Derivatives and Hedging Activity

3 Months Ended

Mar. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives and Hedging Activity

Derivatives and Hedging Activity

Risk Management Objective of Using Derivatives

We are exposed to certain risks arising from both our business operations and economic conditions. Refer to Note 14 to the consolidated financial statements included in our Form 10-K for further discussion of our risk management objectives and policies.

Designated Hedges

The Company does not generally elect to apply the hedge accounting designation to its hedging instruments. As of March 31, 2024 and December 31, 2023, the Company did not have any designated hedges.

Non-designated Hedges and Derivatives

We have entered into the following types of non-designated hedges and derivatives:

•Foreign exchange (“Fx”) forwards whereby we agree to buy or sell a specified amount of foreign currency for a specified amount of USD at a future date, economically fixing the USD amounts of foreign denominated cash flows we expect to receive or pay related to certain foreign denominated loan investments;

•Interest rate contracts which hedge a portion of our exposure to changes in interest rates;

•Credit instruments which hedge a portion of our exposure to the credit risk of our commercial loans held-for-sale; and

•Interest rate swap guarantees whereby we guarantee the interest rate swap obligations of certain Infrastructure Lending borrowers. Our interest rate swap guarantees were assumed in connection with the acquisition of the Infrastructure Lending Segment.

The following table summarizes our non-designated derivatives as of March 31, 2024 (notional amounts in thousands):

Type of Derivative	Number of Contracts	Aggregate Notional Amount	Notional Currency	Maturity
Fx contracts – Buy Euros (“EUR”)	26	399,300	EUR	April 2024 - April 2026
Fx contracts – Buy Pounds Sterling (“GBP”)	15	68,963	GBP	April 2024 - January 2027
Fx contracts – Buy Australian dollar (“AUD”)	10	819,763	AUD	April 2024 - October 2026
Fx contracts – Sell EUR	162	838,898	EUR	April 2024 - February 2027
Fx contracts – Sell GBP	209	552,574	GBP	April 2024 - April 2027
Fx contracts – Sell AUD	140	1,620,052	AUD	April 2024 - July 2027
Fx contracts – Sell Swiss Franc (“CHF”)	65	20,900	CHF	April 2024 - November 2025
Interest rate swaps – Paying fixed rates	60	4,524,605	USD	April 2024 - March 2034
Interest rate swaps – Receiving fixed rates	4	1,592,500	USD	March 2025 - February 2030
Interest rate caps	4	624,332	USD	November 2024 - April 2025
Interest rate caps	1	61,000	GBP	April 2024
Credit instruments	3	49,000	USD	September 2058 - August 2061
Interest rate swap guarantees	1	98,925	USD	June 2025
Total	700

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 March 31, 2024 and December 31, 2023 (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
	March 31, 2024		December 31, 2023		March 31, 2024		December 31, 2023
Interest rate contracts	$	24,367	$	8,899	$	52,312	$	48,401
Foreign exchange contracts	58,196		53,979		22,074		54,066
Credit instruments	353		559		261		—
Total derivatives	$	82,916	$	63,437	$	74,647	$	102,467

___________________________________________________

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

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

The table below presents the effect of our derivative financial instruments on the condensed consolidated statements of operations for the three months ended March 31, 2024 and 2023 (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 March 31,
		2024		2023
Interest rate contracts	Gain (loss) on derivative financial instruments, net	$	54,298	$	(22,950)
Foreign exchange contracts	Gain (loss) on derivative financial instruments, net	48,123		(10,344)
Credit instruments	Gain (loss) on derivative financial instruments, net	(482)		466
		$	101,939	$	(32,828)