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Derivatives (Tables)
 3 Months Ended
Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of Non-Designated Foreign Exchange Forwards
The following table summarizes our non-designated foreign exchange ("Fx") forwards and our interest rate swap as of March 31, 2020:

March 31, 2020
 
Number of Contracts
 
Aggregate Notional Amount (in thousands)
 
Notional Currency
 
Maturity
 
Weighted-Average Years to Maturity
Fx Contracts - GBP
157
 
526,613
 
GBP
 
April 2020 - December 2024
 
2.26
Fx Contracts - EUR
63
 
219,130
 
EUR
 
May 2020 - August 2024
 
3.11
Interest Rate Swap
1
 
500,000
 
USD
 
May 2026
 
6.12

The following table summarizes our non-designated Fx forwards and our interest rate swap as of December 31, 2019:
 
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
Summary of Amounts Recognized on Consolidated Statements of Operations Related to Company's Derivatives The following table summarizes the amounts recognized on the condensed consolidated statements of operations related to our derivatives for the three months ended March 31, 2020 and 2019 ($ in thousands):
 
 
 
 
Amount of gain (loss)
recognized in income
 
 
 
Three months ended March 31,
 
Location of Gain (Loss) Recognized in Income
 
2020
 
2019
Forward currency contracts
Gain (loss) on derivative instruments - unrealized
 
$
62,436

 
$
(14,985
)
Forward currency contracts
Gain on derivative instruments - realized
 
8,055

 
8,265

Total
 
 
$
70,491

 
$
(6,720
)

  
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 condensed consolidated statement of operations.

 
 
 
Amount of loss
recognized in income
 
 
 
Three months ended March 31,
 
Location of Loss Recognized in Income
 
2020
 
2019
Interest rate swap(1)
Unrealized loss on interest rate swap
 
(35,548
)
 
—

———————
(1)
With a notional amount of $500.0 million and $0 at March 31, 2020, and 2019, respectively.
Summarizes Gross Asset and Liability Amounts Related to Derivatives
The following tables summarize the gross asset and liability amounts related to our derivatives at March 31, 2020 and December 31, 2019 ($ in thousands)
 
March 31, 2020
 
December 31, 2019
 
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
 
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
$
58,759

 
$
(1,198
)
 
$
57,561

 
$
—

 
$
—

 
$
—

 
 
March 31, 2020
 
December 31, 2019
 
Gross
Amount of
Recognized
Liability
 
Gross
Amounts
Offset in the Condensed
Consolidated Balance Sheet
 
Net Amounts
of Liability
Presented in
the Condensed Consolidated Balance Sheet
 
Gross Amount of Recognized Liabilities
 
Gross
Amounts
Offset in the Condensed
Consolidated Balance Sheet
 
Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet
Interest rate swap
$
(50,018
)
 
$
—

 
$
(50,018
)
 
$
(14,470
)
 
$
—

 
$
(14,470
)
Forward currency contracts
—

 
—

 
—

 
(12,687
)
 
7,811

 
(4,876
)
Total derivative liabilities
$
(50,018
)
 
$
—

 
$
(50,018
)
 
$
(27,157
)
 
$
7,811

 
$
(19,346
)