XML 28 R19.htm IDEA: XBRL DOCUMENT
v3.22.1

Derivatives | 3 Months Ended
--- | ---
Mar. 31, 2022
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 February 2027. 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 Fx forwards and our interest rate cap as of March 31, 2022:
| March 31, 2022
Type of Derivatives | Number of Contracts |  | Aggregate Notional Amount (in thousands) |  | Notional Currency |  | Maturity |  | Weighted-Average Years to Maturity
Fx contracts - GBP | 100 |  | 852,464 |  | GBP |  | April 2022 - February 2027 |  | 2.31
Fx contracts - EUR | 104 |  | 622,979 |  | EUR |  | April 2022 - November 2025 |  | 2.55
Fx contracts - SEK | 20 |  | 768,363 |  | SEK |  | May 2022 - May 2026 |  | 3.53
Interest rate cap | 1 |  | 500,000 |  | USD |  | June 2023 |  | 1.21
The following table summarizes our non-designated 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
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, 2022 and 2021 ($ in thousands):
|  |  | Amount of gain (loss) recognized in income
|  |  | Three months ended March 31, |
| Location of Gain (Loss) Recognized in Income |  | 2022 |  | 2021 |  |  |
Forward currency contracts | Unrealized gain on derivative instruments |  | $ | 18,142 |  |  | $ | 10,502 |  |  |  |
Forward currency contracts | Realized gain (loss) on derivative instruments |  | 4,620 |  |  | (702) |  |  |  |
Total |  |  | $ | 22,762 |  |  | $ | 9,800 |  |  |  |
In June 2020, we entered into an interest rate cap for approximately $1.1 million. We use our interest rate cap to manage exposure to variable cash flows on our borrowings under our senior secured term loan by effectively limiting LIBOR from exceeding 0.75%. This effectively limits the maximum all-in coupon on our senior secured term loan to 3.50%. The unrealized gain or loss related to the interest rate cap is recorded net under unrealized gain on interest rate hedging instruments in our condensed consolidated statement of operations. The following table summarizes the amount recognized on our condensed consolidated statements of operations related to our interest rate cap for the three months ended March 31, 2022 and 2021 ($ in thousands):
|  |  | Amount of gain recognized in income
|  |  | Three months ended March 31,
| Location of Gain Recognized in Income |  | 2022 |  | 2021 |  |
Interest rate cap(1) | Unrealized gain on interest rate hedging instruments |  | $ | 6,321 |  |  | $ | 357 |  |  |
Total |  |  | $ | 6,321 |  |  | $ | 357 |  |  |
——————— (1)With a notional amount of $500.0 million at March 31, 2022 and 2021. The following tables summarize the gross asset and liability amounts related to our derivatives at March 31, 2022 and December 31, 2021 ($ in thousands):
| March 31, 2022 |  | December 31, 2021
| 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 Liabilities Presented in our Condensed Consolidated Balance Sheet
Forward currency contracts | $ | 40,449 |  |  | $ | (6,967) |  |  | $ | 33,482 |  |  | $ | 28,781 |  |  | $ | (13,441) |  |  | $ | 15,340 |
Interest rate cap | 7,769 |  |  | — |  |  | 7,769 |  |  | 1,448 |  |  | — |  |  | 1,448 |
Total derivative assets (liabilities) | $ | 48,218 |  |  | $ | (6,967) |  |  | $ | 41,251 |  |  | $ | 30,229 |  |  | $ | (13,441) |  |  | $ | 16,788 |

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration