Blue Owl Capital Corp
For the period ended Jun 30, 2026. Filed Aug 5, 2026.
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A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Jun 30, 2026 · Filed Aug 5, 2026
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Item 4.
Note 6. Fair Value of Investments
Investments
The tables below present the fair value hierarchy of investments as of the following periods:
| Level 1 | Level 2 | Level 3 | Total | |
|---|---|---|---|---|
| Cash (including restricted and foreign cash) | $238,049 | $— | $— | $238,049 |
| Investments: | ||||
| First-lien senior secured debt investments | $— | $44,279 | $10,893,570 | $10,937,849 |
| Second-lien senior secured debt investments | — | — | 674,223 | 674,223 |
| Unsecured debt investments | — | — | 377,224 | 377,224 |
| Specialty finance debt investments | — | — | 171,254 | 171,254 |
| Preferred equity investments | — | — | 262,536 | 262,536 |
| Common equity investments | 23,906 | 4,320 | 556,928 | 585,154 |
| Specialty finance equity investments | — | — | 1,011,942 | 1,011,942 |
| Subtotal | 23,906 | 48,599 | 13,947,677 | 14,020,182 |
| Investments measured at NAV(1) | — | — | — | 934,867 |
| Total Investments at Fair Value | $23,906 | $48,599 | $13,947,677 | $14,955,049 |
| Derivatives: | ||||
| Derivative assets | $— | $5,918 | $— | $5,918 |
| Derivative liabilities | $— | $6,772 | $— | $6,772 |
(1)Includes investments in Credit SLF, LSI Financing LLC, BOCSO, Blue Owl Leasing and Owl-HP Finance which are measured at fair value using the NAV per share (or its equivalent) as a practical expedient and has not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Consolidated Statements of Assets and Liabilities.
| Level 1 | Level 2 | Level 3 | Total | |
|---|---|---|---|---|
| Cash (including restricted and foreign cash) | $568,542 | $— | $— | $568,542 |
| Investments: | ||||
| First-lien senior secured debt investments | $— | $39,027 | $12,009,907 | $12,048,934 |
| Second-lien senior secured debt investments | — | 47,294 | 801,281 | 848,575 |
| Unsecured debt investments | — | — | 399,962 | 399,962 |
| Specialty finance debt investments | — | — | 157,297 | 157,297 |
| Preferred equity investments | — | — | 568,977 | 568,977 |
| Common equity investments | — | 6,555 | 520,542 | 527,097 |
| Specialty finance equity investments | — | — | 1,114,178 | 1,114,178 |
| Subtotal | — | 92,876 | 15,572,144 | 15,665,020 |
| Investments measured at NAV(1) | — | — | — | 805,873 |
| Total Investments at fair value | $— | $92,876 | $15,572,144 | $16,470,893 |
| Derivatives: | ||||
| Derivative assets | $— | $3,123 | $— | $3,123 |
| Derivative liabilities | $— | $793 | $— | $793 |
(1)Includes investments in Credit SLF, LSI Financing LLC, BOCSO and Blue Owl Leasing which are measured at fair value using the NAV per share (or its equivalent) as a practical expedient and has not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Consolidated Statements of Assets and Liabilities.
