/2026 |
|
$ |
162 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Morgan Stanley Bank N.A. |
|
$ |
68,694 |
|
Skr |
647,390 |
|
9/16/2026 |
|
$ |
1,681 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Morgan Stanley Bank N.A. |
|
Nkr |
18,992 |
|
$ |
1,993 |
|
9/16/2026 |
|
$ |
(77) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
State Street Bank and Trust Company |
|
$ |
122,544 |
|
A$ |
174,915 |
|
9/16/2026 |
|
$ |
1,682 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
State Street Bank and Trust Company |
|
$ |
18,542 |
|
C$ |
25,780 |
|
9/16/2026 |
|
$ |
321 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
State Street Bank and Trust Company |
|
$ |
5,566 |
|
₣ |
4,396 |
|
9/16/2026 |
|
$ |
84 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
State Street Bank and Trust Company |
|
¥ |
41,926 |
|
$ |
264 |
|
9/16/2026 |
|
$ |
(4) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
State Street Bank and Trust Company |
|
$ |
4,262 |
|
Skr |
40,182 |
|
9/16/2026 |
|
$ |
103 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
State Street Bank and Trust Company |
|
$ |
66,849 |
|
Nkr |
637,610 |
|
9/16/2026 |
|
$ |
2,516 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Wells Fargo Bank National Association |
|
$ |
260,732 |
|
A$ |
371,738 |
|
9/16/2026 |
|
$ |
3,871 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Notional amount to be purchased |
|
Notional amount to be sold |
|
Settlement Date |
|
Fair Value* |
|
Balance Sheet Location of Net Amounts |
Wells Fargo Bank National Association |
|
$ |
13,851 |
|
C$ |
19,301 |
|
9/16/2026 |
|
$ |
211 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Wells Fargo Bank National Association |
|
$ |
1,963,782 |
|
€ |
1,685,263 |
|
9/16/2026 |
|
$ |
32,822 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Wells Fargo Bank National Association |
|
$ |
1,153,961 |
|
£ |
860,208 |
|
9/16/2026 |
|
$ |
13,154 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Wells Fargo Bank National Association |
|
$ |
519 |
|
¥ |
82,511 |
|
9/16/2026 |
|
$ |
8 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
|
|
|
|
|
|
|
|
|
|
$ |
88,591 |
|
|
|
* Totals may not foot due to rounding. Certain information related to the Company’s foreign currency forward contracts is presented below as of December 31, 2025:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Notional amount to be purchased |
|
Notional amount to be sold |
|
Settlement Date |
|
Fair Value* |
|
Balance Sheet Location of Net Amounts |
BNP Paribas S.A. |
|
$ |
1,165 |
|
A$ |
1,753 |
|
3/18/2026 |
|
$ |
(5) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
BNP Paribas S.A. |
|
$ |
3,673 |
|
C$ |
5,057 |
|
3/18/2026 |
|
$ |
(25) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
BNP Paribas S.A. |
|
₣ |
90 |
|
$ |
113 |
|
3/18/2026 |
|
$ |
1 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
BNP Paribas S.A. |
|
$ |
31,034 |
|
€ |
26,490 |
|
3/18/2026 |
|
$ |
(186) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
BNP Paribas S.A. |
|
$ |
11,698 |
|
£ |
8,775 |
|
3/18/2026 |
|
$ |
(124) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Goldman Sachs International |
|
A$ |
2,641 |
|
$ |
1,755 |
|
3/18/2026 |
|
$ |
8 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Goldman Sachs International |
|
$ |
10,089 |
|
€ |
8,615 |
|
3/18/2026 |
|
$ |
(64) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Goldman Sachs International |
|
$ |
4,491 |
|
£ |
3,370 |
|
3/18/2026 |
|
$ |
(49) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Goldman Sachs International |
|
$ |
3,197 |
|
¥ |
495,381 |
|
3/18/2026 |
|
$ |
18 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Morgan Stanley Capital Services LLC |
|
$ |
92,029 |
|
A$ |
138,276 |
|
3/18/2026 |
|
$ |
(265) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Morgan Stanley Capital Services LLC |
