December 31, 2020

Interest Rate Derivatives

Number of
Instruments

Notional
Amount

Strike

Index

Wtd.-Avg.

Maturity (Years)

Interest Rate Caps

38,293

1.0

CDOR

0.8

Amounts reported in accumulated other comprehensive income (loss) related to derivatives will be reclassified to interest expense as interest payments are made on our floating rate debt. During the twelve months following June 30, 2021, we estimate that an additional $7,000 will be reclassified from accumulated other comprehensive income (loss) as an increase to interest expense.

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):


June 30, 2021				December 31, 2020
Foreign Currency Derivatives	Number of Instruments	Notional Amount		Foreign Currency Derivatives	Number of Instruments		Notional Amount
Buy USD / Sell SEK Forward	1	kr	999,500	Buy USD / Sell EUR Forward		8	€	754,722
Buy USD / Sell EUR Forward	10	€	679,142	Buy USD / Sell GBP Forward		4	£	372,487
Buy USD / Sell GBP Forward	2	£	542,701	Buy USD / Sell AUD Forward		1	A$	92,800
Buy USD / Sell AUD Forward	1	A$	89,500	Buy USD / Sell CAD Forward		1	C$	26,200
Buy USD / Sell CAD Forward	1	C$	21,000

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):


June 30, 2021				December 31, 2020
Non-designated Hedges	Number of Instruments	Notional Amount		Non-designated Hedges	Number of Instruments		Notional Amount
Buy EUR / Sell USD Forward	1	€	169,634	Buy EUR / Sell GBP Forward		2	£	146,207
Buy USD / Sell EUR Forward	1	€	169,634	Buy USD / Sell EUR Forward		1	€	8,410
Buy GBP / Sell EUR Forward	2	£	153,527
Buy EUR / Sell GBP Forward	1	£	146,207
Buy GBP / Sell USD Forward	1	£	63,600
Buy USD / Sell GBP Forward	1	£	63,600

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	Location of Income			Three Months Ended			Three Months Ended			Six Months Ended			Six Months Ended
in Hedging Relationships	(Expense) Recognized			June 30, 2021			June 30, 2020			June 30, 2021			June 30, 2020
Designated Hedges		Interest Income	(1)	$	1,703		$	509		$	3,752		$	509
Non-Designated Hedges		Interest Income	(1)		(99	)		5			(374	)		5
Non-Designated Hedges		Interest Expense	(2)		2,197			(361	)		(7,131	)		(1,515	)

Total				$	3,801		$	153		$	(3,753	)	$	(1,001	)



(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
	June 30, 2021		December 31, 2020		June 30, 2021		December 31, 2020
Derivatives designated as hedging instruments:
Foreign exchange contracts	$	16,973	$	521	$	3,700	$	55,758
Interest rate derivatives		—		1		—		—

Total	$	16,973	$	522	$	3,700	$	55,758

Derivatives not designated as hedging instruments:
Foreign exchange contracts	$	2,887	$	—	$	10,049	$	3,157
Interest rate derivatives		—		—		—		—

Total	$	2,887	$	—	$	10,049	$	3,157

Total Derivatives	$	19,860	$	522	$	13,749	$	58,915

(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):


	Amount of (Loss) Gain Recognized in OCI on Derivatives						Location of Gain (Loss)			Amount of Loss Reclassified from Accumulated OCI into Income
	Three Months			Six Months			Reclassified from			Three Months			Six Months
Derivatives in	Ended			Ended			Accumulated			Ended			Ended
Hedging Relationships	June 30, 2021			June 30, 2021			OCI into Income			June 30, 2021			June 30, 2021
Net Investment Hedges
Foreign exchange contracts (1)	$	(16,096	)	$	18,974			Interest Expense		$	—		$	—
Cash Flow Hedges
Interest rate derivatives		—			(1	)		Interest Expense	(2)		(2	)		(4	)

Total	$	(16,096	)	$	18,973					$	(2	)	$	(4	)



(1)		During the three and six months ended June 30, 2021, we paid net cash settlements of $83,000 and $49.3 million, respectively, on our foreign currency forward contracts. Those amounts are included as a component of accumulated other comprehensive income (loss) on our consolidated balance sheets.
(2)		During the three months ended June 30, 2021, we recorded total interest and related expenses of $82.4 million, which included interest expense of $2,000 related to our cash flow hedges. During the six months ended June 30, 2021, we recorded total interest and related expenses of $160.7 million, which included interest expense of $4,000.

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 June 30, 2021, we were in a net asset position with one of our derivative counterparties and in a net liability position with our other derivative counterparty and posted collateral of $2.7 million under these derivative contracts. As of December 31, 2020, we were in a net liability position with each such derivative counterparty and posted collateral of $51.1 million under these derivative contracts.