Derivatives and Hedging Activity (Tables)

6 Months Ended

Jun. 30, 2020

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, 2020 (notional amounts in thousands):

Type of Derivative	Number of Contracts	Aggregate Notional Amount	Notional Currency	Maturity
Fx contracts – Buy Euros ("EUR")	1	1,915	EUR	November 2022
Fx contracts – Sell EUR	277	228,011	EUR	August 2020 – November 2025
Fx contracts – Sell Pounds Sterling ("GBP")	97	315,411	GBP	July 2020 – December 2023
Fx contracts – Sell Australian dollar ("AUD")	10	85,592	AUD	August 2021 – November 2021
Interest rate swaps – Paying fixed rates	45	1,950,878	USD	August 2022 – March 2030
Interest rate swaps – Receiving fixed rates	2	970,000	USD	January 2021- March 2025
Interest rate caps	23	959,706	USD	September 2020 – April 2025
Credit index instruments	4	69,000	USD	September 2058 – August 2061
Interest rate swap guarantees	6	388,783	USD	March 2022 – June 2025
Total	465

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, 2020 and December 31, 2019 (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,
	2020		2019		2020		2019
Interest rate contracts	$	42,491	$	14,385	$	23	$	—
Interest rate swap guarantees		—		—		1,219		614
Foreign exchange contracts		47,875		14,558		2,638		7,834
Credit index instruments		539		—		—		292
Total derivatives	$	90,905	$	28,943	$	3,880	$	8,740

(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

The tables below present the effect of our derivative financial instruments on the condensed consolidated statements of operations for the three and six months ended June 30, 2020 and 2019 (amounts in thousands):

		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	2020		2019		2020		2019
Interest rate contracts	Loss on derivative financial instruments	$	(7,263)	$	(10,077)	$	(52,388)	$	(13,835)
Interest rate swap guarantees	Loss on derivative financial instruments		70		(2,990)		(605)		(3,171)
Foreign exchange contracts	Loss on derivative financial instruments		(7,107)		13,245		46,158		15,689
Credit index instruments	Loss on derivative financial instruments		(1,798)		(210)		447		(922)
		$	(16,098)	$	(32)	$	(6,388)	$	(2,239)