| DERIVATIVE INSTRUMENTS |
6. DERIVATIVE INSTRUMENTS
The Fund 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 Fund’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 | 2,131,676 | | | $ | 15,263 | | | $ | (14,111) | | | Derivative assets | | Foreign currency forward contract | NOK | 663,664 | | | 68,997 | | | (68,932) | | | Derivative assets | | Foreign currency forward contract | € | 194,299 | | | 223,905 | | | (221,008) | | | Derivative assets | | Foreign currency forward contract | CAD | 185,355 | | | 133,893 | | | (131,713) | | | Derivative assets | | Foreign currency forward contract | € | 169,822 | | | 198,588 | | | (194,019) | | | Derivative assets | | Foreign currency forward contract | £ | 141,241 | | | 184,330 | | | (187,913) | | | Derivative liabilities | | Foreign currency forward contract | £ | 124,782 | | | 166,804 | | | (165,454) | | | Derivative assets | | Foreign currency forward contract | CAD | 83,572 | | | 59,719 | | | (58,805) | | | Derivative assets | | Foreign currency forward contract | £ | 78,523 | | | 104,768 | | | (104,092) | | | Derivative assets | | Foreign currency forward contract | € | 52,904 | | | 61,572 | | | (63,066) | | | Derivative liabilities | | Foreign currency forward contract | £ | 36,330 | | | 48,791 | | | (48,252) | | | Derivative assets | | Foreign currency forward contract | € | 33,571 | | | 37,786 | | | (38,871) | | | Derivative liabilities | | Foreign currency forward contract | DKK | 29,850 | | | 4,773 | | | (4,606) | | | Derivative assets | | Foreign currency forward contract | CAD | 25,886 | | | 19,191 | | | (19,736) | | | Derivative liabilities | | Foreign currency forward contract | NOK | 23,661 | | | 2,461 | | | (2,458) | | | Derivative assets | | Foreign currency forward contract | NZD | 16,239 | | | 9,447 | | | (9,158) | | | Derivative assets | | Foreign currency forward contract | € | 13,416 | | | 16,255 | | | (15,656) | | | Derivative assets | | Foreign currency forward contract | AUD | 12,882 | | | 8,525 | | | (8,993) | | | Derivative liabilities | | Foreign currency forward contract | JPY | 10,606 | | | 73 | | | (76) | | | Derivative liabilities | | Foreign currency forward contract | £ | 10,499 | | | 14,032 | | | (14,291) | | | Derivative liabilities | | Foreign currency forward contract | SEK | 8,501 | | | 881 | | | (850) | | | Derivative assets | | Foreign currency forward contract | CAD | 7,204 | | | 5,360 | | | (5,189) | | | Derivative assets | | Foreign currency forward contract | AUD | 4,178 | | | 2,909 | | | (2,895) | | | Derivative assets | | Foreign currency forward contract | AUD | 3,544 | | | 2,362 | | | (2,262) | | | Derivative assets | | Foreign currency forward contract | CHF | 1,000 | | | 1,241 | | | (1,200) | | | Derivative assets | | Foreign currency forward contract | AUD | 932 | | | 607 | | | (645) | | | Derivative liabilities | | Foreign currency forward contract | £ | 760 | | | 999 | | | (1,009) | | | Derivative liabilities | | Foreign currency forward contract | DKK | 441 | | | 68 | | | (67) | | | Derivative assets | | Total | | | | $ | 1,393,600 | | | $ | (1,385,327) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 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 | 2,121,070 | | | $ | 15,194 | | | $ | (14,236) | | | Derivative assets | | Foreign currency forward contract | NOK | 663,462 | | | 66,170 | | | (65,756) | | | Derivative assets | | Foreign currency forward contract | € | 218,252 | | | 252,724 | | | (260,094) | | | Derivative liabilities | | Foreign currency forward contract | € | 214,349 | | | 247,926 | | | (254,969) | | | Derivative liabilities | | Foreign currency forward contract | £ | 174,946 | | | 228,742 | | | (234,672) | | | Derivative liabilities | | Foreign currency forward contract | CAD | 118,019 | | | 84,912 | | | (87,292) | | | Derivative liabilities | | Foreign currency forward contract | £ | 62,246 | | | 81,554 | | | (83,459) | | | Derivative liabilities | | Foreign currency forward contract | CAD | 59,479 | | | 44,252 | | | (43,960) | | | Derivative assets | | Foreign currency forward contract | € | 51,083 | | | 60,185 | | | (59,969) | | | Derivative assets | | Foreign currency forward contract | NOK | 47,388 | | | 4,513 | | | (4,696) | | | Derivative liabilities | | Foreign currency forward contract | £ | 36,330 | | | 48,791 | | | (48,615) | | | Derivative assets | | Foreign currency forward contract | DKK | 29,850 | | | 4,773 | | | (4,822) | | | Derivative liabilities | | Foreign currency forward contract | £ | 26,695 | | | 35,977 | | | (35,811) | | | Derivative