The tables below present the changes in the fair value of investments for which Level 3 inputs were used to determine the fair value as of and for the following periods:
| As of and for the Three Months Ended June 30, 2026 | ||||||||
|---|---|---|---|---|---|---|---|---|
| Debt Investments · Equity Investments | ||||||||
| First-Lien Senior Secured | Second-Lien Senior Secured | Unsecured | Specialty Finance | Preferred | Common | Specialty Finance | Total | |
| Fair value, beginning of period | $11,003,920 | $730,176 | $369,374 | $159,598 | $536,853 | $537,854 | $1,011,324 | $14,349,099 |
| Purchases of investments, net | 454,452 | — | — | 11,887 | — | 3,154 | 5,389 | 474,882 |
| Payment-in-kind | 15,911 | 2,030 | 10,220 | 327 | 13,583 | 287 | — | 42,358 |
| Proceeds from investments, net | (532,518) | (24,953) | (2,044) | (558) | (255,892) | (353) | (1,485) | (817,803) |
| Net change in unrealized gain (loss) | (47,395) | (68,508) | (648) | (11) | (35,397) | 33,099 | (3,286) | (122,146) |
| Net realized gain (loss) | (2,859) | (8,648) | 216 | — | (50) | (2,377) | — | (13,718) |
| Net amortization/accretion of discount/premium on investments | 11,026 | 945 | 106 | 11 | 3,439 | — | — | 15,527 |
| Transfers between investment types | — | — | — | — | — | — | — | — |
| Transfers into (out of) Level 3(1) | (8,967) | 43,181 | — | — | — | (14,736) | — | 19,478 |
| Fair Value, End of Period | $10,893,570 | $674,223 | $377,224 | $171,254 | $262,536 | $556,928 | $1,011,942 | $13,947,677 |
(1)Transfers between levels, if any, are recognized at the beginning of the period in which the transfers occur. For the three months ended June 30, 2026, transfers into/(out of) Level 3 were as a result of changes in the observability of significant inputs for certain portfolio companies.
The tables below present the changes in the fair value of investments for which Level 3 inputs were used to determine the fair value as of and for the following periods:
| As of and for the Six Months Ended June 30, 2026 | ||||||||
|---|---|---|---|---|---|---|---|---|
| Debt Investments · Equity Investments | ||||||||
| First-Lien Senior Secured | Second-Lien Senior Secured | Unsecured | Specialty Finance | Preferred | Common | Specialty Finance | Total | |
| Fair value, beginning of period | $12,009,907 | $801,281 | $399,962 | $157,297 | $568,977 | $520,542 | $1,114,178 | $15,572,144 |
| Purchases of investments, net | 804,632 | 1 | — | 11,887 | 976 | 15,222 | 8,117 | 840,835 |
| Payment-in-kind | 32,258 | 4,047 | 21,853 | 2,913 | 23,331 | 565 | — | 84,967 |
| Proceeds from investments, net | (1,819,971) | (41,676) | (41,400) | (843) | (292,441) | (1,416) | (102,542) | (2,300,289) |
| Net change in unrealized gain (loss) | (101,368) | (130,487) | (5,859) | (23) | (22,270) | 69,681 | (7,811) | (198,137) |
| Net realized gain (loss) | (58,263) | (8,503) | 2,471 | — | (20,027) | (26,145) | — | (110,467) |
| Net amortization/accretion of discount/premium on investments | 26,920 | 2,266 | 197 | 23 | 3,990 | — | — | 33,396 |
| Transfers between investment types | (158) | — | — | — | — | 158 | — | — |
| Transfers into (out of) Level 3(1) | (387) | 47,294 | — | — | — | (21,679) | — | 25,228 |
| Fair Value, End of Period | $10,893,570 | $674,223 | $377,224 | $171,254 | $262,536 | $556,928 | $1,011,942 | $13,947,677 |
(1)Transfers between levels, if any, are recognized at the beginning of the period in which the transfers occur. For the six months ended June 30, 2026, transfers into/(out of) Level 3 were as a result of changes in the observability of significant inputs for certain portfolio companies.
| As of and for the Three Months Ended June 30, 2025 | ||||||||
|---|---|---|---|---|---|---|---|---|
| Debt Investments · Equity Investments | ||||||||
| First-Lien Senior Secured | Second-Lien Senior Secured | Unsecured | Specialty Finance | Preferred | Common | Specialty Finance | Total | |
| Fair value, beginning of period | $13,534,635 | $846,978 | $377,711 | $121,603 | $543,191 | $634,300 | $937,195 | $16,995,613 |
| Purchases of investments, net | 478,573 | 148,500 | — | 9,813 | 2,909 | 4,401 | 68,832 | 713,028 |
| Payment-in-kind | 16,011 | 8,974 | 10,918 | 729 | 16,928 | 265 | — | 53,825 |
| Proceeds from investments, net | (1,379,333) | (122,716) | (24,233) | — | (4,982) | (77,386) | (2,395) | (1,611,045) |
| Net change in unrealized gain (loss) | (86,522) | (13,996) | 9,168 | 21 | (4,974) | (18,953) | 29,045 | (86,211) |
| Net realized gains (losses) | 4,410 | — | 641 | — | 49 | 22,218 | — | 27,318 |
| Net amortization/accretion of discount/premium on investments | 35,042 | 3,547 | 488 | 7 | 666 | — | — | 39,750 |
| Transfers into (out of) Level 3(1) | (3,847) | (7,620) | — | — | — | — | — | (11,467) |
| Fair Value, End of Period | $12,598,969 | $863,667 | $374,693 | $132,173 | $553,787 | $564,845 | $1,032,677 | $16,120,811 |
(1)Transfers between levels, if any, are recognized at the beginning of the period in which the transfers occur. For the three months ended June 30, 2025, transfers into/(out of) Level 3 were as a result of changes in the observability of significant inputs for certain portfolio companies.
