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DERIVATIVE INSTRUMENTS
 6 Months Ended
Jun. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVE INSTRUMENTS DERIVATIVE INSTRUMENTS
The Company enters into derivative instruments for risk management purposes to hedge its exposure to cash flow variability caused by changing interest rates and foreign currency exchange rate movements. The primary goal of the Company’s risk management practices related to interest rate risk is to prevent changes in interest rates from adversely impacting the Company’s ability to achieve its investment return objectives. The Company does not enter into derivatives for speculative purposes.
The Company enters into foreign currency collars to mitigate its exposure to foreign currency exchange rate movements on its bonds payable outstanding denominated in Israeli new Shekels. A foreign currency collar consists of a purchased call option to buy and a sold put option to sell Israeli new Shekels. A foreign currency collar guarantees that the exchange rate of the currency will not fluctuate beyond the range of the options’ strike prices.
The following table summarizes the notional amount and other information related to the Company’s foreign currency collars as of June 30, 2020 and December 31, 2019. The notional amount is an indication of the extent of the Company’s involvement in each instrument at that time, but does not represent exposure to credit, interest rate or market risks (currency in thousands):
June 30, 2020December 31, 2019Strike PriceTrade DateMaturity Date
Derivative InstrumentsNumber of InstrumentsNotional AmountNumber of InstrumentsNotional Amount
Derivative instruments not designated as hedging instruments
Foreign currency collar1380,000  ILS——
3.70 - 3.82 ILS - USD
03/17/2020
9/16/2020 (1)
Foreign currency collar1418,000  ILS——
3.5875 - 3.725 ILS - USD
03/16/2020
9/16/2020 (1)
Foreign currency collar——1776,182 ILS
3.38 - 3.4991 ILS - USD
11/25/201902/26/2020
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(1) On July 29, 2020, the Company terminated the foreign currency collars and as a result received $14.1 million.
The Company enters into interest rate caps to mitigate its exposure to rising interest rates on its variable rate notes payable. The values of interest rate caps are primarily impacted by interest rates, market expectations about interest rates, and the remaining life of the instrument. In general, increases in interest rates, or anticipated increases in interest rates, will increase the value of interest rate caps. As the remaining life of an interest rate cap decreases, the value of the instrument will generally decrease towards zero.
As of June 30, 2020, the Company had entered into three interest rate caps, which were not designated as a hedging instruments. The following table summarizes the notional amounts and other information related to the Company’s derivative instruments as of June 30, 2020. The notional amount is an indication of the extent of the Company’s involvement in the instrument at that time, but does not represent exposure to credit, interest rate or market risks (dollars in thousands):
Derivative InstrumentEffective DateMaturity DateNotional ValueReference Rate
Interest rate cap04/02/201803/05/2021$77,513  
One-month LIBOR at 3.50%
Interest rate cap06/21/201905/22/2023$51,252  
One-month LIBOR at 4.00%
Interest rate cap02/12/202002/16/2021$46,875  
One-month LIBOR at 3.00%
The following table sets forth the fair value of the Company’s derivative instruments as well as their classification on the consolidated balance sheets as of June 30, 2020 and December 31, 2019 (dollars in thousands):
June 30, 2020December 31, 2019
Derivative InstrumentsBalance Sheet LocationNumber of InstrumentsFair ValueNumber of InstrumentsFair Value
Derivative instruments not designated as hedging instruments
Interest rate capsPrepaid expenses and other assets3$39  3$12  
Foreign currency collarsPrepaid expenses and other assets (Other liabilities)2$11,977  1$(179) 
The change in fair value of foreign currency collars that are not designated as cash flow hedges are recorded as foreign currency transaction gains or losses in the accompanying consolidated statements of operations. During the three months ended June 30, 2020, the Company recognized a $3.2 million gain related to the foreign currency collars, which is shown combined with $5.4 million of foreign currency transaction loss in the accompanying consolidated statements of operations as foreign currency transaction loss, net. During the six months ended June 30, 2020, the Company recognized a $12.2 million gain related to the foreign currency collars, which is shown combined with $0.6 million of foreign currency transaction gain in the accompanying consolidated statements of operations as foreign currency transaction gain, net.
During the three months ended June 30, 2019, the Company recognized a $1.2 million gain related to the foreign currency collars, which is shown net against $3.7 million of foreign currency transaction loss in the accompanying consolidated statements of operations as foreign currency transaction loss, net. During the six months ended June 30, 2019, the Company recognized a $4.2 million gain related to the foreign currency collars, which is shown net against $9.5 million of foreign currency transaction loss in the accompanying consolidated statements of operations as foreign currency transaction loss, net.