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Derivatives | 12 Months Ended
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Dec. 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 December 31, 2021:
| December 31, 2021
Type of Derivatives | Number of Contracts |  | Aggregate Notional Amount (in thousands) |  | Notional Currency |  | Maturity |  | Weighted-Average Years to Maturity
Fx contracts - GBP | 125 |  | 738,178 |  | GBP |  | January 2022 - February 2026 |  | 2.14
Fx contracts - EUR | 90 |  | 508,541 |  | EUR |  | January 2022 - November 2025 |  | 1.88
Fx contracts - SEK | 20 |  | 765,138 |  | SEK |  | February 2022 - May 2026 |  | 3.74
Interest rate cap | 1 |  | 500,000 |  | USD |  | June 2023 |  | 1.45
The following table summarizes our non-designated Fx forwards and our interest rate cap as of December 31, 2020:
| December 31, 2020
Type of Derivatives | Number of Contracts |  | Aggregate Notional Amount (in thousands) |  | Notional Currency |  | Maturity |  | Weighted-Average Years to Maturity
Fx contracts - GBP | 93 |  | 428,493 |  | GBP |  | January 2021 - December 2024 |  | 2.04
Fx contracts - EUR | 69 |  | 239,466 |  | EUR |  | February 2021 - August 2024 |  | 2.61
Interest rate cap | 1 |  | 500,000 |  | USD |  | June 2023 |  | 2.49
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 consolidated statements of operations related to our derivatives for the years ended December 31, 2021, 2020, and 2019 ($ in thousands):
|  |  | Amount of gain (loss) recognized in income
|  |  | Year ended December 31, |
| Location of Gain (Loss) Recognized in Income |  | 2021 |  | 2020 |  | 2019 |
Forward currency contracts | Unrealized gain (loss) on derivative instruments |  | $ | 46,714 |  |  | $ | (26,499) |  |  | $ | (28,576) |  |
Forward currency contracts | Realized gain (loss) on derivative instruments |  | (5,040) |  |  | 16,756 |  |  | 14,151 |  |
Total |  |  | $ | 41,674 |  |  | $ | (9,743) |  |  | $ | (14,425) |  |
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 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 consolidated statement of operations.
|  |  | Amount of gain (loss) recognized in income
|  |  | Year ended December 31,
| Location of Gain (Loss) Recognized in Income |  | 2021 |  | 2020 |  | 2019
Interest rate cap(1) | Unrealized gain on interest rate cap |  | $ | 1,314 |  |  | $ | 134 |  |  | $ | — |
Interest rate swap(2) | Unrealized gain (loss) on interest rate swap |  | — |  |  | 14,470 |  |  | (14,470) |
Interest rate swap(2) | Realized loss on interest rate swap |  | — |  |  | (53,851) |  |  | — |
Total |  |  | $ | 1,314 |  |  | $ | (39,247) |  |  | $ | (14,470) |
——————— (1)With a notional amount of $500.0 million at December 31, 2021 and 2020 and $0 at December 31, 2019. (2)With a notional amount of $500.0 million at December 31, 2021, and $0 at December 31, 2020 and 2019. The following tables summarize the gross asset and liability amounts related to our derivatives at December 31, 2021 and December 31, 2020 ($ in thousands):
| December 31, 2021 |  | December 31, 2020
| Gross Amount of Recognized Asset |  | Gross Amounts Offset in our Consolidated Balance Sheet |  | Net Amounts of Assets Presented in our Consolidated Balance Sheet |  | Gross Amount of Recognized Liabilities |  | Gross Amounts Offset in our Consolidated Balance Sheet |  | Net Amounts of Liabilities Presented in our Consolidated Balance Sheet
Forward currency contracts | $ | 28,781 |  |  | $ | (13,441) |  |  | $ | 15,340 |  |  | $ | (32,172) |  |  | $ | 797 |  |  | $ | (31,375) |
Interest rate cap | 1,448 |  |  | — |  |  | 1,448 |  |  | — |  |  | 134 |  |  | 134 |
Total derivative asset (liability) | $ | 30,229 |  |  | $ | (13,441) |  |  | $ | 16,788 |  |  | $ | (32,172) |  |  | $ | 931 |  |  | $ | (31,241) |

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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 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI http://asc.fasb.org/extlink&oid=123477628&loc=d3e90205-114008 + Details
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