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Derivatives, Net
 12 Months Ended
Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives, Net Derivatives, Net
We use forward currency contracts to economically hedge interest and principal payments due under our loans denominated in currencies other than U.S. dollars.
We have entered into a series of forward contracts to sell an amount of foreign currency (GBP and EUR) for an agreed upon amount of U.S. dollars at various dates through December 2024. These forward contracts were executed to economically fix the U.S. dollar amounts of foreign denominated cash flows expected to be received by us related to foreign denominated loan investments.
The following table summarizes our non-designated foreign exchange forwards and our interest rate swap as of December 31, 2019:
Type of Derivative
December 31, 2019
 
Number of Contracts
 
Aggregate Notional Amount (in Thousands)
 
Notional Currency
 
Maturity
 
Weighted-Average Years to Maturity
Fx Contracts - GBP
156
 
735,349
 
GBP
 
January 2020 - December 2024
 
1.49
Fx Contracts - EUR
44
 
168,879
 
EUR
 
February 2020 - August 2024
 
3.22
Interest Rate Swap
1
 
500,000
 
USD
 
May 2026
 
6.37
The following table summarizes our non-designated Fx forwards as of December 31, 2018:
Type of Derivative
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 consolidated statements of operations related to our derivatives for the years ended December 31, 2019, 2018 and 2017 ($ in thousands):
 
 
 
 
Amount of gain (loss)
recognized in income
 
Location of Gain (Loss) Recognized in Income
 
2019
 
2018
 
2017
Forward currency contracts
Gain (loss) on derivative instruments - unrealized
 
$
(28,576
)
 
$
29,345

 
$
(11,527
)
Forward currency contracts
Gain (loss) on derivative instruments - realized
 
14,151

 
9,713

 
(7,657
)
Interest rate caps (1)
Gain on derivative instruments - unrealized
 
—

 
—

 
4

Sub-total
 
 
$
(14,425
)
 
$
39,058

 
$
(19,180
)
 
 
 
 
 
 
 
 
Forward currency contracts
Loss from unconsolidated joint venture
 
—

 
—

 
(587
)
Total
 
 
$
(14,425
)
 
$
39,058

 
$
(19,767
)

———————
(1)
With a notional amount of $0.0 million, $34.9 million, and $40.2 million at December 31, 2019, 2018, and 2017, respectively.


In connection with our 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 our interest rate swap to manage exposure to variable cash flows on our borrowings under our senior secured term loan. Our interest rate swap allows 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 consolidated statement of operations.
 
 
 
Amount of loss
recognized in income
 
Location of Loss Recognized in Income
 
2019
 
2018
 
2017
Interest rate swap (1)
Unrealized loss on interest rate swap
 
$
(14,470
)
 
$
—

 
$
—

———————
(1)
With a notional amount of $500.0 million, $0.0 million, and $0.0 million at December 31, 2019, 2018, and 2017, respectively.

The following table summarizes the gross asset and liability amounts related to our derivatives at December 31, 2019 and 2018 ($ in thousands).
 
 
December 31, 2019
 
December 31, 2018
 
Gross Amount of
Recognized Liabilities
 
Gross Amounts
Offset in the Consolidated Balance Sheet
 
Net Amounts
of Liabilities
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 swap
$
(14,470
)
 
$
—

 
$
(14,470
)
 
$
—

 
$
—

 
$
—

Forward currency contracts
(12,687
)
 
7,811

 
(4,876
)
 
23,753

 
(53
)
 
23,700

Total derivative instruments
$
(27,157
)
 
$
7,811

 
$
(19,346
)
 
$
23,753

 
$
(53
)
 
$
23,700