XML 42 R20.htm IDEA: XBRL DOCUMENT v3.22.1
Derivative Financial Instruments
 3 Months Ended
Mar. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Financial Instruments DERIVATIVE FINANCIAL INSTRUMENTS
The objective of our use of derivative financial instruments is to minimize the risks and/or costs associated with our investments and/or financing transactions. These derivatives may or may not qualify as net investment, cash flow, or fair value hedges under the hedge accounting requirements of ASC 815 – “Derivatives and Hedging.” Derivatives not designated as hedges are not speculative and are used to manage our exposure to interest rate movements and other identified risks. Refer to Note 2 for additional discussion of the accounting for designated and non-designated hedges.
The use of derivative financial instruments involves certain risks, including the risk that the counterparties to these contractual arrangements do not perform as agreed. To mitigate this risk, we only enter into derivative financial instruments with counterparties that have appropriate credit ratings and are major financial institutions with which we and our affiliates may also have other financial relationships.
Net Investment Hedges of Foreign Currency Risk
Certain of our international investments expose us to fluctuations in foreign interest rates and currency exchange rates. These fluctuations may impact the value of our cash receipts and payments in terms of our functional currency, the U.S. dollar. We use foreign currency forward contracts to protect the value or fix the amount of certain investments or cash flows in terms of the U.S. dollar.
Designated Hedges of Foreign Currency Risk
The following table details our outstanding foreign exchange derivatives that were designated as net investment hedges of foreign currency risk (notional amount in thousands):
March 31, 2022December 31, 2021
Foreign Currency Derivatives
Number of
 Instruments
Notional
 Amount
Foreign Currency Derivatives
Number of
 Instruments
Notional
 Amount
Buy USD / Sell SEK Forward1kr995,700 Buy USD / Sell SEK Forward1kr999,500 
Buy USD / Sell EUR Forward10€718,782 Buy USD / Sell EUR Forward7€731,182 
Buy USD / Sell GBP Forward9£609,787 Buy USD / Sell GBP Forward2£489,204 
Buy USD / Sell AUD Forward4A$213,200 Buy USD / Sell AUD Forward3A$188,600 
Buy USD / Sell DKK Forward1kr.163,800 Buy USD / Sell CAD Forward2C$22,100 
Buy USD / Sell CAD Forward1C$15,600 Buy USD / Sell CHF Forward1CHF5,200 
Buy USD / Sell CHF Forward1CHF5,200 

Non-designated Hedges of Foreign Currency Risk
The following table details our outstanding foreign exchange derivatives that were non-designated hedges of foreign currency risk (notional amount in thousands):
March 31, 2022December 31, 2021
Non-designated Hedges
Number of
 Instruments
Notional
 Amount
Non-designated Hedges
Number of
 Instruments
Notional
 Amount
Buy DKK / Sell USD Forward1kr.341,000 Buy GBP / Sell USD Forward3£170,600 
Buy USD / Sell DKK Forward1kr.341,000 Buy USD / Sell GBP Forward3£170,600 
Buy EUR / Sell USD Forward2€50,400 Buy EUR / Sell USD Forward2€165,560 
Buy USD / Sell EUR Forward2€50,400 Buy USD / Sell EUR Forward3€165,560 
Buy GBP / Sell USD Forward1£19,900 Buy CHF / Sell USD Forward1CHF20,300 
Buy USD / Sell GBP Forward1£19,900 Buy USD / Sell CHF Forward1CHF20,300 
Buy GBP / Sell EUR Forward1€8,410 Buy GBP / Sell EUR Forward1€8,410 
Buy CAD / Sell USD Forward1C$6,500 
Buy USD / Sell CAD Forward1C$6,500 
Financial Statement Impact of Hedges of Foreign Currency Risk
The following table presents the effect of our derivative financial instruments on our consolidated statements of operations ($ in thousands):
 Increase (Decrease) to Net Interest Income Recognized from Foreign
Exchange Contracts
Foreign Exchange Contracts
in Hedging Relationships
Location of Income
 (Expense) Recognized
Three Months Ended March 31, 2022Three Months Ended March 31, 2021
Designated Hedges
Interest Income(1)
$1,744 $2,049 
Non-Designated Hedges
Interest Income(1)
(1)(275)
Non-Designated Hedges
Interest Expense(2)
10(9,328)
Total $1,753 $(7,554)
(1)Represents the forward points earned on our foreign currency forward contracts, which reflect the interest rate differentials between the applicable base rate for our foreign currency investments and USD LIBOR. These forward contracts effectively convert the rate exposure to USD LIBOR, resulting in additional interest income earned in U.S. dollar terms.
(2)Represents the spot rate movement in our non-designated hedges, which are marked-to-market and recognized in interest expense.
Valuation and Other Comprehensive Income
The following table summarizes the fair value of our derivative financial instruments ($ in thousands):
 
Fair Value of Derivatives in an Asset
 Position(1) as of
Fair Value of Derivatives in a Liability
 Position(2) as of
 Foreign Exchange ContractsMarch 31, 2022December 31, 2021March 31, 2022December 31, 2021
Designated Hedges$47,395 $23,423 $5,568 $1,383 
Non-Designated Hedges4,4897,1086734,507
Total Derivatives$51,884 $30,531 $6,241 $5,890 
(1)Included in other assets in our consolidated balance sheets.
(2)Included in other liabilities in our consolidated balance sheets.
The following table presents the effect of our derivative financial instruments on our consolidated statements of operations ($ in thousands):
Derivatives in
Hedging
Relationships
Amount of Gain (Loss) Recognized in
OCI on Derivatives
Location of
 Gain (Loss)
 Reclassified
from
Amount of
Loss Reclassified from
 Accumulated OCI into Income
Three Months Ended March 31,AccumulatedThree Months Ended March 31,
20222021OCI into Income20222021
Net Investment Hedges 
Foreign exchange contracts(1)
$45,511 $35,070 Interest Expense$— $— 
Cash Flow Hedges 
Interest rate derivatives(1)—
Interest Expense(2)
(4)(1)
Total$45,510 $35,070  $(4)$(1)
(1)During the three months ended March 31, 2022, and 2021, we received net cash settlements of $26.3 million and paid net cash settlements of $49.2 million on our foreign currency contracts, respectively. Those amounts are included as a component of accumulated other comprehensive loss on our consolidated balance sheets.
(2)During the three months ended March 31, 2022, we recorded total interest and related expenses of $100.7 million, which included $4,000 related to our cash flow hedges. During the three months ended March 31, 2021, we recorded total interest and related expenses of $78.4 million, which included $1,000 related to our cash flow hedges.

Credit-Risk Related Contingent Features
We have entered into agreements with certain of our derivative counterparties that contain provisions where if we were to default on any of our indebtedness, including default where repayment of the indebtedness has not been accelerated by the lender, we may also be declared in default on our derivative obligations. In addition, certain of our agreements with our derivative counterparties require that we post collateral to secure net liability positions. As of March 31, 2022, we were in a net asset position with both of our derivative counterparties and did not have any collateral posted under these derivative contracts. As of December 31, 2021, we were in a net asset position with both of our derivative counterparties and did not have any collateral posted under these derivative contracts.