|
$ |
12,089 |
|
C$ |
16,607 |
|
3/18/2026 |
|
$ |
(52) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Morgan Stanley Capital Services LLC |
|
$ |
152 |
|
₣ |
120 |
|
3/18/2026 |
|
$ |
— |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Morgan Stanley Capital Services LLC |
|
$ |
583,494 |
|
€ |
494,488 |
|
3/18/2026 |
|
$ |
703 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Morgan Stanley Capital Services LLC |
|
$ |
188,436 |
|
£ |
141,023 |
|
3/18/2026 |
|
$ |
(1,544) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Morgan Stanley Capital Services LLC |
|
$ |
10,780 |
|
¥ |
1,662,813 |
|
3/18/2026 |
|
$ |
107 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Morgan Stanley Capital Services LLC |
|
$ |
70,995 |
|
Skr |
653,108 |
|
3/18/2026 |
|
$ |
(181) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
State Street Bank and Trust Company |
|
$ |
115,593 |
|
A$ |
173,498 |
|
3/18/2026 |
|
$ |
(210) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
State Street Bank and Trust Company |
|
$ |
19,450 |
|
C$ |
26,701 |
|
3/18/2026 |
|
$ |
(70) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
State Street Bank and Trust Company |
|
$ |
5,727 |
|
₣ |
4,510 |
|
3/18/2026 |
|
$ |
(6) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
State Street Bank and Trust Company |
|
$ |
222,587 |
|
€ |
189,981 |
|
3/18/2026 |
|
$ |
(1,319) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
State Street Bank and Trust Company |
|
$ |
1,075,135 |
|
£ |
806,832 |
|
3/18/2026 |
|
$ |
(11,796) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
State Street Bank and Trust Company |
|
$ |
228 |
|
¥ |
35,061 |
|
3/18/2026 |
|
$ |
3 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
State Street Bank and Trust Company |
|
$ |
4,286 |
|
Skr |
39,490 |
|
3/18/2026 |
|
$ |
(18) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
State Street Bank and Trust Company |
|
$ |
61,976 |
|
Nkr |
625,881 |
|
3/18/2026 |
|
$ |
(97) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Notional amount to be purchased |
|
Notional amount to be sold |
|
Settlement Date |
|
Fair Value* |
|
Balance Sheet Location of Net Amounts |
Wells Fargo Bank National Association |
|
$ |
118,976 |
|
A$ |
178,559 |
|
3/18/2026 |
|
$ |
(205) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Wells Fargo Bank National Association |
|
$ |
8,721 |
|
C$ |
11,977 |
|
3/18/2026 |
|
$ |
(35) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Wells Fargo Bank National Association |
|
$ |
591,411 |
|
€ |
505,089 |
|
3/18/2026 |
|
$ |
(3,873) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Wells Fargo Bank National Association |
|
$ |
793,928 |
|
£ |
595,675 |
|
3/18/2026 |
|
$ |
(8,541) |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
Wells Fargo Bank National Association |
|
$ |
534 |
|
¥ |
82,224 |
|
3/18/2026 |
|
$ |
6 |
|
Unrealized appreciation (depreciation) on foreign currency forward contracts |
|
|
|
|
|
|
|
|
|
|
$ |
(27,819) |
|
|
|
* Totals may not foot due to rounding. Certain information related to the Company’s interest rate swaps and currency swaps are presented below as of June 30, 2026:
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Notional Amount |
|
Maturity Date |
|
Fair Value* |
|
Financial Statement Location of Net Amounts |
BNP Paribas S.A. |
|
$ |
325,000 |
|
4/13/2029 |
|
$ |
1,280 |
|
Other liabilities and accrued expenses |
BNP Paribas S.A. |
|
$ |
300,000 |
|
7/29/2031 |
|
$ |
(1,668) |
|
Other liabilities and accrued expenses |
BNP Paribas S.A. |
|
$ |
400,000 |
|
7/29/2031 |
|
$ |
(534) |
|
Other liabilities and accrued expenses |
BNP Paribas S.A. |
|
$ |
100,000 |
|
8/30/2030 |
|
$ |
(2,139) |
|
Other liabilities and accrued expenses |
BNP Paribas S.A. |
|
$ |
375,000 |
|
6/30/2033 |
