Quarterly report pursuant to Section 13 or 15(d)

Interest Rate Derivatives

v3.20.2
Interest Rate Derivatives
 6 Months Ended
Jun. 30, 2020
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, each of which was designated as a cash flow hedge of interest rate risk (dollars in thousands):
 
 
 



 

 

Fair Value at
Notional Amount
 
Fixed Rate

Floating Rate Index

Effective Date

Expiration Date

June 30,
2020

December 31,
2019
$
12,234

(1)
1.390%
 
One-Month LIBOR
 
10/13/2015
 
10/1/2020
 
$
(38
)
 
$
23

100,000

 
1.901%
 
One-Month LIBOR
 
9/1/2016
 
12/1/2022
 
(4,326
)
 
(1,028
)
100,000

 
1.905%
 
One-Month LIBOR
 
9/1/2016
 
12/1/2022
 
(4,336
)
 
(1,037
)
50,000

 
1.908%
 
One-Month LIBOR
 
9/1/2016
 
12/1/2022
 
(2,171
)
 
(524
)
11,200

(2)
1.678%
 
One-Month LIBOR
 
8/1/2019
 
8/1/2026
 
(858
)
 
(20
)
150,000

 
0.498%
 
One-Month LIBOR
 
4/1/2020
 
12/31/2020
 
(248
)
 
—

23,000

(3)
0.573%
 
One-Month LIBOR
 
4/1/2020
 
3/26/2025
 
(378
)
 
—

75,000

 
3.176%
 
Three-Month LIBOR
 
6/30/2020
 
6/30/2030
 
(18,779
)
 
(8,640
)
75,000

 
3.192%
 
Three-Month LIBOR
 
6/30/2020
 
6/30/2030
 
(18,897
)
 
(8,749
)
75,000

 
2.744%
 
Three-Month LIBOR
 
6/30/2020
 
6/30/2030
 
(15,581
)
 
(5,684
)
 

 
 

 

 

 

$
(65,612
)

$
(25,659
)

(1)
The notional amount of this instrument is scheduled to amortize to $12.1 million.
(2)
The notional amount of this instrument is scheduled to amortize to $10.0 million.
(3)
The notional amount of this instrument is scheduled to amortize to $22.1 million.

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
 
June 30,
2020
 
December 31, 2019
Interest rate swaps designated as cash flow hedges
 
Prepaid expenses and other assets, net
 
$
—

 
$
23

Interest rate swaps designated as cash flow hedges
 
Interest rate derivatives (liabilities)
 
$
(65,612
)
 
$
(25,682
)

 
The table below presents the effect of our interest rate derivatives on our consolidated statements of operations and comprehensive income (in thousands):
 
 
Amount of Loss Recognized in AOCL on Derivatives
 
Amount of (Loss) Gain Reclassified from AOCL into Interest Expense on Statement of Operations
 
 
For the Three Months Ended June 30,
 
For the Six Months Ended June 30,
 
For the Three Months Ended June 30,
 
For the Six Months Ended June 30,
Derivatives in Hedging Relationships
 
2020
 
2019
 
2020
 
2019
 
2020
 
2019
 
2020
 
2019
Interest rate derivatives
 
$
(3,315
)
 
$
(13,545
)
 
$
(41,020
)
 
$
(22,390
)
 
$
(935
)
 
$
557

 
$
(1,066
)
 
$
1,127



Based on the fair value of our derivatives as of June 30, 2020, we estimate that approximately $8.1 million of losses will be reclassified from accumulated other comprehensive loss (“AOCL”) as an increase to interest expense over the next 12 months.

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 June 30, 2020, we were not in default with any of these provisions. As of June 30, 2020, the fair value of interest rate derivatives in a liability position related to these agreements was $65.8 million, excluding the effects of accrued interest and credit valuation adjustments. As of June 30, 2020, we had not posted any collateral related to these agreements.  If we breach any of these provisions, we could be required to settle our obligations under the agreements at their termination value, which was $66.2 million as of June 30, 2020.