Quarterly report pursuant to Section 13 or 15(d)

Interest Rate Derivatives

v3.7.0.1
Interest Rate Derivatives
 3 Months Ended
Mar. 31, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Interest Rate Derivatives
Interest Rate Derivatives
 
The following table sets forth the key terms and fair values of our interest rate swap derivatives (dollars in thousands):
 
 
 



 

 

Fair Value at
Notional Amount
 
Fixed Rate

Floating Rate Index

Effective Date

Expiration Date

March 31,
2017

December 31,
2016
$
100,000


1.6730%

One-Month LIBOR

9/1/2015

8/1/2019

$
(301
)

$
(701
)
100,000


1.7300%

One-Month LIBOR

9/1/2015

8/1/2019

(434
)

(848
)
13,494

(1)
1.3900%
 
One-Month LIBOR
 
10/13/2015
 
10/1/2020
 
147

 
100

100,000

 
1.9013%
 
One-Month LIBOR
 
9/1/2016
 
12/1/2022
 
409

 
(23
)
100,000

 
1.9050%
 
One-Month LIBOR
 
9/1/2016
 
12/1/2022
 
427

 
48

50,000

 
1.9079%
 
One-Month LIBOR
 
9/1/2016
 
12/1/2022
 
200

 
10

 

 
 

 

 

 

$
448


$
(1,414
)

(1) The notional amount of this instrument is scheduled to amortize to $12.1 million.

Each of the interest rate swaps set forth in the table above was designated as a cash flow hedge of interest rate risk.
 
The table below sets forth the fair value of our interest rate derivatives as well as their classification on our consolidated balance sheets (in thousands):
 
 
 
 
Fair Value at
Derivatives
 
Balance Sheet Location
 
March 31,
2017
 
December 31, 2016
Interest rate swaps designated as cash flow hedges
 
Prepaid expenses and other assets
 
$
1,183

 
$
158

Interest rate swaps designated as cash flow hedges
 
Other liabilities
 
(735
)
 
(1,572
)

 
The table below presents the effect of our interest rate derivatives on our consolidated statements of operations and comprehensive income (in thousands):
 
 
For the Three Months Ended March 31,
 
 
2017
 
2016
Amount of gain (loss) recognized in accumulated other comprehensive loss (“AOCL”) (effective portion)
 
$
224

 
$
(11,284
)
Amount of losses reclassified from AOCL into interest expense (effective portion)
 
(1,184
)
 
(870
)
Amount of gain (loss) recognized in interest expense (ineffective portion)
 
454

 
(1,551
)


Over the next 12 months, we estimate that approximately $2.6 million of losses will be reclassified from AOCL as an increase to interest expense.

We have agreements with each of our interest rate derivative counterparties that contain provisions under which, if we default or are capable of being declared in default on defined levels of our indebtedness, we could also be declared in default on our derivative obligations. Failure to comply with the loan covenant provisions could result in our being declared in default on any derivative instrument obligations covered by the agreements.  As of March 31, 2017, the fair value of interest rate derivatives in a liability position related to these agreements was $735,000, excluding the effects of accrued interest and credit valuation adjustments. As of March 31, 2017, we had not posted any collateral related to these agreements.  We are not in default with any of these provisions.  If we breached any of these provisions, we could be required to settle our obligations under the agreements at their termination value of $892,000.