|
$ |
(1,506) |
|
Other liabilities and accrued expenses |
Goldman Sachs International |
|
$ |
82,000 |
|
12/21/2027 |
|
$ |
(399) |
|
Other liabilities and accrued expenses |
Goldman Sachs International |
|
$ |
18,000 |
|
1/19/2028 |
|
$ |
(98) |
|
Other liabilities and accrued expenses |
Goldman Sachs International |
|
€ |
90,000 |
|
9/28/2026 |
|
$ |
234 |
|
Other liabilities and accrued expenses |
Goldman Sachs International |
|
$ |
325,000 |
|
4/13/2029 |
|
$ |
1,168 |
|
Other liabilities and accrued expenses |
Goldman Sachs International |
|
$ |
350,000 |
|
4/13/2029 |
|
$ |
(8,073) |
|
Other liabilities and accrued expenses |
Goldman Sachs International |
|
$ |
375,000 |
|
6/30/2033 |
|
$ |
(1,135) |
|
Other liabilities and accrued expenses |
SMBC Capital Markets, Inc. |
|
$ |
300,000 |
|
7/29/2031 |
|
$ |
(1,668) |
|
Other liabilities and accrued expenses |
SMBC Capital Markets, Inc. |
|
$ |
226,000 |
|
9/28/2026 |
|
$ |
217 |
|
Other liabilities and accrued expenses |
SMBC Capital Markets, Inc. |
|
$ |
325,000 |
|
9/28/2028 |
|
$ |
(389) |
|
Other liabilities and accrued expenses |
SMBC Capital Markets, Inc. |
|
$ |
500,000 |
|
3/15/2032 |
|
$ |
9,533 |
|
Other liabilities and accrued expenses |
U.S. Bank National Association |
|
$ |
400,000 |
|
8/30/2030 |
|
$ |
(4,724) |
|
Other liabilities and accrued expenses |
U.S. Bank National Association |
|
$ |
400,000 |
|
12/8/2028 |
|
$ |
(6,826) |
|
Other liabilities and accrued expenses |
U.S. Bank National Association |
|
$ |
750,000 |
|
1/23/2031 |
|
$ |
(12,954) |
|
Other liabilities and accrued expenses |
Wells Fargo Bank National Association |
|
$ |
300,000 |
|
3/15/2032 |
|
$ |
(1,683) |
|
Other liabilities and accrued expenses |
|
|
|
|
|
|
|
$ |
(31,364) |
|
|
* Totals may not foot due to rounding. Certain information related to the Company’s interest rate swaps and currency swaps are presented below as of December 31, 2025:
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Notional Amount |
|
Maturity Date |
|
Fair Value* |
|
Financial Statement Location of Net Amounts |
BNP Paribas S.A. |
|
$ |
325,000 |
|
4/13/2029 |
|
$ |
7,512 |
|
Other assets |
BNP Paribas S.A. |
|
$ |
300,000 |
|
7/29/2031 |
|
$ |
4,190 |
|
Other assets |
BNP Paribas S.A. |
|
$ |
400,000 |
|
7/29/2031 |
|
$ |
7,420 |
|
Other assets |
BNP Paribas S.A. |
|
$ |
100,000 |
|
8/30/2030 |
|
$ |
(424) |
|
Other assets |
Goldman Sachs International |
|
$ |
82,000 |
|
12/21/2027 |
|
$ |
554 |
|
Other assets |
Goldman Sachs International |
|
$ |
18,000 |
|
1/19/2028 |
|
$ |
120 |
|
Other assets |
Goldman Sachs International |
|
€ |
90,000 |
|
9/28/2026 |
|
$ |
1,002 |
|
Other assets |
Goldman Sachs International |
|
$ |
325,000 |
|
4/13/2029 |
|
$ |
7,379 |
|
Other assets |
Goldman Sachs International |
|
$ |
350,000 |
|
4/13/2029 |
|
$ |
(3,051) |
|
Other assets |
SMBC Capital Markets, Inc. |
|
$ |
300,000 |
|
7/29/2031 |
|
$ |
4,190 |
|
Other assets |
SMBC Capital Markets, Inc. |
|
$ |
226,000 |
|
9/28/2026 |
|
$ |
1,180 |
|
Other assets |
SMBC Capital Markets, Inc. |
|
$ |
325,000 |
|
9/28/2028 |
|
$ |
5,078 |
|
Other assets |
SMBC Capital Markets, Inc. |
|
$ |
500,000 |
|
3/15/2032 |
|
$ |
20,327 |
|
Other assets |
U.S. Bank National Association |
|
$ |
400,000 |
|
8/30/2030 |
|
$ |
2,577 |
|
Other assets |
U.S. Bank National Association |
|
$ |
400,000 |
|
12/8/2028 |
|
$ |
(1,166) |
|
Other assets |
BNP Paribas S.A. |
|
$ |
60,988 |
|
5/12/2026 |
|
$ |
3,404 |
|
Other assets |
Morgan Stanley Capital Services LLC |
|
$ |
81,450 |
|
5/12/2026 |
|
$ |
4,543 |
|
Other assets |
|
|
|
|
|
|
|
$ |
64,835 |
|
|
* Totals may not foot due to rounding. Certain information related to the Company's options are presented below as of June 30, 2026:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Notional Amount |
|
Maturity Date |
