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Derivatives
 9 Months Ended
Sep. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives Derivatives
The Company uses derivative instruments to manage the risk of changes in interest rates and foreign exchange rates, arising from both its business operations and economic conditions. Specifically, the Company enters into derivative instruments to manage differences in the amount, timing, and duration of the Company’s known or expected cash receipts and cash payments, the values of which are driven by interest rates, principally relating to the Company’s investments. Additionally, the Company’s foreign operations expose the Company to fluctuations in foreign exchange rates. The Company enters into derivative instruments to protect the value or fix certain of these foreign denominated amounts in terms of its functional currency, the U.S. dollar. Derivative instruments used in the Company’s risk management activities may be designated as qualifying hedge accounting relationships designated hedges or non-designated hedges.
As of September 30, 2020 and December 31, 2019, fair value of derivative assets and derivative liabilities were as follows (dollars in thousands):
September 30, 2020December 31, 2019
Non-Designated HedgesTotalDesignated HedgesNon-Designated HedgesTotal
Derivative Assets
Foreign exchange contracts$1,974 $1,974 $— $4,122 $4,122 
Interest rate contracts7 7 — — — 
Included in other assets$1,981 $1,981 $— $4,122 $4,122 
Derivative Liabilities
Foreign exchange contracts$— $— $(2,128)$(29)$(2,157)
Interest rate contracts(37)(37)— (16,976)(16,976)
Included in accrued and other liabilities$(37)$(37)$(2,128)$(17,005)$(19,133)
As of September 30, 2020, the Company’s counterparties held $0.1 million in cash collateral.
The following table summarizes the Company’s interest rate contracts as of September 30, 2020:
Type of DerivativesNotional CurrencyNotional Amount (in thousands)
Range of Maturity Dates
DesignatedNon-Designated
Put OptionNOK— 928,000 July 2021
Interest Rate SwapUSD$— $109,526 April 2021 - July 2023
The table below represents the effect of the derivative financial instruments on the consolidated statements of operations and of comprehensive income (loss) for the three and nine months ended September 30, 2020 and 2019 (dollars in thousands):
Three Months Ended September 30,Nine Months Ended September 30,
2020201920202019
Other gain (loss), net
Non-designated foreign exchange contracts$99 $2,016 $4,573 $2,394 
Non-designated interest rate contracts7 (4,688)(17,084)(14,949)
$106 $(2,672)$(12,511)$(12,555)
Other income
Non-designated foreign exchange contracts$— $— $178 $— 
Non-designated interest rate contracts— — — — 
$— $— $178 $— 
Accumulated other comprehensive income (loss)
Designated foreign exchange contracts$— $12,791 $21,764 $21,124 
$— $12,791 $21,764 $21,124 
During the nine months ended September 30, 2020, the Company received $28.2 million from the unwind of its NOK and EUR FX forwards and realized a gain of $8.7 million which is included in other loss, net on its consolidated statements of operations.
During the nine months ended September 30, 2020, the Company unwound its remaining interest rate swaps and realized a loss of $34.0 million, which is included in other loss, net on its consolidated statement of operations. This was previously recorded as an unrealized loss as of March 31, 2020.
At the end of each quarter, the Company reassesses the effectiveness of its net investment hedges and as appropriate, dedesignates the portion of the derivative notional that is in excess of the beginning balance of its net investments as non-designated hedges. Any unrealized gain or loss on the dedesignated portion of net investment hedges is transferred into earnings, recorded in other gain (loss), net. During the three and nine months ended September 30, 2020 and 2019, no gain (loss) was transferred from accumulated other comprehensive income (loss).
Offsetting Assets and Liabilities
The Company enters into agreements subject to enforceable netting arrangements with its derivative counterparties that allow the Company to offset the settlement of derivative assets and liabilities in the same currency by derivative instrument type or, in the event of default by the counterparty, to offset all derivative assets and liabilities with the same counterparty. The Company has elected not to net derivative asset and liability positions, notwithstanding the conditions for right of offset may have been met. The Company presents derivative assets and liabilities with the same counterparty on a gross basis on the consolidated balance sheets.
The following table sets forth derivative positions where the Company has a right of offset under netting arrangements with the same counterparty as of September 30, 2020 and December 31, 2019 (dollars in thousands):
Gross Amounts of Assets (Liabilities) Included on Consolidated Balance Sheets Gross Amounts Not Offset on Consolidated Balance SheetsNet Amounts of Assets (Liabilities)
(Assets) LiabilitiesCash Collateral Pledged
September 30, 2020
Derivative Assets
Foreign exchange contracts$1,974 $— $— $1,974 
Interest rate contracts7 (7)— — 
$1,981 $(7)$— $1,974 
Derivative Liabilities
Interest rate contracts$(37)$7 $30 $— 
$(37)$7 $30 $— 
December 31, 2019
Derivative Assets
Foreign exchange contracts$4,122 $(2,157)$— $1,965 
$4,122 $(2,157)$— $1,965 
Derivative Liabilities
Foreign exchange contracts$(2,157)$2,157 $— $— 
Interest rate contracts(16,976)— 16,976 — 
$(19,133)$2,157 $16,976 $—