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Derivatives
 9 Months Ended
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 ContractsAggregate Notional Amount (in thousands)Notional CurrencyMaturityWeighted-Average Years to Maturity
Fx contracts - GBP106422,585GBPOctober 2020 - December 20242.16
Fx contracts - EUR70238,817EURNovember 2020 - August 20242.79
Interest rate cap1500,000USDJune 20232.71

The following table summarizes our non-designated Fx forwards and our interest rate swap as of December 31, 2019:
December 31, 2019
Number of ContractsAggregate Notional Amount (in thousands)Notional CurrencyMaturityWeighted-Average Years to Maturity
Fx contracts - GBP156735,349GBPJanuary 2020 - December 20241.49
Fx contracts - EUR44168,879EURFebruary 2020 - August 20243.22
Interest rate swap1500,000USDMay 20266.37

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 Income2020201920202019
Forward currency contractsUnrealized gain (loss) on derivative instruments $(35,076)$16,227 $18,356 $12,029 
Forward currency contractsRealized gain on derivative instruments 539 7,926 14,603 16,590 
Total$(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 $1.1 million. We use our interest rate cap to manage exposure to variable cash flows on our borrowings under our senior secured term loan by effectively limiting LIBOR from exceeding 0.75%. This effectively limits the maximum all-in coupon on our senior secured term loan to 3.50%. Unrealized gains or losses related to the interest rate swap and cap were recorded net under interest expense in our condensed consolidated statement of operations.
Amount of loss
recognized in income
Three months ended September 30,Nine months ended September 30,
Location of Loss Recognized in Income2020201920202019
Interest rate cap(1)
Unrealized gain (loss) on interest rate cap$(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, 2020December 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 cap173 — 173 — — — 
Total$20,961 $(7,307)$13,654 $— $— $— 
 
September 30, 2020December 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 LiabilitiesGross
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