assets | | Foreign currency forward contract | £ | 25,800 | | | 34,628 | | | (34,479) | | | Derivative assets | | Foreign currency forward contract | € | 25,014 | | | 29,713 | | | (29,675) | | | Derivative assets | | Foreign currency forward contract | CAD | 23,894 | | | 17,161 | | | (17,442) | | | Derivative liabilities | | Foreign currency forward contract | € | 10,731 | | | 12,964 | | | (13,009) | | | Derivative liabilities | | Foreign currency forward contract | AUD | 9,518 | | | 6,165 | | | (6,327) | | | Derivative liabilities | | Foreign currency forward contract | JPY | 5,303 | | | 36 | | | (37) | | | Derivative liabilities | | Foreign currency forward contract | AUD | 4,398 | | | 2,883 | | | (2,927) | | | Derivative liabilities | | Foreign currency forward contract | NZD | 3,800 | | | 2,304 | | | (2,205) | | | Derivative assets | | Foreign currency forward contract | € | 2,685 | | | 3,291 | | | (3,254) | | | Derivative assets | | Foreign currency forward contract | AUD | 1,328 | | | 885 | | | (884) | | | Derivative assets | | Foreign currency forward contract | £ | 760 | | | 999 | | | (1,017) | | | Derivative liabilities | | Foreign currency forward contract | NZD | 440 | | | 254 | | | (255) | | | Derivative liabilities | | Foreign currency forward contract | CHF | 373 | | | 471 | | | (472) | | | Derivative liabilities | | Total | | | | $ | 1,287,467 | | | $ | (1,310,334) | | | |
As of September 30, 2026 and December 31, 2025, the counterparties to each of the Fund’s foreign currency forward contracts were Canadian Imperial Bank of Commerce, SMBC Capital Markets, Inc. or Wells Fargo Bank, N.A.
Net realized and unrealized gains and losses on derivative instruments not designated as a qualifying hedge accounting relationship recognized by the Fund for the three and nine months ended September 30, 2026 and 2025 are in the following locations 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) on foreign currency transactions and other transactions | $ | 10,619 | | | $ | (5,411) | | | $ | (1,370) | | | $ | (17,732) | | | | | Foreign currency forward contract | Net unrealized gains (losses) on foreign currency transactions and other transactions | $ | (8,444) | | | $ | 15,624 | | | $ | 31,140 | | | $ | (30,418) | | | | | | | | | | | | | | |
Interest Rate Swaps
In connection with the Unsecured Notes, the Fund has entered into interest rate swaps to more closely align the interest rates of such liabilities with the Fund’s investment portfolio, which consists primarily of floating rate loans. Under the interest rate swaps, the Fund 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 Fund designated these interest rate swaps and the Unsecured Notes as qualifying fair value hedge accounting relationships. As of September 30, 2026 and December 31, 2025, the counterparty to all of the Fund’s interest rate swaps was Wells Fargo Bank, N.A. Certain information related to the Fund’s interest rate swaps as of September 30, 2026 is presented below.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Description | | Hedged Item | | Fund Receives | | Fund Pays | | Payment Frequency | | Maturity Date | | Notional Amount | | Interest rate swap | | March 2028 Notes | | 5.700 | % | | SOFR +1.6485% | | Monthly | | March 15, 2028 | | $ | 1,000,000 | | | Interest rate swap | | September 2028 Notes | | 5.450 | % | | SOFR +1.7465% | | Monthly | | September 9, 2028 | | $ | 600,000 | | | Interest rate swap | | January 2029 Notes | | 4.850 | % | | SOFR +1.6220% | | Monthly | | January 15, 2029 | | $ | 600,000 | | | Interest rate swap | | August 2029 Notes | | 6.350 | % | | SOFR +2.2080% | | Monthly | | August 15, 2029 | | $ | 700,000 | | | Interest rate swap | | February 2030 Notes | | 5.600 | % | | SOFR +2.3020% | | Monthly | | February 15, 2030 | | $ | 750,000 | | | Interest rate swap | | September 2030 Notes | | 5.800 | % | | SOFR +2.0490% | | Monthly | | September 9, 2030 | | $ | 500,000 | | | Interest rate swap(1) | | January 2031 Notes | | 5.150 | % | | SOFR +1.9460% | | Monthly | | January 15, 2031 | | $ | 500,000 | | | Interest rate swap | | April 2031 Notes | | 5.550 | % | | SOFR +1.8750% | | Monthly | | April 15, 2031 | | $ | 700,000 | | | Interest rate swap | | March 2032 Notes | | 6.200 | % | | SOFR +1.8290% | | Monthly | | March 21, 2032 | | $ | 750,000 | |
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(1)In connection with the issuance of the January 2031 Notes, the Fund entered into a forward-starting interest rate swap, with an effective date of July 15, 2026.
