XML 34 R21.htm IDEA: XBRL DOCUMENT v3.6.0.2
Derivative Instruments
 12 Months Ended
Dec. 31, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments
Derivative Instruments
The Company uses forward currency contracts to economically hedge interest and principal payments due under its loans denominated in currencies other than U.S. dollars.

The Company has entered into a series of forward contracts to sell an amount of foreign currency (British pound ("GBP")) for an agreed upon amount of U.S. dollars at various dates through December 2017. These forward contracts were executed to economically fix the U.S. dollar amounts of foreign denominated cash flows expected to be received by the Company related to foreign denominated loan investments.

The following table summarizes our non-designated foreign exchange (“Fx”) forwards as of December 31, 2016 :
Type of Derivative
12/31/16
 
Number of Contracts
 
Aggregate Notional Amount
 
Notional Currency
 
Maturity
Fx Contracts - GBP
11
 
148,310
 
GBP
 
January 2017- December 2017


The following table summarizes our non-designated foreign exchange (“Fx”) forwards as of December 31, 2015 :
Type of Derivative
12/31/15
 
Number of Contracts
 
Aggregate Notional Amount
 
Notional Currency
 
Maturity
Fx Contracts - GBP
5
 
130,272
 
GBP
 
January 2016- October 2016


The Company has not designated any of its derivative instruments as hedges under GAAP and therefore, changes in the fair value of the Company's derivative instruments are recorded directly in earnings. The following table summarizes the amounts recognized on the consolidated statements of operations related to the Company’s derivatives for the years ended December 31, 2016, 2015 and 2014.
 
 
 
 
Amount of gain (loss)
recognized in
income
 
Location of Gain (Loss) Recognized in Income
 
2016
 
2015
 
2014
Forward currency contract
Gain (loss) on derivative instruments - unrealized
 
2,665

 
(853
)
 
4,070

Forward currency contract
Gain (loss) on derivative instruments - realized
 
28,552

 
5,169

 
—

Interest rate caps (1)
Gain (loss) on derivative instruments - unrealized
 
(57
)
 
(210
)
 
—

Total
 
 
$
31,160

 
$
4,106

 
$
4,070



(1)
With a notional amount of $45,475 and $49,323 at December 31, 2016 and 2015, respectively.

The following table summarizes the gross asset and liability amounts related to the Company’s derivatives at December 31, 2016 and 2015.
 
 
December 31, 2016
 
December 31, 2015
 
Gross
Amount of
Recognized
Assets
 
Gross
Amounts
Offset in the
Consolidated Balance Sheet
 
Net Amounts
of Assets
Presented in
the Consolidated Balance Sheet
 
Gross
Amount of
Recognized
Assets
 
Gross
Amounts
Offset in the
Consolidated Balance Sheet
 
Net Amounts
of Assets
Presented in
the Consolidated Balance Sheet
Interest rate caps
$
23

 
$
—

 
$
23

 
$
106

 
$
—

 
$
106

Forward currency contract
5,883

 
—

 
5,883

 
3,221

 
—

 
3,221

Total derivative instruments
$
5,906

 
$
—

 
$
5,906

 
$
3,327


$
—


$
3,327