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Derivatives
 3 Months Ended
Mar. 31, 2021
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, EUR and SEK) for an agreed upon amount of USD at various dates through May 2026. 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 March 31, 2021:
March 31, 2021
Type of DerivativesNumber of ContractsAggregate Notional Amount (in thousands)Notional CurrencyMaturityWeighted-Average Years to Maturity
Fx contracts - GBP107500,901GBPApril 2021 - February 20262.12
Fx contracts - EUR66237,519EURMay 2021 - August 20242.37
Fx contracts - SEK20604,372SEKAugust 2021 - May 20264.07
Interest rate cap1500,000USDJune 20232.21
The following table summarizes our non-designated Fx forwards and our interest rate cap as of December 31, 2020:
December 31, 2020
Type of DerivativesNumber of ContractsAggregate Notional Amount (in thousands)Notional CurrencyMaturityWeighted-Average Years to Maturity
Fx contracts - GBP93428,493GBPJanuary 2021 - December 20242.04
Fx contracts - EUR69239,466EURFebruary 2021 - August 20242.61
Fx contracts - SEKN/AN/AN/AN/AN/A
Interest rate cap1500,000USDJune 20232.49
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 months ended March 31, 2021, and 2020 ($ in thousands):
  Amount of gain (loss)
recognized in income
Three months ended March 31,
Location of Gain (Loss) Recognized in Income20212020
Forward currency contractsUnrealized gain on derivative instruments $10,502 $62,436 
Forward currency contractsRealized gain (loss) on derivative instruments (702)8,055 
Total$9,800 $70,491 
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 gain (loss) on interest rate hedging instruments in our condensed consolidated statement of operations.
Amount of gain (loss)
recognized in income
Three months ended March 31,
Location of Gain (Loss) Recognized in Income20212020
Interest rate cap(1)
Unrealized gain on interest rate cap$357 $— 
Interest rate swap(2)
Unrealized loss on interest rate swap— (35,548)
Total$357 $(35,548)
———————
(1)With a notional amount of $500.0 million and $0, and at March 31, 2021 and 2020, respectively.
(2)With a notional amount of $0 and $500.0 million at March 31, 2021 and 2020, respectively.

The following tables summarize the gross asset and liability amounts related to our derivatives at March 31, 2021 and December 31, 2020 ($ in thousands):
March 31, 2021December 31, 2020
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
Forward currency contracts$25,994 $(5,121)$20,873 $32,172 $(797)$31,375 
Interest rate cap— (491)(491)— (134)(134)
Total derivative liabilities$25,994 $(5,612)$20,382 $32,172 $(931)$31,241