Derivatives and Hedging Activity (Tables)

6 Months Ended

Jun. 30, 2016

Derivatives and Hedging Activity

Summary of foreign exchange ("Fx") forwards, interest rate swaps, interest rate caps and credit index instruments

The following table summarizes our non-designated foreign exchange (“Fx”) forwards, interest rate swaps, interest rate caps and credit index instruments as of June 30, 2016 (notional amounts in thousands):

		Aggregate
	Number	Notional	Notional
Type of Derivative	of Contracts	Amount	Currency	Maturity
Fx contracts – Buy Danish Krone ("DKK")	2	137	DKK	December 2016
Fx contracts – Buy Euros ("EUR")	2	94	EUR	December 2016
Fx contracts – Buy Norwegian Krone ("NOK")	2	15	NOK	December 2016
Fx contracts – Buy Swedish Krona ("SEK")	2	1,321	SEK	December 2016
Fx contracts – Sell Danish Krone ("DKK")	1	6,251	DKK	December 2016
Fx contracts – Sell Euros ("EUR") (1)	93	364,047	EUR	July 2016 – June 2020
Fx contracts – Sell Pounds Sterling ("GBP")	81	150,831	GBP	July 2016 – June 2019
Fx contracts – Sell Norwegian Krone ("NOK")	1	878	NOK	December 2016
Fx contracts – Sell Swedish Krona ("SEK")	1	7,032	SEK	December 2016
Interest rate swaps – Paying fixed rates	56	370,206	USD	July 2016 – July 2026
Interest rate swaps – Receiving fixed rates	2	9,800	USD	July 2017 – June 2026
Interest rate caps	2	294,000	EUR	May 2020
Interest rate caps	4	34,474	USD	June 2018 – October 2020
Credit index instruments	9	36,000	USD	September 2058
Total	258

(1) Includes 49 Fx contracts executed to hedge our Euro currency exposure created by our acquisition of the Ireland Portfolio.  As of June 30, 2016, these contracts have an aggregate notional amount of €246.9 million and varying maturities through June 2020.

Schedule of fair values of derivative financial instruments

The table below presents the fair value of our derivative financial instruments as well as their classification on the condensed consolidated balance sheets as of June 30, 2016 and December 31, 2015 (amounts in thousands):

	Fair Value of Derivatives				Fair Value of Derivatives
	in an Asset Position (1) As of				in a Liability Position (2) As of
	June 30,		December 31,		June 30,		December 31,
	2016		2015		2016		2015
Derivatives designated as hedging instruments:
Interest rate swaps	$	—	$	57	$	386	$	122
Total derivatives designated as hedging instruments		—		57		386		122
Derivatives not designated as hedging instruments:
Interest rate swaps and caps		967		2,360		17,160		4,970
Foreign exchange contracts		39,399		41,137		324		104
Credit index instruments		2,326		1,537		—		—
Total derivatives not designated as hedging instruments		42,692		45,034		17,484		5,074
Total derivatives	$	42,692	$	45,091	$	17,870	$	5,196

(1) Classified as derivative assets in our condensed consolidated balance sheets.

(2) Classified as derivative liabilities in our condensed consolidated balance sheets.

Schedule of effect of derivative financial instruments on the consolidated statements of operations and of comprehensive income

			Gain (Loss)
	Gain (Loss)		Reclassified		Gain (Loss)
	Recognized		from AOCI		Recognized
Derivatives Designated as Hedging Instruments	in OCI		into Income		in Income		Location of Gain (Loss)
For the Three Months Ended June 30,	(effective portion)		(effective portion)		(ineffective portion)		Recognized in Income
2016	$	(136)	$	(88)	$	—	Interest expense
2015	$	(71)	$	(194)	$	—	Interest expense
For the Six Months Ended June 30,
2016	$	(504)	$	(183)	$	—	Interest expense
2015	$	(538)	$	(398)	$	—	Interest expense

Schedule of Gain / (Loss) recognized in Income for Derivatives Not Designated as Hedging Instruments

		Amount of Gain (Loss)				Amount of Gain (Loss)
		Recognized in Income for the				Recognized in Income for the
Derivatives Not Designated	Location of Gain (Loss)	Three Months Ended June 30,				Six Months Ended June 30,
as Hedging Instruments	Recognized in Income	2016		2015		2016		2015
Interest rate swaps and caps	Gain (loss) on derivative financial instruments	$	(7,273)	$	7,958	$	(25,273)	$	(4,964)
Foreign exchange contracts	Gain (loss) on derivative financial instruments		27,899		(27,799)		21,349		10,172
Credit index instruments	Gain (loss) on derivative financial instruments		(373)		311		(541)		(115)
		$	20,253	$	(19,530)	$	(4,465)	$	5,093