| As of and for the Six Months Ended June 30, 2025 | ||||||||
|---|---|---|---|---|---|---|---|---|
| Debt Investments · Equity Investments | ||||||||
| First-Lien Senior Secured | Second-Lien Senior Secured | Unsecured | Specialty Finance | Preferred | Common | Specialty Finance | Total | |
| Fair value, beginning of period | $9,796,885 | $660,060 | $301,956 | $90,735 | $366,973 | $550,886 | $799,766 | $12,567,261 |
| Purchases of investments, net | 1,202,373 | 141,009 | — | 25,594 | 46,930 | 4,386 | 119,215 | 1,539,507 |
| Payment-in-kind | 40,649 | 15,504 | 23,469 | 743 | 26,153 | 522 | — | 107,040 |
| Proceeds from investments, net | (1,883,856) | (129,182) | (33,743) | — | (15,358) | (77,371) | (5,464) | (2,144,974) |
| Net change in unrealized gain (loss) | (23,419) | 87,300 | 17,431 | 309 | (1,254) | (16,295) | 42,804 | 106,876 |
| Net realized gains (losses) | (6,545) | (102,791) | (1,212) | — | 152 | 22,218 | 1,119 | (87,059) |
| Net amortization of discount on investments | 51,130 | 4,486 | 628 | 13 | 1,309 | — | — | 57,566 |
| Transfers into (out of) Level 3(1) | (29,148) | 9,746 | — | — | — | (3,091) | — | (22,493) |
| Transfers in from the OBDE Mergers | 3,450,900 | 177,535 | 66,164 | 14,779 | 128,882 | 83,590 | 75,237 | 3,997,087 |
| Fair Value, End of Period | $12,598,969 | $863,667 | $374,693 | $132,173 | $553,787 | $564,845 | $1,032,677 | $16,120,811 |
(1)Transfers into (out of) Level 3 were a result of an investment measured at net asset value which is no longer categorized within the fair value hierarchy.
The tables below present the net change in unrealized gains on investments for which Level 3 inputs were used in determining the fair value that are still held by the Company for the following periods:
| Net Change in Unrealized Gain (Loss) for the Three Months Ended June 30, 2026 on Investments Held at June 30, 2026 | Net Change in Unrealized Gain (Loss) for the Three Months Ended June 30, 2025 on Investments Held at June 30, 2025 | |
|---|---|---|
| First-lien senior secured debt investments | $(49,105) | $(91,669) |
| Second-lien senior secured debt investments | (68,508) | (34,067) |
| Unsecured debt investments | (648) | 9,168 |
| Specialty finance debt investments | (11) | 21 |
| Preferred equity investments | (11,918) | (4,973) |
| Common equity investments | 31,234 | (18,939) |
| Specialty finance equity investments | (3,286) | 29,029 |
| Total Investments | $(102,242) | $(111,430) |
| Net Change in Unrealized Gain (Loss) for the Six Months Ended June 30, 2026 on Investments Held at June 30, 2026 | Net Change in Unrealized Gain (Loss) for the Six Months Ended June 30, 2025 on Investments Held at June 30, 2025 | |
|---|---|---|
| First-lien senior secured debt investments | $(150,437) | $(40,510) |
| Second-lien senior secured debt investments | (130,487) | (16,898) |
| Unsecured debt investments | (5,859) | 17,431 |
| Specialty finance debt investments | (23) | 311 |
| Preferred equity investments | (40,677) | (1,254) |
| Common equity investments | 44,314 | 15,269 |
| Specialty finance equity investments | (7,811) | 42,788 |
| Total Investments | $(290,980) | $17,137 |
The following tables present quantitative information about the significant unobservable inputs of the Company’s Level 3 investments as of the following periods. The weighted average range of unobservable inputs is based on fair value of investments. The tables are not intended to be all-inclusive but instead capture the significant unobservable inputs relevant to the Company’s determination of fair value.
