HPS Corporate Lending Fund Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following tables summarize the aggregate notional amount and fair value of the Company’s derivative financial instruments as of September 30, 2024 and December 31, 2023.


	September 30, 2024
	Level 1		Level 2		Level 3		Total Fair Value		Notional
Derivative Assets
Foreign currency forward contracts	$	—	$	74	$	—	$	74	$	46,466
Interest rates swaps	—		37,884		—		37,884		1,752,500
Total derivative assets, at fair value	$	—	$	37,958	$	—	$	37,958	$	1,798,966

Derivative Liabilities
Foreign currency forward contracts	$	—	$	(41,688)	$	—	$	(41,688)	$	1,404,234
Interest rate swaps	—		(21)		—		(21)		85,000
Total derivative liabilities, at fair value	$	—	$	(41,709)	$	—	$	(41,709)	$	1,489,234


	December 31, 2023
	Level 1		Level 2		Level 3		Total Fair Value		Notional
Derivative Assets
Foreign currency forward contracts	$	—	$	429	$	—	$	429	$	94,135
Interest rate swaps	—		8,396		—		8,396		802,500
Total derivative assets, at fair value	$	—	$	8,825	$	—	$	8,825	$	896,635

Derivative Liabilities
Foreign currency forward contracts	$	—	$	(9,533)	$	—	$	(9,533)	$	603,276
Interest rate swaps	—		(43)		—		(43)		85,000
Total derivative liabilities, at fair value	$	—	$	(9,576)	$	—	$	(9,576)	$	688,276

Schedule of Derivatives Not Designated as Hedging Instruments

The effect of transactions in derivative instruments that are not designated in a qualifying hedge accounting relationship on the Consolidated Statements of Operations during the three and nine months ended September 30, 2024 and 2023 were as follows:


	Three Months Ended September 30, 2024		Nine Months Ended September 30, 2024
Net change in unrealized gain (loss) on foreign currency forward contracts	$	(49,758)	$	(32,510)
Realized gain (loss) on foreign currency forward contracts	$	(763)	$	(3,417)


	Three Months Ended September 30, 2023		Nine Months Ended September 30, 2023
Net change in unrealized gain (loss) on foreign currency forward contracts	$	4,931	$	5,835
Realized gain (loss) on foreign currency forward contracts	$	5,924	$	(1,757)

Schedule of Offsetting Assets

The following table presents both gross and net information about derivative instruments eligible for offset in the Consolidated Statements of Assets and Liabilities as of September 30, 2024 and December 31, 2023.


		September 30, 2024
Counterparty	Account in the Consolidated Statements of Asset and Liabilities	Gross Amount of Assets		Gross Amount of (Liabilities)		Net amounts presented in the Consolidated Statements of Assets and Liabilities		Collateral Received/Pledged(1)		Net Amounts(2)
Goldman Sachs Bank USA	Derivative assets, at fair value	$	28,467	$	(21)	$	28,446	$	(28,446)	$	—
SMBC Capital Markets, Inc.	Derivative assets, at fair value	$	9,417	$	—	$	9,417	$	(9,417)	$	—
Goldman Sachs Bank USA	Derivative liabilities, at fair value	$	28	$	(8,493)	$	(8,465)	$	—	$	(8,465)
SMBC Capital Markets, Inc.	Derivative liabilities, at fair value	$	46	$	(33,195)	$	(33,149)	$	—	$	(33,149)


		December 31, 2023
Counterparty	Account in the Consolidated Statements of Asset and Liabilities	Gross Amount of Assets		Gross Amount of (Liabilities)		Net amounts presented in the Consolidated Statements of Assets and Liabilities		Collateral Received/Pledged(1)		Net Amounts(2)
Goldman Sachs Bank USA	Derivative liabilities, at fair value	$	35	$	(8,225)	$	(8,190)	$	—	$	(8,190)
SMBC Capital Markets, Inc.	Derivative liabilities, at fair value	$	394	$	(1,308)	$	(914)	$	—	$	(914)
Goldman Sachs Bank USA	Derivative assets, at fair value	$	8,396	$	(43)	$	8,353	$	—	$	8,353

(1) Amount excludes excess cash collateral paid.

(2) Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual setoff rights under the agreement. Net amount excludes any over-collateralized amounts, if applicable.

Schedule of Offsetting Liabilities


		September 30, 2024
Counterparty	Account in the Consolidated Statements of Asset and Liabilities	Gross Amount of Assets		Gross Amount of (Liabilities)		Net amounts presented in the Consolidated Statements of Assets and Liabilities		Collateral Received/Pledged(1)		Net Amounts(2)
Goldman Sachs Bank USA	Derivative assets, at fair value	$	28,467	$	(21)	$	28,446	$	(28,446)	$	—
SMBC Capital Markets, Inc.	Derivative assets, at fair value	$	9,417	$	—	$	9,417	$	(9,417)	$	—
Goldman Sachs Bank USA	Derivative liabilities, at fair value	$	28	$	(8,493)	$	(8,465)	$	—	$	(8,465)
SMBC Capital Markets, Inc.	Derivative liabilities, at fair value	$	46	$	(33,195)	$	(33,149)	$	—	$	(33,149)


		December 31, 2023
Counterparty	Account in the Consolidated Statements of Asset and Liabilities	Gross Amount of Assets		Gross Amount of (Liabilities)		Net amounts presented in the Consolidated Statements of Assets and Liabilities		Collateral Received/Pledged(1)		Net Amounts(2)
Goldman Sachs Bank USA	Derivative liabilities, at fair value	$	35	$	(8,225)	$	(8,190)	$	—	$	(8,190)
SMBC Capital Markets, Inc.	Derivative liabilities, at fair value	$	394	$	(1,308)	$	(914)	$	—	$	(914)
Goldman Sachs Bank USA	Derivative assets, at fair value	$	8,396	$	(43)	$	8,353	$	—	$	8,353

(1) Amount excludes excess cash collateral paid.

Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location

The table below presents the carrying value of unsecured borrowings as of September 30, 2024 and December 31, 2023, that are designated in a qualifying hedging relationship and the related cumulative hedging adjustment increase (decrease) from current and prior hedging relationships included in such carrying values:


	September 30, 2024				December 31, 2023
Description	Carrying Value		Cumulative Hedging Adjustments		Carrying Value		Cumulative Hedging Adjustments
Unsecured Notes	$	1,849,293	$	14,554	$	888,221	$	(1,369)

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References + Details