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DERIVATIVE INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2020

Schedule of the Company's Derivative Assets and Liabilities


	Fair Value
	At				At
	March 31, 2020				December 31, 2019
(in thousands)	Assets		Liabilities		Assets		Liabilities
Basis swaps	$	─	$	750	$	318	$	─
Interest rate caps		91		─		227		─
Interest rate swaps		─		1,562		52		─
Foreign currency forward exchange		833		─		─		117
Total carrying value of derivative instruments	$	924	$	2,312	$	597	$	117

Schedule of Derivative Notional Amounts


	Notional Amounts
	At		At
	March 31,		December 31,
(in thousands)	2020		2019
Basis swaps	$	35,000	$	35,000
Interest rate caps		35,000		35,000
Interest rate swaps		35,000		35,000
Foreign currency forward exchange		3,677		4,685
Total notional amount of derivative instruments	$	108,677	$	109,685

Schedule of Net Gains Recognized Recognized In Connection With Derivative Instruments


	For the three months ended
	March 31,
(in thousands)	2020		2019
Total return swaps (1)	$	─	$	(4)
Basis swaps (2)		(1,079)		(73)
Interest rate caps		(136)		(477)
Interest rate swaps (3)		(1,578)		(881)
Foreign currency forward exchange		1,082		(7)
Total net losses of derivative instruments	$	(1,711)	$	(1,442)

⁽¹⁾

The accrual of net interest payments that are made in connection with TRS agreements that are reported as derivative instruments are classified as a component of “Net losses on derivatives” on the Consolidated Statements of Operations. Net cash received was $0.2 million for the three months ended March 31, 2019.

⁽²⁾

The accrual of net interest payments that are made in connection with basis swaps is classified as a component of “Net losses on derivatives” on the Consolidated Statements of Operations. The net cash received was de minimis for the three months ended March 31, 2020 and March 31, 2019.

⁽³⁾

The accrual of net interest payments that are made in connection with interest rate swaps is classified as a component of “Net losses on derivatives” on the Consolidated Statements of Operations. Net cash paid was de minimis for the three months ended March 31, 2020, while the net cash received was $0.1 million for the three months ended March 31, 2019, respectively.