| As of June 30, 2026 | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Fair Value · Valuation Technique · Unobservable Input · Range (Weighted Average) · Impact to Valuation from an Increase in Input | |||||||||
| First-lien senior secured debt investments | $10,556,228 | Yield Analysis | Market Yield | 7.1% - 23.8% (10.4%) | Decrease | ||||
| 179,499 | Transaction | Transaction Price | 98.5% - 99.6% (99.3%) | Increase | |||||
| 157,843 | Recovery Analysis | Recovery Rate | 0.0% - 100.0% (46.0%) | Increase | |||||
| Second-lien senior secured debt investments | $667,573 | Yield Analysis | Market Yield | 10.5% - 47.0% (22.6%) | Decrease | ||||
| 6,650 | Recovery Analysis | Recovery Rate | 5.0% - 5.0% (5.0%) | Increase | |||||
| Unsecured debt investments | $367,642 | Yield Analysis | Market Yield | 5.4% - 22.5% (13.8%) | Decrease | ||||
| 9,582 | Market Approach | EBITDA Multiple | 12.0x - 12.0x (12.0x) | Decrease | |||||
| Specialty finance debt investments | $171,254 | Yield Analysis | Market Yield | 12.3% - 12.3% (12.3%) | Decrease | ||||
| Preferred equity investments | $246,278 | Yield Analysis | Market Yield | 12.9% - 53.5% (23.8%) | Decrease | ||||
| 16,000 | Market Approach | EBITDA Multiple | 9.5x - 9.5x (9.5x) | Decrease | |||||
| 258 | Market Approach | Revenue Multiple | 13.3x - 13.3x (13.3x) | Increase | |||||
| Common equity investments | $478,092 | Market Approach | EBITDA Multiple | 4.0x - 27.8x (7.9x) | Decrease | ||||
| 45,892 | Market Approach | Revenue Multiple | 5.0x - 47.5x (11.1x) | Increase | |||||
| 8,485 | Transaction | Transaction Price | 18.0% - 200.2% (149.2%) | Increase | |||||
| 14,618 | Yield Analysis | Market Yield | 8.4% - 8.4% (8.4%) | Decrease | |||||
| 8,979 | Market Approach | Market Adjustment Factor | (13.1)% - 26.3% (6.0%) | Increase | |||||
| 694 | Option Pricing Model | Volatility | 60.0% - 70.0% (70.0%) | Increase | |||||
| 168 | Market Approach | Gross Profit Multiple | 9.3x - 9.3x (9.3x) | Increase | |||||
| Specialty finance equity investments | $607,054 | Market Approach | Book Multiple | 1.2x - 1.2x (1.2x) | Increase | ||||
| 302,656 | Market Approach | AUM Multiple | 1.0x - 1.0x (1.0x) | Increase | |||||
| 94,975 | Market Approach | Recovery Rate | 120.0% - 150.0% (140.0%) | Increase | |||||
| 5,196 | Yield Analysis | Market Yield | 11.8% - 11.8% (11.8%) | Decrease | |||||
| 2,061 | Discounted Cash Flow Analysis | Market Yield | 20.0% - 20.0% (20.0%) | Decrease | |||||
| Fair Value | Valuation Technique | Unobservable Input | Range (Weighted Average) | Impact to Valuation from an Increase in Input | |
|---|---|---|---|---|---|
| First-lien senior secured debt investments | $11,273,964 | Yield Analysis | Market Yield | 6.3% - 20.1% (9.6%) | Decrease |
| 536,599 | Recent Transaction | Transaction Price | 99.0% - 99.8% (99.3%) | Increase | |
| 199,344 | Collateral Analysis | Recovery Rate | 0.0% - 107.2% (59.5%) | Increase | |
| Second-lien senior secured debt investments | $801,281 | Yield Analysis | Market Yield | 9.7% - 62.4% (18.9%) | Decrease |
| Unsecured debt investments | $390,845 | Yield Analysis | Market Yield | 5.5% - 17.6% (12.6%) | Decrease |
| 9,117 | Market Approach | EBITDA Multiple | 12.0x - 12.0x (12.0x) | Increase | |
| Specialty finance debt investments | $157,297 | Yield Analysis | Market Yield | 11.6% - 11.6% (11.6%) | Decrease |
| Preferred equity investments | $559,595 | Yield Analysis | Market Yield | 11.6% - 35.3% (16.1%) | Decrease |
| 9,171 | Market Approach | EBITDA Multiple | 128.9x - 128.9x (128.9x) | Increase | |
| 211 | Market Approach | Revenue Multiple | 11.3x - 11.3x (11.3x) | Increase | |
| Common equity investments | $388,838 | Market Approach | EBITDA Multiple | 4.0x - 17.9x (7.7x) | Increase |
| 45,461 | Market Approach | Revenue Multiple | 6.3x - 13.0x (10.7x) | Increase | |
| 43,926 | Recent Transaction | Transaction Price | 100.0% - 100.0% (100.0%) | Increase | |
| 21,679 | Market Approach | Transaction Price | $96.84 - $96.84 ($96.84) | Increase | |
| 14,020 | Yield Analysis | Market Yield | 8.5% - 8.5% (8.5%) | Decrease | |
| 6,105 | Market Approach | Market Adjustment Factor | 0.0% - 0.0%(0.0%) | Increase | |
| 347 | Option Pricing Model | Volatility | 60.0% - 70.0% (70.0%) | Increase | |
| 166 | Market Approach | Gross Profit Multiple | 9.0x - 9.0x (9.0x) | Increase | |
| Specialty finance equity investments | $607,284 | Market Approach | EBITDA Multiple | 1.3x - 1.3x (1.3x) | Increase |
| 403,170 | Market Approach | AUM Multiple | 1.1x - 1.1x (1.1x) | Increase | |
| 94,930 | Market Approach | N/A(1) | N/A | N/A | |
| 6,657 | Yield Analysis | Market Yield | 11.5% - 11.5% (11.5%) | Decrease | |
| 2,137 | Discounted Cash Flow Analysis | Discounted Factor | 20.0% - 20.0% (20.0%) | Decrease |
(1)Fair value based on a weighting of the appraised value of the portfolio company’s underlying assets and their cost.
The Company typically determines the fair value of its performing Level 3 debt investments utilizing a yield analysis. In a yield analysis, a price is ascribed for each investment based upon an assessment of current and expected market yields for similar investments and risk profiles. Additional consideration is given to the expected life, portfolio company performance since close, and other terms and risks associated with an investment. Among other factors, a determinant of risk is the amount of leverage used by the portfolio company relative to its total enterprise value, and the rights and remedies of the Company’s investment within the portfolio company’s capital structure.
When the debtor is not performing or when there is insufficient value to cover the investment, the Company may utilize a net recovery approach to determine the fair value of debt investments in subject companies. A net recovery analysis typically consists of two steps. First, the total enterprise value for the subject company is estimated using standard valuation approaches, most commonly the market approach. Second, the fair value for each investment in the subject company is then estimated by allocating the subject company’s total enterprise value to the outstanding securities in the capital structure based upon various factors, including seniority, preferences, and other features if deemed relevant to each security in the capital structure.
Significant unobservable quantitative inputs typically used in the fair value measurement of the Company’s Level 3 debt investments primarily include current market yields, including relevant market indices, but may also include quotes from brokers, dealers, and pricing services as indicated by comparable investments. For the Company’s Level 3 equity investments, a market approach, based on comparable financial performance multiples such as publicly-traded company and comparable market transaction multiples of revenues, earnings before income taxes, depreciation and amortization (“EBITDA”), or some combination thereof and comparable market transactions typically would be used.
