Derivatives and Hedging Activity (Tables)

6 Months Ended

Jun. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Non-Designated Derivatives

The following table summarizes our non-designated derivatives as of June 30, 2021 (notional amounts in thousands):

Type of Derivative	Number of Contracts	Aggregate Notional Amount	Notional Currency	Maturity
Fx contracts – Buy Euros ("EUR")	8	8,442	EUR	August 2021 – November 2022
Fx contracts – Buy Pounds Sterling ("GBP")	11	10,685	GBP	July 2021 – July 2022
Fx contracts – Sell EUR	167	299,977	EUR	July 2021 – November 2025
Fx contracts – Sell GBP	128	571,689	GBP	July 2021 – May 2024
Fx contracts – Sell Australian dollar ("AUD")	22	208,622	AUD	August 2021 – June 2022
Interest rate swaps – Paying fixed rates	28	1,917,729	USD	May 2023 – July 2031
Interest rate swaps – Receiving fixed rates	1	470,000	USD	March 2025
Interest rate caps	20	939,893	USD	November 2021 – April 2025
Credit index instruments	3	49,000	USD	September 2058 – August 2061
Interest rate swap guarantees	5	315,425	USD	May 2022 – June 2025
Total	393

Schedule of Fair Value of Derivatives

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, 2021 and December 31, 2020 (amounts in thousands):

	Fair Value of Derivatives in an Asset Position (1) as of				Fair Value of Derivatives in a Liability Position (2) as of
	June 30, 2021		December 31, 2020		June 30, 2021		December 31, 2020
Interest rate contracts	$	23,588	$	33,841	$	—	$	4
Interest rate swap guarantees	—		—		353		849
Foreign exchange contracts	12,027		6,585		32,296		39,951
Credit index instruments	—		129		412		520
Total derivatives	$	35,615	$	40,555	$	33,061	$	41,324

___________________________________________________

(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

The table below presents the effect of our derivative financial instruments on the condensed consolidated statements of operations for the three and six months ended June 30, 2021 and 2020 (amounts in thousands):

Derivatives Not Designated as Hedging Instruments	Location of Gain (Loss) Recognized in Income	Amount of Gain (Loss) Recognized in Income for the Three Months Ended June 30,				Amount of Gain (Loss) Recognized in Income for the Six Months Ended June 30,
		2021		2020		2021		2020
Interest rate contracts	(Loss) gain on derivative financial instruments	$	(7,344)	$	(7,263)	$	12,814	$	(52,388)
Interest rate swap guarantees	(Loss) gain on derivative financial instruments	145		70		496		(605)
Foreign exchange contracts	(Loss) gain on derivative financial instruments	(2,540)		(7,107)		11,061		46,158
Credit index instruments	(Loss) gain on derivative financial instruments	(270)		(1,798)		(391)		447
		$	(10,009)	$	(16,098)	$	23,980	$	(6,388)