|
Cost* |
|
Fair Value* |
|
Unrealized (Depreciation)* |
|
Financial Statement Location of Net Amounts |
BNP Paribas S.A. |
|
$ |
2,050,000 |
|
3/17/2027 |
|
$ |
6,253 |
|
$ |
1,236 |
|
$ |
(5,017) |
|
Other liabilities and accrued expenses |
JPMorgan Chase Bank N.A. |
|
$ |
18,000 |
|
3/17/2027 |
|
$ |
1,242 |
|
$ |
971 |
|
$ |
(271) |
|
Other liabilities and accrued expenses |
|
|
|
|
|
|
|
$ |
7,495 |
|
$ |
2,207 |
|
$ |
(5,288) |
|
|
* Totals may not foot due to rounding. The Company’s foreign currency forward contracts and currency swaps are not designated in a qualifying hedge accounting relationship. Net realized and change in unrealized gains and losses for the three and six months ended June 30, 2026 and 2025, for the Company’s foreign currency forward contracts, currency swaps and options, are in the following locations in the Consolidated Statements of Operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
|
Six Months Ended June 30, |
Derivative Instrument |
|
Financial Statement Location |
|
2026 |
|
2025 |
|
2026 |
|
2025 |
Foreign currency forward contracts |
|
Net realized gain (loss) on foreign currency forward contracts |
|
$ |
(4,844) |
|
$ |
(142,729) |
|
$ |
(12,271) |
|
$ |
(210,065) |
Currency swaps |
|
Net realized gain (loss) on derivative instruments |
|
|
10,114 |
|
|
680 |
|
|
10,764 |
|
|
1,267 |
|
|
|
|
$ |
5,270 |
|
$ |
(142,049) |
|
$ |
(1,507) |
|
$ |
(208,798) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
|
Six Months Ended June 30, |
Derivative Instrument |
|
Financial Statement Location |
|
2026 |
|
2025 |
|
2026 |
|
2025 |
Foreign currency forward contracts |
|
Net change in unrealized appreciation (depreciation) on foreign currency forward contracts |
|
$ |
51,622 |
|
$ |
(75,511) |
|
$ |
116,410 |
|
$ |
(101,460) |
Currency swaps |
|
Net change in unrealized appreciation (depreciation) on derivative instruments |
|
|
(13,476) |
|
|
(14,878) |
|
|
(7,947) |
|
|
(15,468) |
Options |
|
Net change in unrealized appreciation (depreciation) on derivative instruments |
|
|
(4,823) |
|
|
— |
|
|
(5,288) |
|
|
— |
|
|
|
|
$ |
33,323 |
|
$ |
(90,389) |
|
$ |
103,175 |
|
$ |
(116,928) |
The Company’s interest rate swaps have been designated in a qualifying hedge accounting relationship. Net realized and unrealized gains and losses for the three and six months ended June 30, 2026 and 2025, for the Company’s interest rate swaps, are in the following locations in the Consolidated Statements of Operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
|
Six Months Ended June 30, |
Derivative Instrument |
|
Financial Statement Location |
|
2026 |
|
2025 |
|
2026 |
|
2025 |
Interest rate swaps |
|
Interest and other debt expenses |
|
$ |
53,176 |
|
$ |
(22,254) |
|
$ |
84,816 |
|
$ |
(82,784) |
Hedged items |
|
Interest and other debt expenses |
|
|
(54,493) |
|
|
27,238 |
|
|
(87,190) |
|
|
87,303 |
|
|
|
|
$ |
(1,317) |
|
$ |
4,984 |
|
$ |
(2,374) |
|
$ |
4,519 |
Offsetting of Derivative Instruments The Company has derivative instruments that 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 Consolidated Statements of Assets and Liabilities. The following table presents 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, 2026:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of June 30, 2026 |
Counterparty |
|
Derivative Assets Subject to Master Netting Agreement |
|
Derivatives Available for Offset |
|
Non-cash Collateral Received(1) |
|
Cash Collateral Received(1) |
|
Net Amount of Derivative Assets(2) |
BNP Paribas S.A. |
|
$ |
2,516 |
|
$ |
(2,516) |
|
$ |
— |
|
$ |
— |
|
$ |
— |
Goldman Sachs International |
|
|
1,402 |
|
|
(1,402) |
|
|
— |
|
|
— |
|
|
— |
SMBC Capital Markets, Inc. |
|
|
9,750 |
|
|
(2,057) |
|
|
— |
|
|
(7,693) |
|
|
— |
Morgan Stanley Bank N.A. |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