Debt Not Carried at Fair Value
Fair value is estimated by discounting remaining payments using applicable current market rates, which take into account changes in the Company’s marketplace credit ratings, or market quotes, if available. The table below presents the carrying and fair values of the Company’s debt obligations as of the following periods:
| As of June 30, 2026 | As of December 31, 2025 | |||||
|---|---|---|---|---|---|---|
| Net Carrying Value | Debt Issuance Costs | Fair Value | Net Carrying Value | Debt Issuance Costs | Fair Value | |
| Revolving Credit Facility | $71,376 | $(34,124) | $71,376 | $984,069 | $(27,931) | $984,069 |
| SPV Asset Facility II | 250,905 | (5,295) | 250,905 | 156,138 | (5,562) | 156,138 |
| SPV Asset Facility V | 426,088 | (4,412) | 426,088 | 378,999 | (5,001) | 378,999 |
| SPV Asset Facility VI | 306,470 | (3,530) | 306,470 | 295,959 | (4,041) | 295,959 |
| SPV Asset Facility VII | — | — | — | 208,399 | (1,601) | 208,399 |
| CLO I | — | — | — | 386,511 | (3,489) | 386,511 |
| CLO III | 258,362 | (1,638) | 258,362 | 258,273 | (1,727) | 258,273 |
| CLO IV | 217,166 | (2,782) | 217,166 | 272,117 | (3,346) | 272,117 |
| CLO V | 507,686 | (1,939) | 507,686 | 507,563 | (2,062) | 507,563 |
| CLO VII | 328,459 | (2,041) | 328,459 | 328,373 | (2,127) | 328,373 |
| CLO X | 270,167 | (1,833) | 270,167 | 270,203 | (1,797) | 270,203 |
| CLO XIV | — | — | — | 258,422 | (1,578) | 258,422 |
| 2026 Notes | — | — | — | 499,909 | (91) | 498,750 |
| July 2026 Notes | 999,803 | (197) | 1,000,000 | 997,283 | (2,717) | 992,500 |
| 2027 Notes | 489,826 | (9,073) | 492,500 | 483,987 | (2,117) | 488,750 |
| April 2027 Notes | 324,335 | (665) | 320,125 | 323,922 | (1,078) | 317,688 |
| July 2027 Notes | 249,038 | (962) | 250,000 | 248,611 | (1,389) | 250,000 |
| 2028 Notes | 844,749 | (5,251) | 805,375 | 843,451 | (6,549) | 803,250 |
| June 2028 Notes | 99,531 | (469) | 100,000 | 99,415 | (585) | 100,000 |
| September 2028 Notes | 393,582 | (2,861) | 404,000 | — | — | — |
| 2029 Notes | 986,672 | (6,965) | 1,000,000 | 1,002,667 | (8,373) | 1,010,000 |
| 2030 Notes | 486,848 | (9,041) | 498,750 | 495,805 | (10,025) | 506,250 |
| 2031 Notes | 392,470 | (8,694) | 398,000 | — | — | — |
| Total Debt | $7,903,533 | $(101,772) | $7,905,429 | $9,300,076 | $(93,186) | $9,272,214 |
The below table presents the fair value measurements of the Company’s debt obligations as of the following periods:
| As of June 30, 2026 | As of December 31, 2025 | |
|---|---|---|
| Level 1 | $— | $— |
| Level 2 | 5,268,750 | 4,967,188 |
| Level 3 | 2,636,679 | 4,305,026 |
| Total Debt | $7,905,429 | $9,272,214 |
Financial Instruments Not Carried at Fair Value
As of June 30, 2026 and December 31, 2025, the carrying amounts of the Company’s other assets and liabilities approximate fair value due to their short maturities. These financial instruments would be categorized as Level 3 within the hierarchy.
Note 7. Derivative Instruments
The Company enters into derivative instruments from time to time to help mitigate its foreign currency and interest rate risk exposures. See “Note 6 – Fair Value of Investments” for additional disclosures related to the fair value hierarchy for derivative instruments.
