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Derivatives | 9 Months Ended
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Sep. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivatives | Derivatives 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 (GBP and EUR) for an agreed upon amount of USD at various dates through December 2024. 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. The following table summarizes our non-designated foreign exchange ("Fx") forwards and our interest rate cap as of September 30, 2020:
| September 30, 2020 |  |  |  |  |  |  |  |
| Number of Contracts |  | Aggregate Notional Amount (in thousands) |  | Notional Currency |  | Maturity |  | Weighted-Average Years to Maturity
Fx contracts - GBP | 106 |  | 422,585 |  | GBP |  | October 2020 - December 2024 |  | 2.16
Fx contracts - EUR | 70 |  | 238,817 |  | EUR |  | November 2020 - August 2024 |  | 2.79
Interest rate cap | 1 |  | 500,000 |  | USD |  | June 2023 |  | 2.71
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
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 our condensed consolidated statements of operations related to our derivatives for the three and nine months ended September 30, 2020 and 2019 ($ in thousands):
|  |  | Amount of gain (loss) recognized in income |  |  |  |  |  |
|  |  | Three months ended September 30, |  |  |  | Nine months ended September 30, |  |
| Location of Gain (Loss) Recognized in Income |  | 2020 |  | 2019 |  | 2020 |  | 2019
Forward currency contracts | Unrealized gain (loss) on derivative instruments |  | $ | (35,076) |  |  | $ | 16,227 |  |  | $ | 18,356 |  |  | $ | 12,029 |
Forward currency contracts | Realized gain on derivative instruments |  | 539 |  |  | 7,926 |  |  | 14,603 |  |  | 16,590 |
Total |  |  | $ | (34,537) |  |  | $ | 24,153 |  |  | $ | 32,959 |  |  | $ | 28,619 |
In connection with our senior secured term loan, in May 2019, we entered into an interest rate swap to fix LIBOR at 2.12% or an all-in interest rate of 4.87%. We used our interest rate swap to manage exposure to variable cash flows on our borrowings under our senior secured term loan. Our interest rate swap allowed us to receive a variable rate cash flow based on LIBOR and pay a fixed rate cash flow, mitigating the impact of this exposure. However during the second quarter of 2020, we terminated our interest rate swap due to a significant decrease in LIBOR and recognized a realized loss on the accompanying condensed consolidated statement of operations. In June 2020, we entered into an interest rate cap for approximately $1.1 million. We use our interest rate cap to manage exposure to variable cash flows on our borrowings under our senior secured term loan by effectively limiting LIBOR from exceeding 0.75%. This effectively limits the maximum all-in coupon on our senior secured term loan to 3.50%. Unrealized gains or losses related to the interest rate swap and cap were recorded net under interest expense in our condensed consolidated statement of operations.
|  |  | Amount of loss recognized in income |  |  |  |  |  |
|  |  | Three months ended September 30, |  |  |  | Nine months ended September 30, |  |
| Location of Loss Recognized in Income |  | 2020 |  | 2019 |  | 2020 |  | 2019
Interest rate cap(1) | Unrealized gain (loss) on interest rate cap |  | $ | (564) |  |  | $ | — |  |  | $ | 174 |  |  | $ | — |
Interest rate swap(2) | Unrealized gain (loss) on interest rate swap |  | — |  |  | (10,307) |  |  | 14,470 |  |  | (23,420) |
Interest rate swap(2) | Realized loss on interest rate swap |  | — |  |  | — |  |  | (53,851) |  |  | — |
Total |  |  | $ | (564) |  |  | $ | (10,307) |  |  | $ | (39,207) |  |  | $ | (23,420) |
——————— (1)With a notional amount of $500.0 million and $0 at September 30, 2020, and 2019, respectively. (2)With a notional amount of $0 and $500.0 million at September 30, 2020, and 2019, respectively. The following tables summarize the gross asset and liability amounts related to our derivatives at September 30, 2020 and December 31, 2019 ($ in thousands)
| September 30, 2020 |  |  |  |  |  | December 31, 2019 |  |  |  |
| Gross Amount of Recognized Assets |  | Gross Amounts Offset in our Condensed Consolidated Balance Sheet |  | Net Amounts of Assets Presented in our Condensed Consolidated Balance Sheet |  | Gross Amount of Recognized Assets |  | Gross Amounts Offset in our Condensed Consolidated Balance Sheet |  | Net Amounts of Assets Presented in our Condensed Consolidated Balance Sheet
Forward currency contracts | $ | 20,788 |  |  | $ | (7,307) |  |  | $ | 13,481 |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Interest rate cap | 173 |  |  | — |  |  | 173 |  |  | — |  |  | — |  |  | — |
Total | $ | 20,961 |  |  | $ | (7,307) |  |  | $ | 13,654 |  |  | $ | — |  |  | $ | — |  |  | $ | — |
| September 30, 2020 |  |  |  |  |  | December 31, 2019 |  |  |  |
| Gross Amount of Recognized Liability |  | Gross Amounts Offset in our Condensed Consolidated Balance Sheet |  | Net Amounts of Liability Presented in our Condensed Consolidated Balance Sheet |  | Gross Amount of Recognized Liabilities |  | Gross Amounts Offset in our Condensed Consolidated Balance Sheet |  | Net Amounts of Liabilities Presented in our Condensed Consolidated Balance Sheet
Interest rate swap | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 14,470 |  |  | $ | — |  |  | $ | 14,470 |
Forward currency contracts | — |  |  | — |  |  | — |  |  | 12,687 |  |  | (7,811) |  |  | 4,876 |
Total derivative liabilities | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 27,157 |  |  | $ | (7,811) |  |  | $ | 19,346 |

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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