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Derivatives
 3 Months Ended
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 DerivativesNumber of ContractsAggregate Notional Amount (in thousands)Notional CurrencyMaturityWeighted-Average Years to Maturity
Fx contracts - GBP118900,736GBPApril 2023 - February 20271.67
Fx contracts - EUR105440,260EURApril 2023 - November 20251.61
Fx contracts - SEK18716,316SEKMay 2023 - May 20262.75
Interest rate cap1500,000USDJune 20230.21
    
The following table summarizes our non-designated Fx forwards and our interest rate cap as of December 31, 2022:
December 31, 2022
Type of DerivativesNumber of ContractsAggregate Notional Amount (in thousands)Notional CurrencyMaturityWeighted-Average Years to Maturity
Fx contracts - GBP124936,930GBPJanuary 2023 - February 20271.78
Fx contracts - EUR130576,240EURJanuary 2023 - November 20251.78
Fx contracts - SEK19730,432SEKFebruary 2023 - May 20262.95
Interest rate cap1500,000USDJune 20230.46
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 Income20232022
Forward currency contractsUnrealized gain (loss) on derivative instruments $(35,851)$18,142 
Forward currency contractsRealized gain on derivative instruments 21,716 4,620 
Total$(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 income20232022
Interest rate cap(1)
Unrealized gain (loss) on interest rate hedging instruments$(4,813)$6,321 
Interest rate cap(1)
Realized gain on interest rate hedging instruments4,706 — 
Total$(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, 2023December 31, 2022
Gross Amount of Recognized AssetsGross Amounts Offset in our Condensed Consolidated Balance SheetNet Amounts
of Assets
Presented in
our Condensed Consolidated Balance Sheet		Gross Amount of Recognized AssetsGross
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 cap5,256 — 5,256 9,141 — 9,141 
Total derivative assets (liabilities)$112,081 $(23,176)$88,905 $152,426 $(23,786)$128,640