The table below presents the fair value and notional value of the derivative assets and liabilities for the following periods:
| As of June 30, 2026 · As of December 31, 2025 | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Counterparty · Notional Amount · Assets · Liabilities · Notional Amount · Assets · Liabilities | |||||||||||||
| Derivatives designated as hedges: | |||||||||||||
| Interest Rate Swap 2027 Notes | Deutsche Bank AG | $500,000 | $— | $(1,128) | $500,000 | $— | $(13,370) | ||||||
| Interest Rate Swap 2030 Notes | Deutsche Bank AG | $500,000 | — | (4,353) | $500,000 | 5,663 | — | ||||||
| — | (5,481) | 5,663 | (13,370) | ||||||||||
| Interest Rate Swap 2029 Notes | Goldman Sachs Bank USA | $600,000 | — | (6,739) | $600,000 | 3,645 | — | ||||||
| Interest Rate Swap 2029 Notes | Goldman Sachs Bank USA | $400,000 | — | (295) | $400,000 | 7,185 | — | ||||||
| — | (7,034) | 10,830 | — | ||||||||||
| Interest Rate Swap September 2028 Notes | Royal Bank of Canada | $400,000 | — | (3,644) | |||||||||
| Interest Rate Swap 2031 Notes | SMBC Capital Markets, Inc. | $400,000 | 1,147 | — | |||||||||
| Total Derivatives Designated as Hedges(1)(2) | $1,147 | $(16,159) | $16,493 | $(13,370) | |||||||||
| Derivatives not designated as hedges: | |||||||||||||
| Foreign currency forward contract GBP | Goldman Sachs Bank USA | £86,225 | $116,749 | $(114,351) | £94,190 | $126,248 | $(126,916) | ||||||
| Foreign currency forward contract EUR | Goldman Sachs Bank USA | €208,670 | 247,519 | (238,521) | €208,670 | 247,528 | (247,272) | ||||||
| Foreign currency forward contract AUD | Goldman Sachs Bank USA | A$2,080 | 1,491 | (1,439) | A$2,580 | 1,685 | (1,722) | ||||||
| Foreign currency forward contract EUR | Goldman Sachs Bank USA | $16,376 | 16,376 | (16,636) | |||||||||
| Foreign currency forward contract GBP | Goldman Sachs Bank USA | $1,474 | 1,474 | (1,515) | |||||||||
| $383,609 | $(372,462) | $375,461 | $(375,910) | ||||||||||
| Foreign currency forward contract GBP | SMBC Capital Markets, Inc. | £14,775 | 20,016 | (19,595) | £14,775 | 19,549 | (19,908) | ||||||
| Foreign currency forward contract EUR | SMBC Capital Markets, Inc. | €5,301 | 6,296 | (6,059) | €5,301 | 6,296 | (6,281) | ||||||
| 26,312 | (25,654) | 25,845 | (26,189) | ||||||||||
| Foreign currency forward contract CAD | Royal Bank of Canada | C$2,967 | 2,186 | (2,101) | |||||||||
| Foreign currency forward contract CAD | Royal Bank of Canada | C$111,549 | 81,237 | (78,969) | |||||||||
| 83,423 | (81,070) | — | — | ||||||||||
| Total Derivatives not Designated as Hedges | $493,344 | $(479,186) | $401,306 | $(402,099) | |||||||||
(1)The net fair value of the derivatives designated as hedges is recorded in prepaid expenses and other assets or accrued expenses and other liabilities in the Consolidated Statements of Assets and Liabilities.
(2)The Company’s unsecured notes, that are designated in a qualifying hedging relationship, had carrying value of $2.75 billion and $1.98 billion, net of the related cumulative hedging adjustments that represented an increase (decrease) to the carrying value of the notes of $(14.0) million and $3.0 million as of June 30, 2026 and December 31, 2025, respectively.
