Derivatives and Hedging Activity (Tables)

12 Months Ended

Dec. 31, 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 December 31, 2016 (notional amounts in thousands):

Type of Derivative	Number of Contracts	Aggregate Notional Amount	Notional Currency	Maturity
Fx contracts – Sell Danish Krone ("DKK")	1	5,960	DKK	September 2017
Fx contracts – Sell Euros ("EUR") (1)	59	297,128	EUR	February 2017 – June 2020
Fx contracts – Sell Pounds Sterling ("GBP")	163	266,402	GBP	January 2017 – July 2020
Fx contracts – Sell Norwegian Krone ("NOK")	1	836	NOK	September 2017
Fx contracts – Sell Swedish Krona ("SEK")	1	1,317	SEK	September 2017
Interest rate swaps – Paying fixed rates	24	705,955	USD	April 2019 – January 2027
Interest rate swaps – Receiving fixed rates	1	8,000	USD	July 2017
Interest rate caps	2	294,000	EUR	May 2020
Interest rate caps	6	52,210	USD	June 2018 – October 2021
Credit index instruments	4	14,000	USD	September 2058
Total	262

(1) Includes 42 Fx contracts entered into to hedge our Euro currency exposure created by our acquisition of the Ireland Portfolio.  As of December 31, 2016, these contracts have an aggregate notional amount of €239.3 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 consolidated balance sheets as of December 31, 2016 and 2015 (amounts in thousands):

	Fair Value of Derivatives				Fair Value of Derivatives
	in an Asset Position (1)				in a Liability Position (2)
	as of December 31,				as of December 31,
	2016		2015		2016		2015
Derivatives designated as hedging instruments:
Interest rate swaps	$	30	$	57	$	56	$	122
Total derivatives designated as hedging instruments		30		57		56		122
Derivatives not designated as hedging instruments:
Interest rate swaps and caps		26,591		2,360		3,484		4,970
Foreign exchange contracts		62,295		41,137		364		104
Credit index instruments		445		1,537		—		—
Total derivatives not designated as hedging instruments		89,331		45,034		3,848		5,074
Total derivatives	$	89,361	$	45,091	$	3,904	$	5,196

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

Classified as derivative liabilities in our consolidated balance sheets.

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

(1)

The tables below present the effect of our derivative financial instruments on the consolidated statements of operations and of comprehensive income for the years ended December 31, 2016, 2015 and 2014 (amounts in thousands):

			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 December 31,	(effective portion)		(effective portion)		(ineffective portion)		Recognized in Income
2016	$	(284)	$	(323)	$	—	Interest expense
2015	$	(709)	$	(741)	$	—	Interest expense
2014	$	(865)	$	(1,372)	$	—	Interest expense

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

		Amount of Gain (Loss)
		Recognized in Income for the
Derivatives Not Designated	Location of Gain (Loss)	Year Ended December 31,
as Hedging Instruments	Recognized in Income	2016		2015		2014
Interest rate swaps and caps	Gain on derivative financial instruments	$	21,741	$	(22,675)	$	(15,662)
Foreign exchange contracts	Gain on derivative financial instruments		51,818		44,089		37,207
Credit index instruments	Gain on derivative financial instruments		(2,825)		184		(1,094)
		$	70,734	$	21,598	$	20,451