Derivatives

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

We use forward currency contracts to economically hedge interest and principal payments due under our loans denominated in currencies other than USD.

We have entered into a series of forward contracts to sell an amount of foreign currency (British pound and Euro) for an agreed upon amount of USD at various dates through February 2023. These forward contracts were executed to economically fix the USD amounts of foreign denominated cash flows expected to be received by us related to foreign denominated loan investments.

In connection with the senior secured term loan, we entered into an interest rate swap to fix LIBOR at 2.12% or an all-in interest rate of 4.87%. We use interest rate swaps and caps to manage exposure to variable cash flows on portions of our borrowings under term loan debt. Interest rate swap and cap agreements allow us to receive a variable rate cash flow based on LIBOR and pay a fixed rate cash flow, mitigating the impact of this exposure. Gains or losses related to the interest rate swap are recorded net under interest expense in our condensed consolidated statement of operations.

The following table summarizes our non-designated foreign exchange ("Fx") forwards and our interest rate swap as of September 30, 2019:



	September 30, 2019
	Number of Contracts	Aggregate Notional Amount (in thousands)	Notional Currency	Maturity	Weighted-Average Years to Maturity
Fx Contracts - GBP	97	431,334	GBP	October 2019 - April 2022	0.75
Fx Contracts - EUR	27	178,922	EUR	October 2019 - February 2023	1.47
Interest Rate Swap	1	500,000	USD	May 2026	6.62

The following table summarizes our non-designated Fx forwards as of December 31, 2018:



	December 31, 2018
	Number of Contracts	Aggregate Notional Amount (in thousands)	Notional Currency	Maturity	Weighted-Average Years to Maturity
Fx Contracts - GBP	43	270,161	GBP	January 2019 - November 2020	0.69

We have not designated any of our derivative instruments as hedges as defined in ASC 815 "Derivatives and Hedging" and, therefore, changes in the fair value of our derivative instruments are recorded directly in earnings. The following table summarizes the amounts recognized on the condensed consolidated statements of operations related to our derivatives for the three and nine months ended September 30, 2019 and 2018 ($ in thousands):



		Amount of gain (loss) recognized in income					Amount of gain (loss) recognized in income
		Three months ended September 30,					Nine months ended September 30,
	Location of Gain (Loss) Recognized in Income	2019		2018			2019		2018
Forward currency contracts	Gain on derivative instruments - unrealized	$	16,227	$	5,046		$	12,029	$	20,987
Forward currency contracts	Gain on derivative instruments - realized	7,926		1,246			16,590		7,811
Interest rate caps⁽¹⁾	Loss on derivative instruments - unrealized	—		(1		)	—		(1		)
	Gain on derivative instruments	24,153		6,291			28,619		28,797

———————


(1)	With a notional amount of $0.0 million and $36.2 million at September 30, 2019, and 2018, respectively.



		Amount of loss recognized in income			Amount of loss recognized in income
		Three months ended September 30,			Nine months ended September 30,
	Location of Loss Recognized in Income	2019		2018	2019		2018
Interest rate swap⁽¹⁾	Unrealized loss on interest rate swap	(10,307	)	—	(23,420	)	—

———————


(1)	With a notional amount of $500.0 million and $0.0 million at September 30, 2019, and 2018, respectively.

The following table summarizes the gross asset and liability amounts related to our derivatives at September 30, 2019 and December 31, 2018 ($ in thousands).



	September 30, 2019									December 31, 2018
	Gross Amount of Recognized Assets (Liabilities)			Gross Amounts Offset in the Condensed Consolidated Balance Sheet			Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet			Gross Amount of Recognized Assets		Gross Amounts Offset in the Condensed Consolidated Balance Sheet			Net Amounts of Assets Presented in the Condensed Consolidated Balance Sheet
Forward currency contracts	$	35,811		$	(82	)	$	35,729		$	23,753	$	(53	)	$	23,700
Interest rate swap	(23,420		)	—			(23,420		)	—		—			—