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Derivatives and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The table below presents the fair value of the Company’s derivative financial instruments as well as their classification on the consolidated balance sheets as of March 31, 2023 and December 31, 2022:


(In thousands)	Balance Sheet Location	March 31, 2023		December 31, 2022
Derivatives designated as hedging instruments:





Interest rate “pay-fixed” swaps (GBP)	Derivative assets, at fair value	$	2,725	$	4,200

Interest rate “pay-fixed” swaps (EUR)	Derivative assets, at fair value	16,955		19,347

Total		$	19,680	$	23,547
Derivatives not designated as hedging instruments:
Foreign currency forwards (GBP-USD)	Derivative assets, at fair value	$	2,820	$	4,091
Foreign currency forwards (GBP-USD)	Derivative liabilities, at fair value	(448)		(29)
Foreign currency forwards (EUR-USD)	Derivative assets, at fair value	1,823		2,411
Foreign currency forwards (EUR-USD)	Derivative liabilities, at fair value	(585)		(299)

Interest rate swaps (EUR)	Derivative assets, at fair value	6,475		7,230

Total		$	10,085	$	13,404

Schedule of Interest Rate Derivatives

As of March 31, 2023 and December 31, 2022, the Company had the following outstanding interest rate derivatives that were designated as cash flow hedges of interest rate risk:


	March 31, 2023			December 31, 2022
Derivatives	Number of Instruments	Notional Amount		Number of Instruments	Notional Amount
		(In thousands)			(In thousands)
Interest rate “pay-fixed” swaps (GBP)	45	$	234,896	45	$	229,752
Interest rate “pay-fixed” swaps (EUR)	16	348,525		16	343,055
Interest rate “pay-fixed” swaps (USD)	—	—		—	—
Total	61	$	583,421	61	$	572,807

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The table below details the location in the consolidated financial statements of the gain or loss recognized on interest rate derivatives designated as cash flow hedges for the three months ended March 31, 2023 and 2022.


	Three Months Ended March 31,
(In thousands)	2023		2022
Amount of gain recognized in AOCI from derivatives	$	(950)	$	8,854
Amount of loss reclassified from AOCI into income as interest expense	$	3,301	$	(1,300)
Total interest expense recorded in the consolidated statements of operations	$	26,965	$	24,123

Disclosure of Credit Derivatives

As of March 31, 2023 and December 31, 2022, the Company had the following outstanding derivatives that were not designated as hedges under qualifying hedging relationships.


	March 31, 2023			December 31, 2022
Derivatives	Number of Instruments	Notional Amount		Number of Instruments	Notional Amount
		(In thousands)			(In thousands)
Foreign currency forwards (GBP-USD)	32	$	56,893	30	$	53,833
Foreign currency forwards (EUR-USD)	38	51,126		39	50,323
Interest rate swaps (EUR)	3	151,801		3	149,418
Interest rate swaps (USD)	—	—		—	—

Interest rate swaps (GBP)	—	—		—	—


Total	73	$	259,820	72	$	253,574

Offsetting Assets

The table below presents a gross presentation, the effects of offsetting, and a net presentation of the Company’s derivatives as of March 31, 2023 and December 31, 2022. The net amounts of derivative assets or liabilities can be reconciled to the tabular disclosure of fair value. The tabular disclosure of fair value provides the location that derivative assets and liabilities are presented on the accompanying consolidated balance sheets.


									Gross Amounts Not Offset on the Balance Sheet
(In thousands)	Gross Amounts of Recognized Assets		Gross Amounts of Recognized (Liabilities)		Gross Amounts Offset on the Balance Sheet		Net Amounts of (Liabilities) Assets presented on the Balance Sheet		Financial Instruments		Cash Collateral Received (Posted)		Net Amount
March 31, 2023	$	30,798	$	(1,033)	$	—	$	29,765	$	—	$	—	$	29,765
December 31, 2022	$	37,279	$	(328)	$	—	$	36,951	$	—	$	—	$	36,951

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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