| Derivative Financial Instruments |
Derivative Financial Instruments During the three years ended December 31, 2019, the Company had the following LIBOR interest rate caps, which are not designated as cash flow hedges for accounting purposes ($ in thousands): | | | | | | | | | | | | | | | Origination Date | | Expiration Date | | Notional Amount | | Strike Rate | | Premium Paid | 10/26/2015 | | 10/15/2017 | | $ | 75,000 |
| | 1.25 | % | | $ | 137 |
| 2/25/2016 | | 3/1/2018 | | 75,000 |
| | 1.50 | % | | 57 |
| 6/17/2016 | | 6/17/2018 | | 70,000 |
| | 1.00 | % | | 150 |
| 2/7/2017 | | 3/1/2019 | | 50,000 |
| | 1.50 | % | | 187 |
| 6/23/2017 | | 7/1/2019 | | 50,000 |
| | 1.50 | % | | 154 |
| 9/18/2017 | | 10/1/2019 | | 50,000 |
| | 1.50 | % | | 199 |
| 11/28/2017 | | 12/1/2019 | | 50,000 |
| | 1.50 | % | | 359 |
| 3/7/2018 | | 4/1/2020 | | 50,000 |
| | 2.25 | % | | 310 |
| 7/16/2018 | | 8/1/2020 | | 50,000 |
| | 2.50 | % | | 319 |
| 12/11/2018 | | 1/1/2021 | | 50,000 |
| | 2.75 | % | | 210 |
| 5/15/2019 | | 6/1/2022 | | 100,000 |
| | 2.50 | % | | 288 |
| | | | | | | | | $ | 2,370 |
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As of December 31, 2019, the Company held the following floating-to-fixed interest rate swaps ($ in thousands): | | | | | | | | | | | | | | | | | | | Related Debt | | Notional Amount | | | Index | | Swap Fixed Rate | | Debt effective rate | | Effective Date | | Expiration Date | Senior unsecured term loan | | $ | 50,000 |
| | | 1-month LIBOR | | 2.00 | % | | 3.45 | % | | 3/1/2016 | | 2/20/2020 | Senior unsecured term loan | | 50,000 |
| | | 1-month LIBOR | | 2.78 | % | | 4.23 | % | | 5/1/2018 | | 5/1/2023 | John Hopkins Village | | 51,800 |
| (a) | | 1-month LIBOR | | 2.94 | % | | 4.19 | % | | 8/7/2018 | | 8/7/2025 | Senior unsecured term loan | | 10,500 |
| (a)(b) | | 1-month LIBOR | | 3.02 | % | | 4.47 | % | | 10/12/2018 | | 10/12/2023 | 249 Central Park Retail, South Retail, and Fountain Plaza Retail | | 34,342 |
| (a) | | 1-month LIBOR | | 2.25 | % | | 3.85 | % | | 4/1/2019 | | 8/10/2023 | Senior unsecured term loan | | 50,000 |
| (a) | | 1-month LIBOR | | 2.26 | % | | 3.71 | % | | 4/1/2019 | | 10/26/2022 | Total | | $ | 246,642 |
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________________________________________ | | (a) Designated as a cash flow hedge. | (b) Prior to August 15, 2019, this swap was used as a hedge for the cash flows for the loan secured by Lightfoot Marketplace. |
For the interest rate swaps designated as cash flow hedges, realized losses are reclassified out of accumulated other comprehensive loss to interest expense in the Consolidated Statements of Comprehensive Income due to payments made to the swap counterparty. During the next 12 months, the Company anticipates reclassifying approximately $1.4 million of net hedging losses from accumulated other comprehensive loss into earnings to offset the variability of the hedged items during this period.
The Company’s derivatives comprised the following as of December 31, 2019 and 2018 (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2019 | | December 31, 2018 | | | | | Fair Value | | | | Fair Value | | | Notional Amount | | Asset | | Liability | | Notional Amount | | Asset | | Liability | Derivatives not designated as accounting hedges | | | | | | | | | | | | | Interest rate swaps | | $ | 100,000 |
| | $ | — |
| | $ | (1,992 | ) | | $ | 100,000 |
| | $ | 303 |
| | $ | (749 | ) | Interest rate caps | | 250,000 |
| | 25 |
| | — |
| | 350,000 |
| | 1,790 |
| | — |
| Total derivatives not designated as accounting hedges | | 350,000 |
| | 25 |
| | (1,992 | ) | | 450,000 |
| | 2,093 |
| | (749 | ) | Derivatives designated as accounting hedges | | | | | | | | | | | | | Interest rate swaps | | 146,642 |
| | — |
| | (5,728 | ) | | 63,208 |
| | — |
| | (1,725 | ) | Total derivatives | | $ | 496,642 |
| | $ | 25 |
| | $ | (7,720 | ) | | $ | 513,208 |
| | $ | 2,093 |
| | $ | (2,474 | ) |
The changes in the fair value of the Company’s derivatives during the years ended December 31, 2019, 2018, and 2017 was as follows (in thousands): | | | | | | | | | | | | | | Years Ended December 31, | | 2019 | | 2018 | | 2017 | Interest rate swaps | $ | (6,050 | ) | | $ | (2,281 | ) | | $ | 770 |
| Interest rate caps | (2,053 | ) | | (564 | ) | | 357 |
| Total change in fair value of interest rate derivatives | $ | (8,103 | ) | | $ | (2,845 | ) | | $ | 1,127 |
| Comprehensive income statement presentation: | |
| | |
| | |
| Change in fair value of interest rate derivatives | $ | (3,599 | ) | | $ | (951 | ) | | $ | 1,127 |
| Unrealized cash flow hedge losses | (4,504 | ) | | (1,894 | ) | | — |
| Total change in fair value of interest rate derivatives | $ | (8,103 | ) | | $ | (2,845 | ) | | $ | 1,127 |
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Subsequent to December 31, 2019
On January 10, 2020, the Company entered into a LIBOR interest rate cap agreement on a notional amount of $50.0 million at a strike rate of 1.75% for a premium of $0.1 million. The interest rate cap agreement will expire on February 1, 2022.
On January 28, 2020, the Company entered into an additional LIBOR interest rate cap agreement on a notional amount of $50.0 million at a strike rate of 1.75% for a premium of $0.1 million. The interest rate cap agreement will expire on February 1, 2022.
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