Interest Rate Derivatives
|9 Months Ended|
Sep. 30, 2021
|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):
(1)The notional amount of this instrument is scheduled to amortize to $10.0 million.
(2)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):
The tables below presents the effect of our interest rate derivatives on our consolidated statements of operations and comprehensive income (in thousands):
Based on the fair value of our derivatives as of September 30, 2021, we estimate that approximately $4.8 million of losses will be reclassified from 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 September 30, 2021, we were not in default with any of these provisions. As of September 30, 2021, the fair value of interest rate derivatives in a liability position related to these agreements was $5.6 million, excluding the effects of accrued interest and credit valuation adjustments. As of September 30, 2021, 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 $6.0 million as of September 30, 2021.
The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts.
Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef