Derivatives and Hedging Activity (Tables)

6 Months Ended

Jun. 30, 2019

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 derivatives as of June 30, 2019 (notional amounts in thousands):

Type of Derivative	Number of Contracts	Aggregate Notional Amount	Notional Currency	Maturity
Fx contracts – Sell Euros ("EUR")	79	309,884	EUR	July 2019 - November 2022
Fx contracts – Sell Pounds Sterling ("GBP")	105	303,176	GBP	July 2019 – April 2022
Fx contracts – Sell Australian dollar ("AUD")	3	12,542	AUD	July 2019 – November 2021
Interest rate swaps – Paying fixed rates	38	1,149,539	USD	December 2021 – July 2029
Interest rate swaps – Receiving fixed rates	2	970,000	USD	January 2021 – March 2025
Interest rate caps	8	109,506	USD	January 2020 – December 2021
Credit index instruments	4	39,000	USD	November 2054 – August 2061
Interest rate swap guarantees	9	665,358	USD	July 2019 – June 2025
Interest rate swap guarantees	1	10,263	GBP	December 2024
Total	249

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, 2019 and December 31, 2018 (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,
	2019		2018		2019		2018
Interest rate contracts	$	22,851	$	30,791	$	7,796	$	14,457
Interest rate swap guarantees		—		—		435		396
Foreign exchange contracts		30,801		21,346		511		562
Credit index instruments		24		554		149		—
Total derivatives	$	53,676	$	52,691	$	8,891	$	15,415

(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

		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	2019		2018		2019		2018
Interest rate contracts	(Loss) gain on derivative financial instruments	$	(10,077)	$	(128)	$	(13,835)	$	6,109
Interest rate swap guarantees	(Loss) gain on derivative financial instruments		(2,990)		—		(3,171)		—
Foreign exchange contracts	(Loss) gain on derivative financial instruments		13,245		32,818		15,689		9,675
Credit index instruments	(Loss) gain on derivative financial instruments		(210)		(68)		(922)		(21)
		$	(32)	$	32,622	$	(2,239)	$	15,763

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

			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
2019	$	—	$	—	$	—	Interest expense
2018	$	(1)	$	22	$	—	Interest expense
For the Six Months Ended June 30,
2019	$	—	$	—	$	—	Interest expense
2018	$	8	$	26	$	—	Interest expense