| DERIVATIVE INSTRUMENTS |
6. DERIVATIVE INSTRUMENTS
The Company enters into derivative instruments from time to time to help mitigate its foreign currency and interest rate risk exposures.
Foreign Currency Forward Contracts
Certain information related to the Company’s foreign currency forward derivative instruments as of September 30, 2026 and December 31, 2025 is presented below.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | As of September 30, 2026 | | Derivative Instrument | Notional
Amount | | | | Gross Amount of Recognized Assets | | Gross Amount of Recognized Liabilities | | Balance Sheet
Location of Net Amounts | | Foreign currency forward contract | JPY | 4,066 | | | | | $ | 59 | | | $ | (57) | | | Derivative assets | | Foreign currency forward contract | CAD | 348 | | | | | 254 | | | (252) | | | Derivative assets | | Foreign currency forward contract | CAD | 210 | | | | | 151 | | | (148) | | | Derivative assets | | Foreign currency forward contract | € | 168 | | | | | 191 | | | (187) | | | Derivative assets | | Foreign currency forward contract | £ | 156 | | | | | 177 | | | (178) | | | Derivative liabilities | | Foreign currency forward contract | £ | 138 | | | | | 185 | | | (182) | | | Derivative assets | | Foreign currency forward contract | € | 98 | | | | | 114 | | | (112) | | | Derivative assets | | Foreign currency forward contract | NOK | 64 | | | | | 7 | | | (7) | | | Derivative assets | | Foreign currency forward contract | £ | 62 | | | | | 83 | | | (83) | | | Derivative assets | | Foreign currency forward contract | CAD | 58 | | | | | 55 | | | (56) | | | Derivative liabilities | | Foreign currency forward contract | NZD | 38 | | | | | 22 | | | (21) | | | Derivative assets | | Foreign currency forward contract | AUD | 14 | | | | | 13 | | | (13) | | | Derivative liabilities | | Total | | | | | | $ | 1,311 | | | $ | (1,296) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | As of December 31, 2025 | | Derivative Instrument | Notional
Amount | | | | Gross Amount of Recognized Assets | | Gross Amount of Recognized Liabilities | | Balance Sheet
Location of Net Amounts | | Foreign currency forward contract | JPY | 8,131 | | | | $ | 58 | | | $ | (56) | | | Derivative assets | | Foreign currency forward contract | CAD | 402 | | | | 290 | | | (295) | | | Derivative liabilities | | Foreign currency forward contract | £ | 304 | | | | 367 | | | (369) | | | Derivative liabilities | | Foreign currency forward contract | £ | 238 | | | | 312 | | | (315) | | | Derivative liabilities | | Foreign currency forward contract | € | 180 | | | | 210 | | | (212) | | | Derivative liabilities | | Foreign currency forward contract | € | 155 | | | | 181 | | | (182) | | | Derivative liabilities | | Foreign currency forward contract | CAD | 148 | | | | 107 | | | (109) | | | Derivative liabilities | | Foreign currency forward contract | NZD | 64 | | | | 37 | | | (37) | | | Derivative assets | | Foreign currency forward contract | NOK | 64 | | | | 6 | | | (6) | | | Derivative assets | | Foreign currency forward contract | AUD | 22 | | | | 15 | | | (15) | | | Derivative liabilities | | Total | | | | | | $ | 1,583 | | | $ | (1,596) | | | |
As of September 30, 2026 and December 31, 2025, the counterparties to each of the Company’s foreign currency forward contracts were Canadian Imperial Bank of Commerce or Royal Bank of Canada. Net realized and unrealized gains and losses on derivative instruments not designated as a qualifying hedge accounting relationship recognized by the Company for the three and nine months ended September 30, 2026 and 2025 is in the following location in the consolidated statements of operations:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | For the Three Months Ended September 30, | | For the Nine Months Ended September 30, | | Derivative Instrument | Statement Location | 2026 | | 2025 | | 2026 | | 2025 | | | | | | | | | | | | | | | Foreign currency forward contract | Net realized gains (losses) from foreign currency and other transactions | $ | 8 | | | $ | (12) | | | $ | 4 | | | $ | (21) | | | | | Foreign currency forward contract | Net unrealized gains (losses) from foreign currency and other transactions | $ | (4) | | | $ | 30 | | | $ | 28 | | | $ | (24) | | | |
Interest Rate Swaps
In connection with certain of the unsecured notes issued by the Company, the Company has entered into interest rate swaps to more closely align the interest rates of such liabilities with the Company’s investment portfolio, which consists primarily of floating rate loans. Under the interest rate swaps, the Company receives a fixed interest rate and pays a floating interest rate based on SOFR plus an applicable spread, as presented in the table below. The Company designated these interest rate swaps and the associated unsecured notes as qualifying fair value hedge accounting relationships. As of September 30, 2026, the counterparties to each of the Company’s interest rate swaps were JPMorgan Chase Bank, N.A., SMBC Capital Markets, Inc. or Wells Fargo Bank, N.A. As of December 31, 2025, the counterparties to each of the Company’s interest rate swaps were SMBC Capital Markets, Inc. or Wells Fargo Bank, N.A. Certain information related to the Company’s interest rate swaps as of September 30, 2026 is presented below.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Description | | Hedged Item | | Company Receives | | Company Pays | | Payment Frequency | | Maturity Date | | Notional Amount | | | | | | Interest rate swap | | January 2027 Notes | | 7.000 | % | | SOFR +2.5810% | | Monthly | | January 15, 2027 | | $ | 900 | | | | | | | Interest rate swap | | March 2029 Notes | | 5.875 | % | | SOFR +2.0227% | | Monthly | | March 1, 2029 | | $ | 1,000 | | | | | | | Interest rate swap | | July 2029 Notes | | 5.950 | % | | SOFR +1.6430% | | Monthly | | July 15, 2029 | | $ | 850 | | | | | | | Interest rate swap | | January 2030 Notes | | 5.550 | % | | SOFR +1.6995% | | Monthly | | January 15, 2030 | | $ | 800 | | | | | | | Interest rate swap | | September 2030 Notes | | 5.500 | % | | SOFR +1.7705% | | Monthly | | September 1, 2030 | | $ | 750 | | | | | | | Interest rate swap(1) | | January 2031 Notes | | 5.100 | % | | SOFR +1.7270% | | Monthly | | January 15, 2031 | | $ | 650 | | | | | | | Interest rate swap | | April 2031 Notes | | 5.250 | % | | SOFR +1.7217% | | Monthly | | April 12, 2031 | | $ | 750 | | | | | | | Interest rate swap | | March 2032 Notes | | 5.800 | % | | SOFR +1.6995% | | Monthly | | March 8, 2032 | | $ | 1,000 | | | | | | | Interest rate swap | | September 2033 Notes | | 6.250 | % | | SOFR +1.8525% | | Quarterly | | September 15, 2033 | | $ | 750 | | | | | | | | | | | | | | | | | | | | | | |
________________________________________
(1)In connection with the issuance of the January 2031 Notes, the Company entered into a forward-starting interest rate swap with an effective date of July 15, 2026.
See Note 5 for more information on the January 2027 Notes, the March 2029 Notes, the July 2029 Notes, the January 2030 Notes, the September 2030 Notes, the January 2031 Notes, the April 2031 Notes, the March 2032 Notes and the September 2033 Notes. As a result of the Company’s designation of the interest rate swaps as hedging instruments in qualifying fair value hedge accounting relationships, the Company is required to fair value the hedging instruments and the related hedged items, with the changes in the fair value of each being recorded in interest expense. The net loss related to the fair value hedges was approximately $1 and $1 for the three and nine months ended September 30, 2026, respectively, and net gain of approximately $0 and $2, respectively, for the comparable periods in 2025, which is included in “interest and credit facility fees” in the Company’s consolidated statements of operations. The balance sheet impact of fair valuing the interest rate swaps as of September 30, 2026 and December 31, 2025 is presented below:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | As of September 30, 2026 | | Derivative Instrument(1) | Hedged Item | Notional Amount | | Maturity Date | | Gross Amount of Recognized Assets | | Gross Amount of Recognized Liabilities | | Balance Sheet Location of Amounts | | Interest rate swap | January 2027 Notes | $ | 900 | | | January 15, 2027 | | $ | 1 | | | $ | — | | | Derivative assets | | Interest rate swap | March 2029 Notes | $ | 1,000 | | | March 1, 2029 | | — | | | (22) | | | Derivative liabilities | | Interest rate swap | July 2029 Notes | $ | 850 | | July 15, 2029 | | — | | | (12) | | | Derivative liabilities | | Interest rate swap | January 2030 Notes | $ | 800 | | | January 15, 2030 | | — | | | (24) | | | Derivative liabilities | | Interest rate swap | September 2030 Notes | $ | 750 | | | September 1, 2030 | | — | | | (30) | | | Derivative liabilities | | Interest rate swap | January 2031 Notes | $ | 650 | | | January 15, 2031 | | — | | | (37) | | | Derivative liabilities | | Interest rate swap | April 2031 Notes | $ | 750 | | | April 15, 2031 | | — | | | (40) | | | Derivative liabilities | | Interest rate swap | March 2032 Notes | $ | 1,000 | | | March 8, 2032 | | — | | | (36) | | | Derivative liabilities | | Interest rate swap | September 2033 Notes | $ | 750 | | September 15, 2033 | | — | | | (21) | | | Derivative liabilities | | Total | | | | | | | $ | 1 | | | $ | (222) | | | |
________________________________________
(1)The gross asset or liability related to the fair value of each interest rate swap was offset by a corresponding increase or decrease to the carry value of the related hedged item.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | As of December 31, 2025 | | Derivative Instrument(1) | Hedged Item | Notional Amount | | Maturity Date | | Gross Amount of Recognized Assets | | Gross Amount of Recognized Liabilities | | Balance Sheet Location of Amounts | | Interest rate swap | January 2027 Notes | $ | 900 | | | January 15, 2027 | | $ | 8 | | | $ | — | | | Derivative assets | | Interest rate swap | March 2029 Notes | $ | 1,000 | | | March 1, 2029 | | 13 | | | — | | | Derivative assets | | Interest rate swap | July 2029 Notes | $ | 850 | | | July 15, 2029 | | 25 | | | — | | | Derivative assets | | Interest rate swap | September 2030 Notes | $ | 750 | | | September 1, 2030 | | 7 | | | — | | | Derivative assets | | Interest rate swap | January 2031 Notes | $ | 650 | | | January 15, 2031 | | — | | | (4) | | | Derivative liabilities | | Interest rate swap | March 2032 Notes | $ | 1,000 | | | March 8, 2032 | | 28 | | | — | | | Derivative assets | | Total | | | | | | | $ | 81 | | | $ | (4) | | | | | | | | | | | | | | | |
________________________________________
(1)The gross asset or liability related to the fair value of each interest rate swap was offset by a corresponding increase or decrease to the carry value of the related hedged item.
|