The tables below present net unrealized gains and losses on effective interest rate swaps and hedged items included in interest expense for the following periods:
| Three Months Ended June 30, 2026 · Six Months Ended June 30, 2026 | |||||||
|---|---|---|---|---|---|---|---|
| Interest Rate Swaps · Hedged Items · Net · Interest Rate Swaps · Hedged Items · Net | |||||||
| Derivatives designated as hedges: | |||||||
| Interest rate swaps 2027 Notes | $(302) | $287 | $(15) | $(892) | $984 | $92 | |
| Interest rate swaps 2030 Notes | (6,386) | 6,352 | (34) | (10,016) | 9,941 | (75) | |
| Interest rate swaps 2029 Notes | (6,134) | 6,067 | (67) | (10,384) | 9,865 | (519) | |
| Interest rate swaps 2029 Notes | (4,306) | 4,399 | 93 | (7,480) | 7,538 | 58 | |
| Interest Rate Swap 2028 Notes | (3,644) | 3,557 | (87) | (3,644) | 3,557 | (87) | |
| Interest Rate Swap 2031 Notes | 1,147 | (1,164) | (17) | 1,147 | (1,164) | (17) | |
| Net Change in Unrealized Gain (Loss) on Interest Rate Swaps and Hedged Items(1) | $(127) | $(548) | |||||
(1) Recorded and recognized as components of interest expense in the Consolidated Statements of Operations.
On January 15, 2026, the centrally cleared interest rate swap hedging the 2027 Notes with the notional amount of $500 million was terminated and replaced with a bilateral interest rate swap with identical notional, fixed rate and termination date. See “Note 5— Debt” for more details.
| Three Months Ended June 30, 2025 · Six Months Ended June 30, 2025 | |||||||
|---|---|---|---|---|---|---|---|
| Interest Rate Swaps · Hedged Items · Net · Interest Rate Swaps · Hedged Items · Net | |||||||
| Derivatives designated as hedges: | |||||||
| Interest rate swaps 2027 Notes | $4,432 | $(4,551) | $(119) | $10,762 | $(8,611) | $2,151 | |
| Interest rate swaps 2030 Notes | 6,424 | (6,434) | (10) | 6,424 | (6,434) | (10) | |
| Interest rate swaps 2029 Notes | 4,678 | (4,759) | (81) | 13,501 | (13,105) | 396 | |
| Interest rate swaps 2029 Notes | 2,976 | (3,046) | (70) | 8,812 | (9,004) | (192) | |
| Net Change in Unrealized Gain (Loss) on Interest Rate Swaps and Hedged Items(1) | $(280) | $2,345 | |||||
(1) Recorded and recognized as components of interest expense in the Consolidated Statements of Operations.
The table below presents net change in unrealized gains and losses on derivative instruments not designated as a qualifying hedge accounting relationship recognized by the Company for the following periods:
| For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||
|---|---|---|---|---|
| 2026 | 2025 | 2026 | 2025 | |
| Derivatives not designated as hedges: | ||||
| Foreign currency forward contract GBP | $1,073 | $(1,223) | $3,805 | $(1,223) |
| Foreign currency forward contract AUD | 109 | (11) | 89 | (11) |
| Foreign currency forward contract EUR | 3,603 | (4,306) | 8,704 | (4,306) |
| Foreign currency forward contract CAD | 1,886 | — | 2,353 | — |
| Total Net Unrealized Gain (Loss)(1) | $6,671 | $(5,540) | $14,951 | $(5,540) |
(1) Recorded and recognized as components of translation of assets and liabilities in foreign currencies and other transactions in the Consolidated Statements of Operations.
For the three and six months ended June 30, 2026, the Company recognized a realized loss of$1.9 million and$2.1 million, respectively, primarily related to the foreign currency forward contracts held with SMBC Capital Markets, Inc. and Goldman Sachs Bank USA.
In connection with theu nsecured notes, the Company has made the following periodic payments on the interest rate swaps for the following periods:
| For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||
|---|---|---|---|---|
| 2026 | 2025 | 2026 | 2025 | |
| 2027 Notes | $— | $— | $8,570 | $10,620 |
| September 2028 Notes | — | — | — | — |
| 2029 Notes - $600 mm | — | — | 890 | 2,540 |
| 2029 Notes - $400 mm | — | — | 90 | — |
| 2030 Notes | 7,580 | — | 7,580 | — |
| 2031 Notes | — | — | — | — |
The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.