See Note 5 for more information on the Unsecured Notes.
As a result of the Fund’s designation of the interest rate swaps as hedging instruments in qualifying fair value hedge accounting relationships, the Fund 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.
For the three and nine months ended September 30, 2026 and 2025, the net gain (loss) from the Fund’s qualifying fair value hedge relationships included in “interest and credit facility fees” in the Fund’s consolidated statements of operations was as follows.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | For the Three Months Ended September 30, | | For the Nine Months Ended September 30, | | | 2026 | | 2025 | | 2026 | | 2025 | | | | Net gain (loss) from fair value hedge relationships | $ | (1,345) | | | $ | 118 | | | $ | (2,026) | | | $ | 1,878 | | | | | | | | | | | | | | |
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 Net Amounts | | Interest rate swap | March 2028 Notes | $ | 1,000,000 | | | March 15, 2028 | | $ | — | | | $ | (9,078) | | | Derivative liabilities | | Interest rate swap | September 2028 Notes | $ | 600,000 | | | September 9, 2028 | | — | | | (12,170) | | | Derivative liabilities | | Interest rate swap | January 2029 Notes | $ | 600,000 | | | January 15, 2029 | | — | | | (20,570) | | | Derivative liabilities | | Interest rate swap | August 2029 Notes | $ | 700,000 | | | August 15, 2029 | | — | | | (13,091) | | | Derivative liabilities | | Interest rate swap | February 2030 Notes | $ | 750,000 | | | February 15, 2030 | | — | | | (36,198) | | | Derivative liabilities | | Interest rate swap | September 2030 Notes | $ | 500,000 | | | September 9, 2030 | | — | | | (19,623) | | | Derivative liabilities | | Interest rate swap | January 2031 Notes | $ | 500,000 | | | January 15, 2031 | | — | | | (31,724) | | | Derivative liabilities | | Interest rate swap | April 2031 Notes | $ | 700,000 | | | April 15, 2031 | | — | | | (33,240) | | | Derivative liabilities | | Interest rate swap | March 2032 Notes | $ | 750,000 | | | March 21, 2032 | | — | | | (17,639) | | | Derivative liabilities | | Total | | | | | | | $ | — | | | $ | (193,333) | | | |
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(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 carrying 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 Net Amounts | | Interest rate swap | March 2028 Notes | $ | 1,000,000 | | | March 15, 2028 | | $ | 14,461 | | | $ | — | | | Derivative assets | | Interest rate swap | September 2028 Notes | $ | 600,000 | | | September 9, 2028 | | 4,677 | | | — | | | Derivative assets | | Interest rate swap | January 2029 Notes | $ | 600,000 | | | January 15, 2029 | | — | | | (3,021) | | | Derivative liabilities | | Interest rate swap | August 2029 Notes | $ | 700,000 | | | August 15, 2029 | | 16,585 | | | — | | | Derivative assets | | Interest rate swap | February 2030 Notes | $ | 750,000 | | | February 15, 2030 | | — | | | (5,199) | | | Derivative liabilities | | Interest rate swap | September 2030 Notes | $ | 500,000 | | | September 9, 2030 | | 5,239 | | | — | | | Derivative assets | | Interest rate swap | January 2031 Notes | $ | 500,000 | | | January 15, 2031 | | — | | | (6,380) | | | Derivative liabilities | | Interest rate swap | March 2032 Notes | $ | 750,000 | | | March 21, 2032 | | 31,646 | | | — | | | Derivative assets | | Total | | | | | | | $ | 72,608 | | | $ | (14,600) | | | |
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(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 carrying value of the related hedged item.
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