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Derivatives | 3 Months Ended
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Mar. 31, 2023
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 agreements with our derivative counterparties require that we post collateral to secure net liability positions. As of both March 31, 2023 and December 31, 2022, we were in a net asset position with all of our derivative counterparties and did not have any collateral posted under these derivative contracts. The following table summarizes our non-designated Fx forwards and our interest rate cap as of March 31, 2023:
| March 31, 2023
Type of Derivatives | Number of Contracts |  | Aggregate Notional Amount (in thousands) |  | Notional Currency |  | Maturity |  | Weighted-Average Years to Maturity
Fx contracts - GBP | 118 |  | 900,736 |  | GBP |  | April 2023 - February 2027 |  | 1.67
Fx contracts - EUR | 105 |  | 440,260 |  | EUR |  | April 2023 - November 2025 |  | 1.61
Fx contracts - SEK | 18 |  | 716,316 |  | SEK |  | May 2023 - May 2026 |  | 2.75
Interest rate cap | 1 |  | 500,000 |  | USD |  | June 2023 |  | 0.21
The following table summarizes our non-designated Fx forwards and our interest rate cap as of December 31, 2022:
| December 31, 2022
Type of Derivatives | Number of Contracts |  | Aggregate Notional Amount (in thousands) |  | Notional Currency |  | Maturity |  | Weighted-Average Years to Maturity
Fx contracts - GBP | 124 |  | 936,930 |  | GBP |  | January 2023 - February 2027 |  | 1.78
Fx contracts - EUR | 130 |  | 576,240 |  | EUR |  | January 2023 - November 2025 |  | 1.78
Fx contracts - SEK | 19 |  | 730,432 |  | SEK |  | February 2023 - May 2026 |  | 2.95
Interest rate cap | 1 |  | 500,000 |  | USD |  | June 2023 |  | 0.46
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, 2023 and 2022 ($ in thousands):
|  |  |  |  |  |  | Amount of gain (loss) recognized in income
|  |  |  |  | Three months ended March 31,
| Location of Gain (Loss) Recognized in Income |  |  |  |  |  | 2023 |  | 2022 |  |
Forward currency contracts | Unrealized gain (loss) on derivative instruments |  |  |  |  |  | $ | (35,851) |  |  | $ | 18,142 |  |  |
Forward currency contracts | Realized gain on derivative instruments |  |  |  |  |  | 21,716 |  |  | 4,620 |  |  |
Total |  |  |  |  |  |  | $ | (14,135) |  |  | $ | 22,762 |  |  |
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 the 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 consolidated statement of operations. During the three months ended March 31, 2023, LIBOR exceeded the cap rate of 0.75%. As such, during the three months ended March 31, 2023, we realized a gain from the interest rate cap in the amount of $4.7 million, which is included in gain (loss) on interest rate hedging instruments in our condensed consolidated statement of operations. The realized gain was a result of the increase in the current interest rate forward curve, partially offset by the nearing maturity of the cap. There was no realized gain recorded during the three months ended March 31, 2022. The following table summarizes the amounts recognized on our condensed consolidated statements of operations related to our interest rate cap for the three months ended March 31, 2023 and 2022 ($ in thousands):
|  |  | Amount of gain (loss) recognized in income
|  |  | Three months ended March 31,
| Location of gain (loss) recognized in income |  | 2023 |  |  | 2022 |  |  |  |
Interest rate cap(1) | Unrealized gain (loss) on interest rate hedging instruments |  | $ | (4,813) |  |  |  | $ | 6,321 |  |  |  |  |
Interest rate cap(1) | Realized gain on interest rate hedging instruments |  | 4,706 |  |  |  | — |  |  |  |  |
Total |  |  | $ | (107) |  |  |  | $ | 6,321 |  |  |  |  |
——————— (1)With a notional amount of $500.0 million at March 31, 2023 and 2022. The following tables summarize the gross asset and liability amounts related to our derivatives at March 31, 2023 and December 31, 2022 ($ in thousands):
| March 31, 2023 |  | December 31, 2022
| 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 Consolidated Balance Sheet |  | Net Amounts of Assets Presented in our Consolidated Balance Sheet
Forward currency contracts | $ | 106,825 |  |  | $ | (23,176) |  |  | $ | 83,649 |  |  | $ | 143,285 |  |  | $ | (23,786) |  |  | $ | 119,499 |
Interest rate cap | 5,256 |  |  | — |  |  | 5,256 |  |  | 9,141 |  |  | — |  |  | 9,141 |
Total derivative assets (liabilities) | $ | 112,081 |  |  | $ | (23,176) |  |  | $ | 88,905 |  |  | $ | 152,426 |  |  | $ | (23,786) |  |  | $ | 128,640 |

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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 https://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 https://asc.fasb.org/extlink&oid=126731327&loc=d3e90205-114008 + Details
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