Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The table below presents the fair value of the Company’s derivative financial instruments as well as their classification on the consolidated balance sheets as of September 30, 2020 and December 31, 2019:


(In thousands)	Balance Sheet Location	September 30, 2020		December 31, 2019
Derivatives designated as hedging instruments:




Interest rate “pay-fixed” swaps (USD)	Derivative liabilities, at fair value	$	(5,495)	$	(939)
Interest rate “pay-fixed” swaps (GBP)	Derivative assets, at fair value	—		366
Interest rate “pay-fixed” swaps (GBP)	Derivative liabilities, at fair value	(9,173)		(4,524)
Interest rate “pay-fixed” swaps (EUR)	Derivative assets, at fair value	—		228
Interest rate “pay-fixed” swaps (EUR)	Derivative liabilities, at fair value	(2,404)		(1,139)
Total		$	(17,072)	$	(6,008)
Derivatives not designated as hedging instruments:
Foreign currency forwards (GBP-USD)	Derivative assets, at fair value	$	1,018	$	1,205
Foreign currency forwards (GBP-USD)	Derivative liabilities, at fair value	(1,020)		(831)
Foreign currency forwards (EUR-USD)	Derivative assets, at fair value	880		2,352
Foreign currency forwards (EUR-USD)	Derivative liabilities, at fair value	(454)		—

Interest rate swaps (EUR)	Derivative liabilities, at fair value	—		(74)
Total		$	424	$	2,652

Schedule of Interest Rate Derivatives

As of September 30, 2020 and December 31, 2019, the Company had the following outstanding interest rate derivatives that were designated as cash flow hedges of interest rate risk:


	September 30, 2020			December 31, 2019
Derivatives	Number of Instruments	Notional Amount		Number of Instruments	Notional Amount
		(In thousands)			(In thousands)
Interest rate “pay-fixed” swaps (GBP)	49	$	284,033	49	$	290,965
Interest rate “pay-fixed” swaps (EUR)	22	613,141		16	521,471
Interest rate “pay-fixed” swaps (USD)	9	238,000		3	150,000
Total	80	$	1,135,174	68	$	962,436

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The table below details the location in the consolidated financial statements of the gain or loss recognized on interest rate derivatives designated as cash flow hedges for the three and nine months ended September 30, 2020 and 2019.


	Three Months Ended September 30,				Nine Months Ended September 30,
(In thousands)	2020		2019		2020		2019
Amount of loss recognized in AOCI from derivatives	$	(1,207)	$	(4,139)	$	(14,290)	$	(13,250)
Amount of loss reclassified from AOCI into income as interest expense	$	(1,729)	$	(660)	$	(3,843)	$	(1,640)
Total interest expense recorded in the consolidated statements of operations	$	18,677	$	16,154	$	52,646	$	47,005

Disclosure of Credit Derivatives

As of September 30, 2020 and December 31, 2019, the Company had the following outstanding derivatives that were not designated as hedges under qualifying hedging relationships.


	September 30, 2020			December 31, 2019
Derivatives	Number of Instruments	Notional Amount		Number of Instruments	Notional Amount
		(In thousands)			(In thousands)
Foreign currency forwards (GBP-USD)	38	$	29,605	38	$	38,898
Foreign currency forwards (EUR-USD)	33	21,104		32	27,478
Interest rate swaps (EUR)	—	—		1	10,655



Total	71	$	50,709	71	$	77,031

Offsetting Assets

The table below presents a gross presentation, the effects of offsetting, and a net presentation of the Company’s derivatives as of September 30, 2020 and December 31, 2019. The net amounts of derivative assets or liabilities can be reconciled to the tabular disclosure of fair value. The tabular disclosure of fair value provides the location that derivative assets and liabilities are presented on the accompanying consolidated balance sheets.


									Gross Amounts Not Offset on the Balance Sheet
(In thousands)	Gross Amounts of Recognized Assets		Gross Amounts of Recognized (Liabilities)		Gross Amounts Offset on the Balance Sheet		Net Amounts of (Liabilities) Assets presented on the Balance Sheet		Financial Instruments		Cash Collateral Received (Posted)		Net Amount
September 30, 2020	$	1,898	$	(18,546)	$	—	$	(16,648)	$	—	$	—	$	(16,648)
December 31, 2019	$	4,151	$	(7,507)	$	—	$	(3,356)	$	—	$	—	$	(3,356)

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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