XML 28 R19.htm IDEA: XBRL DOCUMENT
v3.23.3

Derivatives | 9 Months Ended
--- | ---
Sep. 30, 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 September 30, 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 interest rate cap as of September 30, 2023:
| September 30, 2023
Type of Derivatives | Number of Contracts |  | Aggregate Notional Amount (in thousands) |  | Notional Currency |  | Maturity |  | Weighted-Average Years to Maturity
Fx contracts - GBP | 110 |  | 934,662 |  | GBP |  | October 2023 - February 2027 |  | 1.29
Fx contracts - EUR | 99 |  | 424,355 |  | EUR |  | October 2023 - August 2026 |  | 1.17
Fx contracts - SEK | 17 |  | 689,627 |  | SEK |  | November 2023 - May 2026 |  | 2.36
Interest rate cap | 1 |  | 164,835 |  | USD |  | October 2024 |  | 1.00
The following table summarizes our non-designated Fx forwards and 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 forward currency contracts for the nine months ended September 30, 2023 and 2022 ($ in thousands):
|  |  | Amount of gain (loss) recognized in income
|  |  | Three months ended September 30, |  | Nine months ended September 30,
| Location of Gain (Loss) Recognized in Income |  | 2023 |  | 2022 |  | 2023 |  | 2022 |
Forward currency contracts | Unrealized gain (loss) on derivative instruments |  | $ | 28,244 |  |  | $ | 108,428 |  |  | $ | (27,709) |  |  | $ | 221,623 |  |
Forward currency contracts | Realized gain on derivative instruments |  | 11,246 |  |  | 20,824 |  |  | 35,948 |  |  | 35,604 |  |
Total |  |  | $ | 39,490 |  |  | $ | 129,252 |  |  | $ | 8,239 |  |  | $ | 257,227 |  |
In June 2020, we entered into an interest rate cap for approximately $1.1 million, which matured on June 15, 2023. Our interest rate cap managed our exposure to variable cash flows on our borrowings under the senior secured term loan by effectively limiting LIBOR from exceeding 0.75%. This effectively limited 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 was recorded net under unrealized gain on interest rate hedging instruments in our consolidated statement of operations. During 2023, through the interest rate cap maturity, LIBOR exceeded the cap rate of 0.75%. As such, during the nine months ended September 30, 2023, we realized a gain from the interest rate cap in the amount of $9.1 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 current interest rates. As the interest rate cap matured during the second quarter of 2023, there was no realized gain or loss recorded during three months ended September 30, 2023. There was no realized gain recorded during the nine months ended September 30, 2022. On September 26, 2023, we entered into an interest rate cap with a notional amount of $164.8 million. We use our interest rate cap to hedge our exposure to variable cash flows on our construction loan. The interest rate cap effectively limits SOFR from exceeding 4.00% which results in the maximum all-in coupon on our construction financing of 6.55%. The unrealized gain or loss related to the interest rate cap was recorded under gain on interest rate hedging instruments in our condensed consolidated statement of operations. There was no realized gain or loss recorded during the three and nine months ended September 30, 2023. The following table summarizes the amounts recognized on our condensed consolidated statements of operations related to our interest rate caps for the three and nine months ended September 30, 2023 and 2022 ($ in thousands):
|  |  | Amount of gain (loss) recognized in income
|  |  | Three months ended September 30, | Nine months ended September 30,
| Location of Gain (Loss) Recognized in Income |  | 2023 |  | 2022 | 2023 |  | 2022
Interest rate cap | Unrealized gain (loss) on interest rate hedging instruments |  | $ | (70) |  |  | $ | 1,044 |  | $ | (9,211) |  |  | $ | 10,808 |
Interest rate cap | Realized gain on interest rate hedging instruments |  | — |  |  | — |  | 9,089 |  |  | — |
Total |  |  | $ | (70) |  |  | $ | 1,044 |  | $ | (122) |  |  | $ | 10,808 |
The following tables summarize the gross asset and liability amounts related to our derivatives at September 30, 2023 and December 31, 2022 ($ in thousands):
| September 30, 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 | $ | 112,698 |  |  | $ | (20,908) |  |  | $ | 91,790 |  |  | $ | 143,285 |  |  | $ | (23,786) |  |  | $ | 119,499 |
Interest rate cap | 2,247 |  |  | — |  |  | 2,247 |  |  | 9,141 |  |  | — |  |  | 9,141 |
Total derivative assets (liabilities) | $ | 114,945 |  |  | $ | (20,908) |  |  | $ | 94,037 |  |  | $ | 152,426 |  |  | $ | (23,786) |  |  | $ | 128,640 |

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://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//815/tableOfContent + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration