v3.22.2.2
Derivatives
 9 Months Ended
Sep. 30, 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 September 30, 2022:
September 30, 2022
Type of DerivativesNumber of ContractsAggregate Notional Amount (in thousands)Notional CurrencyMaturityWeighted-Average Years to Maturity
Fx contracts - GBP130971,560GBPOctober 2022 - February 20271.98
Fx contracts - EUR127560,982EUROctober 2022 - November 20251.97
Fx contracts - SEK20744,089SEKNovember 2022 - May 20263.15
Interest rate cap1500,000USDJune 20230.71
    

The following table summarizes our non-designated Fx forwards and our interest rate cap as of December 31, 2021:
December 31, 2021
Type of DerivativesNumber of ContractsAggregate Notional Amount (in thousands)Notional CurrencyMaturityWeighted-Average Years to Maturity
Fx contracts - GBP125738,178GBPJanuary 2022 - February 20262.14
Fx contracts - EUR90508,541EURJanuary 2022 - November 20251.88
Fx contracts - SEK20765,138SEKFebruary 2022 - May 20263.74
Interest rate cap1500,000USDJune 20231.45
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 nine months ended September 30, 2022 and 2021 ($ 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 Income2022202120222021
Forward currency contractsUnrealized gain on derivative instruments $108,428 $32,376 $221,623 $40,857 
Forward currency contractsRealized gain (loss) on derivative instruments 20,824 571 35,604 (1,204)
Total$129,252 $32,947 $257,227 $39,653 
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. During the three and nine months ended September 30, 2022, LIBOR exceeded the cap rate of 0.75%. As such, during the three and nine months ended September 30, 2022, we recognized income from the interest rate cap in the amount of $1.8 million and $2.0 million, respectively, which is offsetting interest expense in our condensed consolidated statement of operations. There was no such contra-expense recorded during the three and nine months ended September 30, 2021. The following table summarizes the amount recognized on our condensed consolidated statements of operations related to our interest rate cap for the three and nine months ended September 30, 2022 and 2021 ($ in thousands):
Amount of gain (loss)
recognized in income
Three months ended September 30,Nine months ended September 30,
Location of Gain Recognized in Income2022202120222021
Interest rate cap(1)
Unrealized gain (loss) on interest rate hedging instruments$1,044 $(75)$10,808 $171 
Total$1,044 $(75)$10,808 $171 
———————
(1)With a notional amount of $500.0 million at September 30, 2022 and 2021.

The following tables summarize the gross asset and liability amounts related to our derivatives at September 30, 2022 and December 31, 2021 ($ in thousands):
September 30, 2022December 31, 2021
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 Condensed
 Consolidated Balance Sheet		Net Amounts of Assets Presented in our Condensed Consolidated Balance Sheet
Forward currency contracts$270,871 $(33,908)$236,963 $28,781 $(13,441)$15,340 
Interest rate cap12,257 — 12,257 1,448 — 1,448 
Total derivative assets (liabilities)$283,128 $(33,908)$249,220 $30,229 $(13,441)$16,788