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Derivative Financial Instruments
9 Months Ended
Sep. 30, 2015
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
Derivative Financial Instruments

12.

Derivative Financial Instruments

The following table summarizes the terms of the derivative financial instruments held by the Company or through its joint venture and the asset (liability) that has been recorded (in thousands):

 

Initial

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

asset (liability) as of

 

Notional

 

 

 

 

 

 

Credit

 

 

Trade

 

Forward

 

Maturity

 

 

September 30,

 

 

December 31,

 

Amount

 

 

Strike (1)

 

 

Spread (1)

 

 

date

 

date

 

date

 

 

2015

 

 

2014

 

$

12,421

(2)

 

 

1.3

%

 

 

2.6

%

 

1/17/2013

 

1/15/2015

 

1/16/2018

 

 

$

(170

)

 

$

(71

)

$

38,255

(2)

 

 

2.7

%

 

 

2.5

%

 

9/6/2013

 

8/17/2015

 

7/10/2018

 

 

$

(1,906

)

 

$

(1,228

)

$

26,067

(2)

 

 

2.8

%

 

 

2.5

%

 

9/6/2013

 

8/17/2015

 

8/29/2018

 

 

$

(1,396

)

 

$

(906

)

$

30,000

(2)

 

 

1.1

%

 

 

2.7

%

 

10/22/2013

 

8/5/2015

 

 

(4)

 

 

$

 

 

$

(82

)

$

29,952

(2)

 

 

0.9

%

 

 

4.3

%

 

11/13/2013

 

5/11/2015

 

 

(4)

 

 

$

 

 

$

(74

)

$

11,000

(3)

 

 

3.0

%

 

%

 

6/27/2014

 

6/30/2014

 

6/30/2017

 

 

$

1

 

 

$

10

 

$

48,415

(2)

 

 

2.4

%

 

 

2.9

%

 

8/15/2014

 

6/1/2016

 

6/2/2019

 

 

$

(1,360

)

 

$

(270

)

$

84,251

(2)

 

 

2.3

%

 

 

2.4

%

 

9/12/2014

 

8/1/2015

 

7/15/2019

 

 

$

(3,315

)

 

$

(1,326

)

$

7,129

(2)

 

 

1.2

%

 

 

2.3

%

 

11/12/2014

 

11/15/2014

 

10/15/2017

 

 

$

(79

)

 

$

(35

)

$

175,000

(2)

 

 

1.6

%

 

 

2.0

%

 

12/23/2014

 

12/19/2014

 

2/19/2019

 

 

$

(3,526

)

 

$

(881

)

$

138,698

(2)

 

 

1.7

%

 

 

2.0

%

 

1/9/2015

 

12/10/2015

 

12/22/2019

 

 

$

(2,946

)

 

$

 

 

FOOTNOTES:

(1)

The all-in rates are equal to the sum of the Strike and Credit Spread detailed above.

(2)

Amounts related to interest rate swaps held by the Company, or its equity method investments, which are recorded at fair value and included in either other assets or other liabilities in the accompanying condensed consolidated balance sheets.

(3)

Amounts related to the interest rate cap held by the Windsor Manor Joint Venture for which the proportionate amounts of fair value relative to the Company’s ownership percentage are included in investments in unconsolidated entities in the accompanying condensed consolidated balance sheets.

(4)

The loans associated with these derivatives were repaid during the nine months ended September 30, 2015. Refer to Note 10. “Indebtedness” for additional information.

Although the Company has determined that the majority of the inputs used to value its derivative financial instruments fall within Level 2 of the fair value hierarchy, the credit valuation adjustments associated with its derivatives utilize Level 3 inputs, such as estimates of current credit spreads, to evaluate the likelihood of default by the Company and its counterparties.  The Company has assessed the significance of the impact of the credit valuation adjustments on the overall valuation of its derivative financial instruments and has determined that the credit valuation adjustments on the overall valuation adjustments are not significant to the overall valuation of its derivative financial instruments. As a result, the Company determined that its derivative financial instruments valuation in its entirety is classified in Level 2 of the fair value hierarchy. Determining fair value requires management to make certain estimates and judgments.  Changes in assumptions could have a positive or negative impact on the estimated fair values of such instruments which could, in turn, impact the Company’s or its joint venture’s results of operations.