Wells Fargo Bank National Association |
|
|
50,066 |
|
|
(1,683) |
|
|
— |
|
|
(48,383) |
|
|
— |
U.S. Bank National Association |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
JPMorgan Chase Bank N.A. |
|
|
971 |
|
|
— |
|
|
— |
|
|
— |
|
|
971 |
Total |
|
$ |
64,705 |
|
$ |
(7,658) |
|
$ |
— |
|
$ |
(56,076) |
|
$ |
971 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Derivative Liabilities Subject to Master Netting Agreement |
|
Derivatives Available for Offset |
|
Non-cash Collateral Pledged(1) |
|
Cash Collateral Pledged(1) |
|
Net Amount of Derivative Liabilities(3) |
BNP Paribas S.A. |
|
$ |
(5,847) |
|
$ |
2,516 |
|
$ |
— |
|
$ |
— |
|
$ |
(3,331) |
Goldman Sachs International |
|
|
(9,705) |
|
|
1,402 |
|
|
— |
|
|
6,300 |
|
|
(2,003) |
SMBC Capital Markets, Inc. |
|
|
(2,057) |
|
|
2,057 |
|
|
— |
|
|
— |
|
|
— |
Morgan Stanley Bank N.A. |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
Wells Fargo Bank National Association |
|
|
(1,683) |
|
|
1,683 |
|
|
— |
|
|
— |
|
|
— |
U.S. Bank National Association |
|
|
(24,504) |
|
|
— |
|
|
— |
|
|
24,504 |
|
|
— |
JPMorgan Chase Bank N.A. |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
Total |
|
$ |
(43,796) |
|
$ |
7,658 |
|
$ |
— |
|
$ |
30,804 |
|
$ |
(5,334) |
(1)In some instances, the actual amount of the collateral received and/or pledged may be more than the derivative balance shown due to overcollateralization. (2)Net amount of derivative assets represents the net amount due from the counterparty to the Company. (3)Net amount of derivative liabilities represents the net amount due from the Company to the counterparty. The following table presents 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 December 31, 2025:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2025 |
Counterparty |
|
Derivative Assets Subject to Master Netting Agreement |
|
Derivatives Available for Offset |
|
Non-cash Collateral Received(1) |
|
Cash Collateral Received(1) |
|
Net Amount of Derivative Assets(2) |
BNP Paribas S.A. |
|
$ |
22,526 |
|
$ |
(424) |
|
$ |
— |
|
$ |
(21,901) |
|
$ |
201 |
Goldman Sachs International |
|
|
9,056 |
|
|
(3,051) |
|
|
— |
|
|
(6,005) |
|
|
— |
SMBC Capital Markets, Inc. |
|
|
30,775 |
|
|
— |
|
|
— |
|
|
(30,775) |
|
|
— |
Morgan Stanley Capital Services LLC |
|
|
4,543 |
|
|
— |
|
|
— |
|
|
(4,230) |
|
|
313 |
Wells Fargo Bank National Association |
|
|
6 |
|
|
(6) |
|
|
— |
|
|
— |
|
|
— |
U.S. Bank National Association |
|
|
2,577 |
|
|
(1,166) |
|
|
— |
|
|
(1,411) |
|
|
— |
Total |
|
$ |
69,483 |
|
$ |
(4,647) |
|
$ |
— |
|
$ |
(64,322) |
|
$ |
514 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Derivative Liabilities Subject to Master Netting Agreement |
|
Derivatives Available for Offset |
|
Non-cash Collateral Pledged(1) |
|
Cash Collateral Pledged(1) |
|
Net Amount of Derivative Liabilities(3) |
BNP Paribas S.A. |
|
$ |
(424) |
|
$ |
424 |
|
$ |
— |
|
$ |
— |
|
$ |
— |
Goldman Sachs International |
|
|
(3,051) |
|
|
3,051 |
|
|
— |
|
|
— |
|
|
— |
SMBC Capital Markets, Inc. |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
Morgan Stanley Capital Services LLC |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
Wells Fargo Bank National Association |
|
|
(12,654) |
|
|
6 |
|
|
— |
|
|
12,648 |
|
|
— |
U.S. Bank National Association |
|
|
(1,166) |
|
|
1,166 |
|
|
— |
|
|
— |
|
|
— |
Total |
|
$ |
(17,295) |
|
$ |
4,647 |
|
$ |
— |
|
$ |
12,648 |
|
$ |
— |
(1)In some instances, the actual amount of the collateral received and/or pledged may be more than the derivative balance shown due to overcollateralization. (2)Net amount of derivative assets represents the net amount due from the counterparty to the Company. (3)Net amount of derivative liabilities represents the net amount due from the Company to the counterparty. |