| 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):
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Fair Value at |
Notional Amount |
|
Fixed Rate |
|
Floating Rate Index |
|
Effective Date |
|
Expiration Date |
|
September 30,
2012 |
|
December 31,
2011 |
$ |
100,000 |
|
|
0.6123 |
% |
|
One-Month LIBOR |
|
1/3/2012 |
|
9/1/2014 |
|
$ |
(671 |
) |
|
$ |
55 |
|
100,000 |
|
|
0.6100 |
% |
|
One-Month LIBOR |
|
1/3/2012 |
|
9/1/2014 |
|
(667 |
) |
|
56 |
|
100,000 |
|
|
0.8320 |
% |
|
One-Month LIBOR |
|
1/3/2012 |
|
9/1/2015 |
|
(1,447 |
) |
|
(66 |
) |
100,000 |
|
|
0.8320 |
% |
|
One-Month LIBOR |
|
1/3/2012 |
|
9/1/2015 |
|
(1,447 |
) |
|
(49 |
) |
38,671 |
|
(1) |
3.8300 |
% |
|
One-Month LIBOR |
|
11/2/2010 |
|
11/2/2015 |
|
(1,393 |
) |
|
(1,054 |
) |
100,000 |
|
|
0.8055 |
% |
|
One-Month LIBOR |
|
9/2/2014 |
|
9/1/2016 |
|
(262 |
) |
|
— |
|
100,000 |
|
|
0.8100 |
% |
|
One-Month LIBOR |
|
9/2/2014 |
|
9/1/2016 |
|
(272 |
) |
|
— |
|
100,000 |
|
|
1.6730 |
% |
|
One-Month LIBOR |
|
9/1/2015 |
|
8/1/2019 |
|
(123 |
) |
|
— |
|
100,000 |
|
|
1.7300 |
% |
|
One-Month LIBOR |
|
9/1/2015 |
|
8/1/2019 |
|
(261 |
) |
|
— |
|
50,000 |
|
|
0.5025 |
% |
|
One-Month LIBOR |
|
1/3/2011 |
|
1/3/2012 |
|
— |
|
|
(1 |
) |
50,000 |
|
|
0.5025 |
% |
|
One-Month LIBOR |
|
1/3/2011 |
|
1/3/2012 |
|
— |
|
|
(1 |
) |
120,000 |
|
|
1.7600 |
% |
|
One-Month LIBOR |
|
1/2/2009 |
|
5/1/2012 |
|
— |
|
|
(552 |
) |
100,000 |
|
|
1.9750 |
% |
|
One-Month LIBOR |
|
1/1/2010 |
|
5/1/2012 |
|
— |
|
|
(532 |
) |
100,000 |
|
(2) |
3.8415 |
% |
|
Three-Month LIBOR |
|
9/30/2011 |
|
9/30/2021 |
|
— |
|
|
(16,333 |
) |
75,000 |
|
(2) |
3.8450 |
% |
|
Three-Month LIBOR |
|
9/30/2011 |
|
9/30/2021 |
|
— |
|
|
(12,275 |
) |
100,000 |
|
(2) |
2.0525 |
% |
|
Three-Month LIBOR-Reverse |
|
12/30/2011 |
|
9/30/2021 |
|
— |
|
|
345 |
|
75,000 |
|
(2) |
2.0525 |
% |
|
Three-Month LIBOR-Reverse |
|
12/30/2011 |
|
9/30/2021 |
|
— |
|
|
260 |
|
|
|
|
|
|
|
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|
|
|
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|
$ |
(6,543 |
) |
|
$ |
(30,147 |
) |
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(1) |
The notional amount of this instrument is scheduled to amortize to $36.2 million.
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(2) |
As described further in our 2011 Annual Report on Form 10-K, on January 5, 2012, we settled these instruments, along with interest accrued thereon, for an aggregate of $29.7 million. Our policy is to present payments to terminate interest rate swaps entered into in order to hedge forecasted interest payments as operating activities on our consolidated statement of cash flows. Accordingly, the payments to settle these instruments were included in net cash provided by operating activities on our consolidated statement of cash flows.
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Each of the one-month LIBOR interest rate swaps set forth in the table above was designated as cash flow hedges 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 sheet (in thousands):
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September 30, 2012 |
|
December 31, 2011 |
Derivatives |
|
Balance Sheet Location |
|
Fair Value |
|
Balance Sheet Location |
|
Fair Value |
Interest rate swaps designated as cash flow hedges |
|
Prepaid expenses and other assets |
|
$ |
— |
|
|
Prepaid expenses and other assets |
|
$ |
111 |
|
Interest rate swaps not designated as hedges |
|
N/A |
|
— |
|
|
Prepaid expenses and other assets |
|
605 |
|
Interest rate swaps designated as cash flow hedges |
|
Interest rate derivatives |
|
(6,543 |
) |
|
Interest rate derivatives |
|
(2,255 |
) |
Interest rate swaps not designated as hedges |
|
N/A |
|
— |
|
|
Interest rate derivatives |
|
(28,608 |
) |
The table below presents the effect of our interest rate derivatives on our consolidated statements of operations and comprehensive income (in thousands):
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For the Three Months Ended September 30, |
|
For the Nine Months Ended September 30, |
|
2012 |
|
2011 |
|
2012 |
|
2011 |
Amount of loss recognized in accumulated other comprehensive loss (“AOCL”) (effective portion) |
$ |
(2,760 |
) |
|
$ |
(21,869 |
) |
|
$ |
(7,386 |
) |
|
$ |
(30,463 |
) |
Amount of loss reclassified from AOCL into interest expense (effective portion) |
(632 |
) |
|
(1,179 |
) |
|
(3,034 |
) |
|
(3,446 |
) |
Over the next 12 months, we estimate that approximately $2.6 million 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 any of our indebtedness, we could also be declared in default on our derivative obligations. These agreements also incorporate the loan covenant provisions of our indebtedness with a lender affiliate of the derivative counterparties. 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 September 30, 2012, the fair value of interest rate derivatives in a liability position related to these agreements was $6.5 million, excluding the effects of accrued interest. As of September 30, 2012, 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 $7.1 million.
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